This dissertation contains five essays on the implications of risks and ambiguity for asset pricing puzzles, especially in the fixed income market. The first es

In this paper we present the most compelling empirical evidence yet of a low-risk anomaly in fixed income markets. We show that portfolios invested in bonds wit

The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into

The standard theory of decision making under uncertainty advises the decision maker to form a statistical model linking outcomes to decisions and then to choose

“Bali, Engle, and Murray have produced a highly accessible introduction to the techniques and evidence of modern empirical asset pricing. This book should be