In chapter 1, we study the investment behavior of firms faced with uncertainty, irreversibility and non-convex adjustment costs when output can be stored. A discrete-time dynamic optimization problem is solved numerically using neural networks to study the investment problem. Our numerical results suggest that whether or not firms can store their output can have a significant impact on the investment decision, particularly when demand is stochastic. This chapter is an important first step to understanding the equilibrium price dynamics of storable commodities. Such an equilibrium model is proposed in chapter 2. The purpose of chapter 2 is to model the price dynamics of a storable commodity in a production economy framework. Our model consists of an infinite horizon economy with a risk-averse agent and two goods: a liquid asset and a commodity. The primary purpose served by the commodity is endogenously determined by the supply of liquidity. The model is solved numerically and the results suggest that the joint dynamics of the commodity spot price and convenience yield depend on the nature of the commodity. In particular, we find that when a commodity serves primarily as a store of value, the spot price and convenience yield can move in opposite directions. The purpose of chapter 3 is to investigate investors' responses to ownership disclosure in a specific context. We examine in real-time the recommendations made by analysts on one of the Making Money Now segments, which air on CNBC while markets are open. The recommendations are followed by disclosures, which are mandatory under Title V of the Sarbanes Oxley Act of 2002 and NYSE and NASD rules. We measure the reaction to both the recommendation event and the disclosure event. While we find an immediate response in price, volume and order flow following the recommendation event, there appears to be no response following the disclosure event. Our results should be useful to policymakers who must balance the costs imposed on those who must disclose with the benefits to individual investors who gain from the disclosure.

Last modified

• 08/14/2018

Creator

• Caroline-Anne Sasseville

DOI

• https://doi.org/10.21985/N24T5X

Subject

• Finance

Keyword

• Commodity prices
• Storage
• Disclosure
• Convenience yield
• Investment
• Irreversibility

Date created

• 2007-07-09

Resource type

• Dissertation

Rights statement

• In Copyright