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- Description:
- 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...
- Keyword:
- Commodity prices, Storage, Disclosure, Convenience yield, Investment, and Irreversibility
- Subject:
- Finance
- Creator:
- Caroline-Anne Sasseville
- Owner:
- Scholarly Digital Publishing
- Date Uploaded:
- 08/14/2018
- Date Modified:
- 08/14/2018
- Date Created:
- 2007-07-09
- Resource Type:
- Dissertation
-
- Description:
- 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...
- Keyword:
- dispersion trading, pairs trading, correlation trading, equity options, variance swaps, and volatility forecasting
- Subject:
- Finance
- Creator:
- Vadim di Pietro
- Owner:
- Scholarly Digital Publishing
- Date Uploaded:
- 08/16/2018
- Date Modified:
- 08/16/2018
- Date Created:
- 2007-06-22
- Resource Type:
- Dissertation
-
- Description:
- 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...
- Keyword:
- Economics and Finance
- Subject:
- Finance
- Creator:
- Zhiguo He
- Owner:
- Scholarly Digital Publishing
- Date Uploaded:
- 08/31/2018
- Date Modified:
- 08/31/2018
- Date Created:
- 2008-04-23
- Resource Type:
- Dissertation
-
- Description:
- 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...
- Keyword:
- Finance
- Subject:
- Finance
- Creator:
- Yizhaq Kleshchelski
- Owner:
- Scholarly Digital Publishing
- Date Uploaded:
- 09/07/2018
- Date Modified:
- 09/07/2018
- Date Created:
- 2008-05-08
- Resource Type:
- Dissertation
-
- Description:
- 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...
- Keyword:
- Prime Brokers, Credit Default Swap, Hedge Fund, Creditor Board, Voting, and Capital Structure Strategy
- Subject:
- Finance
- Creator:
- Ioan Florian I. Olaru
- Owner:
- Scholarly Digital Publishing
- Date Uploaded:
- 09/10/2018
- Date Modified:
- 09/10/2018
- Date Created:
- 2008-05-09
- Resource Type:
- Dissertation
-
- Description:
- 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...
- Keyword:
- Economics and Finance
- Subject:
- Finance
- Creator:
- Qi Lu
- Owner:
- Scholarly Digital Publishing
- Date Uploaded:
- 09/17/2018
- Date Modified:
- 09/17/2018
- Date Created:
- 2008-10-02
- Resource Type:
- Dissertation
-
- Description:
- 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...
- Keyword:
- Informed Principal, Product Markets, Negotiations, Mergers and Acquisitions, Contracts, and Auctions
- Subject:
- Finance
- Creator:
- Rajkamal Vasu
- Owner:
- Scholarly Digital Publishing
- Date Uploaded:
- 04/22/2019
- Date Modified:
- 04/22/2019
- Date Created:
- 2018-01-01
- Resource Type:
- Dissertation
-
- Description:
- 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...
- Keyword:
- Finance
- Subject:
- Finance
- Creator:
- Grant Thomas Clayton
- Owner:
- Scholarly Digital Publishing
- Date Uploaded:
- 09/30/2019
- Date Modified:
- 09/30/2019
- Date Created:
- 1/1/2018
- Resource Type:
- Dissertation
-
- Description:
- 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...
- Keyword:
- Counterparty Risk, Bubble, Asynchronized Trading, Central Clearing, Derivatives, and Heterogeneous Beliefs
- Subject:
- Finance
- Creator:
- Hao Sun
- Owner:
- Scholarly Digital Publishing
- Date Uploaded:
- 10/14/2019
- Date Modified:
- 10/14/2019
- Resource Type:
- Dissertation
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