Discount is the difference between the face value of a bond and its present value. We propose an arbitrage-free dynamic framework for discount models, which provides an alternative to the Heath-Jarrow-Morton framework for forward rates. We derive general c ...
Using data on international equity portfolio allocations by U.S. mutual funds, we estimate a portfolio expression derived from a standard mean-variance portfolio model extended with portfolio frictions. The optimal portfolio depends on the previous month a ...
Financial criteria in architectural design evaluation are limited to cost performance. Here, I introduce a method – Automated Design Appraisal (ADA) – to predict the market price of a generated building design concept within a local urban context. Integrat ...
This thesis aims to provide novel analyses and data that improve the understanding of the financing of investments in clean technologies. In particular, this thesis explores the role that private and public actors play in supporting young innovative firms. ...
The need to evaluate natural resource investments under uncertainty has given rise to the development of real options valuation; however, the analysis of such investments has been restricted by the capabilities of existing valuation approaches. We re-visit ...
We build a dynamic agency model in which the agent controls both current earnings via short-term investment and firm growth via long-term investment. Under the optimal contract, agency conflicts can induce short- and long-term investment levels beyond firs ...
This thesis develops three models that study the motivation of various agents to take on debt,
and the impact that excessive financial leverage can have on social welfare.
In the chapter "Short-term Bank Leverage and the Value of Liquid Reserves", the ince ...
The industrial sector has a large presence in world energy consumption and CO2 emissions, which has made it one of the focal points for energy and resource efficiency studies. However, large investments are required to retrofit existing industrial plants, ...
Based on a dynamic model of the stochastic repayment behavior exhibited by delinquent credit-card accounts as a self-exciting point process, a bank can control the arrival intensity of repayments using costly account-treatment actions. A semi-analytic solu ...
This thesis studies the valuation and hedging of financial derivatives, which is fundamental for trading and risk-management operations in financial institutions. The three chapters in this thesis deal with derivatives whose payoffs are linked to interest ...
In this thesis I study how firms choose their optimal debt maturity. The recent financial crisis illustrated why debt maturity is an important determinant of firmsâ capital structure and it also renewed economistsâ interest in this topic, see for examp ...
This thesis empirically explored the impacts of IT investment on three different scenarios under the common denominator / threads of IT investments. It comprises three different essays on the impacts of IT investments. IT investments and its impact on many ...
This thesis examines the optimal mode of financing for banks and financial institutions. The first chapter, which is a joint work with Prof. Jean-Charles Rochet, investigates how Systemically Important Financial Institutions (SIFIs) should be financed. The ...
We model the financing, cash holdings, and hedging policies of a firm facing financing frictions and subject to permanent and transitory cash flow shocks. The permanent and transitory shocks generate distinct, sometimes opposite, effects on corporate polic ...
Estimates of intangible capital stock are of prime importance for accurate measurement of productivity growth. Aggregate intangible capital stock is usually estimated using the so-called Corrado-Hulten-Sichel (CHS) new growth accounting framework. Yet this ...
This thesis contains four chapters, each of which utilizes new or unusual data sources to analyze a different area of financial economics. In the first chapter, I construct a novel dataset linking individual bankers to large borrowers in the U.S. syndicate ...
The policy response to the recent financial crisis has broadly focused on two themes: 1) Increasing the banking sectorsâ resilience to future financial shocks: 2) Improving credit availability to households and firms via lowering both short and long-term ...
We consider a portfolio of products in which each product probabilistically transitions through various life cycle stages. The evolution through these life cycle stages is impacted by both marketing support and product launch decisions, which are bound by ...
This thesis is structured in three chapters, each pertaining to a specific problem in financial economics. The first chapter, titled 'High-Frequency Jump Analysis of the Bitcoin Market' and co-authored with Prof. Olivier Scaillet and Adrien Treccani of the ...
This thesis proposes three studies that provide novel empirical evidence on how different types of VCs' characteristics signal the quality of an entrepreneurial venture and influence investment strategies of funds subject to self-regulation. In the first s ...
