In this dissertation we focus on two points in the study of financial statistics, volatility estimation and option pricing. In the first chapter we briefly introduce the relevant terms and concepts as well as a general literature review for the diffusion and GARCH model and realized volatility....

The arbitrage-free term structure model of Heath, Jarrow and Morton is one of the standard tools for the theoretical analysis of fixed income securities and their associated derivatives. A specific HJM model is fully determined by a choice of volatility structure. This is attributed to the...

This dissertation consists of three essays that analyze the role of information asymmetry on asset prices, the effect of asset price volatility on capital structure and the importance of cash flow news and discount rate news on firm level returns respectively. First essay empirically...

We examine the contagion, competitive, and direct effects of two significant events: (1) the December 1994 bankruptcy announcement of Orange County, California, the largest municipal bankruptcy in U.S. history, and (2) the September 1998 negative earnings and near bankruptcy/rescue...

The purpose of this work is to empirically assess the validity of the Capital Asset Pricing Model (CAPM) in terms of how can it model an equity’s return. The goal of this work is not to challenge the theory behind CAPM, nor compare it to alternatives, but simply to test whether or not it is...

This study examines the performance of industry consolidating IPOs by using a sample of 58 firms that conducted a roll-up IPO over the 1994-1999 period and 55 build-up IPOs that went public between 1983 and 1999. Results indicate that the long-run stock price performance of roll-up IPOs...

Most working adults have access to a taxable brokerage account (TBA) and a tax deferred retirement account (TDRA). According to the existing literature, taxable bonds should be located in the TDRA, while equities should be located in the TBA due to the tax treatments of these accounts. If...

In the first essay, I test the predictions of the market timing theory of capital structure on a comprehensive sample of firms that issued debt and equity during the period January 1974-December 2001. I first categorize firms as likely and unlikely market timers based on their ability to time...

Firm investment and the ownership structure are fundamentally important in corporate management in which both the firm investment and the ownership structure is an potential indicator of firm's financial health, strategy, future direction, and even interdependent relationship within themselves....

Traditionally, an auditor switch is interpreted as bad news because the switch seems to be motivated by manager's effort to avoid a future qualified opinion from the incumbent auditor or to manipulate accounting numbers favorably for the firm. This view is supported by empirical evidence of...