Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/209079 
Year of Publication: 
2018
Series/Report no.: 
PhD Series No. 32.2018
Publisher: 
Copenhagen Business School (CBS), Frederiksberg
Abstract: 
The central formula in asset pricing relates the price of an Arrow-Debreu security to an investor's preferences and beliefs: Price of an Arrow-Debreu security = Preferences Beliefs. We observe the prices of Arrow-Debreu securities in the option markets. But we do not directly observe the extent to which these prices are driven by preferences or beliefs. Decomposing and investigating preferences and beliefs is essential for understanding asset prices, and it is therefore the focus of this thesis. In chapter one, my co-authors and I develop a model in which we can disentangle the contribution in asset prices which is driven by preferences and beliefs. In chapter two, my co-author and I estimate investor beliefs and study how these beliefs vary over time. In chapter three, I estimate investor preferences and study how they co-vary with investor beliefs.
Persistent Identifier of the first edition: 
ISBN: 
9788793744110
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Doctoral Thesis

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