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The Cross-Section of Investing Skill

Ravindra Sastry, 2012

Faculty Advisor: Michael Johannes

Building on insights from the economics of superstars, I develop an efficient method for estimating the skill of mutual fund managers. Outliers are especially helpful for disentangling skill from luck when I explicitly model the cross-sectional distribution of managerial skill using a flexible and realistic function.

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Hedge Fund Essays

Serigy Gorovyy, 2012

Faculty Advisor: Andrew Ang

This dissertation analyzes hedge fund leverage and its determinants, investigates optimal hedge fund manager behavior induced by hedge fund contracts, and uncovers an evidenc

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Understanding Carry Trade Risks using Bayesian Methods: A Comparison with Other Portfolio Risks from Currency, Commodity and Stock Markets

Damla Gunes, 2012

Faculty Advisor: Michael Johannes

The purpose of this dissertation is to understand the risks embedded in Carry Trades. For this, we use a broad range of stochastic volatility (SV) models, estimate them using Bayesian techniques via Markov chain Monte Carlo methods, and analyze various risk measures using these estimation results.

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Three Essays on Corporate Policies

Olga Kuzmina, 2012

Faculty Advisor: Maria Guadalupe

Different fields of economics have historically tended to focus on firms' strategies in isolation. In contrast, a lot of the recent work explores how various aspects of firm behavior interact with each other.

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Price Competition and the Impact of Service Attributes: structural estimation and analytical characterizations of equilibrium behavior

Margaret Pierson, 2012

Faculty Advisor: Awi Federgruen

This dissertation addresses a number of outstanding, fundamental questions in operations management and industrial organization literature. Operations management literature has a long history of studying the competitive impact of operational, firm-level strategic decisions within oligopoly markets.

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Repeating the Follies of the Past: A Regulatory Focus Perspective

Shu Zhang, 2012

Faculty Advisor: E. Tory Higgins

Adopting a regulatory focus perspective, I study why people repeat a prior behavior that could be unpleasant, ineffective, or unethical. Driven by the concerns to avoid negative deviations from the status quo, the prevention aspect of self-regulation (i.e., prevention focus) is associated with the motivation to maintain the status quo (Higgins, 2005).

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Dynamic Trading Strategies in the Presence of Market Frictions

Mehmet Saglam, 2012

Faculty Advisor: Ciamac Moallemi

This thesis studies the impact of various fundamental frictions in the microstructure of financial markets. Specific market frictions we consider are latency in high-frequency trading, transaction costs arising from price impact or commissions, unhedgeable inventory risks due to stochastic volatility and time-varying liquidity costs.

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Modeling Customer Behavior for Revenue Management

Matulya Bansal, 2012

Faculty Advisor: Costis Maglaras

In this thesis, we model and analyze the impact of two behavioral aspects of customer decision-making upon the revenue maximization problem of a monopolist firm. First, We study the revenue maximization problem of a monopolist firm selling a homogeneous good to a market of risk-averse, strategic customers.

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Essays on Empirical Asset Pricing

Dongyoup Lee, 2012

Faculty Advisor: Jialin Yu

My dissertation aims at understanding the dynamics of asset prices empirically. It contains three chapters.

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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

Read More about Abbie

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

Read More about Abbie

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.

Read More About Yu Ting >

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.

Read More About John >

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 >

 

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

Doctoral
Deadline: 01/05/16

MS Marketing
Deadline: 01/04/16

MS Financial Economics
Deadline: 01/04/16

 

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