We propose an asset pricing model in a production economy where cash flows are determined by firms' optimal dividend and investment decisions. Extensive and intensive decision margins in dividend payout are modeled with cash holding and investment adjustment costs. The model implies that delays...

Affine term structure models (ATSMs) are known to have a trade-off in predicting future Treasury yields and fitting the time-varying volatility of interest rates. First, I empirically study the role of macroeconomic variables in simultaneously achieving these two goals under affine models. To...

This dissertation examines the relative importance of the information effect oncorporate takeover in total takeover gains. It develops the measure of information effectbased on the residual income valuation model with I/B/E/S analysts' abnormal earningsforecast revisions. Empirical results show...

I examine two sets of incentives faced by corporate CEOs to determine how theyrespond to those incentives. I compare firms that restate financial statements to firmsthat do not restate to test the hypotheses that bank monitoring should provide incentivesto deter misreporting. For relatively less...

Graham and Harveys (2001) survey evidence and Baker, Greenwood, and Wurgler (2003) indicate that firm managers try to time debt markets based on term spreads or excess bond returns when choosing the maturity of new debt issues. Whether debt market timing increases firm value via a reduced cost...

This dissertation examines corporate use of derivative instruments and multi-period hedging methods. It studies the use of linear (e.g. futures) and nonlinear (e.g. options) derivatives in a sample of 382 U.S. non-financial firms (920 firm-year observations) between 1992 and 1996. It also...