The mean-variance model pioneered by Nobel laureate Harry Markowitz is the foundation of modern portfolio theory, and is widely applied in asset allocation and active portfolio management. However, the naive 1/N diversification ...

Information in the equity issuance market is highly asymmetric. Issuers have information advantages over investors and underwriters. Under asymmetric information, in the U.S., insiders from issuing companies and the ...

Time is a fundamental dimension of our perception of the world and therefore of critical importance to the organisation of human behaviour. Without the ability to perceive time we would not be able to navigate the world ...

Substantial progress has been made in developing option hedging models that account for transaction costs. Previous analyses of option hedging strategies in the presence of transaction costs use a Monte Carlo simulation ...

This thesis consists of two essays on idiosyncratic stock return volatilities (IVOL). In the first essay (Chapter 3), I find that the negative relation between IVOL and subsequent stock returns (the IVOL puzzle) does not ...

This research examines strategic liquidity management and opportunistic trading by studying portfolio decisions of United States insurers. I find that insurers located in hurricane-prone areas sell bonds to hold cash before ...

This thesis includes two essays studying a new type of entrepreneurial financing institution. Recently a new type of institution has emerged, crowd funders. These entities: 1) channel capital to create intellectual property; ...

This thesis examines informed trading activity in opaque markets around corporate earnings releases. I find that prior to surprise earnings news, informed traders use opaque markets to conceal their informational advantage. ...

I study the cross-sectional return implications of technology shocks through the channel of capital reallocation. I present a model in which capital reallocation frictions limit the ability of non-innovating firms to ...

This thesis studies the roles of equity mutual funds in the real economy. I review the literature and identify two channels through which mutual funds can exert influences on the real economy: first as informed financiers ...