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Three essays in financial economics

Jose Vicente Martinez, 2006
Faculty Advisor: Wei Jiang


In Chapter 1 I show that analysts whose forecast revisions were more exaggerated (than granted) in the past make recommendation changes that lead to lower abnormal returns than their peers; consistent with the idea that their recommendation revisions are also more exaggerated. Interestingly analysts' characteristics derived from past earnings forecasts remain informative about future returns to recommendation revisions even after controlling for information obtained from past recommendations, which suggests that in finite samples past forecasts can provide valuable information about same-analysts' recommendations.

In Chapter 2 I study the performance of an unsophisticated individual employing the so called '1/n strategy' in a sample of DC pension plans, finding that for typical investors, the 'out of sample' impact of following this heuristic is insignificantly small. This stands in contrast to estimates based on calibrated models or obtained assuming that the data generating process is known with certainty. Using this simple heuristic does not seem necessarily irrational then, especially in consideration of the time and effort usually required to make 'optimal' investment decisions.

In Chapter 3 I use a gravity model framework to evaluate the extent to which trade declines following sovereign defaults are the result of sanctions imposed by creditor countries. I find that, in the aftermath of defaults, there seems to be no evidence of a larger decline in bilateral trade with creditor countries affected by the default. This would imply that the declines are not due to punishments imposed by these creditor countries. The analysis does not yield evidence of broader punishment strategies including a league of major creditors (not just those affected by the default) either. These results would contradict the predictions of the trade sanctions theory of sovereign borrowing.

Doctoral Program News

Honigsberg featured in Ideas at Work

The August issue of Ideas at Work features research that doctoral candidate Colleen Honigsberg led in conjunction with Sharon Katz.

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Wazlawek featured in Ideas at Work

Abbie Wazlawek's joint research with Professor Daniel Ames is featured in the June 24th, 2014 edition of Ideas at Work

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Ethan Rouen featured in Ideas at Work

Ethan Rouen's joint research with Professor Dan Amiram is featured in the May 15th, 2014 edition of Ideas at Work

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Rivas Wins Fellowship

The PhD program is proud to congratulate Miguel Duro Rivas, who was awarded the Nasdaq Educational Foundation Doctoral Dissertation Fellowship.

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Wong wins Deloitte Fellowship

We are proud to announce that Yu Ting (Forester) Wong is one of the recipients of the 2014 Deloitte Foundation Doctoral Fellowship in Accounting.

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The PhD Program Congratulates John Yao

PhD student John Yao was a finalist in the 2013 M&SOM (Manufacturing & Service Operations Management) student paper competition.

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Honigsberg Named Postdoctoral Fellow

The PhD program is proud to congratulate Colleen Honigsberg, who was named the Postdoctoral Fellow in Corporate Governance at the Millstein Center at Columbia Law School in October 2013

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