Kurzfassung:
In this dissertation I deal with three aspects of asset pricing. First, I analyze international bank stock returns and show the existence of a bank specific industry effect. Second, I explain parts of the size and the value factor of the Fama-French model by default and disaster risk. Third, I develop a new rational inattention based model for asset pricing and with the help of this model I challenge the notion of market efficiency by a concept of attention driven efficiency.