Essays on macro-finance and market anomalies

Z. Tancheva

doi:10.26116/center-lis-2125

Essays on macro-finance and market anomalies

Z. Tancheva

Center Ph. D. Students

Research output: Thesis › Doctoral Thesis

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Abstract

This thesis consists of three chapters on asset pricing, macro-finance, and market anomalies. The first chapter focuses on the effect of the well documented behavioral bias time inconsistency on the dynamics of asset prices and wealth distribution. The second chapter provides a robust and accurate numerical method for solving problems with heterogeneous agents and recursive preferences. The third chapter presents a novel, parsimonious explanation for the asset pricing anomaly momentum, based on the Merton (1974) structural model of credit risk.

Original language	English
Qualification	Doctor of Philosophy
Awarding Institution	Tilburg University
Supervisors/Advisors	Werker, Bas, Promotor de Roon, Frans, Promotor Lochstoer, L., Co-promotor, External person Manconi, Alberto, Co-promotor
Award date	23 Nov 2021
Place of Publication	Tilburg
Publisher	CentER, Center for Economic Research
Print ISBNs	978 90 5668 667 3
DOIs	https://doi.org/10.26116/center-lis-2125
Publication status	Published - 2021

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Thesis Zhaneta TanchevaFinal published version, 13.4 MB

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title = "Essays on macro-finance and market anomalies",

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AB - This thesis consists of three chapters on asset pricing, macro-finance, and market anomalies. The first chapter focuses on the effect of the well documented behavioral bias time inconsistency on the dynamics of asset prices and wealth distribution. The second chapter provides a robust and accurate numerical method for solving problems with heterogeneous agents and recursive preferences. The third chapter presents a novel, parsimonious explanation for the asset pricing anomaly momentum, based on the Merton (1974) structural model of credit risk.

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DO - 10.26116/center-lis-2125

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SN - 978 90 5668 667 3

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T3 - CentER Dissertation Series

PB - CentER, Center for Economic Research

CY - Tilburg

ER -

Essays on macro-finance and market anomalies

Abstract

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