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Loktionov, Yuri V. "Does accounting quality mitigate risk shifting?" Thesis, Massachusetts Institute of Technology, 2009. http://hdl.handle.net/1721.1/58377.
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Thesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, 2009.Cataloged from PDF version of thesis.
Includes bibliographical references (p. 56-62).
This study examines the effect of financial reporting quality on risk shifting, an investment distortion that is caused by shareholders' incentives to engage in high-risk projects that are detrimental to debt holders. I use asymmetric timeliness to proxy for a dimension of accounting quality that is particularly useful to debt holders. Asymmetric timeliness is expected to improve debt holders' ability to effectively monitor the management's actions and to discipline the managers when necessary. I predict that the effect of accounting quality on risk shifting will be stronger in firms with poor information environment, in distressed firms, in cash-rich firm, and after the adoption of the Sarbanes-Oxley Act of 2002. I also expect this effect to vary based on the firm's source of debt. The results are consistent with the predictions and robust to alternative measures of risk shifting, accounting quality, distress risk, and various control variables.
by Yuri V. Loktionov.
Ph.D.
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Hallahan, Terrence Anthony, and terry hallahan@rmit edu au. "Issues in investment risk: a supply-side and demand-side analysis of the Australian managed fund industry." RMIT University. Economics, Finance and Marketing, 2006. http://adt.lib.rmit.edu.au/adt/public/adt-VIT20061206.095924.
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The investment management industry has proven to be a fertile ground for theoretical and empirical research over the past forty years, particularly in relation to the nature and quantification of risk. However, the dominance of the U.S. industry has meant that much of the academic research has focused on the U.S. market. This thesis investigates aspects of investment risk using alternative data to that used in much of the prior published research. This thesis contains an extensive analysis of aspects of risk related to both the demand side and the supply side of the managed funds market in Australia. Among the demand side characteristics, attitudes towards risk and their impact on asset allocation decisions will be an important determinant of investors' financial well-being, particularly in retirement. Accordingly, the first part of the thesis examines the financial risk tolerance of investors, exploring the relationship between subjective financial risk tolerance and a range of demographic characteristics that are widely used as a basis for heuristically derived estimates of investors' attitudes towards financial risk. The second part of the thesis contains an analysis of the supply side of the industry, focusing on risk-shifting behavior by investment fund managers. Since the time when performance and risk-shifting behavior of fund managers was first put under the spotlight 40 years ago, it is possible to identify an evolving strand in the research where performance assessment is examined within the framework of the principal-agent literature. One focus that has emerged in this literature is the adaption of the tournament model to the analysis of investment manager behavior, wherein it is hypothesized that fund managers who were interim losers were likely to increase fund volatility in the latter part of the assessment period to a greater extent than interim winners. Against this background, the second part of the thesis examines risk-shifting behavior by Australian fund managers. Both the ability of fund managers to time the market and the applicability of the tournament model of funds management to a segment of the Australian
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Gamber, Edward. "Empirical identification of the risk shifting aspect of labor market implicit contracts." Diss., Virginia Polytechnic Institute and State University, 1986. http://hdl.handle.net/10919/50019.
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Much of the recent work in the area of implicit contract theory hypothesizes that firms and workers differ in their attitudes towards risk. The optimal wage and employment contract calls for shifting some of the risk associated with a randomly fluctuating marginal product of labor from the more risk averse party to the less risk averse party. The purpose of this dissertation is to explore the empirical implications of this risk shifting hypothesis. In particular, the following question is addressed: "How can we empirically identify whether risk shifting is occurring in the labor market?”
Chapter 2 explores this question in the context of an implicit contract model with nominal variables and a randomly fluctuating price level. Under the usual assumption of risk neutral firms and risk averse workers the implications of the model are refuted by the industry level nominal wage stylized facts. Under the assumption that risk neutral workers insure risk averse firms the model is capable of explaining the stylized facts about the co-movements in nominal wages and employment.
Chapter 3 explores this question in the context of a long-term implicit contract model with bankruptcy constraints. It is shown that if risk neutral firms insure risk averse workers then the real wage will respond asymmetrically to permanent and temporary revenue function disturbances. In particular, the real wage will respond more to a given permanent shock than to a temporary shock of the same size.
Chapter 4 empirically tests this asymmetric wage response implication. A frequency domain technique is developed for decomposing a measure of revenue function disturbances into its permanent and temporary components and the real wage is regressed on each component. A sample of 12 4-digit SIC code industries are tested. The industry wage responses are estimated separately and as a system of seemingly unrelated regressions. Estimated separately, the results support the asymmetric response implication for 7 of the 12 industries at the .10 level of significance and 6 of the 12 industries at the .05 level. Estimated as a system the joint asymmetric response hypothesis is supported at the .01 level of significance for the 12 industries.Ph. D.
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Patra, Sudip. "Essays in bank dividend signaling, smoothing and risk shifting under information asymmetry and agency conflict." Thesis, University of Glasgow, 2019. http://theses.gla.ac.uk/41017/.
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The current thesis is a collection of essays on costly signaling, smoothing (partial adjustment), and risk shifting through various pay outs by bank holding firms. The thesis is based on three chapters, or sections, which are through econometric investigations on the above mentioned topics. The major findings of the investigations are, one, a detailed firm level information content analysis of costly signaling by banks via different pay out methods, two, that partial adjustment or smoothing via pay outs can also be perceived as costly signals which is based on the information content of allied measures like bank specific speed of adjustments, and half-life periods, three, that rather than dividend pay outs share repurchases play relatively significant role in risk shifting exhibited by banking firms. Chapter 1 is devoted to the analysis of different types of dividend and other pay out signaling under information asymmetry (between the outsider shareholders of banks and the insider managers), and impact of various bank specific variables on the levels of pay outs/ signaling, thus revealing the information content of such signaling. Both panel data analysis and vector auto regression analysis have been conducted to achieve these findings. Another finding in this section is a comparative analysis between share repurchases and dividend pay outs by bank holding firms. Chapter2 is devoted to the investigation of bank specific partial adjustments of dividends, a modified partial adjustment model is used which is capable of investigating bank specific speeds of adjustments and half-life periods which may vary over periods. Such a model is an improvement over basic smoothing models in the standard literature which have mainly investigated the industry average speed of adjustment, and hence less efficient in investigating the bank specific information content of such measures. Chapter 3 provides analysis based on a system of equations model on, one, whether risk shifting has been exhibited by the bank holding firms for a comprehensive period between 1990-2015, and two, which are the specific pay out channels through which such risk shifting or wealth transfers have taken place.
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Althaus, Junior Adalto Acir. "A taxa de performance e o comportamento de risk shifting dos fundos de investimento em ações." reponame:Repositório Institucional do FGV, 2017. http://hdl.handle.net/10438/18062.
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This study aims to investigate the risk shifting behavior of mutual funds to test the hypotheses that managers have incentives to raise risk. We evaluated the effect of performance fees on the level of risk, risk shifting and mutual fund's performance to assess agency costs differences between both mutual funds - with and without performance fees. We observed the mutual fund's volatility level and its changes imposed by the managers. Volatility was estimated by a standard deviation of returns in the last 12 months. The change on the level of risk measured was the risk shifting, that is, the difference between a mutual fund's current portfolio holdings volatility and its past realized volatility, both estimated over past 12 months' period. We used a sample of 203 Brazilian mutual funds which covered the period from 2009 to 2015. We used data from stock prices, Brazilian bonds prices, BDRs prices and the characteristics of these funds. When funds have higher monthly returns, they tend to run negative risk shifting; when they have lower monthly returns, they tend to seek risk by doing positive risk shifting. When the funds decrease their risk (negative risk shifting), they tend to perform better. It is possible to ensure that the funds which charge performance fee have superior performance if compared to those that without performance fee. Also, they have greater positive risk shifting and lower negative risk shifting. However, funds that charged performance fees presented lower levels of risk. These findings suggest that the performance fee can contribute to align interests between mutual funds and their investors. These results are more in accordance to the behavior of risk-averse managers who used their stock selection or market timing ability to ensure a desirable minimum performance, rather than use maximum effort to looking for extraordinary returns.
Este trabalho investiga o comportamento do deslocamento de risco (risk shifting) nos fundos de investimento em ações e suas consequências sobre o desempenho, para examinar a hipótese de que os gestores têm incentivos para elevar o risco dos fundos. Estuda o efeito da taxa de performance sobre o desempenho, o nível de risco e o risk shifting dos fundos para identificar diferenças nos custos de agência entre os fundos que cobram e os que não cobram taxa de performance. Essa avaliação é feita observando-se o nível de risco dos fundos e as variações impostas pelo gestor em torno do nível de risco operado pelo fundo. O risco é medido pelo desvio padrão do retorno mensal realizado pelos fundos nos últimos 12 meses. O risk shifting dos fundos é medido como a diferença entre a volatilidade de um retorno mensal hipotético, estimado a partir das carteiras divulgadas pelos fundos, e a volatilidade do retorno mensal realizado, ambos sobre os últimos 12 meses. A amostra contou com dados de 203 fundos brasileiros de investimento em ações no período de 2009 a 2015. Foram utilizados dados de retorno das ações da BM&F Bovespa, títulos públicos, BDRs e cotas de fundos de investimento, além das características dos fundos. Quando os fundos têm maiores retornos mensais, tendem a fazer risk shifting negativo; quando têm menores retornos mensais; tendem a buscar risco, fazendo risk shifting positivo. Quando os fundos fazem risk shifting negativo tendem a ter desempenho melhor. É possível afirmar que os fundos que cobram taxa de performance têm desempenho superior àqueles que não cobram, fazem maiores risk shiftings positivos e menores negativos. No entanto, fundos que cobram taxa de performance apresentam menores níveis de risco. Esses achados sugerem que a taxa de performance é um instrumento capaz de contribuir no alinhamento de interesses entre os fundos de investimento em ações e seus investidores. Esses resultados estão mais alinhados com o comportamento de gestores avessos a risco, que usam sua habilidade de seleção de ativos ou market timing para garantir um desempenho mínimo desejável, em vez de imprimir esforços para buscar retornos extraordinários.
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Kurniawan, Meinanda. "Mutual fund tournaments, style drift and active returns." Thesis, Queensland University of Technology, 2017. https://eprints.qut.edu.au/123513/1/Meinanda%20Kurniawan%20Thesis.pdf.
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In this thesis, I investigate the effect of annual fund tournaments on intra-year style drift ("tournament-induced style drift") as well as its immediate effect on the fund's year-end active return (volatility). Based on a large sample of 2,194 active U.S. equity funds with a specific style from 2003 to 2014, I find the relation between style drift and tournament rank is convex, with funds appearing in the top and bottom performance quartiles having higher subsequent style drift. This finding is consistent with the convex flow-performance relation identified by Chevalier and Ellison (1997).
I also document the first evidence on tournament-induced style drift. Funds in the top quartile of the mid-year tournament ranking (interim tournament winners) reduce their style drift in the latter half of the year. Conversely, funds in the bottom quartile of the mid-year tournament ranking (interim tournament losers) increase their style drift in the second half of the year. This finding suggests that style drift is a short-run behavior affected by tournament rankings.
Examination of the performance effect of style drift shows that it leads to economically significant higher active return volatility. However, its effect on active return is economically insignificant. Style drift in the second half of the year by interim tournament winners and losers also have economically insignificant effect on year-end active return. Therefore, style-shifting does not create value for investors, just more risk. By viewing style drift in the context of annual fund tournaments, I shed light on the driver of style drift and its immediate consequences on the fund's active return (volatility).
The results of this thesis suggest that mutual fund investors must consider style consistency together with performance when selecting funds.
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Vera-Concha, Germán E. "Expropriation, extraction, and evasion decisions in the design of taxation regimes for the natural resources industry." Thesis, University of Oxford, 2018. http://ora.ox.ac.uk/objects/uuid:b55dc55d-218c-4feb-a93b-991eebb61d10.
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This dissertation provides three models pertaining expropriation and production decisions in the natural resources industries. The first two chapters are intertwined: in these, the government relies on two tools to capture the rents from privately-owned Natural Resources Companies, a corporate income tax and the possibility of expropriating the assets. A real options model is used to assess the effect that progressiveness in taxation has on the political risk of a natural resources project. In the first chapter, we discover that under certain conditions for the underlying commodity: low prices or forward curves in backwardation - the introduction of an equivalent but more progressive tax regime decreases the political risk and the corresponding deadweight loss. However, when initial prices are too high or initial futures curves are in strong contango, the introduction of a progressive tax regime ends up significantly increasing the risks. In the second chapter, producers are able to foresee the risks of expropriation and thus change their behaviour: the results are mixed. As in the previous case, with lower prices and less tendency to expropriate, the scheduling of production allows for gains in the value of the operation for the firms. More progressive tax regimes end up being detrimental to the government, which in some cases can even result in a non-stable equilibrium with the producers and governments trying to outguess each other and end up cycling both the production and the expropriation probability in order to maximise their respective expected value for the operations. This has a detrimental effect for all parties involved. Finally, the third chapter introduces the possibility that a government levies royalties over sales. The development of home-based institutions is going to affect the amount of tax evasion that a government will face and thus determine the appropriate combination of taxes that it must choose. We find that when the host country's tax and technological capacity are too low, a state has no incentives to improve its institutions and becomes trapped in a low tax, low revenue situation: what we call a Royalty Trap. We end up by showing the evolution of tax capture in Chile during the 20th century to illustrate how these concepts might be applied.
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BARBI, MASSIMILIANO. "Corporate Equity Warrant: Pricing Arbitrage-Free ed Implicazioni per la Finanza Aziendale." Doctoral thesis, Università Cattolica del Sacro Cuore, 2009. http://hdl.handle.net/10280/463.
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I corporate equity warrant rappresentano un affascinante metodo di finanziamento “ibrido” disponibile per le imprese. In prima approssimazione, un warrant è assimilabile ad una opzione call e, pertanto, il pricing è spesso effettuato applicando le formule di valutazione sviluppate per tali strumenti dalla teoria finanziaria. Tuttavia, la valutazione dei warrant presenta complicazioni ulteriori rispetto alla determinazione del prezzo di opzioni call, e la ragione risiede principalmente in alcuni elementi distintivi di maggiore complessità, tra cui l’effetto diluitivo del capitale esistente derivante dall’esercizio, ed il c.d. effetto “risk-shifting”, in base al quale si verifica un trasferimento di rischio sistematico dagli azionisti ai possessori di warrant, non appena questi strumenti vengono emessi.
L’obiettivo di questa tesi è di analizzare il tema dell’emissione dei corporate warrant dal punto di vista della finanza d’impresa e derivare un metodo di pricing innovativo per tener conto di un fenomeno (risk-shifting effect) tuttora non considerato dalla letteratura finanziaria. Dopo aver derivato formalmente tale approccio e le formule ad esso conseguenti, il lavoro propone una simulazione teorica ed un test empirico condotto su un campione di warrant quotati sul mercato italiano. Entrambi tali verifiche dimostrano come il modello presentato incorpori una maggiore bontà previsiva del prezzo di mercato rispetto agli approcci esistenti.Corporate equity warrants are one of the more fascinating capital-raising tools available to corporate finance officers. At a first approximation, they are option-like securities and according to this similarity, the pricing is usually performed by application of the standard option pricing theory. However, the theoretical and empirical analysis of warrants still remains an interesting research field within the finance literature. The reason is that warrants are more complex than call options. From an asset pricing point of view, the presence of some specific features (e.g., the equity dilution) prevents from using simple plain-vanilla formulas, while from a corporate finance standpoint, warrants offer several implications, principally because they affect the systematic risk of common stocks and are related to the choice of the firm’s capital structure. The purpose of this thesis is to analyse corporate warrants and address some of the main open questions about their value. In particular, after reviewing the financial literature about warrant pricing and presenting some commonly accepted formulas, the relationship between warrants and the volatility of the underlying stock return is examined. Contrarily to the classical call options, in fact, warrants affect the capital structure of the issuing firm and produce a risk-shifting effect among equity claimants. We derive an alternative approach to pricing equity warrant, embedding this risk-shifting feature, and we propose both a theoretical simulation and an empirical test based on a sample of Italian warrants proving its accuracy.
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Lim, Ivan Wen Yan. "Essays on banking." Thesis, University of Edinburgh, 2018. http://hdl.handle.net/1842/31107.
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This thesis consists of three essays on banking in the U.S. The first two chapters study how supervisors and regulators influence bank behavior. The third chapter explores how bank CEOs allocate credit. The first chapter uses a quasi-natural experiment, the closure of regulatory offices, to identify the effects of supervision on bank behavior. Under the decentralized structure of U.S. bank supervision, banks in the same geographic area may be supervised by different regulatory offices. The chapter shows that, following the closure of a regulatory office, banks previously supervised by that office increase their solvency risk and lending compared with banks in the same counties that are supervised by a different regulatory office. Further, these banks exhibit lower risk-adjusted returns, lower asset quality, and opportunistic provisioning behavior for loan losses. Information asymmetry between banks and supervisors partly explains the results. The second chapter documents that nearly 30% of U.S. banks employ at least one board member who currently or previously served on a regulator’s advisory council or on the board of a regulator as a form of public service. The chapter shows that connections to regulators undermine regulatory discipline by decreasing the sensitivity of bank risk to capital. Connected banks are able to extract larger public subsidies than non-connected banks by shifting risk to the financial safety-net, resulting in wealth transfers from taxpayers to shareholders of risk-shifting connected banks. One potential reason for these effects is that connected banks receive preferential treatment in supervision from regulators. The third chapter uses the birthplace of U.S. bank CEOs to investigate the effect of hometown favoritism on bank business policies. Exploiting within-bank variation in distances to a CEO’s hometown, the chapter shows that banks make more mortgage and small business lending as well as branch expansions in counties that are proximate to the hometown of the CEO. This is due to the CEO’s altruistic attachment to her hometown; the effects are stronger during economic downturns, among altruistic CEOs, in poorer counties and marginal mortgage applicants. Further, hometown favoritism does not lead to worst bank performance. However, it is associated with positive economic outcomes in counties exposed to greater favoritism.
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Stoffle, Richard W. "Shifting Risks: Hoover Dam Bridge Impacts on American Indian Sacred Landscapes." Bureau of Applied Research in Applied Anthropology, University of Arizona, 2001. http://hdl.handle.net/10150/298026.
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Powell, Scott R. "Shifting the Employment Burden: The Social and Economic Foundations of Welfare State Reform." The Ohio State University, 2011. http://rave.ohiolink.edu/etdc/view?acc_num=osu1325176807.
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Giusti, Giovanni 1984. "Three essays in experimental economics." Doctoral thesis, Universitat Pompeu Fabra, 2014. http://hdl.handle.net/10803/284453.
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This thesis is composed of three essays. In the first essay (joint with Janet Jiang and Xiping Xu) we study asset price bubbles in a laboratory experiment. By introducing interest payments on cash we separate the effect of trading opportunity cost from the role of asset fundamental value trend on bubble formation. Results show that the fundamental value trend plays a more critical role. In the second essay (joint with Charles Noussair and Hans-Joachim Voth) we study in a laboratory setting the importance of several historical institutional features that characterized the South Sea bubble. Our main finding is that the debt-equity swap was the single biggest contributor for the stock price explosion. In the third essay we study in an experiment how different dynamics of piece rate monetary incentives affect participants’ effort provision. Our main finding shows that a decrease in piece rate following an increase has detrimental effects for participants’ effort provision.Aquesta tesi conté tres assaigs. En el primer assaig (conjunt amb Janet Jiang i Xiping Xu) estudiem la bombolla de preus d’actius en un experiment de laboratori. Introduint els pagaments d’interessos en efectiu separem l’efecte del cost d’oportunitat de comerciar de la trajectòria del valor fonamental de l’actiu. Els resultats mostren que la trajectòria del valor fonamental juga un paper molt crític. En el segon assaig (conjunt amb Charles Noussair i Hans-Joachim Voth) estudiem en un laboratori la importància de diverses característiques institucionals històriques que van caracteritzar la “bombolla dels mars del sud”. El nostre principal descobriment és que el “swap” de deute per accions és l’únic gran contribuïdor per l’explosió del preu de les accions. En el tercer assaig estudiem en un experiment com diferents dinàmiques de preu fet com a incentiu monetari afecten la prestació d’esforç dels participants. El nostre principal descobriment indica que una disminució del preu fet després d’un increment té efectes perjudicials per a la prestació d’esforç dels participants.
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Chan, Yuwen, and 詹育玟. "Risk-Shifting and Bank Monitoring." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/xuqw6m.
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碩士國立中正大學
財務金融研究所
99
This article explored whether the banking supervision can effectively reduce risk-shifiting problems. Through analyzing the effects of different relationships between banks and firms on corporate risk management, we explored whether the banks can mitigate the risk-shifting motives better than other non-bank lenders. We use the interaction variables of risk-shifting incentives and five different banking relationships variable –bank loan ratio, bank’s dual-role, banks on boards, lending banks on board, and bank shareholdings relative to debt holdings-to capture the effect of these interactions on hedge ratio. According to our empirical analysis, we find that bank loans have the positive impact on firm’s hedge ratio, but this effect will be weakened when firms have high risk-shifting motives. In addition, we also find that there is good bank monitoring power when a banker is represented on a firm’s board. But there is no significant different effect of lending bank and non-lending bank directors on corporate hedging behavior.
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Feng, Hsiang-Hsun, and 馮祥勛. "Risk-taking and Risk-shifting for Banks in Taiwan." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/70391846280973093446.
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Lin, Hui-shan, and 林卉珊. "Risk Shifting in the Insurance Market." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/84961880800998519740.
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碩士國立雲林科技大學
財務金融系碩士班
101
We want to prove that whether risk-shifting behavior exists in the insurance industry by examining the insurance companies which at the financial distress have low hedge ratio. Moreover, the insurance industry has different origination form and this will affect the agency conflicts and motivation of risk-shifting, so we further explored that the relationship between origination form, hedge behavior and risk-shifting behavior, thus to compare that different organization form in the insurance industry whether has different risk transfer objects. Using the sample of U.S. property and casualty insurance companies in NAIC over the period 2004 to 2009, we find that the companies use more reinsurances and use less derivatives when it at the financial distress. Furthermore, the stock company will use more reinsurance and derivatives than mutual companies but it reduces the use of reinsurance and derivatives. It indicates that stock companies risk shifting to policyholder but we didn’t that mutual companies have risk-shifting behavior.
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WU, YU-WEI, and 吳侑韋. "Deposit Insurance System and Bank Risk-Shifting." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/44154405264281035862.
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碩士靜宜大學
財務金融學系
104
Deposit insurance is a system of government in order to enhance the stability of a financial system. Using Taiwan's market as the background, this paper examines the relationships between deposit insurance adoption and bank risk-shifting. The results show that after the implementation of a comprehensive insurance, banks transferred the risk to the insurer, and during the same period, banks generally increased its financial leverage. These results reveal that the bank shifts its risk through an increase in financial leverage. Furthermore, this paper also found that the adoption of risk-based deposit insurance premium can not restrain the bank risk-shifting. This result suggests that the government still needs additional measures to achieve the policy effect.
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Chen, Yen-Ju, and 陳研如. "Deposit insurance and risk-shifting at commercial banks." Thesis, 2000. http://ndltd.ncl.edu.tw/handle/20500152794237261478.
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碩士淡江大學
財務金融學系
88
Financial market has depended on many regulations to prompt financial institutions to operate stable in Taiwan, which protect the people’s safe of bank deposit and maintain the steady of the financial system. Recently in order to make finance toward liberalization and internationalization, the government has been open the establishment of the bank, loosened the development of the financial system and expanded financial scale continually except that removed interest rate and exchange rate regulation in 1989. In above situation, to increase customers and try to gain between banks, banks maybe ignore the proper quality of the bank’s asset, so financial system maybe hide some anxious crises. This paper adopts the option model and decomposes general hypothesis into five testable sub hypotheses about the character of risk shifting incentives by using four different option models. Two single models, one treats regulatory forbearance as an automatic strategy another treats regulatory forbearance as a selective strategy. The multi-period models treat deposit insurance as an infinite maturity put with audit cost or dividend payment. This paper uses Hovakimian and Kane model(2000) to test risk-shifting behavior by Taiwan banks during 1986 to 1998. The results of the empirical studies based on the sampled banks indicated the following: 1. Capital requirements supplied no risk-restraining discipline. 2. Risk-shifting incentives exist. 3. Assuming non-deposit debt is subordinated, this paper finds risk-shifting incentives still exist. 4. Focus on the magnitude of incentives for risk-shifting at troubled banks. The paper finds risk-shifting strongest at troubled banks. 5. This paper investigate the impact of the deposit-insurance reforms whose phase-in began in 1993. Although these reforms eliminate risk-shifting incentives, but its effect worse than before 1993.
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Lee, Ying-Ta, and 李盈達. "An Evidence Of Risk-shifting And Corporate Hedging." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/25762202610889329563.
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Wang, Hsin-Yi, and 王欣怡. "Accounting Conservatism, Debt Financing Type and Risk Shifting." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/87910349760052425670.
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碩士輔仁大學
會計學系碩士班
99
The thesis examines the effects of accounting conservatism and types of debt financing on risk shifting. Risk shifting is an investment distortion that is caused by shareholders’ incentives to engage in high-risk projects to the detriment of debt holders. Research in the literature suggests that both the design of debt contracts (referred as types of debt financing in this thesis) and accounting conservatism contribute to mitigating risk shifting problem (Green 1984；Eisdorfer 2008；Loktionov 2009). However, the interaction between these two mechanisms in mitigating risk-shifting remains unclear. The thesis aims to investigate whether debt financing type and accounting conservatism constitute complements or substitutes in mitigating risk-shifting problem. In this thesis, risk-shifting is measured by the sensitivity of asset volatility (which is measured based on the Merton model (1974)) to the change of investment level. The proxy of accounting conservatism is constructed from three measures, including nonoperating accruals, relative skewness of earnings versus cash flows, and C_Score. Debt financing is classified into two basic types: bonds and bank loans. The former are further classified into convertible bonds and straight bonds, and the latter are further classified into non- syndicated loans and syndicated loans. The empirical results are summarized as follows. First, higher the accounting conservatism is, the degree of risk-shifting is lower. Second, for firms financing primarily through convertible bonds relative to those financing primarily through straight bonds, the degree of risk-shifting is lower and the effect of accounting conservatism in mitigating risk shifting is less pronounced. Finally, for firms financing primarily through syndicated loans relative to those financing primarily through non-syndicated bank bonds, the degree of risk-shifting is lower and the effect of accounting conservatism in mitigating risk shifting is less pronounced. In sum, the role of accounting conservatism in mitigating risk-shifting depends on the types of debt financing. Accounting conservatism and debt financing type may constitute substitutes in mitigating risk-shifting because the effectiveness of monitoring and degree of information asymmetry differ among different types of debt financing.
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Zhang, Meng-Yang, and 張夢瑒. "Research on Factors of Fund Managers’ Risk Shifting Behavior." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/68574305799512014464.
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碩士國立臺灣大學
國際企業學研究所
103
This paper examine the factors that affect managerial risk shifting due to compensation incentives and employment incentives as well as risk surprise. The empirical investigation is based on data of mix-stock and common stock open-end funds of China during 2006 – 2014. This paper constructs deviation from the expectation as the proxy of managerial risk shifting behavior using detailed data of funds’ asset allocation. Then, we analyze these factors by contingency table approach and regression approach. Based on a thorough empirical investigation, firstly, we find that due to inadequate payment system in China, compensation incentives have insignificant influence on fund managers’ risk shifting behavior. Secondly, when employment incentives dominate, mid-year-performance losers tend to decrease risk relative to mid-year-performance winners to prevent potential job loss. In addition to the compensation incentives and employment incentives, the deviation from the expectation when facing risk surprise is the most crucial factors for fund managers’ risk shifting behavior. We also find that the best mid-year-performance fund managers are of the greatest tendency to increase portfolio risk during the next half year. Finally, this paper shows the tenure of fund manager is relative to their risk shifting behavior while the fund is managed by a single manager (team) doesn’t matter.
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Huang, Yuchia, and 黃于嘉. "Institutional Ownership and Corporate Hedging: An Evidence of Risk-shifting." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/02462141577588642094.
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碩士國立暨南國際大學
財務金融學系
101
Extending the research of Tai, Lai and Lin(2012), this paper adopts listed company in Taiwan from 2005 to 2009 to examine whether the distance of institutional supervision affects risk-shifting policy of financial distressed firms by separating institutional ownership into domestic institutional ownership and foreign institutional ownership. The result shows that domestic institutional investors provide more effective monitoring in corporate hedging than foreign institutional investors. These results are robust to the consideration of endogeneity problem, selection bias, and industrial difference.
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Chiu, Ya-Ching, and 邱雅靜. "Equity-linked Life and Risk-shifting in Taiwan Life Insurance Industry." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/74355583592254964848.
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Lin, Yu-Cen, and 林昱岑. "Multi-agent Based Deep Reinforcement Learning for Risk-shifting Portfolio Management." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/nfe7z3.
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碩士國立交通大學
資訊管理研究所
107
The growing popularity of quantitative trading, pursuing a systematic and algorithmic approach to invest, has drawn considerable attention among traders and investment firms nowadays, especially in the demand of investors for quant hedge fund. In this thesis, we consider the problem of multi-period portfolio selection with realistic transaction cost model, which is one of the major concerns for quant hedge fund managers. We develop a dedicated multi-agent based deep reinforcement learning framework with a two-level nested agent structure to learn an effective portfolio management with different objectives. With the aim of efficiently capturing specific asset property in portfolio and learning risk-shifting behavior automatically in money management, each agent is equipped with elaborating deep policy networks and a special training method that enables the proposed RL agent to learn risk-shifting behaviors with the stable convergence, which is of importance especially in the long-only portfolio management. We find that the introduction of prior knowledge in money management has a significant impact on the risk-shifting behavior of our learning agent, which acts as a guideline during the learning process. Furthermore, our experimental results reveal the effectiveness of our proposed framework, which outperforms all of surveyed well-known or representative portfolio selection strategies on most risk metrics and absolute returns. We obtain a leap of 37% relative improvement in the risk-adjusted Sharpe ratio, as well as with 8% relatively higher in the annual return, over the previous state-of-the-art.
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Jhuang, Jia-Wei, and 莊甲煒. "The Risk Shifting Behavior of the Leaders and Followers in Merger Waves." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/88544876631628344047.
Full textAbstract:
碩士國立暨南國際大學
財務金融學系
103
Our study aims to examine the differences of the risk-shifting behavior in hedging and investment strategies between leaders and followers in merger waves. The results show the leaders in a merger wave have higher incentive to risk-shifting risk in both hedging strategies and investment strategies. Although it is generally known that M&A (Merger and Acquisition) activity is a risky strategy of expansion. However, the leaders in a merge wave do not tend to take higher risk than followers in the merge type and payment methods. Finally, this study shows that bargaining power and market share are the key drivers to be earlier into a merge wave. This study is the first to discuss the risk-shifting strategies and motivation of leaders and followers in merge waves and the first to bridge the literature between risk management and M&A.
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LIAO, YA-LING, and 廖雅玲. "The Analysis of Bank Risk-Shifting under Financial Crisis: Evidence from Taiwan." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/z93wuz.
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碩士靜宜大學
財務金融學系
104
The deposit insurance system is a mechanism that protects small depositors and avoids bank from running. On the other hand, deposit insurance also leads incentives that banks will transfer risks to the deposit insurance insurer. This paper examines the relation between risk-shifting of banks and financial crisis in Taiwan from 1990 to 2014. The findings show that after deposit insurance becomes comprehensive insurance, Taiwanese banks shift their risks to the deposit insurance insurer. Further analysis of risk-shifting under risk-based deposit insurance system reveals that, during the non-crisis period, banks would reduce risks. However, during the crisis period, banks still increase risks, and engage in risk-shifting. Therefore, risk-based deposit insurance system that causes a degree of inhibition effect to the behavior of banks' risk-shifting, but this effect can't generate function in the financial crisis. The result shows that only using risk-based deposit insurance system can't restrain risk-shifting, suggesting that demand other system is demanded as accompanying measures.
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Chen, Wei-cheng, and 陳韋呈. "Risk-Shifting Behavior in Large and Small Distressed Firms: An Empirical Analysis." Thesis, 2000. http://ndltd.ncl.edu.tw/handle/47759016950125746731.
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碩士國立中央大學
財務金融研究所
96
This study uses a uniform measure across a large sample of firms to analyze the actual existence of risk-shifting problem in large and small distressed firms. In addition to consider the effects of market-level and industry-level uncertainty on firm''s invesrment, we also take the effects of total firm uncertainty on firm''s investment into consideration to examine the risk-shifting behavior in large and small distressed firms. Our results provide the evidence of risk-shifting behavior in small distressed firms. Further, we use the maximum likelihood estimation method proposed by Duan(1994; 2000) to estimate the costs of risk-shifting. According to our estimation, the value of debt in small distressed firms is reduced by approximately 0.41%~0.55%, as the result of overinvestment in high uncertainty firm-specific investments. Moreover, we also find that the factors including secured debt, shorter maturity debt, and less growth options only have weaker effects on mitigating the risk-shifting behavior in small distressed firms.
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Lin, Yi-yao, and 林憶窈. "The impacts of earning management and market discipline on bank risk-shifting." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/08247363768588401530.
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碩士國立雲林科技大學
財務金融系碩士班
100
In recent years, governments have been promoting financial liberalization, internationalization and the business of lending banks. It makes the banks to increase the risk of the portfolio and reduce the quality of the portfolio. Although the deposit insurance can protect depositors, it also reduces the market disciplinary pressures. Therefore, the deposit insurance may increase the risk-shifting behavior by banks. We use a large sample of banks from 35 countries. The sample period of our study spans 1996-2010. In order to investigate the impacts of accounting discretion on bank risk-shifting. We estimate three distinct aspects of loan loss provisioning practices that can be construed as reflecting a forward-looking orientation. There are Smoothing, Forward-NPL and Forward-GL. Further, we empirically investigate the extent to which each aspect on bank risk-shifting behavior. In general, our result document that discretionary provisioning in the form of earnings smoothing dampens market disciplinary and enhances the risk-shifting behavior by banks. We also document that the two of forward-looking loan loss provisioning can enhance market discipline and dampen the risk-shifting behavior by banks.
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Wang, Tien-Ming, and 王天明. "The relationship between fund manager'' characteristics, fund characteristics and risk shifting." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/35231427564251310313.
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碩士台南應用科技大學
商學與管理研究所
100
With the participation of investor, mutual fund market has grown up vigorously for the last decades. While because the environment of international financial market was highly changeable recently, the risk concern becomes the indispensable topic of investment decision. Thus, the relationship of the degree of risk shifting, return level, fund managers'' characteristics, and fund characteristics is a crucial issue to explore. This study is distinct from the research in the past which use the fund return standard deviation to proxy the risk; I adopt the “risk shifting” concept which was proposed by Huang, Sialm and Zhang (2009). To measure risk shifting of mutual funds, they propose a holdings-based measure that is defined as the difference between a fund''s current holdings volatility and its past realized volatility. A fund has a positive risk shifting measure if the most recently disclosed holdings are riskier than the actual fund holdings. My study sample consists of 176 mutual funds, from January of 2004 to June of 2011, and 748 fund managers'' personnel data. I discuss the relationship between the degree of risk shifting and the return of the fund firstly, then explore the relationship of the degree of risk shifting, fund managers'' characteristic (education level, gender, experience) and fund characteristic (fund size, expenses rate, turnover rate, fund year). The main conclusions of this study are as follows: 1. The larger rate of return is, the higher “the risk of shifting” is. The degree of risk shifting stems from variation of the stocks holding by the fund, not the return variation of the fund. In addition, the special type fund bears the largest degree of risk shifting, while the lowest is the OTC stock type fund. 2. There exists positive relationship of the degree of risk shifting, education level and experience of fund managers. The higher the education level and working experience, the degree of risk shifting is. Probably because the fund managers relatively believe the ability they had, so raised the risk exposure of the fund. The female managers bear the lower risk shifting intensity. 3. There exists negative relationship of the degree of risk shifting, fund size, turnover rate and fund years from establish. Besides, there is no association between risk shifting intensity and the fund expenses.
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Wang, Xiaolu. "Essays in Empirical Finance." Thesis, 2010. http://hdl.handle.net/1807/26256.
Full textAbstract:
This dissertation contains two essays in empirical finance. The first essay studies the mutual fund industry, and the second essay looks into the stock market. Both studies provide insights in the underlying mechanism of some asset return patterns identified from the data currently available.
The first essay investigates the sources of a recently identified performance pattern in mutual funds.
Specifically, actively managed mutual funds, in general, underperform a passive benchmark; however, some recent studies find they, in fact, outperform the benchmark in bad economic states.
I examine whether a state dependent risk shifting behavior of mutual fund managers contributes to this performance difference across states, and find supportive evidence.
As shown in prior studies, the risk shifting behavior is motivated by a non-linear flow-performance relationship.
Using a piece-wise linear regression, I demonstrate that the non-linearity exists mainly in good states; whereas in bad states, the flow-performance relationship is close to linear. Thus, non-zero risk shifting incentives are only expected in good states.
I empirically measure these incentives in good states, and show that managers do react to the ``gambling'' (i.e., positive) incentives. In addition, higher ``gambling'' incentives are found to be associated with lower fund performance.
The second essay, based on joint work with Hai Lu and Kevin Wang, examines how stock price shocks in the absence of public announcement of firm specific news affect future stock returns. We find that both large short term price drops and hikes are followed by negative abnormal returns over the subsequent twelve months. The pattern of asymmetric drifts, the return continuation for negative shocks versus the return reversal for positive shocks, is puzzling. We explore whether investor disagreement can explain the puzzle and find that the evidence is consistent with predictions of disagreement theory. Moreover, price shocks with public news disclosures are followed by weaker drifts, suggesting that reduction of information asymmetry from public disclosures mitigates disagreement-induced overpricing.
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Liao, Chih-ming, and 廖志明. "Risk-Shifting Behavior in Credit Department of Farmers'' Association under Government Credit Guarantee in Taiwan." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/67528693618865828169.
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碩士南華大學
財務金融學系財務管理碩士班
97
This paper investigates empirically whether Taiwan’s Credit Department of Farmers’Association (CDFA) presents the risk-shifting behavior under Agricultural Credit Guarantee Scheme (ACGS) using 250 CDFAs over the period 2000 to 2007. We also identify key factors affecting the nonperforming loan ratio under ACGS in CDFAs. The empirical evidences indicate that CDFAs with lag 1 year nonperforming loan ration are more likely to shift the risk of guaranteed loan onto ACGS. The factors of institution and local agricultural environment have impact on nonperforming loan ratio under ACGS. There are significant differences in nonperforming loan ratio under ACGS among different type and case scale of CDFAs. Specifically, nonperforming loan ratio under ACGS in CDFAs shows a significantly and substantially decreasing after 2005 due to ACGS’s refunding and extension. In addition, regional difference in nonperforming loan ratio under ACGS is insignificant. This implicates that risk-shifting behavior in CDFAs is universal.
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Platanakis, Emmanouil, and C. Sutcliffe. "Pension scheme redesign and wealth redistribution between the members and sponsor: The USS rule change in October 2011." 2016. http://hdl.handle.net/10454/8145.
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yesThe redesign of defined benefit pension schemes usually results in a substantial redistribution of wealth between age cohorts of members, pensioners, and the sponsor. This is the first study to quantify the redistributive effects of a rule change by a real world scheme (the Universities Superannuation Scheme, USS) where the sponsor underwrites the pension promise. In October 2011 USS closed its final salary scheme to new members, opened a career average revalued earnings (CARE) section, and moved to ‘cap and share’ contribution rates. We find that the pre-October 2011 scheme was not viable in the long run, while the post-October 2011 scheme is probably viable in the long run, but faces medium term problems. In October 2011 future members of USS lost 65% of their pension wealth (or roughly £100,000 per head), equivalent to a reduction of roughly 11% in their total compensation, while those aged over 57 years lost almost nothing. The riskiness of the pension wealth of future members increased by a third, while the riskiness of the present value of the sponsor’s future contributions reduced by 10%. Finally, the sponsor’s wealth increased by about £32.5 billion, equivalent to a reduction of 26% in their pension costs.
The full text will be available at the end of the publisher's embargo; Oct 16 2017
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Kuo, Jun, and 郭盈君. "An analysis of the risk-shifting behavior of the insured financial institutions under the current deposit insurance system." Thesis, 1995. http://ndltd.ncl.edu.tw/handle/70551793913119357164.
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碩士淡江大學
金融研究所
83
This paper uses the Jin-Chuan Duan , Moreau and Sealey model (1992) to test the hypothesis in respect to the control undertaken by seven listed financial institutions in Taiwan. With respect to the agency issue on the insured financial institutions,the concept of Saunders , Strock and Travlos (1990) is used to corroborate the said factor on the local insured financial institutions. The results of the empirical studies based on the sampled banks indicated the following: 1.A complementary relationship exists between the leverage and the asset risk. 2.The government''s requirement on the capital adequacy has minimum effect on the leverage risk of sampled financial institutions. On the contrary,this requirement appears to have caused these financial institutions through the aggressive use of leverages to achieve the desired returns on capitals. 3.Under the condition with effectively the lowest insurance premiums worldwide,the insured financial institutions will essentially shift their risk to the Central Dsposit Insurance Company. 4.In fact,the sampled financial institutions indicated that the agency issue is not a significant factor and the shareholdings of senior management have no effect on the management''s decisions regarding the risk assumed by the banks.
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LIN, CHIH-HSIEN, and 林志賢. "The Property-Liability Insurance Shifting Strategies for the Fixed Asset Risk of Enterprise: The Case of the Pouchen Corporate." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/67449252350890056730.
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碩士大葉大學
事業經營研究所碩士在職專班
93
It is impossible to completely avoid the risk for a company, and hence there is a need to reduce the asset loss due to the complicated business environment. To develop an integrated evaluation mechanism and procedure, which is suitable for the specific company, the directors must consider the important issues of risk management for fixed asset. The current study collects the related literature, makes a comparison about various risk management systems of fixed asset, and identifies their advantages and disadvantages. By conducting an in-depth interview, the author summarizes a framework for safety and loss control and risk shifting in a way of buying insurance. The benefits from using risk shifting strategy are also discussed. The results bring the practitioners and researchers brand new thinking, and help of risk management plans be effectively executed. The study also indicates a few findings that the decision maker always play an important role in risk prevention. The study finds that even if the case company has its interior specialists, the decision maker still acts quite important role in the process of risk management. Besides the study proposes using the safety and loss control system to serve as an auxiliary tool which can reduce the risk loss probability and mitigate the loss scope.
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Zhan, Gong. "Three essays on hedge fund fee contracts, managerial incentives and risk taking behaviors." 2011. https://scholarworks.umass.edu/dissertations/AAI3482676.
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Under the principal-agent framework, the first essay studies and compares different compensation schemes commonly adopted by hedge fund and mutual fund managers. We find that the option-like performance fee structure prevalent among hedge funds is suboptimal to the symmetric performance fee structure. However, the use of high water mark (HWM) mitigates the suboptimality, though to a very limited extent. Both our theoretical models and simulation results show that HWM will induce more managerial efforts only when a fund is slightly under the water but it will unfavorably dampen incentives when a fund is too deep under the water and when the manager’s skill is poor. Allowing managers to invest personal wealth in their own funds, however, helps align interests and provides positive managerial incentives. Existing literature has detected a ”tournament behavior” among mutual fund managers that mid-year underperformers tend to take relatively higher risk than peers in the second halfyear. The second essay reexamines this issue and provides empirical evidence that such behavior does not exist among hedge fund managers, either at fund level or risk style level. Instead, hedge fund managers shift risk at mid-year in response to the moneyness of their incentive contracts. Also, risk shifting decisions are more driven by underperformance than by outperformance. High Water Mark can strongly rein in excess risk-taking and therefore better aligns interests. Last, risk shifting on average does not improve either performance, moneyness of incentive contracts, or cash inflows. The third essay uses factor models and optimal changepoint regression models to capture the intra-year risk dynamics of hedge fund managers. Those risk shifting managers are further divided into Informed’, ’Uninformed’ and ’Misinformed’ groups, according to their post-shifting risk adjusted performance. We find evidence that supports the existence of an ’Adverse Selection’ problem of managers compensation schemes. Namely, incentive contracts, designed to share risks and align interests, induce the strongest risk taking from the least informed or skilled hedge fund managers, whose risk-shifting decisions result in undesired or even deteriorated risk-adjusted returns for investors. We also find that the High Water Mark has only limited influence on mitigating excessive risk shifting.
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Rivera-Mesias, Alejandro. "Essays on financial economics." Thesis, 2016. https://hdl.handle.net/2144/14519.
Full textAbstract:
This dissertation explores the role of information frictions in the design of financial securities, the pricing of securities, and their business cycle implications.
The first essay studies the risk- shifting problem between bondholders and shareholders, and the moral hazard problem between shareholders and the manager. Although, these two problems have been studied separately, my model is the first tractable frame-work to study these two frictions jointly. Using my model, I explore: i) How the presence of managerial moral hazard affects the risk-shifting problem, and ii) How optimal policies of the firm change in terms of leverage, managerial compensation, and investment decisions when the two problems are considered jointly. I show that the optimal amount of risk-shifting is amplified in the presence of managerial moral hazard. Moreover, my model delivers a non-monotonic relation between risk-shifting and leverage. This non-monotonicity has the potential to reconcile seemingly contradictory empirical evidence on the sign of this relation.
The second essay (coauthored with Jianjun Miao) studies the design of an optimal contract for the manager when the shareholders are concerned about model misspecification. The model delivers counter-cyclical firm level equity premium, and has interesting implications for security design.
The third essay incorporates accounting practices into models that generate business cycles through borrowing constraints. I show that the interaction of accounting frictions with the borrowing constraint has implications for the persistence and amplification of macroeconomic shocks.
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(6861416), Roger T. Godwin. "Asset Substitution Incentives and Uncertain Tax Choices." Thesis, 2019.
Find full textAbstract:
The equity holders of a firm typically control investment choices but enjoy limited liability, since the value of equity is the firm’s value in excess of the value of debt and other fixed claims. The asset substitution problem allows equity holders to expropriate value from other claimants by shifting downside risk from failed projects. To do so, equity holders substitute riskier investments for those with less risk. In the context of tax choices, firms pursue uncertain tax projects to reduce their current or future tax payments. Given the negative consequences of tax uncertainty documented by prior studies, understanding why firms pursue more uncertain tax projects is important for both internal and external stakeholders. In this study, I construct a model of the firm that highlights how asset substitution incentives influence the adoption of uncertain tax projects. I confirm the inferences from this model empirically to illustrate when firms are more likely to prefer more uncertain tax projects due to the investment distortion created by asset substitution incentives. Specifically, I find that firms in financial distress, firms with high growth potential, and loss firms adopt more uncertain tax projects than other firms. These results provide relevant insight for debt holders, regulators, and enforcement bodies.