This dissertation is a collection of three independent chapters that aim to better understand asset pricing models and investor preferences. In sum, this dissertation has three main findings. First, leading asset pricing models fail to capture the variation in prices of instruments with direct exposure towards stock market variance. Second, option prices of the S&P 500 indicate that short- and long-term preferences are substantially different. Short-term preferences are in line with a behavioral asset pricing model, whereas long-term preferences are in line with a rational asset pricing model. Third, probability weighting is able to explain many asset pricing puzzles in the cross-section of stocks regarding risk premia for variance, skewness and correlation.
|Qualification||Doctor of Philosophy|
|Award date||24 Sep 2021|
|Place of Publication||Tilburg|
|Print ISBNs||978 90 5668 660 4|
|Publication status||Published - 2021|