Essays on asset valuation and misvaluation.

摘要

This dissertation examines valuation and misvaluation in stock and bond markets. The first chapter introduces the central questions and motivates these questions by relating them to recent economic trends. The second chapter develops a model of bond expected returns, demonstrating that variables related to liquidity and risk aversion have significant forecasting power for excess bond returns. The third chapter builds a measure of investor sentiment and uses an asset allocation model to demonstrate that this sentiment measure has significant ability to forecast stock returns, while the forecasting power of fundamentals is limited. The final chapter turns to the effects of equity misvaluation on the real economy by examining corporate investment behavior.