Current Glucksman Fellowship Program Student Research Reports
Stoyan Georgiev Kiryazov, under the supervision of Rangarajan Sundaram values the quality option embedded in four futures contracts on German bonds – the Schatz futures, the Bobl futures, the Bund futures and the Buxl futures, using a one-factor Hull-White model. Jeremy Wimmer, under the direction of Aswath Damodaran, examines the value of pharmaceutical product-line extensions, focusing on the relationship between different product-line extensions and Medicaid reimbursements for a product line after a generic drug enters the market. Tammy Kwan, under the supervision of Jeff Wurgler, investigates the relationship between Twitter posts regarding a company’s initial public offering (IPO) and the company’s corresponding first day IPO performance. Hadi Zaklouta, under the supervision of Alexander Ljungqvist, examines the potential impact of non-traditional investor participation in late-stage venture capital funding on post-IPO stock performance. These papers, reflecting the research effort of four outstanding Stern MBA students, are summarized in more detail below. You may download any of these research papers, as well as those of previous years, by clicking here.
William L. Silber, Director
Valuing the Quality Option Embedded in Futures on German Government Bonds
Stoyan Georgiev Kiryazov
This paper values the quality option embedded in four futures contracts on German bonds – the Schatz futures, the Bobl futures, the Bund futures and the Buxl futures – using a one-factor Hull-White model. The time frame covered by the paper is March 1999 – December 2009. The results for the quality option indicate that it has a relatively small value averaging 0.000331% of par for the Schatz futures, 0.015866% of par for the Bobl futures, 0.000042% of par for the Bund futures and 0% of par for the Buxl futures. The quality option values seem to be highly sensitive to the volatility and mean-reversion estimation of our model and moderately dependent on the number of deliverable securities for the futures contract and the general level of interest rates. Results from this paper could be used by hedgers using German bond futures contracts in constructing their portfolios.
The Value of Pharmaceutical Product Line Extensions
This paper examines the value of pharmaceutical product line extensions, focusing on the relationship between different product line extensions and Medicaid reimbursements for a product line after a generic drug enters the market. Out of the six product line extensions examined (single-enantiomer drugs, metabolite drugs, extended or controlled release drugs, new routes of administration, all other new dosage forms, and new combinations), the only statistically significant positive relationship was for drug product lines that included a new route of administration. This was surprising, given the wide adoption of the above strategies. Realizing the limitations of using Medicaid reimbursement data for this analysis, this paper offers additional areas for further research.
Twitter Volume and First Day IPO Performance
This paper investigates the relationship between Twitter posts regarding a company’s initial public offering (IPO) and the company’s corresponding first day IPO performance. It finds a weak but significant relationship in which IPOs with higher levels of Tweets on trade day have higher first-day returns. There is also some evidence to indicate that IPOs with higher levels of Tweets prior to trade day also have higher first-day returns. These findings provide support that Twitter posts may be a promising predictor of early IPO performance.
The surge in late stage VC funding with non-traditional investor participation: analyzing the impact on post-IPO gains
This study investigates the potential impact of non-traditional investor participation in late stage venture capital funding rounds on post-IPO stock performance of companies during the 2004-2013 period. Non-traditional investors include hedge funds, mutual funds, and bank or insurance firm affiliates that have recently increased their direct investments in late stage funding rounds. The paper confirms this trend and examines its implication on both pre-IPO investor and public investor gains as measured by 1-day and 3-day stock performance immediately following the IPO. Contrary to what was expected, the results show little statistical significance in the regressions, indicating that the surge in non-traditional investor participation in pre-IPO funding rounds has no definitive effect on post-IPO short term stock performance.