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Iliev, Peter. "Essays in economics and finance." View abstract/electronic edition; access limited to Brown University users, 2008. http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&res_dat=xri:pqdiss&rft_dat=xri:pqdiss:3318330.
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Jiang, Chuanliang. "Three Essays In Finance Economics." Thesis, Boston College, 2013. http://hdl.handle.net/2345/3178.
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Thesis advisor: Zhijie XiaoThis dissertation contains three essays. It provides an application of quantile regression in Financial Economics. The first essay investigates whether tail dependence makes a difference in the estimation of systemic risk. This chapter develops a common framework based on a copula model to estimate several popular return-based systemic risk measures: Delta Conditional Value at Risk (ΔCoVaR) and its modification; and Marginal Expected Shortfall (MES) and its extension, systemic risk measure (SRISK). By eliminating the discrepancy of the marginal distribution, copula models provide the flexibility to concentrate only on the effects of dependence structure on the systemic risk measure. We estimate the systemic risk contributions of four financial industries consisting of a large number of institutions for the sample period from January 2000 to December 2010. First, we found that the linear quantile regression estimation of ΔCoVaR, proposed by Adrian and Brunnermeier (AB hereafter) (2011), is inadequate to completely capture the non-linear contagion tail effect, which tends to underestimate systemic risk in the presence of lower tail dependence. Second, ΔCoVaR originally proposed by AB (2011) is in conflict with dependence measures. By comparison, the modified version of ΔCoVaR put forward by Girardi et al. (2011) and MES, proposed by Acharya et al. (2010), are more consistent with dependence measures, which conforms with the widely held notion that stronger dependence strength results in higher systemic risk. Third, the modified ΔCoVaR is observed to have a strong correlation with tail dependence. In contrast, MES is found to have a strong empirical relationship with firms' conditional CAPM beta. SRISK, however, provides further connection with firms' level characteristics by accounting for information on market capitalization and liability. This stylized fact seems to imply that ΔCoVaR is more in line with the ``too interconnected to fail" paradigm, while SRISK is more related to the ``too big to fail" paradigm. In contrast, MES offers a compromise between these two paradigms. The second essay proposes a quantile regression approach to stock return prediction. I show that incorporating distributional information together with combining model information can produce a superior forecast for the conditional mean as well as the entire distribution of future equity premium, which significantly outperforms the forecast that utilizes either source of information alone. Meanwhile, the order of combination strategies appears to make a difference in the efficiency of pooling both distributional information and model information. It turns out that aggregating distributional information in the first step, followed by combining model information in the second step is more advantageous in return forecast than the alternative combination strategies which reverse the order of combination strategy. Furthermore, the forecast based on LASSO model selection can be significantly improved as well if the distributional information is further incorporated. In other word, aggregating distributional information via combining multiple quantiles estimators contributes to the improvement of forecasts obtained either from model combination or model selection. This paper not only investigates the forecast of conditional mean, but also studies the forecast of the whole distribution of future stock returns. The approaches of quantile combination together with either model combination or model selection turn out to deliver statistically and economically significant out-of-sample forecasts relative to a historical average benchmark. The third essay proposes a quantile-based approach to efficiently estimate the conditional beta coefficient without assuming a parametric structure on the distribution of data generating process. Multiple quantiles estimates are combined in a weighting scheme to utilize distributional information across different quantile of the distribution. Monte Carlo simulation demonstrated that combining multiple quantile estimates can substantially improve the estimation efficiency for beta risk estimates in the absence of Gaussian distribution. The robustness of quantile-based beta estimates are pronounced during financial crisis when the distribution of stock returns deviates most from normality. I also explored the performance of different beta estimators in an application of portfolio management analysis and found that beta estimates from the proposed quantile combination approaches are superior to the OLS estimates in constructing Global Minimum Variance Portfolio, which generates lower variance of portfolio but does not come at the expense of persistent lower returns
Thesis (PhD) — Boston College, 2013
Submitted to: Boston College. Graduate School of Arts and Sciences
Discipline: Economics
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Park, Andreas. "Essays in economics and finance." Thesis, University of Cambridge, 2004. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.615762.
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Baily, Walter Toshihide. "Essays in finance." Thesis, Massachusetts Institute of Technology, 1995. http://hdl.handle.net/1721.1/11869.
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Washington, Ebonya. "Essays in public finance." Thesis, Massachusetts Institute of Technology, 2003. http://hdl.handle.net/1721.1/17633.
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Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2003.Includes bibliographical references.
This thesis consists of three distinct essays in public finance economics. In the first I use the presence of minority candidates on the ballot to test two implications of the spatial theory of voting. I find, contrary to theoretical predictions, that the magnitude and types of voters who come out to the polls is responsive to the race of the candidate on the ballot. While both black and white voters turn out in greater numbers when there is a black on the ballot, the whites who are propelled to the polls are more often Republican than not. I use this shift in the electorate caused by the racial mix of the candidates as a test of candidate responsiveness, a second implication of the spatial theory. I find evidence in support of this prediction. In Chapter 2 I seek to understand why thirty-five to forty-five percent of low-income American households do not possess a bank account I demonstrate that the low-income household's banking decision responds to the price of savings accounts, particularly their minimum balance requirements. Despite this, I show that government banking regulation to this point has been ineffective in connecting households to transaction accounts. On the other hand, regulation of the fringe banking market has proved more successful. One approach to covering the uninsured that is frequently advocated by policy makers is subsidizing the employee portion of employer-provided health insurance premiums. In Chapter 3, joint with Jonathan Gruber, we study an example of such subsidies: the introduction of pre-tax premiums for postal employees in 1994, and then for the remaining federal employees in 2000. We find that there is a very small elasticity of insurance takeup with respect to its after-tax price, and a modest elasticity of plan choice. Our results suggest that the federal government did little to improve insurance coverage, but much to increase health care expenditures, through this policy change.
by Ebonya Lia Washington.
Ph.D.
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Hadlock, Charles J. (Charles James). "Essays in corporate finance." Thesis, Massachusetts Institute of Technology, 1994. http://hdl.handle.net/1721.1/11658.
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Jones, Geraint Paul. "Essays in international finance." Thesis, Massachusetts Institute of Technology, 2005. http://hdl.handle.net/1721.1/32406.
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Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2005."June 2005."
Includes bibliographical references.
This thesis is a collection of three essays on exchange rate policies and international capital flows in emerging markets. The first chapter examines the theoretical foundations of the "fear of floating" that has been observed to characterize many emerging market exchange rate regimes. Building on a model that derives "fear of floating" from a desire to prevent non-fundamental shocks in foreign exchange markets affecting the real economy, the chapter shows that floating exchange rates can still be optimal in such an environment. It further argues that floating exchange rates should become more prevalent as emerging markets integrate more fully into the world economy. The second chapter investigates the empirical evidence on "fear of floating" with a view to determining whether the phenomenon is the optimal response of emerging markets to a volatile external environment, as supposed in the first chapter, or whether more emerging markets would optimally employ floating exchange rates. The chapter finds evidence that "fear of floating" has a dual aspect; that it might indeed be optimal during less severe external volatility, but during severe external shocks, fear of floating can lead to underinsurance against sudden stops in capital inflows. Such "fear of floating" is associated with a lack of credibility in monetary policymaking and the chapter argues that the evidence suggests that a credible commitment to floating exchange rates during severe external shocks would help insure emerging markets against sudden stops. The third chapter evaluates the link between foreign investment and corruption in emerging markets.
(cont.) A model is developed of the link between FDI and corruption and the model is evaluated with data from the World Bank's Business Environment and Enterprise Performance Survey. It is found that corruption reduces aggregate FDI flows, but also distorts the composition of FDI towards firms more willing to engage in certain forms of corruption. FDI does not necessarily import better standards of governance. The chapter concludes with policy recommendation -for addressing the corruption in emerging markets.
by Geraint Paul Jones.
Ph.D.
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Ferman, Bruno. "Essays on household finance." Thesis, Massachusetts Institute of Technology, 2012. http://hdl.handle.net/1721.1/77793.
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Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2012.Cataloged from PDF version of thesis.
Includes bibliographical references (p. 121-126).
This dissertation consists of three essays. The first chapter studies whether credit demand is sensitive to interest rates, to the prominence of interest rate disclosure, and to nudges. Consumer credit regulations usually require that lenders disclose interest rates. However, lenders can evade the spirit of these regulations by concealing rates in the fine print and highlighting low monthly payments. I explore the importance of such evasion in Brazil, where consumer credit for lower and middle income borrowers is expanding rapidly, despite particularly high interest rates. By randomizing contract interest rates and the degree of interest rate disclosure, I show that most borrowers are highly rate-sensitive, whether or not interest rates are prominently disclosed in marketing materials. An exception is high-risk borrowers, for whom rate disclosure matters. These clients are rate-sensitive only when disclosure is prominent. I also show that borrowers who choose this type of financing are responsive to nudges that favor longer-term plans. Despite this evidence, the financial consequences of information disclosure, even for high-risk borrowers, are relatively modest, and clients are less susceptible to nudges when the stakes are higher. Together, these results suggest that consumers in Brazil are surprisingly adept at decoding information even when lenders try to obfuscate the interest rate information, suggesting a fair amount of sophistication in this population. The second chapter (co-authored with Leonardo Bursztyn, Florian Ederer, and Noam Yuchtman) studies the importance of peer effects in financial decisions. Using a field experiment conducted with a financial brokerage, we attempt to disentangle channels through which a person's financial decisions affect his peers'. When someone purchases an asset, his peers may also want to purchase it because they learn from his choice ("social learning") and because his possession of the asset directly affects others' utility of owning the same asset ("social utility"). We randomize whether one member of a peer pair who chose to purchase an asset has that choice implemented, thus randomizing possession of the asset. Then, we randomize whether the second member of the pair: 1) receives no information about his peer, or 2) is informed of his peer's desire to purchase the asset and the result of the randomization determining possession. We thus estimate the effects of: (a) learning plus possession, and (b) learning alone, relative to a control group. In the control group, 42% of individuals purchased the asset, increasing to 71% in the "social learning only" group, and to 93% in the "social learning and social utility" group. These results suggest that herding behavior in financial markets may result from social learning, and also from a desire to own the same assets as one's peers. The third chapter (co-authored with Pedro Daniel Tavares) uses data on checking and savings accounts for a sample of clients from a large bank in Brazil to calculate the prevalence and cost of "borrowing high and lending low" behavior in a setting where the spread between the borrowing and saving rates is on the order of 150% per year. We find that most clients maintain an overdrawn account at least one day a year while having liquid assets. However, the yearly amount of avoidable financial charges would only correspond, on average, to less than 0.5% of clients' yearly earnings. We also show that consumers are less likely to engage in such behavior when the costs of doing so are higher. These results suggest that the spread between the borrowing and saving rates is a key determinant of this behavior.
by Bruno Ferman.
Ph.D.
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Motta, Gregori Adolfo de 1970. "Essays in corporate finance." Thesis, Massachusetts Institute of Technology, 2001. http://hdl.handle.net/1721.1/8220.
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Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2001.Includes bibliographical references.
This dissertation presents three essays in Corporate Finance. In the first essay, I study managerial incentives in internal capital markets. In particular, I develop a two-tiered agency model to study division managers' incentives within internal capital markets. Division managers try to influence the external capital market's assessment of the firm and the internal capital market's assessment of their divisions in order to increase their level of funding. I show that, as the number of divisions increases, the external capital market's assessment of the firm becomes a public good for division managers, and the internal capital market replaces the external capital market in the provision of managerial incentives. I also show that, while diversified firms have an advantage in allocating resources, this may come at the expense of managerial incentives. Based on the analysis, the paper relates the value of diversification to characteristics of the firm, the industry, the external capital market, and the internal capital market. In the second essay, I propose a model of entrepreneurship in which investors decide whether to become venture capitalists or to form firms and entrepreneurs decide whether to join a firm or seek financing in the venture capital market. The venture capital market allows better matching between investors and entrepreneurs, but this comes at the cost of adverse selection. The model suggests that as a sector matures, innovation takes place first within firms, then in ventures backed by venture capitalists backed ventures, and finally within firms again.
(cont.) In addition, I analyze the relationships between the venture capital market and investors' diversity, investors' scope of expertise and entrepreneurial incentives. The third essay, which is co-authored with Andres Almazan, examines how the trading activities of institutional investors can help to mitigate agency conflicts in corporations. The access of institutional investors to privileged information produces an adverse selection effect that reduces the trading activity of institutional investors and generates a free-rider problem that affects the intensity with which institutional investors wish to "vote with their feet". We also study ownership implications, incentives to acquire information and the interaction of the Wall Street Rule with other mechanisms of governance (i.e. capital structure).
by Adolfo de Motta Gregori.
Ph.D.
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Fischer, Gregory M. (Gregory Mark). "Essays on development finance." Thesis, Massachusetts Institute of Technology, 2008. http://hdl.handle.net/1721.1/45906.
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Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2008.Includes bibliographical references.
This thesis consists of three essays that examine investment choices in less developed countries. Chapter 1 examines how the structure of existing microfinance contracts may discourage risky but high-expected return investments. I develop a theory that unifies models of investment choice, informal insurance, and formal financial contracts and test the predictions using a series of experiments with Indian microfinance clients. The experiments confirm that borrowers free-ride on their partners, making risky investments without compensating partners for this risk, and that the addition of peer-monitoring overcompensates, leading to sharp reductions in risk-taking and profitability. However, the theoretical prediction that group lending will crowd out informal insurance is not borne out by experimental evidence. While observed levels of informal insurance fall well short of the constrained Pareto frontier under both individual and joint liability, joint liability increases observed insurance transfers. Equity-like financing overcomes both of these inefficiencies and merits further testing in the field. Chapter 2 investigates the relationship between inflation uncertainty and the investment decisions of small, microfinance-funded firms in the Dominican Republic. Using loanlevel panel data from microfinance borrowers in the Dominican Republic, I find that periods of increased inflation uncertainty were associated with substantially lower investments in fixed assets and reduced business growth. This finding is robust to specifications controlling for other forms of systemic risk and aggregate economic activity, suggesting inflation uncertainty creates potentially large distortions to the investment decisions of poor entrepreneurs.
(cont.) Chapter 3, co-authored with my advisor, Esther Duflo, turns to investment behavior for public goods. This paper proposes and implements a test of local government efficiency by using a policy in India that set aside leadership positions in local governments to members of disadvantaged minority groups. If local governments are efficient, even if they discriminate against minority groups by supplying fewer public goods, they should still supply the public goods that minority groups value most. We find that when leadership positions are reserved for disadvantaged minorities, hamlets in which these minorities live receive a greater allocation of public goods. Moreover, we find suggestive evidence that this increase in public goods in minority hamlets is not proportional to the distribution of goods when the leadership position is unreserved, suggesting that in the absence of reservation, local governments do not efficiently respond to the minority group's preferences.
by Gregory M. Fischer.
Ph.D.
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Mora, Nada 1976. "Essays in international finance." Thesis, Massachusetts Institute of Technology, 2003. http://hdl.handle.net/1721.1/17623.
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Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2003.Includes bibliographical references.
This thesis is a collection of three empirical essays in international finance. The first chapter studies the transmission of monetary policy through the lending channel in a partially dollarized banking system. Taking advantage of the cross-sectional and time-series variation in the individual Mexican bank balance sheets, I find that the deposits and loans of banks with a larger share of foreign deposits are less sensitive to domestic monetary shocks, particularly for small banks. This result is reinforced when foreign monetary shocks and country risk shocks are controlled for. The results also suggest that banks with a larger foreign deposit share are more sensitive to foreign (U.S.) monetary shocks. Finally, these banks are more sensitive to country risk. That is, they are more prone to lose deposits when Brady bond spreads increase, although the size of their loan portfolio is not reduced. The second chapter examines whether bank credit fuels asset prices, using evidence from the Japanese real estate boom during the 1980's. The decline in banks' loans to keiretsu firms is used as the shock to bank real estate credit. The evidence supports using keiretsu loans as an instrument. Financial deregulation allowed large firms to replace bank finance with financing from public markets. The main part determines that those prefectures that experienced a larger loss in their banks' proportion of keiretsu loans experienced a positive increase in real estate lending which fuelled land inflation. An increase of 0.01 in a prefecture's instrumented share of real estate loans for 3 years implies a 28 % higher land inflation rate. The third chapter evaluates the behavior of sovereign credit ratings. This chapter questions the view that credit rating agencies aggravated the Asian crisis by excessively downgrading those countries. I find that ratings are, if anything, sticky rather than excessively procyclical. Assigned ratings exceeded predicted ratings prior to the crisis, mostly matched predicted ratings during the crisis period, and did not increase as much as predictions in the recent period following the crisis. Ratings are also found to react to nonmacroeconomic factors, lagged spreads and default history.
by Nada Mora.
Ph.D.
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Lamont, Owen A. "Corporate finance and microeconomics." Thesis, Massachusetts Institute of Technology, 1994. http://hdl.handle.net/1721.1/11965.
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Conesa-Labastida, Andres. "Essays on international finance." Thesis, Massachusetts Institute of Technology, 1997. http://hdl.handle.net/1721.1/10334.
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Kang, Ho. "Essays in Financial Economics." Thesis, Harvard University, 2012. http://dissertations.umi.com/gsas.harvard:10526.
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In the first essay, I study stock price movements during the trading day and find that retail trading activity generates excess intraday volatility. I develop a simple econometric measure which reveals that volatility realized during the trading day is too high to be reconciled with volatility achieved over the entire trading day. High intraday volatility stocks temporarily outperform low intraday volatility stocks by approximately 59 basis points over the next month. This temporary outperformance is due to retail investor price pressure, which I identify using the detailed brokerage dataset of Barber and Odean (2000) as well as a novel time-series dataset obtained from parsing the financial statements of Charles Schwab and E TRADE. The second essay considers how tax-motivated selling generates temporary distortions in stock prices around the turn of the tax year. As investors face the trade-off between selling a temporarily-depressed stock this year and selling next year but delaying tax implications by one year, the magnitude of the stock’s price distortion is a function of its cost basis, the capital gains tax rate, and importantly, the interest rate. Each of these components explains variation in US stock returns as well as retail investor selling behavior around the turn of the tax year. Similar results in the UK provide out-of-sample confirmation, as tax and calendar years differ. The third essay develops a real business cycle model with time-varying inflation risk and optimal, but infrequent, capital structure choice. In the model, more volatile inflation or more procyclical inflation leads to quantitatively important increases in credit spreads. Intuitively, this result obtains because inflation persistence generates large uncertainty about the price level at long maturities and because firms cannot adjust their capital structure immediately. Across a panel of six developed economies, credit spreads rise by 15 basis points if either inflation volatility or the inflation-stock return correlation increases by one standard deviation. Firms counteract higher debt financing costs by adjusting their capital structure in times of higher inflation uncertainty.
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Cerny, Ales. "Arbitrage in monetary economics and finance." Thesis, University of Warwick, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.322441.
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Ramalho, Rita Maria 1975. "Essays in development economics and finance." Thesis, Massachusetts Institute of Technology, 2003. http://hdl.handle.net/1721.1/17630.
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Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2003.Includes bibliographical references.
This thesis is a collection of three essays on development economics and finance. The first chapter studies the 1992 presidential impeachment in Brazil to evaluate the impact of an anti-corruption drive on politically connected companies. I identify two types of firms: companies owned by friends and relatives of the impeached president ('family-connected') and firms proven to be connected to him in a parliamentary investigation ('other-connected'). Using an event study procedure, I establish that family-connected firms have on average negative daily abnormal returns of 2 to 9 percentage points when damaging information about the president is released. However, the 'other-connected' companies do not experience a decline in their stock market valuation during the impeachment. Furthermore, the stock market decline experienced by 'family connected' companies was reversed entirely within a year. The impeachment had limited success in reducing corruption. The second chapter evaluates the effects on multinational firms of the OECD "Convention on Combating Bribery of Foreign Public Officials in International Business Transactions". I compare the balance sheet performance of foreign companies in 24 developing host countries whose source countries have implemented the convention with the performance of firms whose source countries have not yet implemented it. I find that the OECD convention had a negative impact on profit and sales growth of multinational companies. This effect is amplified in countries with less efficient bureaucracies. In economies where bribery is more valuable to firms, the OECD convention has a larger negative impact on multinational firms. The third chapter studies in detail the distribution of one type of financial market participant: mutual funds. The essay documents that their size follows a regularity observed in several other area of economics, Zipf's law: the number of funds with size greater than x is proportional to 1/x. This chapter extends previous theories of random growth to explain why this is the case: Zipf's law arises when mutual funds grow at the highest speed allowed by constraints in the system, something we call a "maximum growth principle." We investigate empirically the key features of the theory, and show that they are validated by the data.
by Rita Maria Ramalho.
Ph.D.
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Rappoport, Veronica E. (Veronica Eva). "Essays on international finance and economics." Thesis, Massachusetts Institute of Technology, 2005. http://hdl.handle.net/1721.1/33829.
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Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2005.Includes bibliographical references (p. 119-123).
The first essay explains why credit contracts in developing countries are often denominated in foreign currencies, even after many of these economies succeeded in controlling inflation. I propose a new interpretation based on the demand for insurance against real aggregate shocks. The fact that devaluations occur more frequently in adverse states of the world provides a motive for holding dollar assets when the risk of recession is the main source of volatility in consumption. The model predicts persistence in the degree of "dollarization" in economies with low inflationary risk. The second essay looks at how the government's lack of commitment technology affects the capacity of resident agents to optimally diversify risk. I find that government's moral hazard introduces a trade-off between pooling idiosyncratic risk and diversifying aggregate country uncertainty. As a result, local agents face excessive consumption risk. This paper also explores how institutions can be designed as to overcome this moral hazard problem. The third essay proposes an explanation for the variation across countries in the quality of the institutions governing the financial. The explanation based on the proportion of local investors participating in the domestic financial sector.
(cont.) I find that the participation of local investors in the financial market and, correspondingly, the resulting institutions vary according to wealth distribution and the size of capital inflows.
by Veronica E. Rappoport.
Ph.D.
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Ductor, Gómez Lorenzo. "Essays on network economics and finance." Doctoral thesis, Universidad de Alicante, 2012. http://hdl.handle.net/10045/24822.
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Esta Tesis Doctoral está compuesta de dos partes bien diferenciadas. La primera parte consta de dos capítulos que contribuyen a la literatura empírica de las redes sociales, una rama emergente en la economía moderna. Las interacciones sociales -representadas en redes o grafos- están presentes prácticamente en toda actividad económica. Consecuentemente, la evaluación de determinadas políticas económicas debería realizarse teniendo en cuenta el impacto de estas interacciones tanto en las acciones de los individuos como en el resultado económico. El estudio de las redes sociales en economía ha ido adquiriendo una gran importancia desde el ensayo de Granovetter (1985). Desde entonces se ha aplicado la teoría de redes sociales para analizar numerosos temas económicos como, por ejemlo: el desempleo y la desigualdad salarial (Calvo-Armengol y Jackson, 2004), la difusión del conocimiento y la innovación (Bala y Goyal, 1998) o la provisión de bienes públicos locales (Bramoullé y Kranton, 2007), entre muchos otros. Véase Goyal (2011) para un resumen de la literatura teórica y empírica de las redes sociales en la economía y Jackson (2008) para una síntesis de los modelos y técnicas empleadas para analizar las redes sociales. La primera parte de la presente Tesis se centra en las posibles externalidades inherentes en las redes de coautores académicos. La comprensión de estas potenciales externalidades presentes en la colaboración científica es de vital importancia para la evaluación de las políticas económicas cuyo objetivo son promover a colaboración intelectual. Dichas políticas se han implementado presuponiendo una relación positiva entre la colaboración científica y la productividad. El primer capítulo contrasta rigurosamente el impacto de la coautoría en la productividad de los autores académicos, utilizando como medida de productividad la calidad de la revista donde se ha publicado el artículo, su longitud y el número de artículos publicados en un determinado periodo. La relación causal entre la coautoría y la productividad académica es identificada explotando información de la red de coautores del autor en el pasado. En el segundo capítulo, en colaboración con Marcel Fachamps, Sanjeev Goyal y Marco van der Leij, se evalúa el poder informativo de la red de coautores de un autor para predecir el rendimiento del individuo. Los resultados sugieren que los reclutadores se beneficiarían de obtener información sobre la red de coautores, siendo el factor más informativo la productividad de los coautores de un autor. La segunda parte de la Tesis se centra en el estudio de los potenciales factores causantes de las crisis financieras. En particular, el tercer capítulo coautorado con Daryna Grechyna analiza el impacto del exceso del desarrollo financiero, definido como el diferencial entre la tasa de crecimiento del sector financiero e industrial, en el crecimiento económico. La existencia del exceso financiero es justificada bajo la teoría del "rebasamiento de la información" (informational overshooting). Demostramos que para un crecimiento económico sostenible, el crecimiento equilibriado en ambos sectores, financiero y productivo, es requerido. Cuando el desarrollo financiero excede al desarrollo industrial en un 4.5% (medidos en términos de tasas de crecimiento); los recursos invertidos en la producción sobrepasarán la capacidad productiva de la economía, dando lugar a una "crisis financiera".
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Wuthisatian, Phuvadon. "Two Essays in Economics and Finance." ScholarWorks@UNO, 2018. https://scholarworks.uno.edu/td/2501.
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This dissertation contains two essays. The first essay investigates the measure of FX liquidity and determinants of the change in FX liquidity. Using 20 cross currency exchange rates over spanning period of 1999 to 2016, funding constraints and global risks are responsible for the main drivers of changing in FX liquidity. The magnitudes of both G7 and emerging volatility index are offsetting each other in all the regression models indicating that FX investors take diversification trading strategies to diversify their portfolios. The financial crisis provides an evidence that the more financial constraint issues contribute to the change in FX market illiquidity more than non-financial crisis period. Extending to liquidity predictability, I find, however, that the lag of market FX liquidity is responsible for the change in FX liquidity than any other explanatory variables
My second essay investigates the momentum returns of U.S. equities by presenting comprehensive approaches. Traditionally, momentum portfolios are constructed by ranking based on excess returns. Using this sorting technique, I confirm that there is a presence of momentum returns in U.S. equities for all of the 48 industries. The results also indicate that the portfolios that are sorted by idiosyncratic volatility as well as by diversification strategy cannot achieve the highest returns as for sorting based on excess returns. Further, I examine the momentum portfolio predictability using the inverse conditional volatility proposed by Moreira and Muir (2017), and show that the momentum returns are affected by the size of liquidity and the risk factors rather than by the economic variables.
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Högfeldt, Peter. "Essays in corporate finance." Doctoral thesis, Handelshögskolan i Stockholm, Finansiell Ekonomi (FI), 1993. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-1457.
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Bruich, Gregory Alan. "Essays in Public Finance." Thesis, Harvard University, 2015. http://nrs.harvard.edu/urn-3:HUL.InstRepos:17467485.
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My dissertation consists of three chapters on topics in public finance. Chapter 1 studies optimal disability insurance (DI) in two parts. In the first part, I show that the well-established result that DI reduces labor supply is driven largely by making it feasible for the disabled to stop working, rather than by reducing effective wages. Therefore, DI is very valuable because it operates through a non-distortionary (and welfare enhancing) income effect, rather than a price or substitution effect. In the second part of my paper, I show that externalities and internalities create unique challenges for designing DI systems. I study an institutional setting where 80% of the population receives a payment on the same day each month. I find that the probability of an emergency room visit increases for DI beneficiaries, but not others, when monthly income is received, and this response to payments is present even in the years before they were granted DI benefits. The results imply that optimal policy may involve non-traditional policy tools. Chapter 2 presents evidence on one such alternative policy tool, in-kind transfers, in the context of food stamp benefits in the United States. In November 2013, temporary benefit increases in the American Recovery and Reinvestment Act expired, resulting in lower benefits for all Supplemental Nutrition Assistance Program (SNAP) households. I use scanner data from 400 grocery stores and over 2.5 million SNAP households in Atlanta, Los Angeles, and Columbus, OH to estimate the effect of the benefit cuts on household spending. I find that the impact per household was relatively small, but the aggregate impact was large because 23 million households were affected in November 2013. In contrast, subsequent legislation passed in February 2014 will impact relatively few households, leading to a much smaller aggregate impact. Chapter 3 shows that, in addition to ER visits, consumption of hard alcohol, crime, and traffic accidents all increase nationwide in Denmark when 80% of the population receives income each month. Deaths may also increase. This evidence runs counter to standard theories of how households make consumption decisions and sheds new light on potential explanations.Economics
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Mukharlyamov, Vladimir. "Essays in Corporate Finance." Thesis, Harvard University, 2016. http://nrs.harvard.edu/urn-3:HUL.InstRepos:33493350.
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This dissertation contains three chapters. In the first chapter, which is joint work with Paul Gompers and Steven Kaplan, we survey 79 private equity (PE) investors with combined assets under management of more than $750 billion about their practices in firm valuation, capital structure, governance, and value creation. Investors rely primarily on internal rates of return and multiples to evaluate investments. Their limited partners focus more on absolute performance as opposed to risk-adjusted returns. Capital structure choice is based equally on optimal trade-off and market timing considerations. PE investors anticipate adding value to portfolio companies, with a greater focus on increasing growth than on reducing costs. We also explore how the actions that PE managers say they take group into specific firm strategies and how those strategies are related to firm founder characteristics.
The second chapter, co-authored with Efraim Benmelech, Nittai Bergman, and Anna Milanez, identifies a new channel through which bankrupt firms impose negative externalities on non-bankrupt peers. The bankruptcy and liquidation of a retail chain weakens the economies of agglomeration in any given local area, reducing the attractiveness of retail centers for remaining stores leading to contagion of financial distress. We find that companies with greater geographic exposure to bankrupt retailers are more likely to close stores in affected areas. We further show that the effect of these externalities on non-bankrupt peers is higher when the affected stores are smaller and are operated by firms with poor financial health.
In the third chapter, using a novel dataset that allows me to capture the education and career trajectories of over 250,000 employees of 224 bank holding companies, I find that banks with shorter employee tenures and higher fractions of MBAs, top school graduates, and job jumpers performed more poorly during the Great Recession. This relationship is driven by the predisposition of these banks to take on greater risk. These same workforce measures also explain banks’ performance in the 1998 crisis. Taken together, my results suggest that investigating workforce measures could be a step towards quantifying components of risk culture or strategy that contribute to financial institutions’ vulnerability to crisis.Economics
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Mezzanotti, Filippo. "Essays in Corporate Finance." Thesis, Harvard University, 2016. http://nrs.harvard.edu/urn-3:HUL.InstRepos:33493570.
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Macroeconomic and institutional shocks are important drivers of firms' activities. In chapter one, I examine the role of patent litigation in affecting companies’ innovation. Studying a landmark Supreme Court decision, I show that an improvement in patent enforcement positively affects the innovation activity of corporations. In chapter two, I study the role of private equity in period of large financial turmoil. In the context of the 2008 crisis in United Kingdom, I show that private equity backed companies experienced a lower decline in investment than a control group of similar companies that were not related to private equity. This effect is explained by the ability of private equity to relax the financing constraints of the portfolio companies when access to credit markets is limited. In chapter three, I explore the role of sovereign securities held by banks in the propagation of a financial shock to the economy. Using detailed loan level data matching firms and banks in Italy, the paper finds that the shock to banks' sovereign portfolio caused by the Greek bailout (2010) was passed on to firms through a contraction in credit. The effects of this shock were particularly disruptive for smaller companies.Business Economics
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Mohsenzadeh, Kermani Amir Reza. "Essays in macroeconomics and finance." Thesis, Massachusetts Institute of Technology, 2013. http://hdl.handle.net/1721.1/81046.
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Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2013.Cataloged from PDF version of thesis.
Includes bibliographical references (p. 142-150).
The first chapter proposes a model of booms and busts in housing and non-housing consumption driven by the interplay between relatively low interest rates and an expansion of credit, triggered by further decline in interest rates and relaxing collateral requirements. When credit becomes available, households would like to borrow in order to frontload consumption, and this increases demand for housing and non-housing consumption. If the increase in the demand for housing translates into an increase in prices, then credit is fueled further, this time endogenously, because of the role of housing as collateral. Because a lifetime budget constraint still applies, even in the absence of a financial crisis, the initial expansion in housing and non-housing consumption will be followed by a period of contraction, with declining consumption and house prices. My mechanism clarifies that boom-bust dynamics will be accentuated in regions with inelastic supply of housing and muted in elastic regions. In line with qualitative predictions of my model, I provide evidence that differences in regions' elasticity of housing and initial relaxation of collateral constraints can explain most of the 2000-2006 boom and the subsequent bust in house prices and consumption across US counties. The second chapter (co-authored with Daron Acemoglu, Simon Johnson, James Kwak and Todd Mitton) studies the value of political connections during turbulent times and shows the announcement of Tim Geithner as President-elect Obamas nominee for Treasury Secretary in November 2008 produced a cumulative abnormal return for financial firms with which he had a personal connection. This return was around 15 percent from day 0 through day 10, relative to other comparable financial firms. This result holds across a range of robustness checks and regardless of whether we measure connections in terms of meetings he had in 2007-08, non-profit board memberships he shared with financial services executives, or firms with headquarters in New York City. There were subsequently abnormal negative returns for connected firms when news broke that Geithners conrmation might be derailed by tax issues. We argue that this value of connections reflects the perceived impact of relying on the advice of a small network of financial sector executives during a time of acute crisis and heightened policy discretion. The third chapter (co-authored with Adam Ashcraft and Kunal Gooriah) studies the impact of skin-in-the game on the performance of securitized assets using evidence from conduit commercial mortgage backed securities (CMBS) market. A unique feature of this market is that an informed investor purchases the bottom 5 percent of the capital structure, known as the B-piece, conducting independent screening of loans from which all other investors benefit. However, during the recent credit boom, a secondary market for B-pieces developed, permitting these investors to significantly reduce their skin in the game. In this paper, we document, that after controlling for all information available at issue, the percentage of the B-piece that is sold by these investors has a significant adverse impact on the probability that more senior tranches ultimately default. The result is robust to the use of an instrumental variables strategy which relies on the greater ability of larger B-piece buyers to to sell these positions given the need for large pools of collateral. Moreover we show the risk associated with this agency problem was not priced.
by Amir Reza Mohsenzadeh Kermani.
Ph.D.
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Di, Tella Sebastian T. (Sebastian Tariacuri). "Essays on finance and macroeconomics." Thesis, Massachusetts Institute of Technology, 2013. http://hdl.handle.net/1721.1/81043.
Full textAbstract:
Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2013.Cataloged from PDF version of thesis.
Includes bibliographical references (p. 91-94).
This thesis studies the role of the financial system in the amplification and propagation of business cycles. Chapter 1 studies the origin and propagation of balance sheet recessions. I first show that in standard models driven by TFP shocks, the balance sheet channel disappears when agents are allowed to write contracts on the aggregate state of the economy. In contrast, I show how uncertainty shocks can drive balance sheet recessions with depressed asset prices and growth, and trigger a "flight to quality" event with low interest rates and high risk-premia. Uncertainty shocks create an endogenous hedging motive that induces financial intermediaries to take on a disproportionate fraction of aggregate risk, even when contracts can be written on the aggregate state of the economy. Finally, I explore some implications for financial regulation. Chapter 2 studies a tractable model of dynamic moral hazard with purely pecuniary private benefits. The agent can trade a productive asset and secretly divert funds to a private account and use them to "recontract": at any time he can offer a new continuation contract to the principal, who accepts if the new contract is attractive. The main result is that the optimal contract can be characterized as the solution to a standard portfolio problem with a simple "skin in the game" constraint. The setting places few restrictions on preferences and the distribution of shocks, distinguishes between (observable) aggregate shocks and (unobservable) idiosyncratic shocks, and takes arbitrary general equilibrium prices as given. This makes the results easily applicable to many macro and financial applications. Chapter 3 explores under what conditions the presence of moral hazard can create a balance sheet amplification channel. If the private action of the agent exposes him to aggregate risk through his unobserved private benefit, the optimal contract will try to over-expose him to aggregate risk to deter him from misbehaving. This creates a tradeoff between aggregate and idiosyncratic risk-sharing. More productive agents naturally want to leverage more and therefore have larger incentives to distort their aggregate risk-sharing in order to reduce their exposure to idiosyncratic risk. In equilibrium, therefore, more productive agents take on a disproportionate fraction of aggregate risk, creating a balance sheet channel.
by Sebastian T. Di Tella.
Ph.D.
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Cole, Shawn (Shawn Allen). "Essays on development and finance." Thesis, Massachusetts Institute of Technology, 2005. http://hdl.handle.net/1721.1/32409.
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Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2005."June 2005."
Includes bibliographical references.
This thesis is a collection of three empirical essays on economic development and finance. Chapter 1 examines how politicians influence the lending decisions of government owned- banks, particularly whether government resources are used to achieve electoral goals. Theories of electoral competition predict how politicians may allocate resources to win elections: distributing more resources prior to election years, and targeting these resources towards "close" races. I find strong evidence of manipulation in agricultural lending by government banks. More credit is lent just prior to election years. Moreover, this spike is most pronounced in districts in which the previous election was close. I document that these distortions are costly: repayment rates vary with the electoral cycle, while output does not. Chapter 2 tests theories of public and private ownership of banks. In 1980, the government of India nationalized some private banks while leaving similar banks in private hands. Using a regression discontinuity design, I find that government owned banks grew less quickly and lent more to agriculture. These differences manifest themselves in outcomes across credit markets in India as well. Villages whose banks were nationalized received a substantial increase in agricultural and total credit, at lower interest rates, than villages whose banks were not. Strikingly, the additional credit had no effect on real agricultural outcomes, and may have hurt employment in trade and services. Chapter 3 investigates the economics of manumission, a process whereby a slave purchases her own freedom. Using newly collected data from Louisiana, I first paint a qualitative and quantitative portrait of manumission.
(cont.) I then answer the question of whether slaves purchasing their freedom paid above market prices. Legal changes following the Louisiana Purchase allow me to conclude that manumission laws were quite important in determining the terms at which manumission agreements were struck: when slaves lost the right to sue for self-purchase at market price, there was a precipitous drop in the number of manumissions, while prices paid increased.
by Shawn Cole.
Ph.D.
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Padi, Manisha. "Three essays on consumer finance." Thesis, Massachusetts Institute of Technology, 2017. http://hdl.handle.net/1721.1/111360.
Full textAbstract:
Thesis: Ph. D., Massachusetts Institute of Technology, Department of Economics, 2017.Cataloged from PDF version of thesis.
Includes bibliographical references.
This thesis consists of three chapters on consumer financial contracts. Particularly, this thesis focuses on the regulation and design of markets for financial contracts, and their impact on household financial health. The first chapter studies the role of consumer protection law in the function of mortgage markets in the United States. Consumer protection laws are intended to improve consumer outcomes and are becoming more common, particularly in mortgage markets after the 2008 recession. Little empirical evidence exists about the benefits of these laws to consumer outcomes, relative to the potential compliance costs. This chapter studies the effect of two common types of consumer protection laws: seller standards of conduct, enforced through ex post lawsuits by prosecutors and consumers, and mandated disclosures, which require sellers to provide consumers with information to help them make better decisions. Using a natural experiment in Ohio, which introduced the Homebuyer's Protection Act in 2007, 1 study the impact of both seller standards of conduct and mandated disclosures on the performance of loans owned by Fannie Mae or Freddie Mac between 2002 and 2012. I find that imposing standards of conduct on lenders increases borrower defaults in the short term, and is correlated with a drop in foreclosures and fewer mortgage originations. Mandated disclosures decrease mortgage defaults in the short term, and the effect is correlated with smaller transactions, lower interest rates, and higher borrower credit scores. I introduce a simple model of strategic default showing that standards of conduct targeting lenders can provide incentives to lenders to be lenient towards all borrowers, increase borrower default, while mandated disclosure can induce behaviorally biased consumers to default less often. Taken together, the evidence suggests that seller standards of conduct result in lender lenience towards borrowers but operate by shifting the cost of dropping house prices from borrowers onto lenders. On the other hand, carefully designed disclosures can encourage consumers to be more responsible in repayment of loans and can decrease the overall impact of unexpected drops in house prices. The second chapter studies the impact of defined benefit pensions on retirees' consumption patterns. It is authored jointly with Professor Jerry Hausman. Retirees discontinuously decrease their consumption spending upon retirement, a phenomenon described as the retirement consumption puzzle. This chapter studies the impact of defined benefit pensions on the retirement consumption puzzle. Data from the Health and Retirement Survey shows that households with defined benefit pensions experience a significantly smaller drop in consumption spending at retirement. The difference in consumption patterns between households with defined benefit and defined contribution pensions is consistent with a drop in price of home production after retirement. Defined benefit pensions allow households to exert less effort in home production, as well as decreasing the need for precautionary savings, meaning their value is understated if home production is not accounted for. Using HRS data, we estimate the utility value of defined benefit pensions, incorporating both home production and precautionary savings. The results imply that current methods of valuing retirement income products, such as employer provided pensions and private annuities, are biased downward. The third chapter studies the purchase of annuities by retirees in Chile's privatized social security system. It is authored jointly with Gaston Illanes, of Northwestern University Department of Economics. Chile has one of the highest voluntary annuitization rates in the world, with more than 60% of retirees purchasing a private annuity. In contrast, less than 5% of US retirees purchase annuities, despite theoretical predictions that annuity value is high. Annuities in Chile are sold through a unique government-run exchange which decrease search costs and intensifies competition without imposing costs on firms. Chile also has a privatized social security system in which retirees that do not buy an annuity must take a "programmed withdrawal" of their mandated retirement savings that exposes them to more stock market risk than Social Security would. Using novel individual level administrative data and theoretical calibrations, we provide evidence that the high annuitization rate is driven by Chile's unique regulatory regime, rather than by the risk of programmed withdrawal in a privatized system. We document several features of the annuity exchange in Chile. First, annuity prices are low compared to the worldwide average. Second, annuity providers have significant market power. Third, selection exists in the market, both into purchase of annuities, and into searching for better prices. Based on these facts, we calibrate a insurance value of full annuitization compared to the privatized alternative offered by the Chilean government and compare to the value of full annuitization compared to public Social Security, such as that found in the US. The calibration suggests that privatization of social security alone cannot explain the high level of annuitization in Chile. Regulations limiting search costs can cause low prices, lower levels of adverse selection, and high brand preferences that together can explain the high annuitization rate.
by Manisha Padi.
1. Consumer Protection Laws and the Mortgage Market: Evidence from Ohio -- 2. Pension Plans and the Retirement Consumption Puzzle -- 3. When the Annuity Puzzle Doesn't Exist: Evidence from Chile.
Ph. D.
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Huang, Weige. "ESSAYS ON MICROECONOMETRICS AND FINANCE." Diss., Temple University Libraries, 2019. http://cdm16002.contentdm.oclc.org/cdm/ref/collection/p245801coll10/id/552816.
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EconomicsPh.D.
This dissertation includes four chapters which are four separate papers on Mircoeconometrics and Finance. The first two chapters establish estimators which are useful to study distributional effects of a continuous treatment and local elasticities, respectively. The tools then are applied on to intergenerational income mobility. Thus, Chapter 1 and 2 are on Microeconomics. Chapter 3 and 4 are on Finance. In particular, I apply the Oaxaca-Blinder decomposition, distribution regression and recentered influence function regression to decompose the portfolio returns between North America and Europe. Chapter 1, titled DISTRIBUTIONAL EFFECTS OF A CONTINUOUS TREATMENT WITH AN APPLICATION ON INTERGENERATIONAL MOBILITY (with Brantly Callaway), considers the effect of a continuous treatment on the entire distribution of outcomes after adjusting for differences in the distribution of covariates across different levels of the treatment. Our methodology encompasses dose response functions, counterfactual distributions, and ``distributional policy effects'' depending on the assumptions invoked by the researcher. We propose a three-step estimator that consists of (i) estimating the distribution of the outcome conditional on the treatment and other covariates using quantile regression; (ii) for each value of the treatment, averaging over a counterfactual distribution of the covariates holding the treatment fixed; (iii) manipulating the counterfactual distribution into a parameter of interest. We show that our estimators converge uniformly to Gaussian processes and that the empirical bootstrap can be used to conduct uniformly valid inference across a range of values of the treatment. We use our method to study intergenerational income mobility where we consider distributional effects of parents' income on child's income such as (i) the fraction of children with income below the poverty line, (ii) the variance of child's income, and (iii) the inter-quantile range of child's income -- all as a function of parents' income. Chapter 2, tiled LOCAL INTERGENERATIONAL ELASTICITIES (with Brantly Callaway), proposes a ``local'' intergenerational mobility parameter (LIGE) that allows the effect of parents' income to vary across different values of parents' income. We also extend this result to an ``adjusted'' local intergenerational elasticity (ALIGE) which adjusts for differences in the distribution of observed characteristics at different values of parents' income. We develop the asymptotic properties of the LIGE and ALIGE, and apply them to study intergenerational mobility using data from the PSID. We find that the intergenerational elasticity is much larger for low values of parents' income (indicating \textit{less} mobility) relative to high values of parents' income; adjusting for differences in characteristics reduces the local IGE at all values of parents' income as well as flattening it across different values of parents' income. Chapter 3, titled DECOMPOSING DIFFERENCES IN PORTFOLIO RETURNS BETWEEN NORTH AMERICA AND EUROPE, decomposes differences in mean and a series of quantiles of portfolio returns between North America and Europe into Fama and French's five factors. We show that the differences in risk premia on factors, especially on market and size factors, account for most of the differences and the differences in factor risks seem to play an insignificant role in aggregate. The results from Blinder-Oaxaca decomposition show that the differences in market and size factor risk premia explain 71.9\% and 22.8\% of the overall mean difference, respectively. We also show that the roles that the risk premia on market and size factors play vary at different levels of portfolio returns, implying the market and size factor risk premia vary at different levels of portfolio returns. Also, we find that the risks on some factors seem to vary at different levels of portfolio returns. Chapter 4, titled DECOMPOSING DIFFERENCES IN QUANTILE PORTFOLIO RETURNS BETWEEN NORTH AMERICA AND EUROPE USING RECENTERED INFLUENCE FUNCTION REGRESSION, decomposes quantile portfolio returns using recentered influence function regression. Chapter 1 decomposes the differences in quantile portfolio returns using distribution regressions. The main issue of using distribution regressions is that the decomposition results are path dependent. In this paper, we can obtain path independent decomposition results by combining the Oaxaca-Blinder decomposition and the recentered influence function regression method. We show that aggregate composition effects are all positive across quantiles and the market factor is the most significant factor which has detailed composition effect monotonically decreasing along quantiles. The main decomposition results are consistent with Chapter 3.
Temple University--Theses
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Raissi, Maziar. "Conic economics." Thesis, University of Maryland, College Park, 2017. http://pqdtopen.proquest.com/#viewpdf?dispub=10240052.
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Modern general equilibria under uncertainty are modeled based on the recognition that all risks cannot be eliminated, perfect hedging is not possible, and some risk exposures must be tolerated. Therefore, we need to define the set of acceptable risks as a primitive of the financial economy. This set will be a cone, hence the word conic. Such a conic perspective challenges classical economics by introducing finance into the economic models and enables us to rewrite major chapters of classical micro- and macro-economics textbooks.
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Bai, Hang. "Essays in Financial Economics." The Ohio State University, 2016. http://rave.ohiolink.edu/etdc/view?acc_num=osu1469752628.
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Salem, Goncalves Andrei. "Essays in Financial Economics." The Ohio State University, 2018. http://rave.ohiolink.edu/etdc/view?acc_num=osu1524063057848301.
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Kirti, Divya. "Essays in Financial Economics." Thesis, Harvard University, 2016. http://nrs.harvard.edu/urn-3:HUL.InstRepos:33493438.
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The chapters in this dissertation study the incidence of risk, risk taking, and the role of markets used to trade risk, with a focus on interest-rate risk. In Chapter 1, I ask why bank-dependent firms bear interest-rate risk. I argue that the short-term nature of banks’ own financing drives the extent to which bank-dependent firms bear interest-rate risk. In Chapter 2, I examine the implications of life insurers’ risk taking for theories of why financial institutions take risk. In Chapter 3, I argue that reference rates mitigate contractual incompleteness and facilitate risk sharing.Economics
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Kathri, Achchige Kapila Devapriyaa. "A study of project finance in Asia with emphasis on private infrastructure project finance." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2003. http://hub.hku.hk/bib/B31244300.
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Howell, Sabrina T. "Essays in Energy Economics and Entrepreneurial Finance." Thesis, Harvard University, 2015. http://nrs.harvard.edu/urn-3:HUL.InstRepos:17467337.
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When does government intervention successfully correct perceived market failures? What effects do such interventions have on firm decisions? These questions are especially vital to the energy sector, which features large negative externalities, volatile commodity prices, and intensive regulation. My dissertation examines energy policies in three otherwise disparate contexts: a U.S. national research and development (R&D) subsidy intended to expedite clean energy technology deployment; a U.S. state-level oil price risk management policy targeting highway paving firms; and a Chinese fuel economy standard aimed at reducing oil consumption and hastening technology adoption among Chinese automakers. Each analysis evaluates the public policy and uses it to glean insight into firm financial constraints and innovation investment. Together, the three chapters contribute to the literatures on entrepreneurial finance, corporate risk management, innovation, and industrial policy.
Motivating the first paper is the observation that governments regularly subsidize new ventures to spur innovation, often in the form of R&D grants. I examine the effects of such grants in the first large-sample, quasi-experimental evaluation of R&D subsidies. I implement a regression discontinuity design using data on ranked applicants to the Small Business Innovation Research grant program at the U.S. Department of Energy. An award approximately doubles the probability that a firm receives subsequent venture capital and has large, positive impacts on patenting and the likelihood of achieving revenue. The effects are stronger for more financially constrained firms. In the second part of the paper, I use a signal extraction model to identify why grants lead to future funding. The evidence is inconsistent with a certification effect, where the award contains information about firm quality. Instead, the grant money itself is valuable, possibly because it funds proof-of-concept work that reduces investor uncertainty about the technology.
The second chapter examines how firms manage oil price risk when oil is an important input cost. Despite a rich theoretical literature, there is little empirical evidence about risk management heterogeneity across firm types. I evaluate a policy that shifts oil price risk in highway procurement
from the private sector to the government, reducing the cost of hedging to zero. In a triple-differences design using data from Kansas and Iowa, I show that firms value hedging oil price risk between the auction and commencement of work. Consistent with the prediction that hedging is more valuable for financially constrained firms, I find higher risk premiums in private vis-à-vis public firms and in smaller vis-à-vis larger firms. I also find that family ownership and a lack of diversification are associated with higher risk premiums. Competition is highly imperfect in this industry. Monopoly power in product markets, together with market frictions in derivative hedging, may limit the pass- through of risk to financial markets, and thus prevent efficient allocation of risk.
I turn to China - a very different economic setting - in the third chapter. Technology absorption is critical to emerging market growth. To study this process I exploit fuel economy standards, which compel automakers to either acquire fuel efficiency technology or reduce vehicle quality. With novel, unique data on the Chinese auto market between 1999 and 2012, I evaluate the effect of China’s 2009 fuel economy standards on firms’ vehicle characteristic choices. Through differences-in-differences and triple differences designs, I show that Chinese firms responded to the new policy by manufacturing less powerful, cheaper, and lighter vehicles. Foreign firms manufacturing for the Chinese market, conversely, continued on their prior path. For example, domestic firms reduced model torque and price by 12% and 13% of their respective means relative to foreign firms. Private Chinese firms outperformed state-owned firms and were less affected by the standards, but Chinese firms in joint ventures with foreign firms suffered the largest negative effect regardless of ownership. My evidence suggests that fuel economy standards and joint venture mandates - both intended to increase technology transfer - have instead retarded Chinese firms’ advancement up the automotive manufacturing quality ladder.Political Economy and Government
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HUANG, Zhen. "A study of household finance in China." Digital Commons @ Lingnan University, 2013. https://commons.ln.edu.hk/econ_etd/25.
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The emerging field of household finance, which studies the welfare benefits of financial markets for households and how effectively households use this market, is of significant importance for both academics and policy makers. However, studies in this new field remain scarce. Using data from a national representative survey that is unique for its combination of abundant household characteristics and heterogeneous individual preferences, attitudes and believes, and for its inclusion of investment behaviour and performances, this thesis pioneers a positive household finance study in developing countries by systematically investigating Chinese householders’ investments in the stock market. Moreover, this is the first study to regard the psychological concept of ‘trait anxiety’ (which refers to a person’s inherent propensity to feel anxious) as negatively associated with stock investment return performance.
This thesis comprises three main studies. In the first study, I investigate the reasons households participate in the stock market. I find that the evidence from China is systematically consistent with previous studies, which mainly focus on developed countries. That is, the poor and the less educated are less likely to hold equity in their final portfolios; and variables reflecting cost, constraint, preference and expectation play a statistically significant role in stock market participation. I also investigate the stock market participation problem from the new perspective of job satisfaction. Discontentment with one’s job, especially on job salary motivates stock investment activity. Satisfaction with hours of work and job stability boosts the probability of participation.
Individual investment performance plays an increasingly important role in household wealth accumulation and financial well-being. Then in the second study I examine the performance of the households that participate in the stock market. First, the evidence from China on this issue is also consistent with that from developed countries. Investors that are poor, less-educated and facing high information costs underperform significantly. Moreover, two so-called ‘investor mistakes’ also undermine stock investment outcomes in China. Second, I study investor performance form a new angle, preference for information screening with respect to resources, and find that investors who rely on their own analysis when making trading decisions earn more. These investors are usually wealthier, have more financial knowledge and are more likely to be male.
My third study further explores determinant of investment performance by identifying a more fundamental, intrinsic and stable heterogeneity that is embedded in human personality, i.e., trait anxiety, which reflects people’s innate propensity to feel anxious. I find that investors who are more prone to anxiety have significantly inferior investment performance in terms of stock market return rate, after controlling for many other relevant factors. This finding is robust across investment periods of both half a year and three years, and across regressions using different proxies for trait anxiety.
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Berger, David G. "Essays in financial economics." Pullman, Wash. : Washington State University, 2008. http://www.dissertations.wsu.edu/Dissertations/Fall2008/d_berger_082508.pdf.
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Ta, Thanh Hai. "Two essays in international finance." Thesis, McGill University, 2012. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=106348.
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This thesis consists of two essays on the effects of barriers to international investment on risk premium and investors' portfolio holdings. In the first essay, we develop an international asset pricing model in a two-country framework where there are no restrictions in the domestic market (for example the U.S.). On the other hand, trading in the foreign market (for example an Emerging Market) encounters barriers to portfolio flows and short-sale constraints. The model suggests that freely traded assets (for example those traded in the U.S.) are priced with only a global risk premium, whereas assets that trade under capital flow and short sale restrictions (for example those traded in Emerging Markets) command a global risk premium, a conditional risk premium and a conditional discount. Further, the price of risk of the discount factor is a linear, increasing function of legal limits on holdings of securities that trade in the foreign market. This is the first, arbitrage-free international asset pricing model that studies both short-sale constraints and foreign ownership restrictions. The model uncovers a new pricing factor that provides a measure of economic benefit of relaxing equity ownership restrictions. We estimate a conditional version of the model for 18 major emerging markets over the period 1989-2007. We find evidence that global and both local risk factors are priced as well as time varying. The relationship between legal limits on holdings of foreign securities and the price of risk of the discount factor is statistically significant, suggesting economic gains from further liberalization of constraints on capital flows. The second essay evaluates the impact of investability on risk premium in emerging markets. Built upon the theoretical results of the first essay, we decompose the risk premium of non-investable and partially investable portfolios in emerging markets into three components: a global premium, a conditional local premium and a conditional local discount where the discount reflects the benefit of investability on risk premium. Using MGARCH-in-mean technique, we quantify the impact of investability on risk premium for 18 major emerging markets and find that investability contributes to a significant reduction in risk premium of both non-investable and partially investable portfolios. We also document that increase in investability is associated with higher benefit and a larger exposure to the global factor.Cette thèse se compose de deux essais sur les effets des obstacles à l'investissement international sur la prime de risque et les avoirs en portefeuille des investisseurs. Dans le premier essai, nous développons un modèle d'évaluation des actifs internationaux à deux pays où il n'existe aucune restriction sur le marché intérieur (par exemple les États-Unis). D'un autre côté, la négociation des actifs sur le marché étranger (par exemple un Marché Émergent) rencontre des obstacles aux investissements de portefeuille et des restrictions sur les ventes à découvert. Le modèle suggère que les actifs négociés librement (par exemple ceux négociés aux États-Unis) sont évalués uniquement par une prime de risque globale tandis que les actifs qui sont négociés avec l'existence des restrictions aux flux de capitaux et aux ventes à découvert (par exemple ceux négociés sur les Marchés Émergents) sont évalués par une prime de risque mondial, une prime de risque conditionnelle et un escompte conditionnel. De plus, le prix du risque du facteur d'escompte est une fonction linéaire croissante de restrictions légales sur les investissements étrangers en titres qui se négocient sur le marché étranger. Ceci est le premier modèle d'évaluation des actifs internationaux sans arbitrage qui étudie des restrictions sur les ventes à découvert et sur la propriété étrangère ensemble. Le modèle découvre un nouveau facteur d'évaluation qui fournit une mesure des avantages économiques du relâchement des restrictions sur la propriété étrangère des actions. Nous estimons une version conditionnelle du modèle pour 18 principaux marchés émergents sur la période 1989-2007. Nous trouvons la preuve que le facteur de risque mondial et deux facteurs de risque locaux sont évalués et variables dans le temps. La relation entre les restrictions légales sur la propriété étrangère des actions et le prix du risque du facteur d'escompte est statistiquement significative, suggérant que l'assouplissement des restrictions aux flux de capitaux produise des avantages économiques. Le deuxième essai évalue l'impact de l'investability sur la prime de risque dans les marchés émergents. En utilisant les résultats théoriques du premier essai, nous décomposons la prime de risque des portefeuilles non-investable et partiellement-investable dans les marchés émergents en trois composantes: une prime mondiale, une prime locale conditionnelle et un escompte local conditionnel où l'escompte reflète l'avantage de l'investability sur la prime de risque. En utilisant la technique de MGARCH-en-moyen, nous quantifions l'impact de l'investability sur la prime de risque pour 18 principaux marchés émergents et trouvons que l'investability représente une part économiquement significative de la prime de risque des portefeuilles non-investable et partiellement-investable. Nous trouvons également que l'augmentation de l'investability est associée à l'augmentation des avantages économiques et la plus grande exposition au facteur mondial.
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Davila-Ramirez, Eduardo. "Essays on Normative Macro-Finance." Thesis, Harvard University, 2014. http://dissertations.umi.com/gsas.harvard:11417.
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Cetin, Cenk. "Essays on public education finance." Diss., University of Iowa, 2015. https://ir.uiowa.edu/etd/1835.
Full textAbstract:
This dissertation consists of three chapters. The first chapter addresses the role of housing market dynamics in explaining the choice of public education finance systems at the state level. The second chapter assesses the effects of increased levels of state involvement in public education finance on total amount of resources for public schools by taking into account the differences in state aid formulae. The third chapter examines the relationship between spending per pupil in public schools and demographic characteristics of the population.
In the first chapter, I analyze the welfare effects of different public education finance systems. Specifically, I show that the public education finance system that decreases intrastate spending inequality by setting a minimum spending per pupil, Foundation, would be chosen over the system that sets a guaranteed tax base for every district, Power-Equalizing, if they were subject to a majority voting. The main mechanism behind this is that higher property tax rates under a Power-Equalizing system compared to a Foundation system lead to lower housing wealth for the majority in the former. The model suggests that a high preference for education in the utility function, lower mean income in a state, and lower income inequality in a state results in a Foundation system being chosen by a majority. Finally, I provide suggestive evidence supporting these theoretical results.
In the second chapter, I quantitatively address the effects of increased levels of state involvement in public education finance in the U.S.. By using district level data on K-12 public education finance, income and demographic composition in 2008, I conclude that state governments redistribute from wealthier districts to poorer districts. Local authorities, however, respond to the centralization of public education finance systems by decreasing their contributions. Thus, every dollar increase in state aid increases total expenditures by less than one dollar. Using the categorization of Jackson et al. (2014), I argue that the effect of state funds on total expenditures is different for different state aid formula types. In states with standard equalization plans and local effort equalization plans, a dollar increase in state aid increases total expenditures by as little as 35 cents. In states with minimum foundation plans, in contrast, a dollar increase in state aid increases total expenditures by as much as 70 to 83 cents.
In the third chapter, I explore the underlying demographic factors that leads into a stronger preference for public education. Previous studies suggest that lower share of elderly, higher share of school age children, and higher share of college graduates in the population result in a higher level of spending per pupil in public schools. However, the existing literature does not take into account the differences in state aid formulae. This is important given that these formulae differ and they have direct effects on levels and dispersion of spending in the districts. My analysis suggests that the type of state aid formula affects the relationship between demographic characteristics and spending per pupil in public schools. Specifically, the effects of these three variables on public education expenditures are bigger in the states with Minimum Foundation plans compared to Equalization and Local Equalization plans. This is a direct result of the latter two state aid formulae being more centralized compared to Minimum Equalization plans. While they control for spending inequality at a higher degree, public education finance system in the state becomes more centralized which leads into a weaker relationship between each of these demographic variables and spending levels in the districts. These results are also seem to be robust to the type of the public education finance reform of the state.
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Lok, Sau-lan Rita. "Infrastructure and project finance in Asia /." Hong Kong : University of Hong Kong, 1998. http://sunzi.lib.hku.hk/hkuto/record.jsp?B19876750.
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Covert, Thomas Rutford. "Essays in Industrial Organization and Finance." Thesis, Harvard University, 2014. http://dissertations.umi.com/gsas.harvard:11561.
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Paravisini, Daniel. "Essays on banking and corporate finance." Thesis, Massachusetts Institute of Technology, 2005. http://hdl.handle.net/1721.1/32400.
Full textAbstract:
Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2005.Includes bibliographical references.
The first essay provides evidence that banks are liquidity constrained and hold private information about borrowers that hinders substitution of financing sources. Using loan level data from a public credit bureau and exploiting an exogenous shock to bank liquidity, I show that adverse selection prevents full arbitrage of profitable opportunities by competing lenders and thus liquidity constraints propagate to bank-dependent borrowers. The second essay evaluates a government program that targeted credit to small firms through existing financial intermediaries. Using the program eligibility rule to identify the effect on target firms, I find that target firms' total bank debt increased by 8 cents for every dollar of program financing provided to the banks. This effect is larger when the intermediary bank is more likely to lend to smaller firms according to observable bank characteristics. The third essay evaluates empirically the effect of credit history disclosure on the financial position of a sample of manufacturing firms in Argentina. Results indicate that credit history disclosure has a negative impact in the ability of firms to raise external finance when firms are exposed to a high liquidity risk.
by Daniel Paravisini.
Ph.D.
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Li, Shan. "Essays on corporate governance and finance." Thesis, Massachusetts Institute of Technology, 1993. http://hdl.handle.net/1721.1/12252.
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Chincarini, Ludwig Boris. "Essays in economic geography and finance." Thesis, Massachusetts Institute of Technology, 1995. http://hdl.handle.net/1721.1/11870.
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Panageas, Stavros. "Three essays in finance and macroeconomics." Thesis, Massachusetts Institute of Technology, 2005. http://hdl.handle.net/1721.1/30211.
Full textAbstract:
Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2005."February 2005."
Includes bibliographical references (p. 246-256).
In the first chapter I investigate whether firms' physical investments react to the speculative over-pricing of their securities. I introduce investment considerations in an infinite horizon continuous time model with short sale constraints and heterogeneous beliefs along the lines of Scheinkman and Xiong (2003) and obtain closed form solutions for all quantities involved. I show that market based q and investment are increased, even though such investment is not warranted on the basis of long run value maximization. I use a simple episode to test the hypothesis that investment reacts to over-pricing. With publicly available data on short sales during the 1920's, I examine both the price reaction and the investment behavior of a number of companies that were introduced into the "loan crowd" during the first half of 1926. In line with Jones and Lamont (2002), I interpret this as evidence of overpricing due to speculation. I find that investment by these companies follows both the increase and the decline in "q" before and after the introduction, suggesting that companies in this sample reacted to security over-pricing. In the next chapter of the thesis (co-authored with E. Farhi) we study optimal consumption and portfolio choice in a framework where investors save for early retirement. We assume that agents can adjust their labor supply only through an irreversible choice of their retirement time. We obtain closed form solutions and analyze the joint behavior of retirement time, portfolio choice, and consumption. In the final chapter of the thesis (co-authored with R. Caballero) we turn attention to hedging of sudden stops. We observe that even well managed emerging market economies are exposed to significant external risk, the bulk of which is financial. We focus on the optimal financial policy of such an economy under different imperfections and degrees of crowding out in its hedging opportunities.
by Stavros Panageas.
Ph.D.
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Shapiro, Jeremy Place. "Empirical essays on finance and development." Thesis, Massachusetts Institute of Technology, 2009. http://hdl.handle.net/1721.1/55150.
Full textAbstract:
Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2009.Cataloged from PDF version of thesis.
Includes bibliographical references.
The central focus of this dissertation is the role of financial instruments, in particular insurance and credit, in economic development. Motivated by the observation that exposure to the risk of extreme weather conditions may constrain investment by subsistence farmers and lead to inefficient production choices, the first chapter evaluates whether insuring farmers against such risks alters resource allocation decisions. In particular I consider the effects of a Mexican government disaster relief program with insurance-like features. The results, based on a regression discontinuity design, indicate that insurance against losses arising from natural disasters changes how rural households invest in their farms. Insured farmers utilize more expensive capital inputs and adopt different technologies. Additionally, the insurance changes labor supply patterns. Notably, members of insured households are approximately 10% more likely to migrate internationally. Additional results, that the program matters most when the returns to migration are more unpredictable, are consistent with a model where insurance obviates the need for precautionary savings, allowing households to finance international migration. Turning from insurance to the role of access to credit in furthering development, the second chapter considers how interest rate ceilings affected investment in agricultural capital and the tenure status of farms in the nineteenth century United States. Using within state variation in usury laws, I find that more restrictive laws lead to an economically meaningful reduction in agricultural investment.
(cont.) Additionally, the results pertaining to the tenure status of farms indicate that exacting usury laws reduce the share of owner-operated farms. This effect is especially pronounced for small farms, which is consistent with the notion that interest rate limits ration small-scale, risky farmers out of the credit market. To overcome the issue of omitted factors which may affect both legislation and agricultural outcomes, I employ an instrumental variables strategy. By isolating variation in usury laws associated with the historical presence of religious bodies, this study provides evidence of a causal channel from more permissive interest rate ceilings to greater agricultural investment and a more egalitarian ownership structure of agricultural land. The third chapter departs from the more narrow focus on the provision of financial services and addresses a question of relevance to development economics in general. In particular, this chapter, which is joint work with Abhijit Banerjee, Esther Duflo and Raghabendra Chattopadhyay, evaluates how well various systems for identifying and targeting assistance to the poorest of the poor actually identify the poorest. Firstly, we consider the methods used to identify households eligible for participation in assistance programs administered by the Indian government. Secondly, we evaluate Participatory Rural Appraisals (PRAs) as a mechanism to identify exceptionally poor households. Finally, we investigate whether additional verification of information gathered in PRAs improves targeting.
(cont.) For each method of targeting, we examine whether the households identified by that process are more disadvantaged according to several measures of economic well-being than households which were not identified. We conclude that PRAs and PRAs coupled with additional verification successfully identify a population which is measurably poorer in various respects, especially those which are more readily observed. The standard government procedures, however, do not appear to target the very poorest for assistance. Based on this sample, households targeted for government assistance are observationally equivalent to those that are not.
by Jeremy Place Shapiro.
Ph.D.
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Goldberg, Jonathan E. (Jonathan Elliot). "Essays in macroeconomics and corporate finance." Thesis, Massachusetts Institute of Technology, 2011. http://hdl.handle.net/1721.1/65487.
Full textAbstract:
Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2011.Cataloged from PDF version of thesis.
Includes bibliographical references.
This thesis examines questions at the intersection of macroeconomics and finance. Chapter 1 studies the persistent effects of a decrease in firms' ability to borrow. I develop a tractable model of deleveraging that emphasizes (i) firms as suppliers of financial assets to consumers and (ii) the ability of firms and consumers to alleviate financial frictions by accumulating wealth. In the model, a permanent decrease in the ability of firms to borrow leads to: increased capital misallocation and decreased total factor productivity (TFP); an increased wedge between the average marginal product of capital and the interest rate; and increased riskiness of consumption. An endogenous decrease in the interest rate is shown to amplify these effects by discouraging wealth accumulation. In a calibration using U.S. firm-level data, I find these amplification effects are large. Chapter 2 studies how proprietary trading and advising are combined on Wall Street even though a firm that engages in both of these activities may be tempted to mislead its clients. Chapter 3 studies the effects of government purchases of long-term debt. According to one interpretation, the preferred-habitat model of Vayanos and Vila (2009) implies that Federal Reserve purchases of long-term bonds generate a reduction in long-term interest rates. In this paper, I clarify this interpretation. In particular, in a Vayanos and Vila (2009) preferred-habitat model, I show that maturity-lengthening open-market operations have no effect on long-term interest rates if agents in the economy ultimately receive the profits from the government's portfolio via lump-sum taxes or transfers. I then introduce limited participation - an assumption that some agents are restricted from trading bonds of certain or all maturities. I show that limited participation implies that open-market operations do reduce the long-term interest rate. What drives this result is limited participation, not preferred-habitat preferences. With this motivation, I develop a model, with a more reasonable form of limited participation and without preferred-habitat preferences, in which open-market operations are relevant. Finally, I use these models to discuss how arbitrageurs' wealth covaries with technology or endowment shocks, and how this covariance is affected by open-market operations.
by Jonathan E. Goldberg.
Ph.D.
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Doyle, Joseph Buchman Jr. "Essays on finance, learning, and macroeconomics." Thesis, Massachusetts Institute of Technology, 2012. http://hdl.handle.net/1721.1/77791.
Full textAbstract:
Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2012.Cataloged from PDF version of thesis.
Includes bibliographical references (p. 189-198).
This thesis consists of four essays on finance, learning, and macroeconomics. The first essay studies whether learning can explain why the standard consumption-based asset pricing model produces large pricing errors for U.S. equity returns. I prove that under learning standard moment conditions need not hold in finite samples, leading to pricing errors. Simulations show that learning can generate quantitatively realistic pricing errors and a substantial equity risk premium. I find that a model with learning is not rejected in the data, producing pricing errors that are statistically indistinguishable from zero. The second essay (co-authored with Anna Mikusheva) studies the properties of the common impulse response function matching estimator (IRFME) in settings with many parameters. We prove that the common IRFME is consistent and asymptotically normal only when the horizon of IRFs being matched grows slowly enough. We use simulations to evaluate the performance of the common IRFME in a practical example, and we compare it with an infrequently used bias corrected approach, based on indirect inferences. Our findings suggest that the common IRFME performs poorly in situations where the sample size is not much larger than the horizon of IRFs being matched, and in those situations, the bias corrected approach with bootstrapped standard errors performs better. The third essay (co-authored with Ricardo Caballero) documents that, in contrast with their widely perceived excess return, popular carry trade strategies yield low systemicrisk- adjusted returns. In contrast, hedging the carry with exchange rate options produces large returns that are not a compensation for systemic risk. We show that this result stems from the fact that the corresponding portfolio of exchange rate options provides a cheap form of systemic insurance. The fourth essay shows that the documented overbidding in pay-as-you-go auctions relative to a static model can be explained by the presence of a small subset of aggressive bidders. I argue that aggressive bidding can be rational if users are able to form reputations that deter future competition, and I present empirical evidence that this is the case. In auctions without any aggressive bidders, there is no evidence of overbidding in PAYGA.
by Joseph Buchman Doyle, Jr.
Ph.D.
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Zarutskie, Rebecca Elizabeth 1976. "Essays in corporate finance and taxation." Thesis, Massachusetts Institute of Technology, 2003. http://hdl.handle.net/1721.1/17632.
Full textAbstract:
Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2003.Includes bibliographical references.
This dissertation is a collection of three essays which address several questions in corporate finance and taxation. The first essay uses a panel dataset of balance sheet and income information, taken from the tax returns of U.S. corporations, to study the relationship between bank competition and the financing of firms. Over the period 1987 to 1998, I find that in more competitive banking markets firms use less outside debt and more inside debt and equity than firms in less competitive banking markets. The evidence is consistent with models in which market power provides banks with implicit equity stakes in their borrowers, making banks more willing to begin lending relationships with borrowers whose projects are characterized by substantial asymmetric information or delayed payoffs. In the second essay, I reconsider the distortionary impact that the U.S. corporate and personal tax systems may have on organizational form choices by firms. I show that when Project choice is endogenous and when one considers the non-linear nature of the corporate tax schedule, it is not necessarily inefficient for a firm to choose to be a pass-through entity rather than a non-pass-through entity in response to differences in after-tax returns between the two entity types. I provide empirical evidence that is consistent with this theoretical point by examining the behavior of a sample of S corporations and C corporations. The third essay is co-authored with Daniel Bergstresser and James Poterba. In this essay, we use a panel dataset of mutual fund characteristics and returns from Morningstar, Inc. to develop measures of the effective capital gains tax burden mutual fund investors face on unrealized capital gains in mutual funds. We explore the determinants of the effective capital gains tax burdens and the impact they have on net inflows of savings into mutual funds.
by Rebecca Elizabeth Zarutskie.
Ph.D.
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Rauh, Joshua David 1974. "Pensions, corporate finance, and public policy." Thesis, Massachusetts Institute of Technology, 2004. http://hdl.handle.net/1721.1/29426.
Full textAbstract:
Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2004.Includes bibliographical references.
This dissertation consists of three papers that explore the links between corporate finance and corporate pension policy. The first chapter exploits the funding rules for defined benefit pension plans in order to identify the dependence of corporate investment on internal financial resources. Capital expenditures decline with mandatory pension contributions, even when allowing for very generalized correlations between the pension funding status itself and the firm's unobserved investment opportunities. The effect is particularly evident among firms that appear to face financing constraints based on observable variables such as credit ratings. There is some evidence suggesting that firms which do not sponsor defined benefit pension plans may undertake some of the capital investment that pension sponsors in their industry are unable to take up when required contributions are high. The second chapter tests a corporate control hypothesis to explain why managers might encourage employees to hold company stock in their 401(k) plans. Since employees often vote for incumbent managers in proxy contests, managers may encourage them to hold stock as a defense against a change in corporate control. When a state's laws change to provide more takeover protection for managers, employee ownership of firms incorporated in that state would be expected to decline relative to employee ownership at other firms. I find that the validation of the poison pill through Delaware case law in the mid 1990s had a statistically significant negative effect on employee ownership shares of up to 1.7 percentage points.
(cont.) The third chapter, co-authored with Daniel Bergstresser and Mihir Desai, analyzes variation in firms' assumed long-term rates of return on pension assets. We show that this is a lever that can affect reported earnings and provide evidence that managers use this mechanism opportunistically. The sensitivity of reported earnings to the pension return assumption is an important determinant of the assumption itself. Managers increase assumed rates of return as they prepare to acquire other firms and as to exercise stock options. Decisions about assumed rates of return, in turn, influence asset allocation within pension plans.
by Joshua David Rauh.
Ph.D.