We consider the problems commonly encountered in asset management such as optimal execution, portfolio construction, and trading strategy implementation. These problems are generally difficult in practice, in large part due to the uncertainties in financial markets. In this thes…
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There is a lack of scholarly research into the effectiveness of the U.S. government's policy to stabilize the financial markets through providing liquidity to the market for mortgage-backed securities (MBSs). The purpose of this study was to examine if the U.S. Treasury met its …
This dissertation provides theoretical and empirical support for the mechanism of market discipline as an alternative channel complementing supervisory efforts of prudential regulation. The model introduced in the first part is based on a novel risk-return technology that summar…
This dissertation studies economic growth, directly and indirectly, from three different perspectives: labor markets, financial markets, and social institutions. The issues addressed are the effect on labor markets of implementing an unemployment insurance system when eligibilit…
The objective of this dissertation is to understand the role of financial market in economic development, particularly its economy-wide impact on income inequality, poverty, and employment. To accomplish this task, a dynamic computable general equilibrium (FCGE) model with linka…
Lenders in rural financial markets expend considerable resources on loan enforcement and use personalistic ties in order to exploit informational advantages and reduce risk. One implication of personalized transactions and potentially large enforcement costs is that each lender …
The concept of cointegration has become a cornerstone in applied time series analysis to study the long-run equilibrium relationship among the series. The idea was originally put forth by Engle and Granger (1987). According to the Granger Representation Theorem cointegrated seri…
The thesis studies different forms of heterogeneity and their effect on financial markets. The first chapter deals with a conflict that is typically neglected in the corporate finance literature. Shareholders want to maximize their portfolio value and not any specific firm value…
The thesis introduces a framework for analysing market monitoring and surveillance systems in order to provide a common foundation for researchers and practitioners to specify, design, implement, compare and evaluate such systems. The proposed framework serves as a reference map…
Financial asset prices reflect investor's perspectives over the current and future situation of a firm, an industry, a country and ultimately, the entire economy. For this reason, how financial asset prices are driven has been a fundamental economic question. Specific market cha…
There has been much hype in vocational and academic circles surrounding the emergence of web 2.0 or social media; however, relatively little work was dedicated to substantiating the actual concept of web 2.0. Many have dismissed it as not deserving of this new title, since the t…
This research aims to detect and measure earnings management using a newly modified version of the standard Jones model (Jones, 1991). The standard model is extended to include a measure of discretionary accruals as an additional regressor instead of using the residuals. The var…
A recent outbreak of bird flu or avian influenza (AI), an especially highly pathogenic strain (HPAI) of H5N1, started in Hong Kong in January 2003 and caused 159 human deaths in Asia, Africa and Europe through early 2007. In addition, this outbreak resulted in millions of slaugh…
Several studies have concluded that market volatility, integration, and volatility transmission have recently increased. Most recent studies found equity markets to be interlinked. The cause for this increase is attributed to advanced communication system and information technol…
This dissertation contains three studies discussing the financial market returns' volatility spillover, optimal currency union, and source of real exchange rate fluctuations in Gulf Cooperation Council countries (GCC) 1 . This study will give insight into economic integration am…
Recent financial crises in developing countries have exhibited sharp falls in capital flows, i.e. sudden stops and accompanying large output drops. Several models have tried to connect these two facts quantitatively. Since sudden stops cannot generate large output drops quantita…
Homeownership rate varies dramatically across states, metro areas and rural and urban areas within the United States. While cross-country homeownership differences can be explained by national differences in history, institutions, and macroeconomic conditions, these factors cann…