NEW SSE DISSERTATION
''This thesis consists of three independent papers in financial economics. The unifying theme is the goal to address a number of active areas in financial research with new and interdisciplinary methodology. The first paper, Hedge Funds and Financial Intermediaries (ongoing joint work with Magnus Dahlquist and Valeri Sokolovski), contributes to the growing field of intermediary asset pricing by evaluating intermediary risk in an important and often poorly understood asset class - hedge funds.
The second paper is The information Content in Corporate Conference Calls : A computational Liquistics Approach. Corporate conference calls are a frequently used platform for information dissemination.
The third paper is The benchmark Currency Stochastic Discount Factor. The question is what is the appropriate stochastic discount factor (SDF) for pricing the positive predictable excess returns for investments in high interest rate currencies and the negative predictable excess returns for investments in low interest currencies remains open in the literature.''