Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 121 for “"financial economics"”.
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Essays in Financial Economics
… on the understanding of investor behavior and financial markets. Chapter 1 (co-authored with Zhong Xu and Chuanwei Zou), “Trading Relationships in the Chinese Repo Market,” studies relationship formation in the Chinese repo market and its impact on the terms of trade. We find that relationships …
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Essays on Financial Economics
… but needed to be disclosed in a footnote to the financial statements. Consistent with the argument that this result is driven by investors’ cognitive limitations, I find that firms’ use of employee option grants –the form of compensation in question– and abnormal return performance are associated …
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Essays in Financial Economics
<p>The central puzzles in financial economics commonly include</p><p>violations of the expectations hypotheses, predictability of excess returns, and the levels and volatilities of nominal bond yields, in addition to well-known equity premium and the risk-free rate puzzles.</p><p>Equally surprising …
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Essays in Financial Economics
This dissertation consists of three essays in Financial Economics. The first essay concerns low-income Americans' usage of financial services. Approximately 20% of US households earning less than $30,000 a year do not have checking or savings accounts. Rather than operate within the financial …
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Essays in Financial Economics
… contains three essays in the subject of financial economics. This first essay studies the issue of loss-aversion and household portfolio choice. Calibrated models of household portfolio choice generate two counterfactual predictions: that all households will participate in equity markets, …
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Essays in Financial Economics
In the third paper, using a simple model of asset pricing under asymmetric information, we show that asymmetric patterns of lead-lag predictability cannot be solely explained by information asymmetry. Additional frictions, such as transaction costs, are necessary to produce asymmetry in the …
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Essays in financial economics
… consists of two essays that investigate dynamic financial phenomena using semi-parametric competing risks models. The first essay analyzes the determinants of corporate defaults and mergers. The second essay investigates how sell-side analysts make recommendation revisions facing various …
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Essays on financial economics
The first essay finds that the market betas of value and small stocks have decreased by about 75% in the second half of the twentieth century. The decline in beta can be related to a long-term improvement in economic conditions that made these companies less risky. The failure to account for …
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Essays in financial economics
… of 31 proposed measures for systemic risk in the financial system. In this paper we examine a subset of these measures to determine their time series properties before, during, and after the Financial Crisis of 2007-2009. By comparing their empirical properties over time, we hope to identify which …
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Essays in financial economics
… solve a large class of continuous-time models in economics and finance. Using modern tools from Machine Learning, I show that the problem of solving the corresponding nonlinear partial differential equations (PDEs) can be recast as a sequence of supervised learning problems. Furthermore, I propose …
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Essays in Financial Economics
In Chapter 1, I investigate abnormal behavior in individual stocks using two decades of high-frequency U.S. stock market data. I identify hundreds of thousands of short episodes where stocks exhibit ”explosive” behavior, deviating from the unit-root null hypothesis. These phenomena span multiple …
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Essays in financial economics
This thesis consists of three empirical essays in financial economics that explore the role financial regulation can play in firm, household, and investor decision making. In the first chapter for households with homes worth less than the mortgage I test the effect of "household debt overhang" on …
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Essays on financial economics
… thesis consists of three independent essays on Financial Economics. In chapter one I investigate the possible mispricing of European-style options in the Mexican Stock Exchange. The source of this problem is that when the Mexican Stock Exchange introduced options over its main index (the IPC) in …
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Essays in financial economics
Chapter 1 constructs a theoretical model of an ETF. Conventional wisdom warns that exchange-traded funds (ETFs) harm stock price discovery, either by ``stealing'' single-stock liquidity or forcing stock prices to co-move. Contra this belief, I develop a theoretical model that investors with …
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Essays in financial economics
… In each country, workers cannot participate in financial markets whereas investors trade domestic and foreign stocks, as well as an international bond. The investors' asset positions are subject to a borrowing constraint, along with a short-selling constraint on equity. Foreign and domestic …
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Essays in Financial Economics
Chapter 1 introduces novel preference formulations which capture aversion to ambiguity about unknown and potentially time-varying volatility. These preferences are compared with Gilboa and Schmeidler's maxmin expected utility as well as variational formulations of ambiguity aversion. The impact of …
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Essays in financial economics
This thesis consists of three empirical essays in financial economics, examining the consequences of imperfect financial markets for households, small business and house prices. In the first chapter (co-authored with Meta Brown and Brandi Coates) we explore the effect of personal bankruptcy laws on …
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Essays in Financial Economics
This dissertation studies various topics in international finance and macrofinance. In Chapter 1, I examine the costs associated with reversals in international capital flows. I exploit plausibly exogenous variation in firms' exposure to rollover risk to identify a causal liquidity channel at play …
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Essays in financial economics
In the first chapter, I examine how financial constraints affect asset allocation, and consequently productivity and asset values. Using a unique dataset of agricultural outcomes, I explore how farmers respond to exogenous cash inflows that are caused by an expansion of hydraulic fracturing …
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Essays in financial economics
… can be applied to various settings including financial regulation and analyst forecasting. In the second chapter, based on joint work with Tetsuya Kaji, we study how Value-at- Risk (VaR) constraint affects the amount of information that price conveys in an economy with asymmetric information. …
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