The present dissertation includes my research on modeling financial market returns and volatility on high frequency data. It consists of three chapters.
The first chapter introduces a novel high-frequency volatility estimator based on large price moves, which constitutes a generalization of the standard range. An asymptotic theory is developed in...
This dissertation studies two long-standing asset pricing anomalies: "Value and Growth Effects" and "Momentum Effects" via the channel of market imperfections. These market imperfections stem from basic information asymmetry problem, and take forms of contracting problems and less than perfectly competitive information intermediaries.
The first essay (joint with Zhi Da)...
This dissertation is a comprehensive study on mutual fund flows and the portfolio liquidity of mutual funds. The dissertation is organized into three chapters. In the first chapter, I consider the problem of aligning the incentives between the mutual fund investor and the mutual fund manager. I show that the...
In chapter 1, we study the investment behavior of firms faced with uncertainty, irreversibility and non-convex adjustment costs when output can be stored. A discrete-time dynamic optimization problem is solved numerically using neural networks to study the investment problem. Our numerical results suggest that whether or not firms can store...
The first chapter of this dissertation investigates the pricing of systematic variance risk in the equity options market. Cross sectional tests on synthetic variance swap returns reveal no evidence of a negative market variance risk premium. Furthermore, we show that a class of linear factor models cannot simultaneously explain index...
The first chapter of this dissertation studies a continuous-time agency model where the agent controls the drift of the geometric Brownian motion firm size. The changing firm size generates partial incentives, analogous to awarding the agent equity shares according to her continuation payoff. When the agent is as patient as...
In this dissertation we analyze the decision process of firms and individuals along two dimensions which are central to the field of asset pricing and macroeconomics. In the first chapter, we study the pricing decision of the firm in a framework where customer base matters. Surveys of managers show that...
Hedge funds' existence and activity have a dramatic impact on both financial markets and the real economy. The first chapter of this thesis analyzes the tradeoff between access to financing and disclosure of valuable trading information hedge funds are facing when interacting with their brokers. The next two chapters model...
This dissertation studies whether stock mergers creates value for acquirers. The first chapter of this dissertation conducts a comprehensive review of the existing merger literature relevant to this topic. It includes existing merger theories, empirical studies on whether mergers are value destroying or value creating, and methodological issues on empirical...
Chapter 1 examines the question of how to sell a firm when potential buyers do not know how many other potential buyers there are. The seller can choose to sell the firm either through bilateral negotiations or through an auction. In equilibrium, if the seller observes the number of buyers...
Chapter 1: Product Market Strategy and Capital Structure: Evidence from Resale Price Maintenance', "This paper studies how a firm's pricing strategy affects its financial leverage. Retailers vary in pricing strategy, ranging from low markup (i.e., ``discount''), no frills retailers to high markup retailers that offer extensive service. The choice of...
In this thesis, I investigate how the disagreements among market participants can affect markets in various settings. In the first chapter, I study how market participants with heterogeneous beliefs and non-commitment can create and manage counterparty risk in a sequentially and bilaterally traded market. I find that the equilibrium price...
This dissertation is a broad study on individual and firm-level financial conditions and their effects on politics. In the first chapter, I study the effect of economic conditions on political polarization using micro-data on house prices, mortgages, and individual political contributions. I argue that shocks to housing wealth --- the...
Mortgage brokers originate a large share of residential real estate lending. Exploiting state-level regulatory changes to local entry costs I am able to study the effect on credit quality and access. Using data from a major mortgage lender in the run up to the financial crisis I study how the...
In this dissertation I study the effects of mortgage leverage policies. These policies have become widely used in recent years, both as a macroprudential tool and to protect consumers, yet their effects are still not well understood. In Chapter 1, I show that mortgage leverage rules implemented under the Dodd-Frank...
This dissertation explores two factors that affect innovation. The first factor studied is extrinsic, namely, the legal environment. The second factor is a factor of input into innovation - culture of the inventors. The first chapter studies the impact of a weakened patent environment on research investments. Departing from the...
This dissertation is a wide-ranging study on real estate and the effect of financial constraints on economic activity. In the first chapter, I use granular data on home builder housing developments to provide new evidence that firms spread negative revenue shocks across projects via their internal capital markets. I analyze...
This dissertation examines three distinct empirical questions in macroeconomics and finance. Chapter 1 studies the reasons why households file for bankruptcy. The debt relief households obtain in bankruptcy provides insurance against wealth losses, but also distorts borrower incentives to repay debt, discouraging lending. Understanding how bankruptcy filings respond to changes...
This dissertation explores our understanding of corporate credit ratings. In the first chapter I examine the issue of split ratings. S&P and Moody’s often differ in their initial ratings at bond issuance, producing what is referred to as a split rating. The consensus view in the literature and in practice...
Foreign currency debt has led to many crises in emerging markets. In the past decade, firms in emerging economies have drastically increased their foreign currency borrowing, making them significantly exposed to depreciation shocks. To reduce their exposure to external shocks, central banks have increased their use of regulation, such as...