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The first chapter of this dissertation empirically examines the impact of macroeconomic conditions on credit risk, particularly under shifting regimes. The second chapter links a new Keynesian macroeconomic model with a model of credit risk to demonstrate how macroeconomic conditions, namely output growth and inflation affect the credit risk of firms, as measured by credit spreads.
This dissertation is organized in three chapters. In the first chapter, which is a joint work with Rainer Haslemann and Kathartha Pistol', we explore how legal change affects lending behavior in twelve transition economies of Central and Eastern Europe In contrast to previous studies, we use hank level rather than aggregate data, which allows us to control for country level heterogeneity and analyze the effect of legal change on different types of lenders.
This thesis analyses the relation of firm maturity (age ) and firm's performance at their IPO and Post IPO returns and fundamentals. The first chapter analyses post-issuance performance utilizing a sample of 9,400 IPOs spread from 1935 to 2002 and shows that young firms (under 9 years old) are the most likely to underperform and be delisted; three and five year cumulative abnormal returns range between -20% and -75% for this age group.
To optimally allocate their marketing mix across customers, firms need to consider the evolution of their customers over time. Changes in the marketing environment, as well as intrinsic changes in preferences or needs, may discretely shift customers into different buying-behavior states. The ability to identify the dynamics in customer behavior and the drivers of these dynamics, present an opportunity for firms to influence the movement of customers to more favorable states of buying behavior.
This dissertation examines the relation between business groups, corporate innovation, and financial development. The first chapter studies the effect of business group affiliation on innovation. Using unique data on patents and group affiliation for European firms, we find that business groups foster the scale and novelty of corporate innovation. Group affiliation is particularly important in industries that rely more on external finance and have a higher degree of information asymmetry. We also find that the innovation of affiliates is less sensitive to operating cash flows.
A growing number of industries are adopting advanced decision support tools to optimize their revenues. One of the main challenges in the area of revenue management is the ability to account for the underlying uncertainty associated with the demand, e.g., the sensitivity of customers to changes in prices. Most of the literature focuses on cases where the demand model is known and the only uncertainty considered is that associated with random realizations of the demand itself.
In a dual-class share structure, one class of common stock typically has more votes per share than the other, but both classes have equal or similar cash flow rights per share. While this dual-class structure is likely to entrench management, it potentially reduces capital market pressures on managers thereby reducing the need for managers to manipulate earnings. In this study, I compare the earnings management behavior among dual-class firms relative to a matched sample of single-class firms.
The first chapter of this dissertation examines continuous-time one-factor and two-factor stochastic volatility models incorporating jumps in returns and volatility using jointly the time-series of returns and option prices on S&P 500 from 1986 to 2006. The goal of the paper is to examine the time-series of option prices. The second paper, joint with Michael Johannes, Arthur Korteweg, and Nick Polson, provides a study of the underlying structure of common asset pricing factors that are pervasively used in models of the cross-section of equity returns.
Managers today often try to engage employees by giving them more freedom and flexibility at work. One simple yet powerful way to do so is to give them choice, i.e., the selection of one or more options out of multiple available alternatives. However, choice as a tactic in granting employees work flexibility is seldom explicitly studied in organizational research. In this dissertation, I investigate how choice givers are perceived in terms of leadership and trust when they offer different degree of choice to others.
This first essay develops a framework for understanding the impact of macro announcements on Treasury bond prices and Treasury bond options. Scheduled macro news increases the return volatility several times compared to days without announcements. I build a model that incorporates these announcement effects and use it to develop an estimation procedure to measure the ex-ante volatility of bond prices on announcement days using option prices. This paper advances the literature by introducing ex-ante estimators which had previously focused on the ex-post effects.