Now showing items 1-20 of 35

    • Applications of Robust Statistical Methods in Quantitative Finance 

      Green, Christopher George
      Financial asset returns and fundamental factor exposure data often contain outliers, observations that are inconsistent with the majority of the data. Both academic finance researchers and quantitative finance professionals ...
    • 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 ...
    • Currency Denomination Decision and the Cost of Capital: Evidence from Global Bonds 

      Han, Bo
      This paper studies the currency choice of government and public agency borrowers when they issue bonds in the international market. In particular, by constructing a comprehensive sample of global bonds issued by these ...
    • 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 Information Diffusion and Stock Markets 

      Burt, Aaron P.
      My dissertation is a compilation of three separate research studies that explore how information diffuses in financial markets. The first chapter examines how non-uniform information diffusion through distinct networks ...
    • Essays on Personal Bankruptcy Law and Small Business Financing 

      Hackney, John
      In the first chapter of my dissertation I ask whether and how debtor protection affects aggregate small business credit quantity. Using comprehensive data on the number and amount of small business loans granted by commercial ...
    • 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 ...
    • Essays on Similarities Between Executives and Investors 

      Cheong, Harvey
      The first chapter of my dissertation examines the effect of similarity in personal characteristics between start-up executives and investor principals on whether the start-up obtains funding from the investor, as well as ...
    • Essays on Stock Prices and Equity Premium 

      Lee, Seunghan
      This dissertation studies the role of cash flow in explaining stock price variations and the determination of equity premium after correcting for the measurement error of cash flow growth. In Chapter 1, we incorporate ...
    • 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 ...
    • Exploring Financial Inclusion for Smallholders: Promoting the Sustainable Development of Smallholder Aquaculture in Developing Countries 

      Dawson, Victoria Claire Winterton
      Aquaculture is the fastest growing food producing sector in the world. It currently supplies over half of all food fish consumed globally, and this number is expected to reach two thirds by 2030 in order to meet an ...
    • 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 ...
    • Geometry and Optimization of Relative Arbitrage 

      Wong, Ting Kam Leonard
      This thesis is devoted to the mathematics of volatility harvesting, the idea that extra portfolio growth may be created by systematic rebalancing. First developed by E. R. Fernholz in the late 90s and the early 2000s, ...
    • How do Small Players Deduce Beliefs about Uncertainty? A Look at Texas Shale Oil Investments 

      Fillebeen, Thomas
      Derivative markets enable firms to eliminate unwanted risk and, thereby, focus on their core competence. We ask whether small firms respond to changes in complex risk structures, using the emerging Texas shale oil industry. ...
    • 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 ...