Thèse de doctorat : Università della Svizzera italiana, 2017 ; 2017ECO002.
My dissertation consists of three chapters, each of which focuses on a different area of research in asset pricing. The first chapter's focal point is the measurement of the premium for jump risks in index option markets. The second chapter is devoted to non- parametric measurement of pricing kernel dispersion. The third chapter contributes to the literature on latent state variable recovery in...
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Thèse de doctorat : Università della Svizzera italiana, 2014 ; 2014ECO006.
My dissertation consists of three main chapters; I focus on empirical aspects of asset pricing. I identify anomalies in equities, relate the book-to-market anomaly and the size anomaly to cash-flow risk, and document a strong cross-sectional predictor of FX volatility returns. In the first part of my dissertation I show that Gross Yield negatively predicts returns in the cross section of...
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Thèse de doctorat : Università della Svizzera italiana, 2014 ; 2014ECO005.
My dissertation consists of three main chapters and focuses on two recent strands of research in asset pricing, namely heterogeneous beliefs about rare event risk and present-value models for predictability of market returns and dividend growth. The first chapter studies the asset pricing implications of investor disagreement about the probability of a systemic disaster. I start from a...
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