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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.
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.
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
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.
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
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).
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