We hypothesize that investors partially think about stock price changes in dollar rather than
percentage units, leading to more extreme return responses to news for lower‐priced stocks …

We show that disagreement about future yields cannot be explained by disagreement about
fundamental macroeconomic variables. This disconnect is inconsistent with models with …

I propose a theoretical paradigm of reduced-form total Greeks which capture the total
sensitivities of option premia to input variables without the necessity of modifying the …

We examine whether values of equity options traded on individual firms are sensitive to the
firm's capital structure. Specifically, we estimate the compound option (CO) model, which …

In this thesis, we investigate several aspects of asset price volatility dynamics in financial
markets. In Chapter 1, we focus on the long memory property of financial volatility and study …

This paper studies the relation between equity volatility and numerous firm characteristics. It
is proven, through the stock returns and a measure of leverage, that an increase in the Debt …

This paper introduces a structural dynamic factor model (SDFM) for stock returns. Compared
to standard linear factor models, structural modeling accounts for nonlinear effects of …