This dissertation consists of two chapters. The first chapter empirically investigates how investors' subjective beliefs drive the cross-section of stock returns. Using a data set of real-time professional survey forecasts, I first estimate beli.
T...
This dissertation consists of two chapters. The first chapter empirically investigates how investors' subjective beliefs drive the cross-section of stock returns. Using a data set of real-time professional survey forecasts, I first estimate beli.
The second chapter investigates whether consumption growth risk is responsible for accounting observed variations in the foreign currency markets? To address this question, I set up and estimate a regime-switching Markov process for consumption.