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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.
Building on insights from the economics of superstars, I develop an efficient method for estimating the skill of mutual fund managers. Outliers are especially helpful for disentangling skill from luck when I explicitly model the cross-sectional distribution of managerial skill using a flexible and realistic function. Forecasted performance is dramatically improved relative to standard regression estimates: an investor selecting (avoiding) the best (worst) decile of funds would improve risk-adjusted performance by 2% (3%) annually.
This thesis studies the impact of various fundamental frictions in the microstructure of financial markets. Specific market frictions we consider are latency in high-frequency trading, transaction costs arising from price impact or commissions, unhedgeable inventory risks due to stochastic volatility and time-varying liquidity costs. We explore the implications of each of these frictions in rigorous theoretical models from an investor's point of view and derive analytical expressions or efficient computational procedures for dynamic strategies.
Recently economists have shown that people who graduate during recessions earn less money (e.g., Kahn, 2010) and hold less prestigious jobs (Oyer, 2006) even decades after entering the workforce. This dissertation argues that despite these suboptimal outcomes, these graduates are likely to be happier with their jobs, even long after these economic conditions have changed.
Adopting a regulatory focus perspective, I study why people repeat a prior behavior that could be unpleasant, ineffective, or unethical. Driven by the concerns to avoid negative deviations from the status quo, the prevention aspect of self-regulation (i.e., prevention focus) is associated with the motivation to maintain the status quo (Higgins, 2005).
This dissertation is composed of three chapters. In Chapter 1 I look at the role of real exchange rates in the asset pricing of currencies. I construct portfolios based on signals about the real exchange rate and analyze the returns of these portfolios as they relate to traditional asset pricing factors and especially how they correlate with carry trade portfolios. Deviations from long term averages of real exchange rates are found to be predictors of crash risk. I also show that there is significant information in real exchange rate signals that does not seem to be priced.
This dissertation addresses a number of outstanding, fundamental questions in operations management and industrial organization literature. Operations management literature has a long history of studying the competitive impact of operational, firm-level strategic decisions within oligopoly markets.
This dissertation consists of three essays. The first examines analytically as well as empirically the mental accounting principle that Thaler (1985) termed the "silver lining principle." The second and third essays investigate the link between attention and preferences. In the first essay, loss aversion is an important antecedent and moderator of the principle's effect on preferences, and in the latter two we hypothesize both antecedent (Essay Two) and consequent (Essay Three) roles for loss aversion with respect to attention.
This thesis considers two applications in dynamics economic models with many agents. The dynamics of the economic systems under consideration are intractable since they depend on the (stochastic) outcomes of the agents' actions. However, as the number of agents grows large, approximations to the aggregate behavior of agents come to light. I use this observation to characterize market dynamics and subsequently to study these applications.
This dissertation addresses a few fundamental questions on the interface between supplier financing schemes and inventory management. Traditionally, retailers finance their inventories through an independent financing institution or by drawing from their own cash reserves, without any supplier involvement ( Independent Financing ).