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Applications Of Search Theory In Finance, Hongyu Song
Applications Of Search Theory In Finance, Hongyu Song
Finance - Dissertations
In this dissertation, I apply two types of search based theoretical models to interpret two important issues in finance, respectively. (1)The first essay belongs to the field of corporate finance, in which a random search model is set up to describe the pre-IPO market searching and matching process between private firms with intent to sell equity in an IPO and investment banks (IB) that underwrite the issue. Our model tightly links many IPO-related phenomena such as IPO underpricing and long run underperformance under one unified searching framework. (2) The second essay is related to market microstructure, i.e. bid-ask spread, in …