Essays on Empirical Asset Pricing

Abstract

This dissertation consists of three self-contained chapters at the intersection of theoretical and empirical asset pricing. A central research topic in asset pricing is to identify a small and parsimonious set of factors – in a linear asset pricing framework- that can correctly price and span the growing number -now more than 400- of potential “factors”. The first chapter investigates one of these factors- momentum- which is the most difficult to price using standard asset pricing models like the CAPM, the Fama and French (1993), and Hou, Xue and Zhang (2015) models. The second chapter, use a variety of econometric tools to investigate the fragile nature of existing factor models in the sense that their factors also change over time in their ability to price assets. The final chapter investigates how links to consumption growth might help suitable traded factors to bring discipline to the factor zoo based on theoretical criteria.