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1、2012-4ZhenjiangQinPhDThesisessaysonHeterogeneousbeliefs,publicinformation,andassetpricingDepartmentofeconomicsanDbusinessaarHusuniVersitY•DenmarKEssaysonHeterogeneousBeliefs,PublicInformation,andAssetPricingByZhenjiangQinApril2012APhDthesissubmittedtoBusine
2、ssandSocialSciences,AarhusUniversity,inpartialfulfilmentoftherequirementsofthePhDdegreeinEconomicsandBusinessTableofContentsPrefaceiiiSummaryvChapter11InformationandHeterogeneousBeliefs:CostofCapital,TradingVolume,andInvestorWelfareChapter261HeterogeneousBe
3、liefs,PublicInformation,andOptionMarketsChapter3117ContinuousTradingDynamicallyE¤ectivelyCompleteMarketwithHeterogeneousBeliefsiPrefaceThisthesiswaswrittenintheperiodfromFebruary2008toJanuary2012duringmyPhDstudiesattheDepartmentofEconomicsandBusiness,Aarhus
4、University.IamgratefultotheDepartmentofEconomicsandBusinessforanexcellentresearchenvironmentandforthe…nancialsupportgiventomeforparticipatingincourses,seminars,workshopsandconferences.ThereisanumberofpeopleIwishtothank.Firstandforemost,Iwouldliketothankmyma
5、insupervisorPeterOveChristensenforencouragementandexcellentsupportduringmystudies.Ithasbeenafantasticlearningprocesstoworkwithhim,andIgreatlyappreciatehiscompetentandconstructivecommentsonmyresearch.Heshowsmethestandardofgoodresearch.Especially,Iwouldliketo
6、thankhimforthecollaborationonwhatcametobethe…rstchapterofthisthesis.Secondly,Iwouldliketothankmyco-advisorBentJesperChristensenforguidanceando¤eringhelpwheneverIneededit.IthanktheCenterforResearchinEconometricAnalysisofTimeSeries(CREATES)forprovidingexcelle
7、ntfacilitiesandmanygoodcoursesandconferences.AtAarhusUniversityIwouldliketothankMiaHinnerichforassistingmewithmyteachingobligations.IwouldliketothankmyfellowPhDstudentsforafriendlyworkenvironmentandinsightfuldiscussions.AspecialthanksgoestoMateuszDziubinski
8、andPaolaQuirogaforalltheacademicandnot-so-academicdiscussions.Iwouldalsoliketothankthefacultymembersandthesta¤attheDepartmentofEconomicsandBusiness.IexpressmygratitudetoSøsenStaunsagerandhissta¤forassi
