This dissertation contains two essays on empirical asset pricing. The first essay tests a two-beta currency pricing model that features betas with risk-premium news and r[...]

This dissertation consists of three related chapters in the field of empirical asset pricing. Broadly speaking the chapters investigate issues related to active portfolio[...]

This dissertation contains three essays on empirical asset pricing. The first essay presents the first evidence on how macro trends affect equity risk premium, going beyo[...]

Variable selection with a non-concave penalty function has become popular in recent years, since it has ability to select significant variables and to estimate unknown re[...]