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.
|Qualification||Doctor of Philosophy|
|Award date||23 Nov 2021|
|Place of Publication||Tilburg|
|Print ISBNs||978 90 5668 667 3|
|Publication status||Published - 2021|