Standard procedures in empirical asset pricing suffer from various issues that are common
to all regression-based methods. This work reviews recently introduced approaches that aim …

This thesis contains four chapters on liquidity, financial crisis, dynamic pricing and optimal
contracting with externalities. The first chapter studies how transparency (information …

This paper a develops novel statistical test of whether individual factor risk premia are
identified from return data in multi-factor models. We give a necessary and sufficient …

The first essay studies consumption-based asset pricing models in which consumers make
mistakes. I build a model in which a portfolio manager selects portfolio weights on behalf of …