Essays on Asset Pricing and Econometrics
Contributors: Barro, Robert J.; Campbell, John Y.; Mikusheva, Anna; Shephard, Neil
Published: 2014
Language: eng
Description: This dissertation presents three essays on asset pricing and econometrics. The first chapter identifies rare events and long-run risks simultaneously from a rich data set (the Barro-Ursua macroeconomic data set) and evaluates their contributions to asset pricing in a unified framework. The proposed model of rare events and long-run risks is estimated using a Bayesian Markov-chain Monte-Carlo method, and the estimates for the disaster process are closer to the data than those in the previous studies. Major evaluation results in asset pricing include: (1) for the unleveraged annual equity premium, the predicted values are 4.8%, 4.2%, and 1.0%, respectively; (2) for the Sharpe ratio, the values are 0.72, 0.66, and 0.15, respectively.
Notes: Keywords: Asset Pricing, Equity Premium, Long-Run Risks, Power Law, Rare Events, Root Cancellation.

Thesis Ph.D. Harvard University 2014