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Essays in Asset Pricing

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posted on 01.05.2018, 00:00 by Atanu PaulAtanu Paul

In the first chapter, I build a New Keynesian asset pricing model with optimal monetary policy and Epstein-Zin preferences that accounts for some of the stylized facts concerning the term structures of equity and bond risk premia. The model-implied term structure of equity risk premia and its volatility are downward sloping, the term structure of bond risk premia is upward sloping, and the term structure of Sharpe ratios on dividend strips is downward sloping.

History

Date

01/05/2018

Degree Type

Dissertation

Department

Tepper School of Business

Degree Name

Doctor of Philosophy (PhD)

Advisor(s)

Burton Hollifield

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