EFFICIENCY AND ACCURACY OF ALTERNATIVE IMPLEMENTATIONS OF NO-ARBITRAGE TERM STRUCTURE MODELS OF THE HEATH-JARROW-MORTON CLASSTae Young ParkAbstractModels of the term structure of interest rates play a central role in the modern theory of pricing bonds and other interest rate claims. Term...

The Heath-Jarrow-Morton (HJM) model represents the latest in powerful arbitrage-free technology for modeling the term structure and managing interest rate risk. Yet risk management strategies in the form of immunization portfolios using duration, convexity, and M-square are still widely used in...

This dissertation consists of two chapters. The first chapter shows that the measurement errors in betas for stocks induce corresponding measurement errors in alphas and a spurious negative covariance between the estimated betas and alphas across stocks. This negative covariance between the...

This dissertation consists of two essays. The first provides evidence that the recent revival of shelf equity offers is related to changes in how firms use shelf registration. During 1990-2003 firms that make shelf filings have no immediate intent and low probability of issuance, lower...

The dissertation consists of two essays. In the first essay, we measure herding by institutional investors in the new economy (internet) stocks during 1998-2001 by examining the changes in the quarterly institutional holdings of internet stocks relative to an average stock. More than 95% of the...

Several research studies in finance have investigated the effect of financial factors on investment decisions of firms. More recently, researchers have extended conventional models of firm-investment by incorporating a role for financing constraints in determining the firm's investment decision....

This dissertation analyzes a series of issues that surround both the theoretical modeling and theempirical estimation of the forward-futures differential, commonly known as the convexityadjustment. Opposite to theoretical implication, I find that the magnitude of the forward-futuresrate...