Vedolin, AndreaWei, Fanwei2024-12-202024-12-202025https://hdl.handle.net/2144/495702025This dissertation consists of two papers on asset pricing. The first paper constructs a new framework based on recombinant tree structure to recover asset price distributions and associated discount factors from state price information. The recoveryframework is compatible with common price process and utility assumptions. The recovered results are closely aligned with data observed from market. The second paper uses Gibbs sampler to estimate the transaction costs from price impact in addition to bid-ask spread, and re-examines anomaly profitability after newly estimated TC. Cost mitigation methods and maximum market capacity with mitigation techniques are also studied for each anomaly. TC from both spread and price impact rules out most acclaimed anomalies. However, proper cost mitigation methods can restore their profitability.en-USFinanceThesis/Dissertation2024-12-190009-0005-0991-0902