Now showing items 1-20 of 21

    • Board Dynamics: A Structural Investigation 

      Lee, Wei-Ming
      This paper studies how board structure changes with CEO characteristics. I estimate a structural model that endogenizes board structure, CEO firing, and firm performance to mitigate endogeneity concerns. Adopting such an ...
    • Competing Brownian Particles 

      Sarantsev, Andrey
      Consider a finite system of N Brownian particles on the real line. Rank them from bottom to top: the (currently) lowest particle has rank 1, the second lowest has rank 2, etc., up to the top particle, which has rank N. The ...
    • Essays in Financial Intermediation and Credit Risk 

      Pereira, Javier Marcelo
      This dissertation focuses on issues in financial intermediation and sovereign credit risk. With the enactment of the Gramm-Leach-Bliley Act (GLBA) in 1999, the long-standing barriers between commercial and investment banking ...
    • Essays on Applications of the Factor Model 

      Sun, Xiaolin (2014-02-24)
      Estimating the volatilities and correlations of asset returns plays an important role in portfolio and risk management. As of late, interest in the estimation of the covariance matrix of large dimensional portfolios has ...
    • Essays on Corporate Governance and Asset Pricing 

      Kalodimos, Jonathan Anthony
      The first chapter of my thesis examines the effect of corporate governance on performance using nonprofit hospitals as an economic environment with muted external governance mechanisms and patient survival of a heart attack ...
    • Essays on Financial Econometrics 

      Lee, Jee Young (2012-09-13)
      This dissertation studies the U.S. stock market. The first chapter explores a four-moment CAPM under regime switching which incorporates the risk premia for skewness and kurtosis. As expected, estimates of risk premia for ...
    • Essays on Price Discovery Measure, Exchange-Traded Funds and Liquidity 

      Sultan, Syed Galib
      Price Discovery is the process by which new information is impounded into asset prices through trading activity. A market is considered to contribute more to price discovery if it is the first to capture new information ...
    • ETG-ETL Portfolio Optimization 

      Zhang, Yun (2013-02-25)
      Modern Portfolio Theory dates back to 1950s, when Markowitz proposed mean-variance portfolio optimization to construct portfolios. It provided a systematic approach to determine portfolio allocation when one is facing ...
    • Feedback and Firm Value 

      Thavasi, Nigel (2012-09-13)
      This essay analyzes the potential real economic effects of a feedback mechanism on firms' real investment and financing policies. Using a matched sample method with option-listed firms between 1973 and 2009, I document ...
    • Foreign Exchange Options and the Economics of Exchange Rates 

      Gwati, Ranganai
      Chapter 1: Historically, the currency derivative pricing literature and the macroeconomics literature on FX determination have progressed separately. In this Chapter I argue the joint study of these two strands of literature ...
    • Institutional Investors: Arbitrageurs or Rational Trend Chasers 

      Zeng, Yeqin (2013-11-14)
      This paper studies the relationship between institutional investor holdings and misvalued stocks over the last three decades in the U.S. equity market. Using multiple proxies of stock mispricings, I find that institutional ...
    • An Investment-based Explanation for the Post-merger Underperformance Puzzle 

      CHANG, CHING-CHIEH (2012-09-13)
      Extant evidence of acquirers' post-merger underperformance is often viewed as support for the behavioral theory of mergers that investors overvalue acquirers during the pre-acquisition period. Motivated by recent developments ...
    • Jump Variation in High-Frequency Asset Returns: New Estimation Methods 

      Donhauser, Brian James (2013-02-25)
      A large literature has emerged in the last 10 years using high-frequency (intraday) asset returns to estimate lower-frequency phenomena, several of which being conditional daily return variance and its components jump ...
    • Monetary Policy Surprises, Investment Opportunities, and Asset Prices 

      Detzel, Andrew
      I use changes in Federal funds futures rates on days of FOMC announcements to isolate monetary policy shocks. Recent evidence suggests that contractionary (positive) monetary policy shocks increase expected excess market ...
    • Monitoring, Contractual Incentive Pay, and the Structure of CEO Equity-Based Compensation 

      Yu, Fan (2013-07-25)
      I find that a CEO who is better monitored tends to have smaller total contractual incentive pay, measured by the delta of the CEO's total portfolio. The realized wealth-to-performance sensitivity (WPS) of such a CEO, ...
    • New Approaches to Institutional Portfolio Performance Attribution and Private Equity Risk 

      Saenz, Joseph Floyd
      This work is comprised of three separate works which are summarized as follows: 1.) We develop a new method to estimate private equity funds' market beta from cash flows. Our methodology extends the widely known public ...
    • Ownership Structure and Firm Value: Evidence from Mergers of Institutional Investors and Genetics, Homeownership and Home Location Choice 

      Muenkel, Florian
      In the first chapter I investigate the effect of the dispersion of institutional shareholders on firm value. By using mergers of institutional investors as exogenous changes to the ownership structure of firms in their ...
    • Three Essays on Corporate Finance and Firm Dynamics 

      Izumi, Atsuko
      “Change in corporate performance after firing CEO: A comparison between US and Japan” The relation between board independence and management monitoring intensity is a long-standing question in the literature. Employing ...
    • Three Essays on Finanical Economics 

      Chen, Yi-An
      This thesis discusses network risk and its implications for financial economics. A stock’s tendency to co-move with its related stocks is defined as network risk. In the first chapter, I propose a new econometric procedure ...
    • Two Essays on Corporate Finance: Financing Frictions and Corporate Decisions 

      Kim, Joon Ho (2013-07-25)
      My dissertation focuses on the effect of financial market frictions on firm value in the context of corporate mergers, capital structure and growth. The first chapter explores how financing frictions faced by potential ...