Theses/Dissertations from PDF. Essays on Corporate Finance, Hari Prasad Adhikari. PDF. Two Essays on Individuals, Information, and Asset Prices, Joseph Mohr. PDF. Two Essays on Investment, Bin Wang. PDF. Two Essays on Corporate Finance, Qiancheng Zheng Oct 04, · List of Finance Dissertation Topics A comparative analysis of the application of continuous-time models in different financial environments. A literary discussion on the role of speculation in undermining banking stability in Asian markets. A multi-factor quadratic stochastic volatility model Estimated Reading Time: 8 mins The thesis examines ETF markets' effect on anomalies on anomalies in FX and Equity markets. In the first chapter, we study the linkage between two different types of ETF order flows and foreign exchange rates. We find that equity and currency ETF order flows provide two separate information sources that currency markets blogger.comted Reading Time: 8 mins
List of Finance & Economics Dissertation Topics for Students - | TopicsMill
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Doctoral Theses. You are Year Year -Year Essays on ETFs and Futures in Commodity Space: Price Discovery Dynamics and the Physical-versus-Synthetic Debate. Author s : Soner Kistak, PhD. Have ETFs Dethroned Futures as Price Leaders in the Kingdom of Precious Metals?
This innovation has significantly increased the product choices available to gold, silver, platinum, and palladium investors, phd finance thesis. The impact of Company Leverage on the CAPM and Parametric Portfolio Construction.
Author s : Stefano Dova, PhD. This thesis is divided in two chapters, in which I analyze the impact of company leverage on stock returns and optimal portfolios. In the first chapter, I derive a CAPM for levered equity from the unlevered one-factor CAPM or asset CAPMcorrecting for the presence of debt at both the individual company and market level. I show that the levered representation of the one-factor asset CAPM Forecasting Market Direction with Sentiment Indices.
Author s : David Mascio, PhD, phd finance thesis. Successful market timing strategies depend on superior forecasting ability and the accuracy of market forecasts. These indices are combined to create two Chimerica and Expected Return of Stocks.
Author s : Jasmine Yu, PhD, phd finance thesis. Chimerica and Expected Return of Chinese Stocks: Using various econometrics methods with varying degrees of success, my research finds that the Chimerica phenomenon possibly exists in expected return of Chinese stocks, reflecting the symbiotic macroeconomic linkage between the two countries, phd finance thesis. Chimerica is a noticeable factor that exhibits Essays in Banking Sector Stability.
Author s : Krishnamurthy Vaidyanathan, PhD. Dynamic Asset Pricing with Funding-Shortfall Risk. Author s : Majid Hasan, PhD. Funding-Shortfall Risk and Asset Prices in General Equilibrium : Institutional investors, such as pensions and phd finance thesis, are typically constrained to hold enough wealth to be able to make their contractually promised payments to fund beneficiaries, and face a funding-shortfall risk.
We seek to explore the optimal asset allocation strategies for institutions facing this risk, and its effects on Portfolio Allocation and Testing in Markov Switching Models. Author s : Douglas Chau, phd finance thesis, PhD. Constructing a Real-Time Regime Phd finance thesis for Asset Allocation: Modeling regimes directly from multiple asset class returns is a numerically challenging exercise. Here, we present an alternative approach to classifying regimes for a large number of assets through the construction of a single real-time regime indicator.
The indicator is based on a dynamic factor model, using multi-frequency Topics in Asset Prices and Crashes. Author s : Messaoud Chibane, PhD. Methodological Advances in Estimating Non-Gaussian Consumption-Based Asset Pricing Models: We contribute to the literature of rare disaster events by constructing a robust methodology for phd finance thesis non-Gaussian extensions of the standard CCAPM. We demonstrate theoretically that, in the presence of consumption rare disaster events, all cumulants of order strictly higher than two help solve the Two essays in Empirical Finance.
Author s : Harsh Parikh, PhD. The Cross-Sectional Dispersion and Volatility of Bond Returns and Manager Outperformance: This paper examines the link between fixed income manager outperformance and both longitudinal and cross-sectional volatility in the bond markets. By conditioning our analysis based on different market environments such as rising yield regimes and periods of increasing volatility, we show that opportunities Effectiveness of Developed and Emerging Market FX Options In Active Currency Risk Management.
Author s : Suprita Vohra, PhD. Active Currency Risk Management Using Option Structures: This paper explores the effectiveness of currency options in international portfolios. While most academic focus has been on assessing currency risk in a portfolio via measures such as VaR, CVaR etc, several practitioners aim to use this risk in their portfolio as a source of excess returns.
We look at the role of FX option structures A Study of Asset Pricing in an Ageing Population. Author s : Yasusori Iwanaga, PhD. I develop a simple preference model, "ageing agent utility", with a linear risk aversion function of age distribution in a time-separable utility. Two descriptors incorporate the dynamics of demography: the Two essays played on the credit triangle: Implied Recovery Rates and Implied Ratings. Author s : Jeroen Jansen, PhD.
Local Volatility and the Recovery Rate of Corporate Bonds: The credit default swap CDS spread can be decomposed into the product of the probability of default and the loss given default. It is necessary to implement some structure on either the probability or the loss given default to disentangle them. With the help of a hybrid binomial tree for equities and a recovery function, Das and Hanouna Bankruptcy Law Reforms and Enforcement: consequences on Bank Credit for SMEs.
Author s : Marco Ghitti, PhD. Bankruptcy Law Reforms and Bank Credit for SMEs: A series of Italian Bankruptcy Law reforms, aiming to facilitate debt renegotiation and business continuation, allows us to disentangle how a change of creditor rights affects Bank Credit Market for SMEs. We exploit a new credit level dataset on bank credit, phd finance thesis, with more than 6. Essays in Asset Pricing and Market Microstructure. Author s : François Cocquemas, PhD. Does market incompleteness matter phd finance thesis market microstructure?
We use a natural experiment at the Tel Aviv Stock Exchange TASE to analyze how order submission patterns, trading and hedging strategies, and overall phd finance thesis impact are affected Performance evaluation and Persistence in Private Equity, phd finance thesis. Author s : Sue Wan Chua, PhD, phd finance thesis.
Performance Persisted in Private Equity: The first paper studies the performance and persistence of U. phd finance thesis funds with updated and detailed cash flow data from a publicly available database. I find substantial heterogeneity in performance exists across post funds and the better performing funds sustain their outperformance across successive funds of the same GP. When current funds are Multiple Curves and Multiple Regimes: Libor Market Models on Switching co-Jump Diffusions.
Author s : Rodney Hoskinson, PhD. Modelling interest rate volatility over the whole term structure is an important part of building a model for pricing interest rates Introducing State Contingencies in Longevity Risk Models with n-State Stochastic Longevity Data Generating Process - Applications to Asset Pricing of Life-Contingent Claims and Decumulation Phase Asset Allocation. Author s : Russell Nel, PhD.
Asset Pricing Of Life-Contingent Claims with n-State Stochastic Longevity Data Generating Process: Longevity risk is expected to dominate all major public and private sectors for the foreseeable future. The research hypothesizes that idiosyncratic impaired-health states, in the age cohort exceeding 65 years, is a crucial clinical variable required to profile individual life expectancy with Forecasting Equity Phd finance thesis and Volatility with Regime-Switching Partial Least Squares.
Author s : Jakob Von Ganske, PhD.
How to finish a PhD thesis quickly - 5 simple tips to write a thesis in two months!
, time: 12:20PhD in Finance - Doctoral Theses | EDHEC Business School
Two essays in Empirical Finance. Author (s): Harsh Parikh, PhD. The Cross-Sectional Dispersion and Volatility of Bond Returns and Manager Outperformance: This paper examines the link between fixed income manager outperformance and both longitudinal and cross-sectional volatility in the bond blogger.comted Reading Time: 8 mins Oct 04, · List of Finance Dissertation Topics A comparative analysis of the application of continuous-time models in different financial environments. A literary discussion on the role of speculation in undermining banking stability in Asian markets. A multi-factor quadratic stochastic volatility model Estimated Reading Time: 8 mins Theses/Dissertations from PDF. Essays on Corporate Finance, Hari Prasad Adhikari. PDF. Two Essays on Individuals, Information, and Asset Prices, Joseph Mohr. PDF. Two Essays on Investment, Bin Wang. PDF. Two Essays on Corporate Finance, Qiancheng Zheng
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