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Three essays in the term structure of interest rates

Chun Won Yi, 2003

Faculty Advisor: Robert Hodrick

This dissertation analyzes the time series properties of the term structure of interest rates. It presents a class of equilibrium models of asset returns, and investigates whether the empirical evidence in the term structure is consistent with implications drawn from such models. The dissertation consists of three essays.

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On capital investments and financial markets

Yuhang Xing, 2003

Faculty Advisor: Geert Bekaert

This paper provides a comprehensive firm level analysis of the relation between a firm's capital investment and its equity return. We find that firm capital investment is negatively associated with future equity returns in the time-series. In the cross-section, portfolios of firms with low investment growth rates or low investment capital ratios have significantly higher expected returns than portfolios of firms with high investment growth rates or investment capital ratios. With a stochastic discount factor, a standard investment model can generate

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Capacity management in stochastic service systems

Ben Wang, 2003

Faculty Advisor: Sergei V. Savin

This dissertation is focused on two examples of service systems where a fixed capacity has to be allocated among competing demand classes in a stochastic environment. In both cases, we employ the dynamic programming techniques to study the optimal capacity management problem.

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Auctions and simulation-based optimization in revenue management

Gustavo Jose Vulcano, 2003

Faculty Advisor: Garrett J. van Ryzin

In this dissertation, we study two auction-related problems and one network capacity control problem; all of them belonging to the broad field of Revenue Management.

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The effects of self-awareness on consumer attributions and satisfaction

Jennifer Ames Stuart, 2003

Faculty Advisor: Donald Lehmann

This dissertation investigates the question of whether consumers' attributions about the causes of service quality are influenced by the degree of self-awareness experienced by the consumer. It is proposed that subtle contextual cues that increase a customer's self-awareness during customer-provider interactions are capable of influencing the customer's satisfaction with the provider by shifting the attribution locus toward the customer and away from the provider. Consistent with this proposition, the results of two independent experiments confirm

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A simulated pre-launch market evaluation model for new pharmaceutical products

Jisang Pack, 2003

Faculty Advisor: Kamel Jedidi

Despite stable growth over the past few years, the pharmaceutical industry has recently been experiencing unique challenges due to shortened patent protection periods and the emergence of low-priced generic drugs. As a result, it is necessary for pharmaceutical companies more than ever to rely on a handful of successful new drugs not only to channel their growth but also to survive. However, new drug development in the pharmaceutical industry is a very risky activity because of the large amount of time and the costs involved and because

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Essays in liquidity

Pamela Claire Moulton, 2003

Faculty Advisor: Laurie Simon Hodrick

If an asset is perfectly liquid, one can trade the quantity one desires, immediately, without moving the market price. When liquidity is less than perfect, a trader must sacrifice on one or more of these three dimensions, perhaps trading a different quantity, over time and/or at a worse price. Previous work has generally focused on the price and time dimensions, assuming that a trader always trades his desired quantity or, similarly, that he does not have access to substitute assets to fill some or all of his trading demand. In this

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Targeted pricing and channel management

Yunchuan Liu, 2003

Faculty Advisor: Z. John Zhang

In my thesis, I study how distribution channel relationships have changed in an information intensive environment. First, as manufacturers and retailers build up their capability to gather and process detailed customer information, they acquire the unprecedented flexibility to charge different prices to different customers. Second, with the help of Internet, manufactures and retailers can open direct channels, in addition to the traditional distribution channel, to sell to consumers.

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Improving earnings forecasts using intra-industry information transfer

Andrew Ayimbila Anabila, 2003

Faculty Advisor: Jacob Thomas

This study examines whether forecasts for quarterly earnings per share (EPS) from analysts (obtained from IBES) and a time series model (seasonal random walk with drift) can be improved by using intra-industry information transfers (historic co-movement in the unexpected earnings of firms within an industry). After confirming that co-movement patterns are relatively persistent through time, I combine the historic co-movement between firm pairs with the forecast error of the firm that announces earlier to update the forecast for the firm

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Financial statement analysis, growth expectations, and equity valuation

Siyi Li, 2003

Faculty Advisor: Stephen Penman

This study develops forecasts of earnings growth using a structured financial statement analysis and compares those forecasts with analysts' growth forecasts and the implied growth expectation in market prices. It takes the perspective that investors buy future earnings, and thus long-term earnings growth expectation is a key determinant of valuation. Companies with better growth prospects can command higher price-to-earnings ratios. Investors face significant uncertainty regarding long-term growth, and financial statement information proves

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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.

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.

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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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