Demographic change belongs to the mega-trends of the 20th and the 21st century. The ongoing aging process in major industrialized countries gives rise to the relative scarcity of raw labor and the relative abundance of physical capital. Standard macroeconomic models suggest that this depresses...

Do expected asset returns vary through time? Why do some assets exhibit higher average returns than others? How can factors that drive expected returns in the time series be linked to factors that explain the cross-sectional dispersion in average returns? How do these findings affect...

Asset Pricing, Default Risk. - The central question of this thesis is whether firm distress risk explains stock returns. This question is important because it has been suspected that distress risk might reconcile a growing evidence on patterns in returns, which are otherwise hard to explain,...

WThis doctoral thesis focuses on the effects of investor sentiment on asset pricing and the challenges of portfolio optimization under parameter uncertainty. The first essay "Sentiment risk premia in the cross-section of global equity" applies a recently developed sentiment proxy to the...