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On institutions, financial markets and asset returns

Francesco Mainolfi, 1999

Faculty Advisor: Silverio Foresi

This thesis examines the impact the behavior and interactions of institutional investors in financial markets have on the distribution of asset returns. The thesis is comprised of two distinct essays concerning issues of empirical asset pricing that are linked by this general theme. The first paper examines market timing strategies employed by mutual and other investment funds. This essay develops an innovative way to value the performance of such funds along this dimension by first considering the strategic asset allocation problem

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Staggered ordering policies for two-echelon production/distribution systems

Rungson Samroengraja, 1999

Faculty Advisor: Fangruo Chen

We consider a class of ordering policies for a two-echelon production/distribution system. We envision N identical retailers being served by a central warehouse or factory. The key feature of the ordering policies is that the retailers' order occasions are staggered. The retailers are divided into equal sized groups. Only one group may order from the upper echelon at a time, the time between successive orders by the same group is identical for all groups and the time between any two successive orders received

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Polyhedral approaches to survivable network design

Gabriella Muratore, 1999

Faculty Advisor: Daniel Bienstock

In this thesis we study the problem of designing a cost-efficient multicommodity flow network with survivability features. We study the geometrical structure of several polyhedra arising in this context. For some of these polyhedra we are able to give a complete description by extreme points and by facets, while for others we are able to give a complete description by extreme points and we present several classes of facet-defining inequalities. Initial testing with real data using a cutting-plane algorithm has shown that these inequalities are extremely

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Essays on bounded rationality, complexity, and strategic interactions

Agostino Manduchi, 1999

Faculty Advisor: Duncan Foley

The present dissertation consists of three essays. The essays analyze situations in which the economic agents face plausible limitations and costs of decision-making and communication. Such limitations and costs play a substantial role in determining the results of the analysis developed in each essay.

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Post-earnings-announcement drift and analyst forecasts

Jing Liu, 1999

Faculty Advisor: Jacob Thomas

This dissertation examines whether the well-known under-reaction to quarterly earnings observed in stock prices (post-earnings-announcement drift) can be explained by analyst under-reaction. A value measure (P) is constructed based on long-term earnings forecasts from <math> <f> I/B/E/S</f> </math>. Returns are computed based on market prices and on P over a window starting from one quarter before the earnings announcement to four quarters after. The two return measures are compared at the portfolio level and at the level of

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Essays in investment strategies

Jimmy Kyung-Soo Liew, 1999

Faculty Advisor: Franklin R. Edwards

This thesis consists of two studies in investment strategies. The first study examines the performance of hedge funds and managed futures as alternative asset classes. Hedge fund and managed futures investments are attractive both as stand-alone investments and performance-enhancing portfolio assets. We find that including these investments in diversified portfolio of stocks and bonds typically increases the Sharpe ratios of the original portfolio between 22.7 and 45.4 percent. Moreover, we find that hedge funds and managed futures

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Three essays in computational finance

Harish P Kumar, 1999

Faculty Advisor: Paul Glasserman

This thesis consists of three essays. The first essay experimentally investigates the optimal use of Richardson extrapolation in order to compute option prices, balancing computational requirements and precision. We specifically investigate the number of points to use in Richardson extrapolation and the combination of points to be used for obtaining the best results. We consider the cases of the American, Barrier and options on 2 underlying assets. We develop models to explain the behavior of the option prices as a function of the step

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Evidence of acquiror learning in mergers and acquisitions, 1985-1995

Mathew Lisle Alister Hayward, 1999

Faculty Advisor: Donald C. Hambrick

This dissertation uses organizational learning theory to explain and predict whether and when acquirors learn from direct and vicarious acquisition experience. Direct experience is conceived as the amount, nature, timing, performance and management of a focal firm's own acquisition experience. Vicarious experience is conceived as the learning derived from the focal acquiror's industry competitors and professional advisors. Firms learn when they have direct and vicarious experiences which can increase their acquisition performance.

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The effects of increased managerial discretion on top executive team composition, compensation and attention: The implications for strategic change and performance

Seung Ah Theresa Cho, 1999

Faculty Advisor: Donald C. Hambrick

The role of the top executives in organizational adaptation is crucial. At the boundary between an organization and its environment, the executives mediate the environmental demands and the internal organization through substantive and symbolic action and strategic decision making. When environments shift, existing competencies and decision making processes no longer match environmental conditions, necessitating a prompt and appropriate response on the part of the executives. They are now required to move from routinized problem-solving to more vigilant environmental scanning and problem

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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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Master of Science in Marketing >

For Fall 2015 Entry:
Deadline: December 15th, 2014

 

Master of Science in Financial Economics

For Fall 2015 Entry:
Deadline: December 15th, 2014

 

Master of Science in Management Science and Engineering

For Fall 2014 Entry:
Early Decision: Jan 6, 2014
Regular Decision: Feb 15, 2014

 

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