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Immunization, stochastic process risk, and optimal objective functions: Reexamination of the duration vector model with Monte Carlo sampling.
(1998)
In Part One of this dissertation, the Chambers, Carleton, and McEnally (CCM) model is reexamined by two separate empirical designs. In the first, the CCM quarterly data test is replicated with a larger sample and with the ...
Essays in Corporate Governance and Executive Compensation
(2015-05)
This dissertation is a collection of three essays that investigate the issues related to corporate governance and executive compensation. In Chapter 1 I employ a sample of U.S. public firms to investigate the effect of ...
Measurement alternatives for earnings, total assets, and total liabilities: The value-relevance of adjusting financial statement summary measures by a comprehensive financial reporting analysis.
(1997)
A secondary research question of interest to this thesis is that of differential valuation by investors between recognized versus alternatively disclosed financial data. These results offer inconsistent evidence on this ...
An empirical examination of NYSE liquidity commonality, decimalization, and market microstructure effects within a conditional price duration framework.
(2004)
This study utilizes TAQ data for 40 NYSE stocks to apply a transaction signing, filtering, and aggregation algorithm in order to isolate price durations, defined as the length of time necessary for prices to move in either ...
Multifactor valuation models of energy futures and options on futures.
(2003)
The intent of this dissertation is to investigate continuous time pricing models for commodity derivative contracts that consider mean reversion. The motivation for pricing commodity futures and option on futures contracts ...
An examination of new ventures going through the initial public offering: The impact of firm capabilities and characteristics on performance.
(2004)
Entrepreneurship as a field of study generally focuses on the pursuit of new opportunities and the activities of firms engaged in bringing new ideas to financial fruition. Due to their liability of newness, growth and ...
State ownership and investor protection: Dynamic model of the cost of capital; empirical investigation of a worldwide panel of firms.
(2003)
The empirical part of this work uses a worldwide panel dataset to document the effect of state and insider ownership on the firm's cost of capital. Using panel data allows me to resolve some of the econometric problems ...
An analysis of trading in options on Eurodollar futures: Trade types, risks, and profits.
(1999)
Turning to profit distributions, I find most are not normal. Specifically, puts and calls are leptokurtotic, while straddle distributions are mesokurtotic. I find bullish trades have significantly positive profits and ...