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Now showing items 11-20 of 45
Threshold Effects In Volatility Spillovers: The Case Of Equity, Bond And Foreign Exchange Markets
(Finance & Real Estate, 2012-07-25)
Most research on volatility spillovers across countries and various asset class returns model volatility as conditional variance and assume a linear relationship in spillovers. The risk measured as conditional variance is ...
Default Prediction For Commercial Mortgage Backed Securities
(Finance & Real Estate, 2007-08-23)
Commercial mortgage default has become a topic of interest for a large number of parties due to the emergence and continued growth of the secondary mortgage market. With the multitude of parties holding a vested interest, ...
Executive Compensation And Idiosyncratic Risk
(Finance & Real Estate, 2014-09-17)
Executive compensation is a very heavily researched area in finance, accounting and management over the last three decades. However, there are several inconclusive issues. One of them is the relationship between idiosyncratic ...
In Times Of Financial Distress: Perspectives From Valuation, Information Asymmetry And Returns
The dissertation addresses unanswered questions in asset valuation through the lens of financial distress in three different asset markets namely equity market, residential property market and REITs market. The first two ...
Strategic Exercise Of Options On Non-traded Assets And Stochastic Volatility In An Incomplete Market: Indifference Pricing And Entropy Methods
(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 ...
Essays On Option Market Information Content, Market Segmentation And Fear
(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 ...
Penny Stocks, Market Microstructure, And Analyst Forecasts
(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 ...
Causality And Volatility Spillover Effects On Sub-sector Energy Portfolios
(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, ...
Essays On Asset Pricing And Growth Effect
(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 ...
Merger Means of Payment and Analyst Biases around Merger Announcement Date
(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. ...