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How rational is the stock market towards properties of analyst consensus forecasts?

Huai Zhang, 2000

Faculty Advisor: Jacob Thomas

This thesis investigates the extent to which investors are rational with respect to two well-known empirical properties of analyst consensus forecasts: optimism and auto-correlated revisions.

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Asymmetric information and business cycle

Seang-Yub Lee, 2000

Faculty Advisor: John B. Donaldson

A simple real business cycle style model where firms and financial intermediaries share an information asymmetry is explored. The existence of equilibrium policy rules is proved and the dynamic equilibrium time path constructed and studied using numerical techniques. Some empirical support for the model is presented.

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Discontinuities and the American option

Chandrasekhar Reddy Gukhal, 2000

Faculty Advisor: John B. Donaldson

This thesis studies the valuation of American options when either prices or dividends or both are discontinuous. Analytical valuation formulas are derived for (1) American call options on stocks with discrete dividends, (2) American options on assets with discontinuous prices, and (3) American put options on stocks with discrete dividends. It is shown that discontinuities in prices or dividends have a similar impact on American options. A general proof technique is developed for the valuation of American options.

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Combined dynamic pricing and inventory control

Aliza Rivka Heching, 2000

Faculty Advisor: Awi Federgruen

We address a retailer's challenge of matching supply with demand, under demand uncertainty. We first address the situation where the retailer cannot place orders for in-season replenishments. We conduct an empirical analysis of sales and price data from a retailer of women's apparel. We fit a demand model to the data and obtain estimates of revenues under various markdown pricing policies. We compare optimal prices and revenues under these policies to those of the study company. We conclude, e.g., that revenues can be improved significantly by

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Design and valuation of debt contracts

Hua Fan, 2000

Faculty Advisor: Suresh Sundaresan

In this thesis, I develop a corporate debt valuation model that explicitly considers the strategic interactions between equity holders and debt holders upon debt renegotiation. Two formulations of reorganization are presented: debt-equity swaps and strategic debt service resulting from negotiated debt service reductions. The model is also general enough to include the valuation of various contractual features of corporate debt contracts: the cash flow based bond covenant, the subordinated debt with or without cross default provision, and the secured debt contract. I also study how a firm's

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Access pricing

Skander Essegaier, 2000

Faculty Advisor: John Z. Zhang

Access provision industries provide an interesting example of competitive markets where capacity mediate firms' choice of a pricing structure. Access providers generate their profits from the sale of access to a privately owned facility (amusement parks, fitness clubs, ski resorts), or to some proprietary content (Bloomberg, Reuters, Associated Press, America Online, Lexis Nexis).

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Individual analyst forecast accuracy: An international analysis (United States, United Kingdom, Germany, France, Japan, Canada)

James Joshua Claus, 2000

Faculty Advisor: Trevor Harris

This thesis examines consensus and individual earnings forecasts for the United States, the United Kingdom, Germany, France, Japan, and Canada. The first part of this study is a survey of the characteristics of earnings forecasts in the six markets. The are four main results of this analysis: (1) analyst revisions are concentrated around periods when financial statement information is released; (2) bias and forecast error increase as the forecasted horizon gets further into the future, while the magnitude of both of these measures decreases over the time

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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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Application Deadlines

Master of Science in Marketing >

For Fall 2015 Entry:
Deadline: January 5th, 2014

 

Master of Science in Financial Economics

For Fall 2015 Entry:
Deadline: January 5th, 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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Sept 2015

Doctoral
Deadline: 01/05/15

MS Marketing
Deadline: 01/05/15

MS Financial Economics
Deadline: 01/05/15

 

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