Finance and Financial Management Commons^™

Bank Lending Channel And Changing Credit Standards In The Residential Mortgage Market, Salman Tahsin

Graduate Theses and Dissertations

My dissertation examines the relationship between bank conditions and the residential mortgage market. The first essay investigates the effect of bank distress on the residential mortgage market during the 2007-09 financial crisis. We use the county-aggregated change in the ratio of jumbo to nonjumbo mortgage acceptance rate as an instrumental variable to control for endogeneity between bank distress and county economic conditions. The median decrease in the instrumental variable explains an additional 1.5 percentage point decline in county home prices and a 20 basis point rise in the county unemployment rate, which represent 15% and 5%, respectively, of their median …

Performance Evaluation And Risk Management: Time Series Bootstrap Analysis Of The Mutual Funds And Banking Sectors, Lifa Huang

Graduate Theses and Dissertations

The Financial Services Modernization Act of 1999, also known as the Gramm–Leach–Bliley Act (“Act”), repealed a regulatory proscription in the Glass–Steagall Act of 1933 that prohibited commercial bank holding companies (BHCs) from underwriting most bonds, equities, and insurance policies. After the passage of the Act in November 1999, BHCs that converted to financial holding companies (FHCs) were allowed to engage in securities underwriting without restrictions. The first paper examines whether the removal of barriers to securities underwriting had an adverse impact on the overall stability of the financial sector, and thereby, contributed indirectly to the financial crisis of 2008. The …

Surplus Consumption, Habit Utility And Moody Investors, Jun Lou

Dissertations, Theses, and Capstone Projects

The thesis examines a blend of Asset Pricing topics: joint stock-bond pricing, consumption-based asset pricing puzzles, time variation in risk preference, among others. In chapter one, I first review the literature on respective topics in search of a consolidated framework of resolution. I then propose one, a consumption-based affine model that jointly prices bond and stock in closed form. The tractable feature of the price solutions remains standard as in affine termstructure of interest rates, but presents novelty for the stock prices. In chapter two, I discuss the GMM based procedures for model estimation. In chapter three, I interpret the …

Hedge Fund Performance And Derivative Hedging, Yongjia Li

Graduate Theses and Dissertations

This dissertation is comprised of three essays which focus on hedge fund performance and derivative hedging. The first essay uses ETF returns as proxies for tradable risk factors in hedge fund performance evaluation and identifies contemporaneously relevant risk factors from the entire universe of ETFs. The model provides more informative estimates of alpha and beta coefficients for predicting hedge fund out-of-sample performance compared with other widely used hedge fund factor models. Portfolios of top alpha hedge funds selected by the model generate statistically significant out-of-sample performance that is substantially higher compared with portfolios selected by other models. In addition, the …

Numerical Methods For Option Pricing Under The Two-Factor Models, Jiacheng Cai

UNLV Theses, Dissertations, Professional Papers, and Capstones

Pricing options under multi-factor models are challenging and important problems for financial applications. In particular, the closed form solutions are not available for the American options and some European options, and the correlations between factors increase the complexity and difficulty for the formulations and implements of the numerical methods.

In this dissertation, we first introduce a general transformation to decouple correlated stochastic processes governed by a system of stochastic differential equations. Then we apply the transformation to the popular two-factor models: the two-asset model, the stochastic volatility model, and the stochastic interest rate models. Based on our new formulations, we …

Essays On Financial Intermediation, Yong Kyu Gam

Doctor of Business Administration Dissertations

Chapter 1 investigates a regulatory spillover effect of the Basel III liquidity standard on the real economy through a series of difference-in-difference estimations. Since the Basel Committee’s official endorsement for the new liquidity regulation in December 2010, a bank exposed to high liquidity risk reduced its loan proportion significantly, making a negative real effect on its surrounding economy via a bank-lending-channel. The new regulation also induced a bank with a weak liquid balance sheet to raise its deposit rate aggressively, generating a liquidity problem in a nearby local bank through a deposit-competition-channel and ultimately curbing an expansion of the local …

Essays In Financial Economics, Johnson Owusu-Amoako

Doctoral Dissertations (DBA)

In this study, we empirically investigate the impact of credit default swap rates on short-term interest rates. We find that CDS rates significantly impact short-term interest rates. The impact remains significant after controlling for inflation and unemployment. Applying co-integration test and vector error correction modeling, the study also finds a causal relationship between CDS rates and short-term interest rates. These relationships are confirmed through autoregressive conditional heteroscedasticity (ARCH), exponential generalized ARCH [EGARCH] and vector auto-regression (VAR) analyses. The empirical results have important implications in setting short-term interest rates. A regular revision of policy targeting to capture the continual changes in …

Essays In Corporate Responsibility And Finance, Mert Demir

Dissertations, Theses, and Capstone Projects

This dissertation consists of three chapters:

Chapter 1: The Effects of Corporate Social Performance and Social Norms on Market Valuation of Nonfinancial Disclosures Using a novel measure of the quality of corporate social responsibility (CSR) disclosures by global companies, this paper analyzes how CSR report quality affects firm value when mediating roles of social pressure and CSR performance are considered. I find that firms operating in socially controversial industries enjoy higher valuations when they issue high-quality CSR reports. I also find that for firms with poor CSR performance, higher-quality CSR disclosure is associated with a decline in firm value, while …

Is Silence The Answer?, Gator Adams

CMC Senior Theses

This study examines the relationship between company management guidance, and ex-ante crash risk over the duration of 2008(Jan 2006-Dec 2009) financial crisis using the implied volatility skew, which is based upon ex-ante volatility implied by the pricing model developed by Black-Scholes (1973). The study finds that over the duration of this crisis period, management guidance decreases with a rise in ex-ante crash risk. Further, the study provides evidence on the relationship of management guidance and earnings volatility, and how that is affected by a firm's industry product concentration based on the Herfindahl-Hirschman Index (HHI) score.

Comida En Ruedas Sas, Manuel Andrés Bravo Arjona, Jonnathan Quintana Romero

Finanzas y Comercio Internacional

No abstract provided.