Campbell, John YSigalov, Roman2023-06-0220232023-05-102023-05Sigalov, Roman. 2023. Essays in Financial Economics. Doctoral dissertation, Harvard University Graduate School of Arts and Sciences.30491269https://nrs.harvard.edu/URN-3:HUL.INSTREPOS:37375707This dissertation contains three essays in financial economics. The first chapter builds a bridge between the real decisions of firms and the distribution of their returns and option prices. As a result, it connects two strands of literature, financial engineering, and cross-sectional asset pricing, that have been historically disconnected. The second chapter shows how a sustainable spending constraint introduced in an otherwise standard portfolio choice model of an investor with power utility leads to reaching for yield. The last chapter studies the variation in the factor structure for significant market events such as macroeconomic announcements and periods of unusual market dynamics. During these events, both the distribution of latent factors extracted with statistical techniques and the role of firm characteristics in explaining returns change. We propose two methodologies, Treatment and Boosted IPCA, to capture the differences in factor structure.application/pdfenFactor analysisPCAPortfolio choiceProduction based modelsReal optionsFinanceThesis or Dissertation2023-06-020009-0001-1361-5608