Two essays in financial product pricing

... guaranteed minimum withdrawal benefit riders Also, we have assumed deterministic interest rate structure since 2.1 Introduction interest rate plays its in uence mainly on discount factors in pricing the ... challenging topics in financial industry In this thesis we study two quite important financial products: guaranteed minimum withdrawal benefit (GMWB) and non-maturing deposit GMWB i...

Ngày tải lên: 01/10/2015, 17:27

Ngày tải lên: 18/02/2014, 11:20

... AGUILAR: Essays in Financial Econometrics: GMM and Conditional Heteroscedasticity (Under the direction of Eric Renault.) This dissertation consists of three papers in the field of financial econometrics ... by incorporating a sequential testing procedure Begin by ordering the assets according to the prominence of conditional heteroscedasticity evident in each process y...

Ngày tải lên: 03/06/2014, 01:20

... Studies examining insider trading around important corporate announcements report similar findings.10 However, the decrease in managerial holdings is not as dramatic as the increase in selling; for ... holdings (CHNG): CHNG= ∆ (Share holdings) t + ∆ (Option holdings) t ( Beginning share holdings + Beginning option holdings) t b The independent variables are defined as follows: stock acq...

Ngày tải lên: 03/06/2014, 02:22

... presented in Chapter 2, examines whether individual investors’ trading decisions are in uenced by a desire to feel good about gains and losses Because of the diminishing marginal utility of gains and ... exhibited in actual trading decisions of individual investors Investors realize gains or losses when they sell stocks Therefore we can draw inferences about investors...

Ngày tải lên: 02/11/2014, 00:31

... examining incentives to change entire firm value, for instance, a change in the accounting system They suggest that percentage ownership (the second measure) is more important in explaining incentives ... non-restating firms Industry-year adjusted values for restating firms 18 are calculated by deducting the median non-restating firm’s characteristic in the corresponding industry-year o...

Ngày tải lên: 02/11/2014, 00:50

... ABSTRACT ESSAYS IN FINANCIAL ECONOMICS AND APPLIED ECONOMETRICS Yingmei Cheng A Craig MacKinlay In the first chapter, Informativeness o f Analysts’ Recommendations, we investigate the informativeness ... firm s, m ainly according to p olls o f institutional investors.) B rokerage firm s R anking in 1994 R anking in 1995 R anking in 1996 Ranking in 1997 M organ Stanley...

Ngày tải lên: 30/09/2015, 15:34

... gives information comparing investors in this sample to mutual fund investors in general Panel A of the table shows that in 2000, 83.2% of the holdings in my sample are in equity funds, 6.7% are in ... avoid admitting that their original purchase decision was a mistake, so they avoid realizing losses and instead sell winning funds Shefrin and Statman (1985) call selling winners wh...

Ngày tải lên: 30/09/2015, 17:19

... polynomial functions available, including a piecewise constant function, a piecewise linear function over cone, high-dimensional splines, and etc., the one we consider here is a linear function in all ... dominated convergence theorem, the integral Vth is n−1 also continuous To show that Vth is nondecreasing in σT , one should note that n−1 equation (1.3.4) implies that it’s an increasing...

Ngày tải lên: 12/09/2015, 08:16

... cash financing which includes combinations of cash, debt, and liabilities The second category is stock financing, which includes payments with common stock or a combination of common stock and ... measures in different regressions E Long-term performance Majority mergers and acquisition studies find negative abnormal performance following mergers (Loderer and Martin (1992), Ande...

Ngày tải lên: 03/06/2014, 02:22

... corporate investors are most useful in relieving the financial constraints of the target firms by mitigating information asymmetry between target firms and outside shareholders Second, my findings ... that firms lacking financial slack sell equity to a well-informed corporation Firms facing high asymmetric information problem in the capital markets often seek financing from intermedia...

Ngày tải lên: 02/11/2014, 00:31

... stock market linkage in East Asia remains low; and unlike trade integration, the integration of financial markets in this region has been occurring more on a global level rather than on a regional ... developed markets, much less studies have been focusing on East Asian markets, as East Asian financial liberalization has only a short history Also, the financial dat...

Ngày tải lên: 12/09/2015, 10:52

... illustrates the main structural, theoretical and incentive-related policy implications of circuit theory of finance Section I.2 discusses the special role of the financial system as the core of the circuit ... profitability is declining The internalization of information within the same institution may thus enhance intra -circuit and inter -circuit st...

Ngày tải lên: 24/10/2012, 09:33