Two Essays in Empirical Asset Pricing
This thesis includes two research papers in the area of empirical asset pricing. In the first research paper titled "Option implied moments and risk aversion", under reasonable assumptions, I provide empirical evidence that index options implied higher moments can predict the index returns and Sharpe ratio. Specifically, I present a method to recover option implied subjective moments of the S\&P500 index under the assumption of no arbitrage and logarithmic...[Show more]
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