Essays on macro-finance and market anomalies

Z. Tancheva

Research output: ThesisDoctoral 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 languageEnglish
QualificationDoctor of Philosophy
Awarding Institution
  • Tilburg University
Supervisors/Advisors
  • Werker, Bas, Promotor
  • de Roon, Frans, Promotor
  • Lochstoer, L., Co-promotor, External person
  • Manconi, A., Co-promotor
Award date23 Nov 2021
Place of PublicationTilburg
Publisher
Print ISBNs978 90 5668 667 3
DOIs
Publication statusPublished - 2021

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