Now showing items 21-30 of 43
The Return of the Monday Effect in European Currency Markets: An Empirical Analysis of the Impact of the Economic Crisis on Market Efficiency
(Wiley Periodicals, Inc., 2016-07)
This paper examines the relationship of multiple currencies, coupled with the Euro, to examine if there is evidence of the return of the Monday effect as a result of the recent global economic crisis. Each currency pair, ...
Voluntary Involuntary Disclosure.
(2015)
Prior examination of financial disclosures associates increasing linguistic complexity with poor firm performance, but cannot differentiate between competing signaling and managerial obfuscation hypotheses. In order to ...
Optimal Investment For All Time Horizons And Martin Boundary Of Space‐Time Diffusions
(Wiley Periodicals, Inc.The Open Court Publishing Company, 2017-04)
A Dynamic Model of the Firm: Structural Explanations of Key Empirical Findings
(Pearson Addison WesleyWiley Periodicals, Inc., 2015-08)
We derive a dynamic model of the firm in the spirit of the trade‐off theory of capital structure that explains firm behavior in terms of firm characteristics. We show our model is consistent with many important findings ...
High‐Frequency Trading and the New Stock Market: Sense And Nonsense
(Wiley Periodicals, Inc., 2017-12)
Liquidity effects of trading frequency
(Wiley Periodicals, Inc.Springer‐Verlag, 2018-07)
In this paper, we present a discrete‐time modeling framework, in which the shape and dynamics of a Limit Order Book (LOB) arise endogenously from an equilibrium between multiple market participants (agents). We use the ...
Strict local martingales and optimal investment in a Black–Scholes model with a bubble
(BirkhäuserWiley Periodicals, Inc., 2019-01)
There are two major streams of literature on the modeling of financial bubbles: the strict local martingale framework and the Johansen–Ledoit–Sornette (JLS) financial bubble model. Based on a class of models that embeds ...
Essays in Banking and Corporate Finance.
(2014)
This dissertation consists of three essays in banking and corporate finance. The first essay examines how changes in the composition of the human capital of the workforce impact the CEO. Over the last fifty years, ...
Asset Pricing with Revealed Utility.
(2016)
This dissertation consists of two essays that interpret crime as revealed marginal utility of heterogeneous consumers, and investigates its implications for asset pricing.
The first chapter proposes crime as a revealed ...
Essays on Financial Crisis.
(2014)
My dissertation examines the effects of economic shocks on acquisition outcomes and the sources of housing market bubble. The first essay investigates how the combined effects of target firm- and industry-level distress ...