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Supply risks in supply chain management

Nan Yang, 2007

Faculty Advisor: Awi Federgruen

This dissertation addresses a number of fundamental risk factors regarding the supply mechanisms in general supply chains. Typically, two principal types of uncertainty pertain to any production or purchase order: (1) (LEADTIME UNCERTAINTY) How long will the order leadtime be, i.e. how long will it take before the order is received? (2) (YIELD UNCERTAINTY) In view of quality risks and potential supply disruptions due to natural causes, labor strikes as well as planned acts of sabotage, what fraction of the order size will become available as useable units?

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Essays in securitization

Stav Gaon, 2007

Faculty Advisor: Franklin Edwards

The first chapter, a joint work with Kenneth A. Ayotte, focuses on a key property of asset-backed securities (ABS); namely, that ABS are designed to achieve 'bankruptcy remoteness' of the securitized assets from the borrowing firm. This provides lenders with maximal protection from dilution that is not available with other contracts, such as secured debt. ABS can have real effects in allowing firms to commit to more efficient investment decisions in bankruptcy. We show that

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Po-Hsuan Hsu, 2007

Faculty Advisor: Charles Jones

The first chapter of this dissertation highlights the role of technology in asset pricing by demonstrating market return predictability based on aggregate technology shocks from both theoretical and empirical perspectives. I solve simple general equilibrium models, in which technology shocks drive conditional mean and volatility of future economic growth. The expected market returns and premiums therefore vary across time. This implication is strongly supported by my empirical study, in which I find that the technology shocks, i.e.

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Essays on volatility derivatives and portfolio optimization

Ashish Jain, 2007

Faculty Advisor: Mark Broadie

This thesis is a collection of four papers: (1) Discrete and continuously sampled volatility and variance swaps, (2) Pricing and hedging of volatility derivatives, (3) VIX index and VIX futures, and (4) Asset allocation and generalized buy and hold trading strategies. The first three papers answer various questions relating to the volatility derivatives. Volatility derivatives are securities whose payoff depends on the realized variance of an underlying asset or an index. These include variance swaps, volatility swaps and variance options.

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Essays in corporate governance

Stanley Peterburgsky, 2007

Faculty Advisor: Charles Jones

This dissertation consists of two independent essays in the area of corporate governance. The first essay, "Do Corporate Insiders Prefer Nasdaq," argues that since volume on Nasdaq is exaggerated and SEC Rule 144 ties the limit on insider selling to total volume, insiders of troubled firms may be able to use private information to take advantage of other shareholders by switching to Nasdaq and unloading more stock. Consistent with the hypothesis, I find that insiders engage in heavy selling of company stock in the months following the move.

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Understanding equity returns

Jing Chen, 2007

Faculty Advisor: Robert Hodrick

This dissertation is trying to empirically investigate the determinants of equity returns. The first chapter of this dissertation constructs a measure of pervasive liquidity risk and its associated risk premium. I examine seven market-wide liquidity proxies and use Principal Component analysis to extract the first principal component, which captures 62% of the standardized liquidity variance. The first common factor is rewarded with a significant premium in cross-sectional asset pricing tests.

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Motivated goal setting and affect: Expectations and reality

Cecile Cho, 2007

Faculty Advisor: Gita Johar

People often set low goals in order to avoid future disappointment. This dissertation questions the assumption that future affect can be managed in this manner. This strategy can work only if performance is compared to the initially set goals. We argue that performance potential is instead spontaneously evoked at the time of performance feedback and used as the benchmark instead of goals. Even when goals are met, this comparison results in lower levels of satisfaction and greater disappointment when goals are set low vs. high.

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Managerial Discretion in Business Combinations Reporting under SFAS 141

Ron Shalev, 2007

Faculty Advisor: Doron Nissim

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Essays on financial markets

Chang-Yong Ha, 2007

Faculty Advisor: Larry Glosten

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Productivity mindset and the consumption of collectable experiences

Anat Keinan, 2007

Faculty Advisor: Ran Kivetz

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Application Deadlines

Master of Science in Marketing >

For Fall 2016 Entry:

Available: August 1st, 2015
Deadline: January 4th, 2016


Master of Science in Financial Economics >

For Fall 2016 Entry:

Available: August 1st, 2015
Deadline: January 4th, 2016


Master of Science in Management Science and Engineering >

For Fall 2016 Entry:
To be determined


Available 8/1/15
Sept 2016

Deadline: 01/05/16

MS Marketing
Deadline: 01/04/16

MS Financial Economics
Deadline: 01/04/16


Doctoral Program News

Young Alumni Balseiro wins George B. Dantzig Dissertation Award

At the 2014 Informs national meeting, Santiago Balseiro was honored for his work in "Competition and Yield Optimization in Ad Exchanges". We congratulate Santiago on his accomplishment.

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Ethan Rouen wins Deloitte Doctoral Fellowship in Accounting

The Deloitte Foundation has awarded $25,000 grants to 10 top accounting Ph.D. candidates through the Deloitte Foundation’s annual Doctoral Fellowship program. Given to students who plan to pursue academic careers upon graduation, the award will support the 2015 recipients’ final year of coursework and the subsequent year to complete their doctoral dissertation.

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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

Read More about Colleen >


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