Date of Award

Summer 8-2-2012

Degree Type


Degree Name


Degree Program

Financial Economics


Economics and Finance

Major Professor

Wei Peihwang

Second Advisor

Mukherjee Tarun

Third Advisor

Whitney Gerald

Fourth Advisor

Hassan Mohammad

Fifth Advisor

Naka Atsuyuki


In the first chapter of this dissertation, I examine the relationship between hedging and diversification effects on CEO compensation in the Real Estate Investment Trust (REIT) industry. The REIT industry is suitable for this investigation for various reasons; primarily being that the REIT sample represents a relatively clean sample to study the effects of diversification and hedging on compensations. I find a positive and significant relationship between the interaction variable which reflects the effects of both hedging and diversification and CEO pay-for-performance sensitivity. This is consistent with the notion that managers are in a better position to manage firm risk if they use all the available tools and instruments, including hedging and diversification. I also find a positive and significant relationship between hedging and CEO pay-for-performance sensitivity, indicating that CEO compensation is more short term oriented because hedging is a relatively short term risk reduction strategy.

The second chapter of this dissertation examines the relative contribution of regular and e-mini futures market to price discovery of EUR/USD futures contracts on the CME, using intraday data in 2010. The relative contribution to price discovery is estimated using the information share approach proposed by Hasbrouck (1995) and Gonzalo and Granger (1995). Empirical findings indicate that regular futures market accounts for approximately 66.5% of price discovery in the EURO/USD market. This study also examines if the regular future’s information share (IS) can be explained by the positioning of commercial and non-commercial traders. The results support the conclusion that the IS of regular futures can be better explained by non-commercial traders (speculators) than commercial traders (hedgers).


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