Browsing Department of Finance and Real Estate by Author "Diltz, John David"
Now showing items 1-9 of 9
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Causality And Volatility Spillover Effects On Sub-sector Energy Portfolios
Gormus, N. Alper (Finance & Real Estate, 2013-03-20)During a time of extensive crises related to energy sources, in particular fossil fuels, IPOs for alternative energy-related companies are a common occurrence. As new industries are created or old ones are revised, ... -
Cointegration, Causality And Price Discovery In The NAFTA Markets: A Study Of Sector Indices And Trade Flow Data From The Perspective Of US Markets
Khan, Aamir (Finance & Real Estate, 2014-09-17)This dissertation examines the long-run linkage among the equity markets and sectors of the NAFTA economies by employing Cointegration and Vector Error Correction Model (VECM) framework. In addition, I also seek to identify ... -
Essays On Asset Pricing And Growth Effect
Prombutr, Wikrom (Finance & Real Estate, 2008-08-08)This dissertation comprises two essays on growth effects and opportunities experienced by companies and their implications for asset pricing models. In the first essay, I develop and test a model to explain the empirically ... -
Essays On Option Market Information Content, Market Segmentation And Fear
Chowdhury, Mishuk Anwar (Finance & Real Estate, 2012-07-25)This dissertation consists of three essays. The first essay tests whether stock returns can be predicted using divergence from put-call parity. Using a robust methodology that controls for the early exercise premium of ... -
Measurement Issues In The Capital Asset Pricing Model & Size Effect And Duration
Seo, Yongho (Finance & Real Estate, 2013-03-20)It has been observed that the value of an asset's beta varies with the frequency of the data used to generate the value, a phenomenon hereafter referred to as "time scale", or simply "scale". If the scale effect is strong ... -
Merger Means of Payment and Analyst Biases around Merger Announcement Date
Zhang, Yiling; 0000-0001-9671-2237 (2016-04-18)I find strong evidence that analysts report downward-biased earnings estimates on acquiring firms when the earnings announcement date is within a 60-day window prior to the merger and acquisition (M&A) announcement date. ... -
Penny Stocks, Market Microstructure, And Analyst Forecasts
Rivas-Aguilar, Julio Andrés (Finance & Real Estate, 2013-03-20)The first essay of this dissertation deals with the relationship between previous earnings, earnings forecasts, and future returns. I found that stocks with the worst previous earnings and the worst earnings forecasts ... -
Reassessing Anomalies And Puzzles
Li, Keming (Finance & Real Estate, 2014-07-14)While standard asset pricing models assume a frictionless environment and investors are risk-averse individuals who maximize their utility based on all the available information in real time. The asset pricing literature ... -
Strategic Exercise Of Options On Non-traded Assets And Stochastic Volatility In An Incomplete Market: Indifference Pricing And Entropy Methods
Hoe, Singru (Finance & Real Estate, 2007-08-23)The first study explores optimal investment policies for strategic option exercise when the underlying project is not traded. A duopoly model captures strategic interactions, while a partial spanning asset models market ...