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The 2008 Short Sale Ban: Did We Sell Price Discovery Short
(Finance & Real Estate, 2010-07-19)
This dissertation investigates the impact of a short sale ban on the stock market and the options market and the interrelation between the two markets during the US financial crisis of 2008. The first essay focuses on the ...
Three Essays On Real Estate Equities And Real Estate Investment Trusts
(Finance & Real Estate, 2010-11-01)
This dissertation consists of three distinct essays. The first essay provides initial empirical evidence on the usefulness of consumer confidence index and investor optimism index in predicting REIT price movements. I find ...
Determinants Of Implied Volatility Movements In Individual Equity Options
(Finance & Real Estate, 2010-11-01)
In this study, I introduce a parsimonious model that explains implied volatility time series for individual stock options. The current state of risk management for individual equity options still seems to lack the presence ...