Barro, Robert J.Campbell, John Y.Jin, Tao2014-06-062014-06-062014Jin, Tao. 2014. Essays on Asset Pricing and Econometrics. Doctoral dissertation, Harvard University.http://dissertations.umi.com/gsas.harvard:11466http://nrs.harvard.edu/urn-3:HUL.InstRepos:12269843This dissertation presents three essays on asset pricing and econometrics. The first chapter identifies rare events and long-run risks simultaneously from a rich data set (the Barro-Ursua macroeconomic data set) and evaluates their contributions to asset pricing in a unified framework. The proposed model of rare events and long-run risks is estimated using a Bayesian Markov-chain Monte-Carlo method, and the estimates for the disaster process are closer to the data than those in the previous studies. Major evaluation results in asset pricing include: (1) for the unleveraged annual equity premium, the predicted values are 4.8%, 4.2%, and 1.0%, respectively; (2) for the Sharpe ratio, the values are 0.72, 0.66, and 0.15, respectively.en-USEconomicsAsset PricingEquity PremiumLong-Run RisksPower LawRare EventsRoot CancellationThesis or Dissertation2014-06-06