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The dissertation investigates the optimal structure of corporate debt
within a dynamic arbitrage free pricing model. The optimal debt
maturity is examined in a setting that allows for dynamic borrowing.
The optimality of financing with senior short term and junior long term
debt is investigated. Special focus is placed on the role of loan
commitments as mechanisms for preventing costly default of firms in
financial but not economic distress.
This paper presents a simple theoretical framework where a decision
maker either only receives or can only process the most favorable
signal. This notion sets this research apart from other word by
emphasizing limited attention and concentrated focus on most extreme
observations, and has numerous applications in the real world. A
decision maker can either accept the status quo, or move to an
alternative. He or she receives a noisy signal about the value of each
alternative. Due to limited ability, the decision maker processes only
the most favorable signal.
This study analyzes the issuing process for securities in light of
information asymmetries among and between issuers, underwriters, and
investors. It analyzes the issuers' and underwriters' matching of
allocation and demand and the resulting consequences for the investors'
Essay 1. The paper analyzes the price dynamics of two
commodity futures prices-crude oil and natural gas. Some of the latest
models of commodity prices are tested here-the two-factor model of
Schwartz-Smith (2000), which nests other important models developed
earlier. The two-factor model includes a mean-reverting short-term
deviation and uncertain equilibrium level to which prices gravitate.
The Schwartz-Smith two-factor model is the base case model in the paper.
In this thesis I address the question, how do financial series move
together? In order to do this, I develop a new method of modelling
different dependence structures, utilizing a mixed copula approach.
This method may be applied in unconditional and conditional settings,
and allows natural nesting of symmetric and asymmetric dependence.
Moreover, the mixed copula framework is directly linked to issues of
downside risk, and characterization of financial market turbulence. The
first chapter develops my insights on issues of dependence that are
I investigate the asset pricing and business cycle implications of a
dynamic stochastic general equilibrium model with human capital and
education. Key features of the model are (1) a higher consumption risk
resulting from the representative agent's desire to smooth leisure and
from the short-run inelasticities in physical and human capital
investment, and (2) a countercyclical risk aversion induced by shocks
to human capital. The model provides a good fit to a number of
asset-pricing facts including a low riskfree rate, an upward-sloping
The aim of the present study is to investigate how firms' policies
adjust to three different kinds of frictions, in search of optimal
economical and financial structures. The first kind of friction emerges
from the natural cross-sectional variation across firms; the second and
third appear as a consequence of macroeconomic shocks and legal
Elgers, Lo and Pfeiffer (2003) argue that the bias of analysts'
earnings forecasts is significantly less than the bias of market's
earnings expectations in interpreting accruals. Their argument implies
that analysts' earnings forecasts could potentially mitigate the
market's mispricing of accruals by guiding investors to reduce their
earnings prediction errors arising from the misinterpretation of
accruals. However, their results call for further investigation owing
to the following two questionable research design choices:
This dissertation consists of three essays on the effects of
asymmetric information on firm's financial distress resolution choices,
debt pricing and liquidation/reorganization decisions in bankruptcy.
This dissertation comprises the empirical analysis of three
fundamental issues in emerging markets. They are the following:
(1) economic growth, (2) co-movements of sovereign spreads and
(3) economic determinants of these spreads.