Essays on asset Pricing

This dissertation is comprised of six papers I have written during my Ph.D. thesis. Chapter 1 is titled “When Can Life-cycle Investors Benefit from Time-varying Bond Risk Premia?” and Chapter 2 “Optimal Annuity Risk Management.” Both chapters have been co-authored by Theo Nijman and Bas Werker. Chapter 3 is titled “Optimal Decentralized Investment Management,” and is joint work with Jules van Binsbergen and Michael Brandt. It is forthcoming in the Journal of Finance. Chapter 4, “Mortgage Timing,” is co-authored by Otto Van Hemert and Stijn Van Nieuwerburgh. It has been awarded the Glucksman First Place Research Prize for “Best Working Paper in Finance” 2007 / 8, Stern, NYU. Chapter 5 is titled “Predictive Regressions: A Present-value Approach,” which is joint work with Jules van Binsbergen. Chapter 6 is my job market paper titled “The Cross-section of Managerial Ability and Risk Preferences.”

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