We investigate whether transaction costs, arbitrage risk, and short-sale impediments explain
the abnormal returns of volatility-managed equity portfolios. Even using six cost-mitigation …

We analyze the relation between time-series predictability and factor investing. We use a
large set of financial, macroeconomic, and technical variables to time-series-manage the …

We consider thin incomplete financial markets, where traders with heterogeneous
preferences and risk exposures have motive to behave strategically regarding the demand …

We consider a financial market in which traders potentially face restrictions in trading some
of the available securities. Traders are heterogeneous with respect to their beliefs and risk …

We show that active mutual fund managers effectively incorporate information about future
short-term market movements into security prices. Specifically, when high active-mutual-fund …

This thesis consists of three standalone studies in the fields of asset pricing and market
microstructure. The first study investigates mispricing in the cross-section of stocks. It shows …

The first part of this thesis deals with the consideration of thin incomplete financial markets,
where traders with heterogeneous preferences and risk exposures have motive to behave …