Browsing Dissertations & Theses by Issue Date
Now showing items 1-20 of 45
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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 ... -
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, ... -
Stock Options: To Expense Or Not To Expense. A Comparison Of Economic Determinants, Firm Payoffs, And Pay-performance Sensitivity Of Executive Stock Option Compensation
(Finance & Real Estate, 2007-08-23)Until June 2005, firms had a choice in accounting for stock option compensation. The majority of firms elected to disclose option compensation expense in the footnotes of their financial statements. However, after the ... -
Mortgage Lending In The Dallas Ft. Worth Metroplex: Screening For Racial Bias Using HMDA Data
(Finance & Real Estate, 2007-08-23)This study will look at loan data to screen for potential lending discrimination in the Dallas-Ft. Worth Metroplex. The data used for screening purposes is the 2003 Home Mortgage Disclosure Act (HMDA) Loan Application ... -
The Impact Of Property Flipping On Single Family Detached Home Prices
(Business Administration, 2007-08-23)In 2003 HUD ruled that flipped properties, which are defined as recently acquired properties that have been resold, often within days, and for a substantial profit, are ineligible for FHA insured mortgage financing. This ... -
The Change In Financial Analysts' Forecast Attributes For Value And Growth Stocks
(Finance & Real Estate, 2007-09-17)This research will concentrate on the changes in earnings forecasts, forecast accuracy and forecast dispersion for growth and value stocks after Reg FD. Each topic is presented in a separate essay. The first essay tests ... -
Diversification Benefits Of Real Estate Assets And Equity Assets In A Regional And Global Perspective
(Finance & Real Estate, 2007-09-19)The primary purpose of this dissertation is to utilize recently available and reliable high frequency transactions based data provided by FTSE EPRA/NAREIT and employ modern day time series techniques and recently developed ... -
Comparative Determinants Of International Equity Diversification
(Finance & Real Estate, 2008-08-08)This study provides a comprehensive, simultaneous comparison of the country and sector determinants of international diversification. Specifically, it bridges the theory between the cointegration methodology and diversification ... -
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 ... -
The Impact Of The Sarbanes-Oxley Act Of 2002 On The U.S. Financial Markets
(Finance & Real Estate, 2008-09-17)This dissertation examines the impact of the Sarbanes-Oxley Act (SOX) on the U. S. financial markets by investigating three topics: security analysts' performance, security analyst monitoring activity and firm value, and ... -
Price Discovery Of Credit Risk
(Finance & Real Estate, 2009-09-16)This study investigates financial markets' price discovery for credit risk across the stock, bond, and credit derivatives markets. This study also examined what factors affect financial market's price discovery for credit ... -
Going Green - Impact On Residential Property Values
(Finance & Real Estate, 2009-09-16)Hedonic pricing model is generally used to empirically understand the relationship between various housing characteristics and the housing values. In the past hedonic studies have looked at the relationship between the ... -
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 ... -
Essays On International Corporate Dividend Policy
(Finance & Real Estate, 2012-07-25)This dissertation is comprised of two essays on dividend policy. In the first part of the first essay, I ascertain whether the outcome, the substitution, or the predation model explains the relationship between dividend ... -
Comparing Market-based And Financial Statement-based Stock Valuation Models: Implications For Growth Expectations And Differences Across Time Periods
(Finance & Real Estate, 2012-07-25)Abstract: The value of a share of common stock in a publicly-listed company should be equal to the present value of the future cash flows the company is forecast to produce, andultimately pay out to its stockholders. ... -
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 ... -
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 ...