Two essays in empirical asset pricing
In the first essay, I empirically investigate the effect of financial frictions and exogenous demand pressure on both prices and returns of options. Historically, observed option returns have been a challenge for no-arbitrage asset pricing models, most notably in the case of out-of-the-money equity...
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| Language: | English |
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University of British Columbia
2012
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| Online Access: | http://hdl.handle.net/2429/43077 |