We examine the effect of credit default swaps (CDS) trading on debt specialization. We argue that reference firms in CDS contracts exhibit higher debt concentration in comparison to firms that do not have CDS traded on them as a way to minimize creditor conflicts and costs in bankruptcy. Our...

I estimate the speed of adjustment toward a target capital structure on a cost basis. Whereas other papers test for mean reversion of leverage ratios, I test for mean reversion in the opportunity cost of being away from a target capital structure. The primary benefit of this approach is that the...

In a sample of 26,395 firms from 40 countries, we find evidence in support of the dynamic trade-off theory for capital structure. Firms in every country of our sample partially adjust toward target capital structures. We show that legal, institutional, and other country-level factors explain...

In a sample of 26,395 firms from 40 countries, we find evidence in support of the dynamic trade-off theory for capital structure. Firms in every country of our sample partially adjust toward target capital structures. We show that legal, institutional, and other country-level factors explain...

This dissertation is a collection of essays on Asset Pricing: Predictability, Information, and Liquidity. The ?rst chapter, ?Predictability of Equity Returns over Di?erent Time Horizons: A Nonparametric Approach? aims to test an important hypothesis in ?nan, cial economics: whether equity...

This thesis seeks to contribute to the understanding of markets populated by boundedly rational agents who learn from experience. Bounded rationality and learning have both been the focus of much research in computer science, economics and finance theory. However, we are at a critical stage in...

This thesis describes and evaluates a market-making algorithm for setting prices in financial markets with asymmetric information, and analyzes the properties of artificial markets in which the algorithm is used. The core of our algorithm is a technique for maintaining an online probability...

This thesis seeks to contribute to the understanding of markets populated by boundedly rational agents who learn from experience. Bounded rationality and learning have both been the focus of much research in computer science, economics and finance theory. However, we are at a critical stage in...