The thesis studies index and equity option returns in perfect and imperfect markets to explain parts of the option mispricing puzzle. Perfect markets exist under informational efficiency, market completeness and frictionless trading. The thesis shows that an option-implied risk-adjusted approach...

This dissertation consists of three independent research papers and contributes to the empirical analysis of the interaction between business and financial cycles from different perspectives. The first paper uses a non-linear multilevel dynamic factor model to better understand the changing...