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Asset Pricing and Asset Allocation Projects
The objective of this research project is to study the impact of regime dependent preferences on equilibrium asset prices when information pertaining to the state of the economy is incomplete.
By developing a new methodology for cross-sectional asset-pricing tests, the goal of this study is to disentangle the relative importance of betas and firm characteristics in explaining the cross-sectional variation in expected returns.
This project aims to develop a tractable dynamic framework capable of modeling the joint determination of a household’s financial and health-related decisions over its life cycle.
With the goal of analyzing liquidity effects in the credit default swap (CDS) market, this study aims to construct a new measure of market-wide CDS illiquidity and to assess the impact of liquidity risk on expected returns of CDS contracts.
This project aims to shed further light on the price formation for individual financial assets across different markets, as a function of the level and term structure of the assets’ risks or uncertainty.