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Many firms rely on sales agents (e.g., their internal salespeople or
supply chain parties) to sell their products. The contractual
relationship between the firm and the sales agents is subject to the
moral hazard and adverse selection problem. The former is mainly caused
by the fact that the agents' sales efforts are often unobservable to
the firm, while the latter arises because the agents typically have
better information about the market demand due to their close contact
with the consumers. The truthful information sharing is beneficial for
This dissertation is a collection of three essays on banking topics related to pricing of bank loans and services, and information content of bank subordinated debts. The main focus of the first essay is to address sensitivity and timeliness issues of bank subordinated debt spreads in assessing bank risk. Previous studies in this area have examined the relationship between spread and accounting or enhanced accounting indicators of bank risk.
Salary negotiations are a consequential part of most workers' careers, not only when they are first hired, but also during promotions, raises, and transitions to new firms. Understanding the individual predispositions and situational constraints impinging upon women in salary negotiations is important both in development of theory on the influence of gender role stereotypes in managerial contexts and in implementation of practical solutions to correct inequity.
We develop numerical methods for measuring credit risks and pricing credit basket derivatives, such as the increasingly popular collateralized debt obligations (CDOs), which offer a way to create new classes of securities based on multi-name portfolios. A key issue in the modelling of credit portfolios is how to capture the dependence among the defaults of obligors in the portfolios.
The thesis analyzes how regulators can design financial reporting system in order to mitigate the effect of information asymmetry. First consider an entrepreneur, having private information about the prospect of an investment project, seeks to raise capital from an investor. A noisy accounting signal that is correlated with the prospects of the investment and thus useful for the investor in contracting with the entrepreneur. The inefficiencies in the legal system reduce the investment efficiency and thus the value of the contracting relationship.
This dissertation contains three chapters.
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 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?
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.