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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?
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
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.
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.
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.
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.
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.