Since the 1970s, dividends have not only become less common (Fama and French, 2001), they have become less sticky, too. Today, it is not uncommon for a firm to cease dividend payments within three years of initiation. I examine the differences between firms that continue to pay dividends for a...

This dissertation consists of two essays. The first essay develops a new methodology for estimating the probability of informed trading from the observed quotes and depths, by extending the Copeland and Galai (1983) model. This measure (PROBINF) can be computed for each quote and it represents...

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....

Previous research has shown that expected market returns vary over time and that this variationcan be predicted by variables such as dividend yields and book-to-market ratios (Fama andFrench (1989); Campbell and Thompson (2008)). Further, macroeconomic variables affect assetreturns (Flannery and...

Altinkiliç and Hansen (2000) show that underwriter spreads in seasoned equity offerings (SEOs) overwhelmingly reflect variable costs. This research attempts to begin filling the gap created by this result, as to what are the important constituents of the variable costs. In particular, I...

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. First chapter examines whether herding by actively managed equity funds affects their performance. For this purpose, first the effect of herding on stock returns is reexamined and evidence is found that, during the herding quarter, stocks bought...

The Nonlinear Behavior of Stock Prices:The Impact of Firm Size, Seasonality, and Trading FrequencyDebra Ann Skaradzinski(ABSTRACT)Statistically significant prediction of stock price changes requires security returns correlation with, or dependence upon, some variable(s) across time. Since a...