Thesis (Ph. D.)--Ohio State University, 1976. / Includes bibliographical references (leaves 167-180). Available online via OhioLINK's ETD Center.

Thesis (M.Phil.)--Hong Kong University of Science and Technology, 2008. / Includes bibliographical references (leaves 40-42). Also available in electronic version.

Thesis--Københavns universitet. / Summary in English. Bibliography: p. [283]-286.

Thesis (Ph. D.)--Georgia State University, 2008. / Title from title page (Digital Archive@GSU, viewed July 29, 2010) Pam Ellen, committee chair; Ken Bernhardt, Ed Rigdon, Bill Bearden, committee members. Includes bibliographical references (p. 189-194).

Thesis (M. Phil.)--University of Hong Kong, 2005. / Title proper from title frame. Also available in printed format.

Thesis (M.Phil.)--Hong Kong University of Science and Technology, 2007. / Includes bibliographical references (leaves 58-60). Also available in electronic version.

The Great Financial Crisis (GFC) of 2008 left many financial institutions devastated. Despite the practice of advanced risk management at the time, society witnessed the collapse of the “too big to fail” institutions. Gaping holes within the existing risk framework lurked, which both regulators and practitioners failed to detect. This dissertation discusses the symptoms of the crisis that were overlooked and explores the financial engineering implemented post-2008 to avoid the next crisis. The author considers the work of Hull, White, Gregory, Brigo, Kenyon, Green, Morini, Pallavicini, Piterbarg, Burgard, Kjaer, Elouerkhaoui, and Castagna. A literature review is provided for each of the mentioned names to highlight each author’s contribution to the field of Total Value Adjustment (XVA) pricing. An in-depth analysis on the funding invariance principle suggested by Elouerkhaoui is provided followed by a model implementation. The core aim of this dissertation is to review XVA valuations from a practitioners perspective using the framework provided by Elouerkhaoui. A secondary aim of the dissertation is to briefly explore the work of Aboura and Maillard on the Cornish-Fisher Transformation (CF). The CF is considered as a parsimonious approach in estimating non-normal distributions, therefore an interesting alternative to price XVA using Monte Carlo (MC) simulation. / Dissertation (MSc)--University of Pretoria, 2017. / Mathematics and Applied Mathematics / MSc / Unrestricted

Bibliography: pages 190-209. / This research proposed to identify the most accurate method of pricing rights using option pricing models, including the Black Scholes model, the Cox constant elasticity of variance model and the Merton jump diffusion model, and to determine the set of input parameters that lead to the most optimal results. The empirical results indicated that on average all of the models are able to estimate the actual rights trading prices relatively well. Some models performed better than others did and these findings were consistent with the original reasonings. The market was shown to not account for the effect of dilution. The best model prices were obtained when calculating volatility over a one year historical period that included the actual rights trading period. The hypothesis regarding trading volume showed that there is a significant impact of trading volume on the estimation of accurate option prices. The filter rule of rejecting rights prices below 10 cents and 100 cents also improved the results thus showing a bias for lower priced rights to be incorrectly valued and possibly some inefficiency in this sector of the market.

No description available.

Thesis advisor: Ronnie Sadka / In the first essay, we estimate liquidity-driven trading volume, denoted as inside volume, based on the joint daily reversal pattern of volume and price. With this measure, we find that firms experience a shock to idiosyncratic volatility display an increase in liquidity provision. Furthermore, the under-performance of high-idiosyncratic volatility firms is limited to those with high inside-volume. The relation between idiosyncratic volatility and liquidity provision is prominent in both over- and under-priced stocks. The results suggest that the idiosyncratic volatility puzzle is largely driven by liquidity provision. In the second essay, I document a discontinuity at zero in the conditional distribution of hedge fund quarterly returns following underperformance and outflow. I propose a dynamic measure, conditional kink (CK), to quantify this quick loss recovery and investigate its underlying mechanism. Contrary to the managerial skill hypothesis, hedge funds with higher CK underperform in the subsequent year. Furthermore, this underperformance only pertains to funds with low governance, suggesting that some fund managers may engage in ill-motivated activities to recovery. The flow-performance relationship indicates that investors do not recognize this adverse behavior, thus highlighting the importance of internal control and information monitoring in the hedge fund industry. In the third essay, we demonstrate a “reinforcement effect” between past returns and media-measured sentiment across several asset markets – liquid individual stocks, international equity markets, and currencies. Reinforcement states when past returns and media sentiment agree signify overreaction, leading to return reversion. Reversion disappears in non-reinforcing states. The effect is driven by the unrelated shocks, rather than correlated comovement, in past returns and sentiment. Sentiment’s return-forecasting strength comes primarily through greater negative return autocorrelation in reinforcement states. The effect is stronger in more liquid assets and using local news outlets. Buying disparaged losers while selling praised winners earns several percent annually. In the fourth essay, I demonstrate the importance of inter-firm political links, measured by common campaign contributions made by firm executives. Price movements of a firm’s stock are predictable based on stock price movements of connected firms. Cross-predictability is strongest among politically connected firms that operate in different states and sectors, suggesting that inter-firm political links are largely overlooked due to limited investor attention. To probe the underlying mechanism, I present evidence suggesting that common sources of political exposure across firms ex-ante cannot alone explain this relationship; instead, political ties play the key role, further synchronizing ex-post political agendas. Using the 2010 Citizens United v. FEC decision as an exogenous shock, I find that cross-predictability is weaker for firms that are restricted from actively engaging in political campaigns. Long-short stock portfolios based on political ties yield risk-adjusted returns of 4%-5% per annum. / Thesis (PhD) — Boston College, 2019. / Submitted to: Boston College. Carroll School of Management. / Discipline: Finance.