Abstract
This thesis studies equilibrium asset pricing models with incomplete information.
“Investor Attention Allocation and Asset Prices” examines cognitive constraints and models how investors allocate limited attention between short-term and long-term factors. It documents cyclical patterns in attention allocation and shows that belief uncertainty about the long-term factor is the primary driver of key asset pricing moments.
“Disagreement and the Term Structure of Equity” shows how investor disagreement arising from different interpretations of the same information shapes the equity term structure.
“Variance Risk Premium with Robust Control for Rare Events” shows that ambiguity aversion toward rare events accounts for a substantial share of the variance risk premium and contributes to its downward-sloping term structure.
Collectively, the thesis demonstrates that equilibrium asset prices are not merely reflections of fundamental shocks, but outcomes of the interaction between information structure and investor behavior.