Business Commons^™

Vega, Capital Ratios, And Real Estate Lending, Muna Alsheikh

Doctor of Business Administration Dissertations

The 2007 financial crisis revealed how excessive bank risk threatens financial system stability. This paper studies two aspects of the risk-taking incentives of banks– CEO compensation and capital. The vega of a bank executive’s equity compensation measures how compensation changes relative to the banks’ stock volatility. If CEO compensation vega is high, I expect the CEO to take more risk in areas where he exercises control. Conversely, if regulators demand that banks invest their own capital to encourage conservative behavior, then I expect risk-taking to be lower. This paper confirms that higher vega and lower capital ratios are associated with …

Systemic Risk In Financial Networks, Tathagata Banerjee

McKelvey School of Engineering Theses & Dissertations

In this dissertation, I have used the network model based approach to study systemic risk in financial networks. In particular, I have worked on generalized extensions of the Eisenberg--Noe [2001] framework to account for realistic financial situations viz. pricing of corporate debt while accounting for network effects, asset liquidation mechanisms during fire sales, dynamic clearing and impact of contingent payments such as insurance and credit default swaps. First, I present formulas for the valuation of debt and equity of firms in a financial network under comonotonic endowments. I demonstrate that the comonotonic setting provides a lower bound to the price …

Operations Management Under Financial Frictions, Fasheng Xu

Arts & Sciences Electronic Theses and Dissertations

The main purpose of this dissertation is to study the emerging operations issues under financial frictions, in the contexts of supply chain finance and crowdfunding platform; and to identify the implications for individuals and businesses. In Chapter 1, "A Supply Chain Theory of Factoring and Reverse Factoring", we develop a supply chain theory of factoring (recourse and non-recourse) and reverse factoring showing when these post-shipment financing schemes should be adopted and who really benefits from the adoption. Factoring is a financial arrangement where the supplier sells accounts receivable to the factor against a premium, and receives cash for immediate working …

Essays On Marketing Strategy, Chang Liu

Arts & Sciences Electronic Theses and Dissertations

In this dissertation, I apply game-theoretical methods in the context of marketing research and investigate the effects of stylized facts in behavioral economics. Chapter 1 studies the effects of managerial optimism on firms’ performance. Research has shown that many managers and entrepreneurs tend to be optimistic and are inclined to believe that negative shocks happen to them less frequently than to others. However, there is also evidence suggesting that such optimism is often inaccurate in reality and managerial optimism can lead to the failure of a company. We develop a game-theoretic model to investigate the impact of managerial optimism on …

Blame And Credit In Organizations: Theory And Evidence Explaining The Responses Of Leaders After Failure And Success, Jasmine M. Huang

Arts & Sciences Electronic Theses and Dissertations

The blame and credit literature has operated largely on the assumption that actors want to reduce the blame assigned to them and increase assigned credit (Gioia & Sims, 1985; Greenwald, 1980; Shaver, 1985). As a result, much of the literature has focused on the shifting of blame away from the self and of credit towards the self (e.g., Crant & Bateman, 1993), rather than other behaviors that are less self-serving (e.g., blame-taking, Gunia, 2011). This dissertation explores a variety of blame and credit behaviors and explains why leaders may enact different types of blame and credit behaviors. In Chapter 2, …

Microfoundations Of Innovation In Organizations, Trey Cummings

Arts & Sciences Electronic Theses and Dissertations

This dissertation weaves together three distinct chapters that are unified in their focus on the microfoundations of innovation in organizations. Chapter 1 utilizes a unique NASA employee data set to investigate the effect of promotion reward incentives on knowledge worker innovation. This study is the first to empirically show a positive relationship of promotion incentives with individual innovation outcomes in a field setting while also revealing a decrease in collaboration. This result exposes promotion structure as a potentially powerful tool for affecting innovation. Chapter 2 develops a unique measure of R&D structure and finds that the incentives created by long-term …

Firms’ Strategies For Technology And Platform-Based Markets, Tianxin Zou

Arts & Sciences Electronic Theses and Dissertations

In this dissertation, I build game-theoretic frameworks to study how new Internet-enabled technologies can change the strategies of firms and online platforms.

The first chapter studies how the integration of primary and resale concert ticket platforms can affect consumers and musicians. Consumers can buy concert tickets from primary platforms (e.g., Ticketmaster) or from resale platforms (e.g., StubHub) where tickets are resold by other consumers. Recently, Ticketmaster has also been developing its resale business and attempting to control the resale market by blocking consumers from reselling on competing resale platforms. Legislation in many states in the US requires consumers should be …

Reputational Considerations Within Prosocial Behavior, Rachel Gershon

Arts & Sciences Electronic Theses and Dissertations

Consumers and companies often consider the welfare of others when making decisions. Consumers might spend their money donating to meaningful causes or choose to purchase from socially responsible companies. Companies must also choose whether and how to prioritize behaving Prosocially or “giving back”. One reason that both companies and individuals behave prosocially is to be viewed positively by others, or in other words, to gain charitable credit. In my research, I explore this impression management motivation behind prosocial behavior.

In Chapter one, I show that low-warmth actors are often assumed to lack communal (or other-oriented) intentions, even when acting generously. …

Machine Learning And Empirical Asset Pricing, Yingnan Yi

Doctor of Business Administration Dissertations

In this paper, I conduct a comprehensive study of using machine learning tools to forecast the U.S. stock returns. I use three sets of predictors: the past history summarized by 120 lagged returns, the technical indicators measured by 120 moving average trading signals, and the 79 firm fundamentals, which helps to understand the weak-form market efficiency, algorithm trading and fundamental analysis. I find each set independently has strong predictive power, and buying the top 20% stocks with the greatest predicted returns and shorting bottom 20% with the lowest earns economically significant profits, and the profitability is robust to a number …

"Can I Work With Your Group?" Assessing Preferences Among The Washington University In St. Louis Undergraduate Community Towards International Students In Classroom Group Formation, Marisa Ippolito, Aneesha Bandarpalle, Hank Michalski

Senior Honors Papers / Undergraduate Theses

Group formation is an integral component of the contemporary higher education experience. This begs the question of how students form groups: which aspects are most important, and what determines people’s preferences for group members. Specific incidents have indicated that some students, particularly international students, are not sure if they will be welcome when asking to join a class group. In this study, undergraduate business students were surveyed to understand their preferences when selecting group members, using conjoint analysis to analyze the results. Overall, (i) results show that the most important factor for people’s preferences is if a potential group member …

The Cross Section Of Expected Returns: Evidence From Implied Beliefs Of Active Mutual Funds Managers, Jorge Sabat

Doctor of Business Administration Dissertations

I develop a new test to compare the performance of asset pricing models. Using the industry allocations of active US mutual funds, I employ a structural model to estimate the implied expected returns on industry portfolios. For each asset pricing model, I use the factor loadings and the implied expected returns to calculate the implied expected factor risk premium. I compare the models based on the implied Sharpe ratio of the market portfolio. My methodology identifies the asset pricing model that not only generates the highest Sharpe ratio for the market but also best tracks the ex-ante Sharpe ratio. I …