This work consists of three essays that investigate the effect of investor behavior on asset prices. In the first essay, titled “Transaction Costs and Investment Decisions of Individual Investors,” I study the liquidity decisions of 66,000 households from a large discount brokerage. My paper...

This dissertation examines how investments in information technology (IT) influence the value that firms derive from merging or collaborating with other firms. The dissertation is organized as follows. The first chapter, entitled Towards a Theoretical Framework of Information Technology in...

One influential criticism of the stock market oriented U.S. financial system is that its excessive focus on short term quarterly earnings forces public firms to behave in a myopic manner. We hypothesize that if capital markets pressure listed firms to be myopic in a way that impacts efficiency,...

This dissertation exploits variation in tax policies in order to better understand the incentive effects of taxation on individual and firm behavior. The results presented herein are intended to inform policy debates in the two areas examined--property and multinational taxation--as well as the...

The dissertation consists of three distinct chapters that contribute to important, yet unresolved topics in Macroeconomics and International Economics.Macroeconomists have been keenly interested in understanding how financial crisis turn into real recessions in emerging markets. By using a...

Interpreting accruals as working capital investment, we hypothesize that firms optimally adjusttheir capital investment in response to discount rate changes. Consistent with the discount-ratehypothesis, we document that (i) the predictive power of accruals for future returns increaseswith the...

We present a derivative pricing and estimation methodology for a class of stochastic volatility models that exploits the observed 'bursty' or persistent nature of stock price volatility. Empirical analysis of high-frequency S&P 500 index data confirms that volatility reverts slowly to its mean...

This study examines relations between stock returns and potential explanatory factors in Korea, an important and segmented emerging market. Our results show that Korean stock returns in general and returns on stocks listed in Section 1 in particular are significantly positively related to...

This paper analyzes the risk-taking behavior of financial intuitions that have guarantees (e.g., banks with deposit insurance or Government Sponsored Enterprises with implicit guarantees) and/or institutions that find it beneficial to develop a reputation for not taking risk. For instance, banks...