Thesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, 2010. / Cataloged from PDF version of thesis. / Includes bibliographical references (p. 171-176). / The first part of the thesis studies the impact of liquidity crashes on asset prices. In financial markets, liquidity could have large downward jumps. The thesis proposes a dynamic model where investors face the risk of potential liquidity crises. We find that investors choose optimal portfolios not only to hedge the risk of asset fundamentals, but also to hedge the risk of potential liquidity crashes. The potentially illiquid assets tend to have a lower price, a higher volatility, and a lower volume turn-over. Liquidity hedging could induce high return premium and asset returns could have excess volatility over the fundamentals. The risk of potential liquidity crises will also generate rich patterns in return dynamics and the expected asset returns could be driven by risks that are not systematic. The second part of the thesis analyzes the effect of illiquidity on the extreme risk of hedge funds. Hedge funds' returns often exhibit positive autocorrelations, which suggests illiquidity in their asset holdings. In this part, using a data set containing monthly returns of over 5,600 hedge funds, I study how illiquidity affects the extreme risk of hedge funds. I use MA(q) processes to model hedge funds' returns and use smoothing coefficients as proxies for liquidity. The tail risks are estimated using the extreme value theory and the generalized Pareto distribution. We find that illiquidity in general has a negative impact on the tail risk of hedge funds' returns. In particular, the true Value-at-Risk (VaR) of hedge funds could be much higher when illiquidity is taken into consideration. / (cont.) The third part of the thesis studies asset pricing under heterogeneous information. In an asset market where agents have heterogeneous information, asset prices not only depend their expectations of the true fundamentals but also depend on their expectations of the expectations of others. Iterations of such expectations lead to the so-called "infinite regress" problem, which makes the analysis of asset pricing under heterogeneous information challenging. In this part, we solve the infinite-regress problem in a simple economic setting under a fairly general information structure. This allows us to examine how different forms of information heterogeneity impacts the behavior of asset prices, their return dynamics, trading volume as well as agents' welfare. / by Weiyang Qiu. / Ph.D.

Thesis: S.M. in Management Research, Massachusetts Institute of Technology, Sloan School of Management, 2017. / Cataloged from PDF version of thesis. / Includes bibliographical references (pages 59-63). / Hundreds of papers exist on entrepreneurial marketing and finance, whereas capabilities for operations get far less attention. Furthermore, much of the literature in operations management addresses challenges of companies in stable environments, leaving entrepreneurs with little theoretical or practical guidance on operations strategy. As a result, many entrepreneurs focus their efforts on value creation: marketing, product development, lead generation, and conversion. Ironically, extreme focus on value creation might represent a trap, whereby a company fails not because of a poor value proposition or bad marketing, but because of an inability to scale up and deliver value for perhaps an outstanding, innovative new product or service. In over a dozen case studies written during the past four years, we have found numerous examples where the development of operational capabilities was a determining factor for success or failure in entrepreneurial firms. We study the effect of timing of introduction of operational capabilities on market success as a function of firm's value proposition. We provide case evidence on the challenges and opportunities of building operations capabilities in entrepreneurial firms and we construct theoretical and testable models for assessing when and why entrepreneurs should invest sooner, or later, in operational capabilities. / by Sergey A. Naumov. / S.M. in Management Research

Thesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, 2011. / Cataloged from PDF version of thesis. Page 100 blank. / Includes bibliographical references (p. 95-99). / In the emerging markets with a fast growing economy but a not quite efficient capital market, investors try to find a constant excess return against the benchmark from active portfolio management. In this paper, after defining what an active portfolio is, we tested various alpha generating strategies empirically in the emerging markets and reviewed possible asset allocation models as implementation methods for those alpha generating strategies. For finding adaptable alpha strategies for the emerging markets, an empirical study was carried out for four possible alpha generating strategies - value and growth strategy, Fama- French multi-factor strategy, residual earning strategy, and momentum strategy - in 14 emerging countries. The results from alpha testing for fundamental strategies showed a positive correlation between the alpha return and the multi-factor used in size and book-to-market ratio in most Asian countries. Also, the results for technical strategy commonly showed mean-reversion effect in the short run in most emerging countries. Following this empirical test results, we discussed the two possible asset allocation models adapted for active portfolio management to implement alpha generating strategy: Treynor- Black Model and Black-Litterman Model. These two models allow us to input the alpha return and risk obtained by the empirical test results in order to complete active portfolio management. Finally, we expect the completion for active portfolio management adapted for the emerging markets with the empirical test results and the implementation methods. / by Dohyen Nam. / S.M.

Thesis (M.S.)--Massachusetts Institute of Technology, Sloan School of Management, 1990. / Includes bibliographical references (leaves 111-115). / by Nick J. Pudar. / M.S.

Thesis (M.S.)--Massachusetts Institute of Technology, Sloan School of Management, 1984. / MICROFICHE COPY AVAILABLE IN ARCHIVES AND DEWEY. / Includes bibliographical references. / by Anthony Michael Saponaro. / M.S.

Thesis (M.B.A.)--Massachusetts Institute of Technology, Sloan School of Management, 2011. / Cataloged from PDF version of thesis. / Includes bibliographical references (p. 101-104). / The U.S. college textbook market is in the midst of a seismic shift: publishers are creating new products, students are demanding more sophisticated digital content and instructors are just beginning to experiment with easily customizable, low-cost "open" textbooks. Although this industry has been picking up digital content in various forms for decades, their main revenue driver has always been print titles, a basic business fact that is poised to change permanently by 2020. The ongoing changes in product, profitability and market expectations drive home the importance of digital asset pricing in the textbook market. Textbook publishers are now grappling with the challenge of developing untested products at uncertain costs in ambiguous markets while their bread-and-butter print sales are expected to decline, and overall profit margins rapidly shifting below their feet. Changes in this market-both at the supplier and consumer level-can affect educational quality worldwide. Recognizing this fact, this thesis explores the conditions of the textbook market, both historically and in the present day, and the implications of certain market changes over the course of time. It also examines current pricing trends for digital assets based around single "source" textbook products (complete e-textbooks compared to their print-version counterparts). Using this information, with an eye on changing adoption trends and a focus on revenue management, it offers pricing and product recommendations to help publishers think ahead about how to maximize revenue over a product's life cycle as digital goods approach and eventually usurp new print sales. / by Katherine Molina. / M.B.A.

Thesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, 2011. / Cataloged from PDF version of thesis. / Includes bibliographical references (p. 37-41). / I examine the negotiation of accounting rules in the purchase price adjustment clause of corporate acquisition agreements. Purchase price adjustments make the deal value contingent on the target's closing working capital or net worth. Some purchase price adjustments use "rigid" accounting and specify which measurement rules will be used to prepare the closing-date balance sheet. Many more use "flexible" accounting and require only GAAP compliance. I provide evidence that hidden action and adverse selection problems determine whether the buyer and seller use rigid or flexible accounting. I also provide evidence that this choice is associated with other features of the contract related to purchase price adjustment flexibility and to the prospect of hold-up. Estimates of the effect of rigid accounting on finalized purchase price adjustments are consistent with implications of the adverse selection and hold-up problems. / by Derek Christopher Johnson. / Ph.D.

Thesis (M.S.)--Massachusetts Institute of Technology, Sloan School of Management, 1994. / by John Francis Horridge. / M.S.

Thesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, 1986. / MICROFICHE COPY AVAILABLE IN ARCHIVES AND DEWEY. / Bibliography: leaves 233-250. / by Fred D. Davis, Jr. / Ph.D.

Thesis: S.M. in Management Studies, Massachusetts Institute of Technology, Sloan School of Management, 2018. / Cataloged from PDF version of thesis. / Includes bibliographical references (pages 79-80). / In the dynamic market, manufacturers constantly seek for optimal channel alignment for maximizing the channel benefits, which needs joint efforts by both manufacturer and channel partners. Driven by their own interests, dealers act very differently in the marketing channel cooperation. To motivate dealers to behave in a more cooperative way, the marketing channel incentive system is commonly used as the most effective tool. However, aiming at maintaining a high marketing channel efficiency in the dynamic market, OEMs need to develop good internal controls and a more scientific approach in adjusting dealer marketing target. In this paper, current channel marketing status in automotive industry will be introduced, conflicts in the marketing channel cooperation will be identified, channel stakeholders will be analyzed to identify the key influencing factors and build a more reasonable MERT adjusting methodology, and finally, recommendations will be provided for manufacturer's in-house executives. / by Xiaoxuan Song. / S.M. in Management Studies