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Conditioning the information in asset pricing

Sala, Carlo ; Barone-Adesi, Giovanni (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2016 ; 2016ECO003.

This thesis analyzes different theoretical and empirical aspects related to the use of the information in asset pricing. As a main innovation I extend the asset pricing literature proposing a new highly flexible technique for the estimation of the markets subjective distribution of future returns. Applying this technique to different problems I answer to some long-lasting puzzles present in...