Texas’ Mass Emission Cap and Trade program is a mandatory Nitrous Oxide (NOx) abatement program for medium and large stationary sources located in the Houston-Galveston ozone non-attainment area. Effected companies are required to upgrade equipment to meet the current best achievable NOx...

I show that relative levels of aggregate consumption and personal oil consumption provide anexcellent proxy for oil prices, and that high oil prices predict low future aggregate consumptiongrowth. Motivated by these facts, I add an oil consumption good to the long-run risk model of Bansal and...

This thesis examines the performance of different models of conditional betas and higher comoments in the context of the cross-section of expected stock returns, both in-sample and out-of-sample. I first examine the performance of different conditional market beta models by using monthly returns...

Empirically, the conditional volatility of aggregate consumption growth varies over time. While many papers test the consumption CAPM based on realized consumption growth, little is known about how the time-variation of consumption growth volatility affects asset prices. We show that in a model...

Recent developments in intertemporal asset pricing theory focus on two sets of fundamental determinants of asset returns. Models with complete markets emphasize aggregate variables such as per capita consumption. Such models have not performed well empirically. Models with incomplete markets...

Prior research documents that individual stock returns respond to earnings differently under new accounting standards, regulations, or changes in enforcement. This paper examines whether this result extends to the aggregate stock market. We take a macro perspective and study the properties of...

What is the effect of non-tradeable idiosyncratic risk on asset-market risk premiums? Constantinides and Duffie (1996) and Mankiw (1986) have shown that risk premiums will increase if the idiosyncratic shocks become more volatile during economic contractions. We add two important ingredients to...

ENGLISH ABSTRACT: In this thesis, we propose to use Levy processes to model the dynamics of asset prices. Inthe first part, we deal with single asset options and model the log stock prices with a Levyprocess. We employ pure jump Levy processes of infinite activity, in particular variancegamma...

In this dissertation, I study the performance of asset-pricing models in explaining the cross section of expected stock returns. The finance literature has uncovered several potential failings of the Capital Asset Pricing Model (CAPM). I investigate the ability of additional risk factors, which...

Diese Arbeit besteht aus vier Essays, die empirische und methodische Beiträge zu den Gebieten der Finanzmarktökonomik und der Makroökonomik liefern. Der erste Essay beschäftigt sich mit der Spezifikation der Investoren verfügbaren Informationsmenge in Tests bedingter Kapitalmarktmodelle. Im...