Search results
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Title
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An Examination of the Credit Rating Industry
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Author
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Schorno, Patrick
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Date Created
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2013
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Subjects--Topical
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Finance
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Description
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Starting in the early 2000s, after the accounting scandals involving Enron and WorldCom and continuing throughout the subsequent structured finance debacle of 2008, credit rating agencies have been criticized for the inaccuracy of their ratings. A...
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Title
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CHANGES IN VENTURE CAPITAL FUNDING AND THE PROCESS OF CREATING NASCENT FIRM VALUE
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Author
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Martin, Stephen
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Date Created
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2014
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Subjects--Topical
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Finance
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Description
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The financing of nascent firms, and how they evolve into public companies, has undergone tremendous transformation over the past decade. The methods in which financing is structured, the process of growing financial value, and the exit strategies ...
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Title
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Can the Value of Ether Be Explained and Predicted?
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Author
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Juhl, Morten Arrild
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Date Created
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2018
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Subjects--Topical
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Finance, Economics
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Description
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This paper analyzes the Ethereum blockchain and the applicability of models for network valuation in explaining the value of Ether. After examining the fundamentals of the Ethereum blockchain and its associated cryptocurrency, Ether, it is argued ...
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Title
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Capital Structure Issues in Real Estate Corporate Finance
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Author
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Blazevich, Brett
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Date Created
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2017
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Subjects--Topical
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Finance
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Description
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Capital structure issues are of great importance within the corporate finance literature. Exploration of these issues within the Real Estate Investment Trust (REIT) industry provides the opportunity to examine these issues within a unique and homo...
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Title
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Corporate bonds: Theoretical and Empirical Study
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Author
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Park, Min
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Date Created
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2012
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Subjects--Topical
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Finance
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Description
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This dissertation consists of three parts. The first chapter presents an analysis of the structural difference between a make-whole callable and a traditional callable bond. Based on the analysis, we construct a reduced-form model for the make-who...
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Title
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Determinants of Yankee Bond Pricing
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Author
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Lyon, Jeffrey
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Date Created
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2018
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Subjects--Topical
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Finance, Economics
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Description
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Yankee bonds provide a unique arena to analyze corporate debt issuance due to the fact issuers from a variety of countries are selling bonds within the same market. Previous studies use Yankee bonds to analyze the impact of differing levels of inv...
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Title
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EXCHANGE RATE REGIMES, FX LIQUIDITY RISK, AND CARRY TRADE RETURNS
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Author
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Abankwa, Samuel
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Date Created
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2016
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Subjects--Topical
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Finance, Industrial management, Economics
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Description
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The dissertation consists of three related topics: FX market-wide liquidity measure and individual currency-pair liquidity co-movements, FX liquidity risk and carry trade returns, and the forward premium puzzle in foreign exchange markets. This is...
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Title
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Essays in Empirical Asset Pricing
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Author
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Nie, Ziye
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Date Created
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2019
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Subjects--Topical
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Finance
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Description
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The dissertation is composed of three essays that address the cross-sectional relation between firm characteristics and expected stock returns. Chapter 1, "Regime-switching and the Cross-Section of Expected Stock Returns", incorporates regime swit...
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Title
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Essays in investments and asset allocation
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Author
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Chen, Xianzhe
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Date Created
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2016
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Subjects--Topical
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Finance
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Description
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This dissertation consists of three topics in investments and asset allocation. The first chapter studies the dynamics of macro factors and their application in asset allocation. Five meaningful economic factors are extracted from hundreds of econ...
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Title
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Essays on quantitative modeling financial
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Author
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Zhang, Hao
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Date Created
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2023
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Subjects--Topical
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Finance
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Description
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This dissertation explores the application of quantitative modeling to analyze the features of different financial assets. This study investigates the dynamics of financial assets using advanced mathematical, statistical approaches, and Machine Le...
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Title
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European Firms’ Issuance and Call Policies of Convertible Bonds
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Author
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Soegaard, Benedikte Kuepper
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Date Created
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2022
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Subjects--Topical
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Finance
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Description
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This thesis examines the decision of European firms to issue convertible bonds, theirsubsequent corporate call policy, and whether this differs from the theoretical optimal call policy. The analysis was divided into two parts: Part I focused on th...
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Title
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Exchange Rates, Carry Trade Returns and Political Risks
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Author
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Kesse, Kwabena
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Date Created
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2016
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Subjects--Topical
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Finance, Industrial management
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Description
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This dissertation elucidates the channels through which sovereign risk, exchange rates and currency risk premia are related. I show that the channels are different depending on whether a country is classified as emerging or an advanced economy. Ge...
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Title
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Introducing Non-Linearities and Interaction Terms in a Conditional Asset Pricing Model
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Author
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Rask, Kristoffer
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Date Created
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2016
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Subjects--Topical
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Finance, Economics
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Description
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Throughout history of the conditional asset pricing literature the goal has been to find the best possible model to explain what determines a firm’s expected stock return. In Dickson (2015) the variables that prove to be best at explaining a firm’...
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Title
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NONPARAMETRIC PREDICTIVE REGRESSION
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Author
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Yu, Xintian
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Date Created
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2016
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Subjects--Topical
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Statistics, Finance, Economics
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Description
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In financial time series nonlinear effects and time-varying effects are observed. In this dissertation we propose a predictive regression model with time varying coefficients and functional coefficients. It allows for nonstationary predictors. We establi...
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Title
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OPERATIONAL LOSSES: LESSONS FROM SEVEN OF THE LARGEST ROGUE TRADING EVENTS IN HISTORY
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Author
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Morat, Patricio
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Date Created
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2017
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Subjects--Topical
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Finance, Economics, Industrial management
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Description
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Operational losses: Lessons from seven of the largest rogue trading events in history. (Under the direction of DR. ROB ROY MCGREGOR)Operational risk is the risk of losses arising from the failure of people, processes, and systems, and from externa...
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Title
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OPTION VALUATION UNDER A REGIME-SWITCHING MODEL USING THE FAST FOURIER TRANSFORM
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Author
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Sohrabi, Elham
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Date Created
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2018
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Subjects--Topical
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Finance, Mathematics
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Description
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In this dissertation, we consider European-style commodity options and futures options where the logarithm of the underlying commodity price dynamics is governed by the regime-switching Ornstein-Uhlenbeck model. A semi-analytical approach to value...
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Title
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ORGANIZATIONAL STRUCTURE, AGENCY COSTS, MONITORING, AND FINANCIAL INSTITUTIONS
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Author
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JIN, LICHENG
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Date Created
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2019
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Subjects--Topical
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Finance
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Description
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This dissertation focuses on the general research topic: organizational structure, agency costs, and monitoring in financial institutions. The first topic is on the organizational structure change in the insurance industry. Using data of demutuali...
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Title
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On lambda-quantile dependent convex risk measures
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Author
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Xia, Lihong
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Date Created
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2011
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Subjects--Topical
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Mathematics, Finance
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Description
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We define a class of convex measures of risk whose values depend on the random variables only up to the lambda-quantiles for some given constant lambda in (0,1). For this class of convex risk measures, the assumption of Fatou property can be stren...
