There has been an on-going debate about choices of the most suitable model amongst avariety of model specifications and parameterizations. The first dissertation essay investigateswhether asymmetric leptokurtic return distributions such as Hansen’s (1994) skewed tdistributioncombined with...

This dissertation consists of two essays on predictability of asset prices. "Benchmarkingproblems and long horizon abnormal returns" and, "Low R-square in the cross section ofexpected returns". Long run abnormal returns following Initial Public Offerings (IPOs),Seasoned Equity Offers (SEO) and...