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Serigy Gorovyy, 2012
Faculty Advisor: Andrew Ang
This dissertation analyzes hedge fund leverage and its determinants, investigates optimal hedge fund manager behavior induced by hedge fund contracts, and uncovers an evidenc
Xiaojing Wang, 2012
Faculty Advisor: Tim Baldenius
Strategic information transmission models, also called cheap talk models, have become increasingly popular in accounting, as they have successfully brought new insights to various accounting topics. This dissertation consists of two chapters, each analyzes a model of strategic information transmission between an expert and a decision maker.
Damla Gunes, 2012
Faculty Advisor: Michael Johannes
The purpose of this dissertation is to understand the risks embedded in Carry Trades. For this, we use a broad range of stochastic volatility (SV) models, estimate them using Bayesian techniques via Markov chain Monte Carlo methods, and analyze various risk measures using these estimation results.
Helen Hurwitz, 2012
Faculty Advisor: Stephen Penman
This study investigates the framework of how litigation risk affects management forecasting of bad news and good news differently, resulting in differential optimism in these forecasts. I argue that distinct stock price patterns following these two types of management forecasts expose them to differential litigation risk ex post. While optimistic management forecasts of good news attract lawsuits, truthful rather than optimistic forecasts of bad news are more likely to trigger immediate lawsuits.
Olga Kuzmina, 2012
Faculty Advisor: Maria Guadalupe
Different fields of economics have historically tended to focus on firms' strategies in isolation. In contrast, a lot of the recent work explores how various aspects of firm behavior interact with each other.
Aharon Cohen Mohliver, 2012
Faculty Advisor: Bruce Kogut
Financial markets, where companies are characterized by a separation of ownership from control and interactions are opaque to a large majority of uninformed investors provide a fertile ground for executives to conduct practices that push the ethical boundaries of accepted and expected behavior.
Roger Lederman, 2012
Faculty Advisor: Nicolas Stier-Moses
This dissertation contains a series of essays intended to introduce strategic modeling techniques into the network design problem.
Dongyoup Lee, 2012
Faculty Advisor: Jialin Yu
My dissertation aims at understanding the dynamics of asset prices empirically. It contains three chapters.
Yang Li, 2012
Faculty Advisor: Brett Gordon
Geographic price discrimination is generally considered beneficial to firm profitability. Firms can extract higher rents by varying prices across markets to match consumers' preferences. This paper empirically demonstrates, however, that a firm may instead prefer a national pricing policy that fixes prices across geographic markets, foregoing the opportunity to customize prices. Under appropriate conditions, a national pricing policy helps avoid intense local competition due to targeted prices.
Matulya Bansal, 2012
Faculty Advisor: Costis Maglaras
In this thesis, we model and analyze the impact of two behavioral aspects of customer decision-making upon the revenue maximization problem of a monopolist firm. First, We study the revenue maximization problem of a monopolist firm selling a homogeneous good to a market of risk-averse, strategic customers. Using a discrete (but arbitrary) valuation distribution, we show how the dynamic pricing problem with strategic customers can be formulated as a mechanism design problem, thereby making it more amenable to analysis.
