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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

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Asset pricing and asset allocation in the presence of durable consumption goods

Stephan Siegel, 2006

Faculty Advisor: Geert Bekaert

The first chapter of this dissertation investigates the implications of non-separable preferences over durable and nondurable consumption for asset pricing tests when adjusting durable consumption is costly. In an economy without adjustment costs, in which a frictionless rental market exists for the durable good, the standard Euler equation with respect to nondurable consumption will hold for each individual agent as well as for aggregate data. If the adjustment of the durable good is costly, however, aggregation generally fails. We use aggregate data to find

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The interdependence of organizational knowledge and financing: Studies of technological innovation, learning, and corporate restructuring in United States medical device ventures

Geraldine A Wu, 2006

Faculty Advisor: Heather Haveman

A critical component of corporate research and development (R&D) efforts is access to funding. To raise the large amounts of capital required for continued growth, R&D-intensive start-ups must often turn to initial public offerings (IPOs) or takeovers by established firms. Yet, these transactions are not simply short-term events that infuse capital into firms, but delineate distinct stages in the evolution of high-tech ventures. Thus, these transactions may subsequently shape the very innovative activities they are funding. This dissertation consists of two studies that examine the

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Determinants of justification and self-control

Yuhuang Zheng, 2006

Faculty Advisor: Ran Kivetz

Consumers employ two justification routes to relax their self-control: one through entitlement (e.g., hard work or excellence) and the second through attaining indulgence at low monetary (income) cost. The two general routes to justifying self-gratification and their marketing implications are then examined in two separate theses. In Thesis 1, it is demonstrated that (a) higher effort or (bogus) excellence enhances choices of temptation over prudence, but these effects are reversed when the interchangeability of effort and income is implied;

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Essays on corporate credit

Yoshiki Obayashi, 2006

Faculty Advisor: Suresh Sundaresan

This thesis employs a novel combination of high-quality daily credit default swap (CDS) spread and corporate bond price data to analyze several important quantities related to corporate credit. The first essay analyzes the cross-sectional and intertemporal behavior of default and non-default premiums in US investment grade corporate bond spreads by proxying default premiums with CDS spreads. The second essay takes a similar approach to analyze the default and non-default premiums driving USD-denominated interest swap rates through an

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Customer behavior in revenue management

Qian Liu, 2006

Faculty Advisor: Garrett van Ryzin

This thesis examines several topics incorporating customer choice behavior, customer strategic behavior and switching costs effects into revenue management.

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Earnings management and conservatism in the transition between private and public ownership: The role of private equity sponsors

Sharon Katz, 2006

Faculty Advisor: Bjorn Jorgensen

This study explores the change in earnings management and conservatism as firms transition between private and public ownership. Using a unique sample of U.S. firms, a private phase, in which firm equity is privately held while firm debt is publicly held, is compared to a public phase, in which firm equity is also publicly held. As a large portion of the firms in the sample are backed by private equity (PE) sponsors, this study analyzes separately PE-backed firms and non-PE-backed firms. Evidence consistent with upward earnings

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Essays in empirical asset pricing

Li Gu, 2006

Faculty Advisor: Andrew Ang

The first chapter of this dissertation investigates asymmetric risk loadings in the cross section of stock returns. Time-varying factor loadings exhibit pronounced asymmetry in the cross section of stock returns. To capture this asymmetry, we develop regime-switching versions of the CAPM and the Fama French three-factor model, allowing both factor loadings and predictable risk premiums to switch across regimes. We estimate the models jointly on the decile book-to-market portfolios, together with the market portfolio to investigate the role

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Essays in asset pricing and macroeconomics

Ruslan Bikbov, 2006

Faculty Advisor: Mikhail Chernov

This thesis is an econometric investigation of the dynamic properties of the US fixed income markets in a no-arbitrage framework. Traditional no-arbitrage models of the yield curve use a latent factor approach and extract those factors from the observed prices. Despite voluminous literature on this subject, we still have a limited understanding of the models' structural features which are important in practice. The first essay evaluates the ability of several affine latent factor models to explain the term structure of Eurodollar futures and options.

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Essays on aesthetic innovation

Micki Limor Eisenman, 2006

Faculty Advisor: Eric Abrahamson

Scholars of technological industries typically study how firms better their competitive stances through uses of science and technology to manipulate product functionality. The strong focus on technological innovation has led to minimal focus on the non-technological responses (those not based on technological manipulation of product functionality) to periods of increased commoditization and standardization, periods in which competition is mostly based on cost-reduction. In a break with tradition, this dissertation examines

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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, 2015


Master of Science in Financial Economics

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


Master of Science in Management Science and Engineering

For Fall 2014 Entry:
Early Decision: Jan 6, 2015
Regular Decision: Feb 15, 2015


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Sept 2015

Deadline: 01/05/15

MS Marketing
Deadline: 01/05/15

MS Financial Economics
Deadline: 01/05/15


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