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Dissertations

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A theoretical approach to inference based on maximum observations

Qing Li, 2004

Faculty Advisor: Maria Vassalou

This paper presents a simple theoretical framework where a decision maker either only receives or can only process the most favorable signal. This notion sets this research apart from other word by emphasizing limited attention and concentrated focus on most extreme observations, and has numerous applications in the real world. A decision maker can either accept the status quo, or move to an alternative. He or she receives a noisy signal about the value of each alternative. Due to limited ability, the decision maker processes only the most favorable signal.

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Human capital, business cycles and asset pricing

Min Wei, 2004

Faculty Advisor: Geert Bekaert

I investigate the asset pricing and business cycle implications of a dynamic stochastic general equilibrium model with human capital and education. Key features of the model are (1) a higher consumption risk resulting from the representative agent's desire to smooth leisure and from the short-run inelasticities in physical and human capital investment, and (2) a countercyclical risk aversion induced by shocks to human capital. The model provides a good fit to a number of asset-pricing facts including a low riskfree rate, an upward-sloping

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Essays on modeling derivative claims. Essay titles: Essay 1. Modeling energy commodity futures: Is seasonality part of it? Essay 2. Modeling corporate liabilities under regime-switching asset volatility

Milena Todorova, 2004

Faculty Advisor: Mark Broadie

Essay 1. The paper analyzes the price dynamics of two commodity futures prices-crude oil and natural gas. Some of the latest models of commodity prices are tested here-the two-factor model of Schwartz-Smith (2000), which nests other important models developed earlier. The two-factor model includes a mean-reverting short-term deviation and uncertain equilibrium level to which prices gravitate. The Schwartz-Smith two-factor model is the base case model in the paper.

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Essays on security offerings (Germany)

Jorg Rocholl, 2004

Faculty Advisor: Laurie Simon Hodrick

This study analyzes the issuing process for securities in light of information asymmetries among and between issuers, underwriters, and investors. It analyzes the issuers' and underwriters' matching of allocation and demand and the resulting consequences for the investors' bidding behavior.

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Do analysts correct the market's mispricing of accruals?

Yong Keun Yoo, 2004

Faculty Advisor: Stephen Penman

Elgers, Lo and Pfeiffer (2003) argue that the bias of analysts' earnings forecasts is significantly less than the bias of market's earnings expectations in interpreting accruals. Their argument implies that analysts' earnings forecasts could potentially mitigate the market's mispricing of accruals by guiding investors to reduce their earnings prediction errors arising from the misinterpretation of accruals. However, their results call for further investigation owing to the following two questionable research design choices:

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On corporate debt and credit risk

Claus M Pedersen, 2004

Faculty Advisor: Suresh M. Sundaresan

The dissertation investigates the optimal structure of corporate debt within a dynamic arbitrage free pricing model. The optimal debt maturity is examined in a setting that allows for dynamic borrowing. The optimality of financing with senior short term and junior long term debt is investigated. Special focus is placed on the role of loan commitments as mechanisms for preventing costly default of firms in financial but not economic distress.

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Unintended purchase opportunities: Conflict, choice, and consequence

Anirban Mukhopadhyay, 2004

Faculty Advisor: Gita Venkataramani Johar

Consumers spend substantial proportions of their expenditures on products they had not intended to buy. Correspondingly, marketers spend billions of dollars trying to influence purchase incidence. This dissertation investigates how decisions to either buy or not buy at an unintended purchase opportunity can affect responses to subsequent tempting offers. Integrating research across disciplines relevant to consumer self-control, it builds on the insight that purchase consists of the two related but independent activities of spending and

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On stochastic modelling and optimal control in advertising

Carlo Marinelli, 2004

Faculty Advisor: Victor de la Pena

We study modelling issues and optimal control problems, mainly in the stochastic setting, related to advertising for new product introduction. We consider some stochastic extensions of a classical model of M. Nerlove and K. Arrow, on which we formulate and solve the mixed problem of maximizing product image (goodwill) at a given time and minimizing cumulative advertising costs, and the related problem of reaching a target level of awareness of the advertised product by a given deadline. We also allow, in some cases, budget constraints,

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The future benefits in selling, general and administrative expenses

Eugene Joseph Kovacs, 2004

Faculty Advisor: Stephen Penman

This study investigates deficient inter-temporal matching of accounting costs and benefits. I quantify the net effects of matching problems in selling, general and administrative expenses (SGA) incremental to those caused by the required accounting treatment of research and development (R&D) and advertising. Inadequate matching in R&D and advertising has been established in previous research, hence these items are removed from SGA in this study. With perfect matching, there should be no relationship between past SGA and future accounting

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Three essays on asymmetric information and corporate defaults

Nan Chen, 2004

Faculty Advisor: Suresh Sundaresan

This dissertation consists of three essays on the effects of asymmetric information on firm's financial distress resolution choices, debt pricing and liquidation/reorganization decisions in bankruptcy.

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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: 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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