Now showing items 11-20 of 59
Uncertainty, Investor Learning, and Positive Post-Announcement Returns.
(2016)
I examine how uncertainty about the interpretation of earnings drives investor information gathering and how this activity is associated with stock return patterns around earnings announcements. Investors gather more ...
A Unified Framework For Pricing Credit And Equity Derivatives
(Blackwell Publishing IncWiley Periodicals, Inc., 2011-07)
Asymmetric Price Movements and Borrowing Constraints: A Rational Expectations Equilibrium Model of Crises, Contagion, and Confusion
(Wiley Periodicals, Inc.Blackwell Publishing, Inc., 2005-02)
This study proposes a rational expectations equilibrium model of crises and contagion in an economy with information asymmetry and borrowing constraints. Consistent with empirical observations, the model finds: (1) Crises ...
Analyst Optimism and Incentives under Market Uncertainty
(Wiley Periodicals, Inc., 2017-08)
We examine how analysts’ changing incentives driven by changes in market uncertainty affect their forecast optimism. Analysts issue more optimistically biased earnings forecasts and buy recommendations under high market ...
Mcmc Estimation Of Lévy Jump Models Using Stock And Option Prices
(Blackwell Publishing IncWiley Periodicals, Inc., 2011-07)
Do Corporate Managers Know When Their Shares Are Undervalued? New Evidence Based on Actual (and Not Just Announced) Stock Buybacks
(Elsevier/North‐HollandWiley Periodicals, Inc., 2016-12)
Computational Models of Algorithmic Trading in Financial Markets.
(2016)
Today's trading landscape is a fragmented and complex system of interconnected electronic markets in which algorithmic traders are responsible for the majority of trading activity. Questions about the effects of algorithmic ...
Three Essays on Financial Decision-Making of Older Households
(2016)
With the shift from defined-benefit to defined-contribution pension plans, good portfolio management becomes crucial for sustaining financial well-being in retirement. Using the Vanguard Research Initiative (VRI), a novel ...
Essays in Financial Intermediation.
(2015)
This dissertation includes three essays about different aspects of financial intermediation. The first two essays look into bank risk-taking and risk reporting. The third essay studies the merits of market making contracts.
The ...
Local Variance Gamma And Explicit Calibration To Option Prices
(Wiley Periodicals, Inc.Cambridge University Press, 2017-01)