Now showing items 1-18 of 18

    • Essays in Asset Pricing: Extensions and Applications of the Recovery Theorem 

      Sanford, Anthony
      This thesis has three separate goals: to provide a methodological framework for extracting risk-neutral densities from options prices, to extend the Recovery Theorem (RT) theoretically, and to apply the RT to firm decision ...
    • Essays in Corporate Finances and Firm Dynamics 

      Fan, Yang
      This dissertation examines how the changes in the structure of corporate boards of publicly traded firms can have an impact on both the corporate finance decisions of the firm as well as have broader market-wide implications ...
    • 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 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 Financial Economics 

      Sonn, Hyo Jin
      The thesis studies the topics of financial stability and their implication for financial economics. An exogenous shock to the financial system is critical because it can further result in an economic downturn. One of the ...
    • Essays on Financial Forecasting 

      Ng, Kara
      This dissertation investigates forecasting monetary policy, currency strategies, and equity returns. The three chapters are summarized below: 1.) From December 2008 to November 2015, the Federal Reserve’s fed funds target ...
    • Essays on Firm-level and Aggregate Productivity and Risk 

      Mullen, Rory
      In chapter one I study pairwise covariances of firm-level productivity, sales, and profit growth rates for public firms in the United States. The data suggest that pairwise covariances of firm growth rates drive the variance ...
    • Essays on fitting factor models for asset returns 

      Srinivasan, Sangeetha
      Factor models are used to describe the fundamental drivers of financial asset returns. There are 3 types: time-series factor, statistical factor and fundamental factor models. While factor models have existed for almost ...
    • 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 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 ...
    • 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 ...
    • 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. ...
    • 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 ...
    • 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 ...
    • 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 ...
    • Three Essays on Household Asset Allocation 

      Su, Yang
      With high-quality household level asset holding data becoming available as well as the exponential increase in computing power, there is a growing literature that studies how households make investment decisions facing ...