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Abnormal returns after meeting quarterly earnings forecasts: Evidence and initial explanations

Rohit Mathur, 2002

Faculty Advisor: Jacob K. Thomas

I find that firms meeting quarterly earnings forecasts earn positive abnormal returns of about 20 percent over the next 3 years. Partitioning these firms based on forecast errors in the prior quarter (t-1) reveals a surprising W-shaped relation between abnormal returns earned over the 3 years after quarter t (when forecast errors are exactly zero) and forecast errors in quarter t-1. For the subgroup of firms with negative forecast errors in t-1 (actual earnings less than forecasts), the relation is negatively sloped with firms with large

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Essays in finance

Rong Qi, 2002

Faculty Advisor: Michael Adler

This dissertation offers a microstructure-based model to explain two puzzles in finance: diversification discount and investment-cash flow sensitivity. While explicitly assuming that the stock prices convey valuable information to the firm's management, our model shows that the value loss from diversification is due to insufficient information production. Using the analyst coverage as the proxy for information production, we find holding firm characteristics fixed, the analyst coverage explains a significant portion of the cross-sectional

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Titles and tasks: New jobs for new media in Silicon Alley? (New York City)

Gregory Edward Robbins, 2002

Faculty Advisor: Gerald F. Davis

I examine the distribution of job titles in Silicon Alley, an emerging high-tech industrial district. In doing so, I follow recent interest in those socio-cognitive categories around which markets are organized, and extend that focus to include categories that are incompletely or multiply institutionalized. In Silicon Alley the emergence of standardized titles is related both to the development of alternate roles within design and production teams and to the operation of a labor market for temporary and project-based positions. In analyzing

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Three essays on empirical asset pricing

Xiaoyan Zhang, 2002

Faculty Advisor: Robert J. Hodrick

The dissertation contains three chapters.

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Individual investors' decision-making: The ubiquitous influence of promotion and prevention self-regulation

Rongrong Zhou, 2002

Faculty Advisor: Michel Tuan Pham

This dissertation examines the central thesis that individual investors' decisions can be usefully studied from a self-regulation perspective. I investigate the influence of self-regulatory systems known as promotion (which reflects the fundamental human need for advancement and growth) and prevention (which reflects the fundamental need for safety and security) on investment decisions. Specifically, I argue that different financial products differentially trigger promotion versus prevention self-regulation. Some financial products

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Essays on financial structure and economic activity under asymmetric information

Leonarda Zicchino, 2002

Faculty Advisor: Paolo Siconolfi

This dissertation provides an analysis of the relationship between the financial and the real sector of an economy with asymmetric information. The first chapter addresses the effect of adverse selection on the growth process. It shows that an economy may have two possible competitive equilibria with distinct bank contracts, interest rates on deposits and individuals' investment portfolios. The equilibrium outcome depends on the level of aggregate wealth and on the parameter values describing the firms' heterogeneous marginal

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Demographic changes and asset prices

Angela Maddaloni, 2002

Faculty Advisor: John Donaldson

The impact of demographic changes on the economic and financial system of a country is widely recognized. While demographic effects have been widely incorporated, for instance in the valuation of insurance-like products, as well as simulations of future Social Security benefits, less work has been carried out on the effects of demography on financial asset prices. This thesis brings a contribution to the ongoing debate among researchers about the link between stock prices and demographic changes.

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Shareholder heterogeneity in mutual funds

Woodrow Tyler Johnson, 2002

Faculty Advisor: Charles Calomiris

This dissertation analyzes a proprietary, comprehensive database of investor characteristics and transactions from all funds within one no-load mutual fund family between 1994 and 2000. It summarizes institutional details of fund distribution that are expected to be correlated with shareholder trading patterns.

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Process management, technological innovation, and organizational adaptation

Mary Jo Benner, 2002

Faculty Advisor: Michael Tushman

A common theme in organizational research is that organizations need to exploit current capabilities while simultaneously developing new ones (March, 1991). Researchers have highlighted the importance of both types of activities for adaptation in changing environments. While exploitative activities help firms quickly learn and adapt in the short term, those same activities may ultimately inhibit organizational responsiveness to major environmental changes (March, 1991; Levinthal, 1991). This need for dynamic capabilities has coincided with

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Real estate issues in finance

Cornelia Kullmann, 2002

Faculty Advisor: Robert J. Hodrick

This study looks at well-known finance puzzles and examines whether they can at least in part be explained by the fact that most of the existing finance research has failed to account for real estate as a major asset class. In Chapter 1 of this dissertation, I examine whether the inclusion of returns to residential and commercial real estate can improve the empirical performance of asset pricing models and whether the systematic risk associated with holding real estate carries a positive risk premium. The empirical evidence in this chapter shows

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

 

Master of Science in Financial Economics

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Deadline: December 15th, 2014

 

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

 

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