Department of Finance and Real Estate: Recent submissions
Now showing items 21-40 of 45
-
Reassessing Anomalies And Puzzles
(Finance & Real Estate, 2014-07-14)While standard asset pricing models assume a frictionless environment and investors are risk-averse individuals who maximize their utility based on all the available information in real time. The asset pricing literature ... -
Three Essays On Market Anomalies And Efficient Market Hypothesis
(Finance & Real Estate, 2014-03-10)This dissertation consists of three distinct essays. The first essay investigates the risk interpretation of the investment premium by empirically examining the fundamental view versus the sentimental view. I use VAR to ... -
Investor Overconfidence And Option Trading
(Finance & Real Estate, 2013-07-22)This study examines investor overconfidence theory in the options market. The theory suggests that investors who experience high returns become overconfident in their security valuation and trading skills, and therefore ... -
Penny Stocks, Market Microstructure, And Analyst Forecasts
(Finance & Real Estate, 2013-03-20)The first essay of this dissertation deals with the relationship between previous earnings, earnings forecasts, and future returns. I found that stocks with the worst previous earnings and the worst earnings forecasts ... -
Measurement Issues In The Capital Asset Pricing Model & Size Effect And Duration
(Finance & Real Estate, 2013-03-20)It has been observed that the value of an asset's beta varies with the frequency of the data used to generate the value, a phenomenon hereafter referred to as "time scale", or simply "scale". If the scale effect is strong ... -
Causality And Volatility Spillover Effects On Sub-sector Energy Portfolios
(Finance & Real Estate, 2013-03-20)During a time of extensive crises related to energy sources, in particular fossil fuels, IPOs for alternative energy-related companies are a common occurrence. As new industries are created or old ones are revised, ... -
Essays On International Corporate Dividend Policy
(Finance & Real Estate, 2012-07-25)This dissertation is comprised of two essays on dividend policy. In the first part of the first essay, I ascertain whether the outcome, the substitution, or the predation model explains the relationship between dividend ... -
Comparing Market-based And Financial Statement-based Stock Valuation Models: Implications For Growth Expectations And Differences Across Time Periods
(Finance & Real Estate, 2012-07-25)Abstract: The value of a share of common stock in a publicly-listed company should be equal to the present value of the future cash flows the company is forecast to produce, andultimately pay out to its stockholders. ... -
Essays On Option Market Information Content, Market Segmentation And Fear
(Finance & Real Estate, 2012-07-25)This dissertation consists of three essays. The first essay tests whether stock returns can be predicted using divergence from put-call parity. Using a robust methodology that controls for the early exercise premium of ... -
Threshold Effects In Volatility Spillovers: The Case Of Equity, Bond And Foreign Exchange Markets
(Finance & Real Estate, 2012-07-25)Most research on volatility spillovers across countries and various asset class returns model volatility as conditional variance and assume a linear relationship in spillovers. The risk measured as conditional variance is ... -
Three Essays On Real Estate Equities And Real Estate Investment Trusts
(Finance & Real Estate, 2010-11-01)This dissertation consists of three distinct essays. The first essay provides initial empirical evidence on the usefulness of consumer confidence index and investor optimism index in predicting REIT price movements. I find ... -
Determinants Of Implied Volatility Movements In Individual Equity Options
(Finance & Real Estate, 2010-11-01)In this study, I introduce a parsimonious model that explains implied volatility time series for individual stock options. The current state of risk management for individual equity options still seems to lack the presence ... -
The 2008 Short Sale Ban: Did We Sell Price Discovery Short
(Finance & Real Estate, 2010-07-19)This dissertation investigates the impact of a short sale ban on the stock market and the options market and the interrelation between the two markets during the US financial crisis of 2008. The first essay focuses on the ... -
Going Green - Impact On Residential Property Values
(Finance & Real Estate, 2009-09-16)Hedonic pricing model is generally used to empirically understand the relationship between various housing characteristics and the housing values. In the past hedonic studies have looked at the relationship between the ... -
Price Discovery Of Credit Risk
(Finance & Real Estate, 2009-09-16)This study investigates financial markets' price discovery for credit risk across the stock, bond, and credit derivatives markets. This study also examined what factors affect financial market's price discovery for credit ... -
The Impact Of The Sarbanes-Oxley Act Of 2002 On The U.S. Financial Markets
(Finance & Real Estate, 2008-09-17)This dissertation examines the impact of the Sarbanes-Oxley Act (SOX) on the U. S. financial markets by investigating three topics: security analysts' performance, security analyst monitoring activity and firm value, and ... -
Comparative Determinants Of International Equity Diversification
(Finance & Real Estate, 2008-08-08)This study provides a comprehensive, simultaneous comparison of the country and sector determinants of international diversification. Specifically, it bridges the theory between the cointegration methodology and diversification ... -
Essays On Asset Pricing And Growth Effect
(Finance & Real Estate, 2008-08-08)This dissertation comprises two essays on growth effects and opportunities experienced by companies and their implications for asset pricing models. In the first essay, I develop and test a model to explain the empirically ... -
Diversification Benefits Of Real Estate Assets And Equity Assets In A Regional And Global Perspective
(Finance & Real Estate, 2007-09-19)The primary purpose of this dissertation is to utilize recently available and reliable high frequency transactions based data provided by FTSE EPRA/NAREIT and employ modern day time series techniques and recently developed ... -
The Change In Financial Analysts' Forecast Attributes For Value And Growth Stocks
(Finance & Real Estate, 2007-09-17)This research will concentrate on the changes in earnings forecasts, forecast accuracy and forecast dispersion for growth and value stocks after Reg FD. Each topic is presented in a separate essay. The first essay tests ...