This study develops a model for the valuation of Collateralized Mortgage Obligations (CMOs). The model is based on a two-factor model of the term structure of interest rates and embeds an empirically estimated mortgage prepayment function. The model is used to analyze various CMO tranches,...

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...

In Part I we develop a model of entry in which an entrant with private information about its production cost and cost of entry has an opportunity to trade in the stock of a single incumbent before entry. We assume an efficient stock market populated by risk-neutral liquidity sellers who randomly...

In this paper, we provide evidence that trading driven by investors' behavioral biases contributes to stock return momentum. In particular, we focus on two types of irrational trading, momentum trading and confidence-influenced trading, which could be driven by psychological biases introduced by...