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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 ...
The informational content of financial information on the Internet.
(2002)
In summary, my results indicate there appears to be little new informational value available in the on-line financial information investigated in the following essays. While the Internet has a real impact on market efficiency ...
Intra- and inter-commodity price relationships in electricity and natural gas spot and futures markets.
(2001)
Essay 2 examines why electricity futures contracts are failing despite apparent need for hedging instruments. Consistent with my hypothesis, empirical results find that the hedging protection provided by electricity futures ...