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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.
This study investigates deficient inter-temporal matching of accounting
costs and benefits. I quantify the net effects of matching problems in
selling, general and administrative expenses (SGA) incremental to those
caused by the required accounting treatment of research and development
(R&D) and advertising. Inadequate matching in R&D and
advertising has been established in previous research, hence these
items are removed from SGA in this study. With perfect matching, there
should be no relationship between past SGA and future accounting
We study modelling issues and optimal control problems, mainly in the
stochastic setting, related to advertising for new product
introduction. We consider some stochastic extensions of a classical
model of M. Nerlove and K. Arrow, on which we formulate and solve the
mixed problem of maximizing product image (goodwill) at a given time
and minimizing cumulative advertising costs, and the related problem of
reaching a target level of awareness of the advertised product by a
given deadline. We also allow, in some cases, budget constraints,