Top PDF Three essays in economics and finance

Three essays in economics and finance

Three essays in economics and finance

This dissertation consists of three essays. The first essay is joint work with Dan Bern- hardt. We endogenize entry to a security-bid auction, where participation is costly, and bidders must decide given their private valuations whether to participate. We first sup- pose that the minimum reserve security-bid yields the seller an expected revenue equal to the asset’s stand-alone value to the seller. Demarzo et al. (2005) establish that with a fixed number of bidders, auctions with steeper securities yield the seller more revenues. Counterintuitively, we find that auctions with steeper securities also attract more entry, further enhancing the revenues from such auctions. We then establish that with optimal reserve securities, auctions with steeper securities always yield higher expected revenues. In the second essay, I consider a situation in which a winning bidder of an equity auction has an investment opportunity after the auction and the seller has private infor- mation about the return of the post-auction investment. I show that in such a situation, in contrast to the seminal “linkage principle” by Milgrom and Weber (1982), the seller’s expected revenue may be higher when not disclosing her private information at all than when committing to publicly announce her private information regardless of whether it is positive or negative.
Show more

58 Read more

Three Essays on Financial Economics

Three Essays on Financial Economics

All of work presented henceforth was conducted for my Ph.D. studies at the Depart- ment of Finance, Copenhagen Business School. The thesis consists of three essays that cover different aspects of financial economics and each essay is independent and self-contained. Chapter 1 was inspired by Kristian Miltersen and Walter Torous’s unpublished theoretical work. I reinterpret the theory, implement it into an empir- ical setting and find the evidence to support it. Chapter 2 has been undertaken by Kristian Miltersn and myself together. We developed research ideas in discussing the issues after the recent financial crisis 2007-2009. We worked together in modelling and solving the questions. Kristian has especially contributed in interpreting our analysis and results. Finally, I was in charge of presenting the current version of paper in putting all together. Chapter 3 is the joint work with Seong-Hoon Kim. I was a lead investigator; developing research questions, putting them into an empiri- cal framework, actively collecting data, and positioning our work in extant literature. Seong-Hoon Kim has contributed to implement STVAR in our empirical examination, furthermore presenting VAR results, writing-up the implications.
Show more

156 Read more

Three essays in applied economics

Three essays in applied economics

The London School of Economics and Political Science Three Essays in Applied Economics Amar Shanghavi January 2015 A thesis submitted to the Department of Economics of the London School of Economics f[.]

142 Read more

Three Essays in Health Economics

Three Essays in Health Economics

paternal samples. We also provide statistics for a subset sample, conditional on at least one sister (or brother) of the mother (or father) being observed in the samples (denoted as sibling sample). The statistics are similar between the whole and sibling samples, suggesting that our source of variation comes from a subsample that is not selective. We note that the fraction of LBW increased drastically from G2 to G3. There is also a slight increase in the fraction of IUGR as measured by all three criteria, but not as much. Two policy changes are responsible for these trends. First, the birth reporting requirement becomes more stringent after 1994. Before that year, it was common to not report a birth if the newborn was dead. Second, the National Health Insurance (NHI) program implemented in 1995 provides the entire Taiwan population with access to health care at a very low cost. Better medical care allows more preterm births and a weak fetus to survive. In our samples, both policy changes affect the entire third generation, but not the second generation, which explains the observed differences. In section 1.4.4, we account for the potential bias that the probability of observation in samples for the second generation may be correlated with birth weight.
Show more

146 Read more

Three Essays in Financial Economics

Three Essays in Financial Economics

influential, depending on stock sorting characteristic. Second, decomposing stocks by type, I show that for those pairs who are “vulnerable” to retail investors in the sense of Llorente et al. (2002) or Baker and Wurgler (2006), the relationship between social media activity and return correlation is two to three times larger. In addition, I show that stocks that are similar by “style” class in the sense of Barberis and Shleifer (2003) also comove more when social media activity is high. I study five style classes industry, price, value, momentum, market beta and investment-to-assets, finding that return correlation responds to social media activity less when the two stocks are in different style classes, such that the extremes of some style classes, the effect is fully abated. Fourth, I interact the main effect with investor-reported sentiment, measured using StockTwits’ commonly used feature, “the cashtag”. Defined in three ways, disagreement in the direction of sentiment on the components of a stock pair leads to a reduction in the effect of posting on comovement - one-third at the monthly level, and almost negative at the weekly level (although statistically unreliable). While sentiment is not exogenous, this is consistent with the idea that social media consumers trade according to their reported sentiment, and therefore impact returns accordingly. Finally, I repeat the analysis briefly on comovement in trading activity, absolute returns and liquidity, and find evidence suggesting even larger increases in these other market quantities.
Show more

192 Read more

Three Essays in Health Economics

Three Essays in Health Economics

Duration analysis easily accommodates time varying covariates, and so is ideal for this context where an individual’s current BMI plays a significant role in determining their BMI (and their obesity status) in the next period. Within the realm of standard duration analysis lays three separate and distinct parameterization strategies. The first, nonparametric analysis, does not require any assumption about the distribution of failure times (i.e. the baseline hazard), and does not include covariates. This modeling technique essentially lets the data speak for itself, and models the time to occurrence based solely on the passage of time. The second modeling approach is to utilize, semiparametric analysis, which, does not require an assumption about the baseline hazard, but parameterizes the effect of covariates. Finally, the third modeling approach, parametric estimation, requires an assumption about the shape of the baseline hazard, and includes covariates in the analysis. In general,
Show more

169 Read more

Three Essays on Financial Economics

Three Essays on Financial Economics

Writing a dissertation is a journey, a journey that requires inspiration, perseverance, and deep commitment. For me, this journey could not have been completed without guidance and help from a large group of people. I wish to express my deepest gratitude to all of those who helped to make this journey a wonderful experience in my life and helped me contribute to the scholarly literature in economics.

187 Read more

Three essays on economics of rehypothecation

Three essays on economics of rehypothecation

Figure 2.1 illustates how output evolves after different temporary shocks. I assume that the economy is initially at the steady state. When the size of the shock is smaller than ∆ = 35%,[r]

76 Read more

Three Essays in Spatial Economics.

Three Essays in Spatial Economics.

In Chapter 2, we calculate the actuarially fair premiums for flood insurance policies in Florida. Three single hurdle models are considered for the estimation of the annual count of flood insurance claims in each county of Florida. Parameters of the models are allowed to spatially vary with the counties of Florida. Although the Single Hurdle Poisson model does not predict the best on yearly based, the average prediction of this model over sample period is closer to the historical average than the other single hurdle models and current rating of the NFIP. Although the loss cost ratios from our estimation are higher than one, with finer resolution data on historical indemnity payments as well as data on home values, it will be possible to better estimate indemnity payments. This will lead to estimated LCRs closer to one. Because flood maps cannot be updated frequently, less costly complementary methods, such as the predictions from the Single Hurdle Poisson model, should be explore and used in conjunction with the flood maps or applied at a finer resolution and stand alone.
Show more

153 Read more

Three Essays on the Economics of Crime

Three Essays on the Economics of Crime

Our contribution to the literature is three-fold. The primary contribution is that we are the first to consider the effect of housing vouchers on criminal outcomes for adult recipients using a randomized lottery. 2 We join an extensive crime literature produced by MTO, which, with the exception of Ludwig and Kling (2007) who studied the contagion effects of neighborhood crime on both adults and juveniles, primarily focuses on outcomes for youth whose families received vouchers. While most of these studies have found that MTO caused positive or neutral effects for female youth, their findings for male youth have been surprisingly negative (Clampet- Lundquist, Edin, Kling, and Duncan, 2011; Kling, Ludwig, and Katz, 2005; Sciandra, Sanbonmatsu, Duncan, Gennetian, Katz, Kessler, Kling, and Ludwig, 2013; Zuberi, 2012). The only exception is Katz, Kling, and Liebman (2001), who shows that male youth have less behavior problems after moving through MTO. The effect of Section 8 voucher receipt on adult criminal outcomes is yet to be documented although Jacob,
Show more

152 Read more

Three essays in financial economics

Three essays in financial economics

I would like to thank my advisors, Dimitri Vayanos and Georgy Chabakauri for all the invaluable guidance and support I received. Their comments and suggestions improved this thesis a lot. Their personal example helped me to develop as a scholar. I also benefited from numerous discussions with permanent and visiting fac- ulty at the London School of Economics. I would like to thank Amil Dasgupta, Daniel Ferreira, Dong Lou, Peter Kondor, Albert (Pete) Kyle, Semyon Malamud, Igor Makarov, Ian Martin, Rohit Rahi, Anna Obizhaeva, Martin Oehmke, Marzena Rostek, Gyuri Venter, Kathy Yuan and Kostas Zachariadis. Peter Kondor and Igor Makarov provided vital help during my job market year. Marzena Rostek provided invaluable enthusiasm, support and feedback for the first chapter of the thesis.
Show more

175 Read more

Three Essays on Information Economics

Three Essays on Information Economics

Consider a worker trying to choose a job and a career. Each career consists of different jobs. Both the fit of the worker for a career and a job are uncertain. In order to learn about these uncertainties, she need to experiment with a job. The outcome from experimentation contains both job- and career-specific information. For example, a worker may choose to become an economist by first experimenting with research in macroeconomics. In the process, she may learn about her ability or fit for a career in economics as well as for a job in macroeconomics. While it is easy to learn whether she has the basic required skill for the career, learning about job- specific information is conditional on her having acquired the basic skills. Inability to produce a publishable result in macroeconomics may lead her to doubt her ability to engage in economic research in general, but not whether macroeconomics is indeed an appropriate field for her. The latter can only be learnt after she has produced a publishable result and sent it to a journal.
Show more

96 Read more

Three essays on the economics of crime

Three essays on the economics of crime

Hobbes (1996) was among the first theorists to introduce the notion that conflict over resources could arise between rational self-interested individuals. Since those in conflict respond to incentives, a state with sufficient legitimacy could deter potential rebels against the peace, provide civil order, and protect productive activities such as commerce. Beccaria refined this account by introducing three components of punishment, sometimes given the moniker ‘the 3 Cs’, Severity, Certainty and Celerity (Nagin, 2013). Beccaria believed that if individuals expect to pay a greater penalty for committing a crime than not committing it, they will refrain. As a result, he was also an early advocate for criminal justice reform, arguing against torture and secret accusations not just in reaction to their inhumanity but because they failed to establish rational expectation among those subject to the laws, and hence were ineffective at controlling crime (Paternoster, 2010). Beccaria also introduced the notion of marginal deterrence, stating that “If an equal punishment be ordained for two crimes that injure society in different degrees, there is nothing to deter men from committing the greater as often as it is attended with greater advantage”.
Show more

180 Read more

Three Essays on Financial Economics.

Three Essays on Financial Economics.

This dissertation is composed of three research-based essays. The first two take Korea, an economy with high income risk, as an example to calibrate optimal portfolio choices. The first essay confirms that Korean households are subject to higher idiosyncratic income risk (compared with US households) and that the risk increases with age. Using the estimated income risk, the study finds that even though Korea has impressive income growth and average returns on stocks, a Korean household should be conservative in its investment in risky assets since high income and return uncertainty could have negative effects on consumption smoothing. The second essay discusses a similar issue but extends the context of international financial markets. It asks how Korean workers in different industries should allocate their wealth in the equities of selected countries to hedge against their wage risks. Without considering the foreign exchange risk, this study finds that workers in most industries have large hedging demands for French and Canadian stocks. These results may be due to the competitiveness or the complementarity between Korean industries and the two studied countries’ industries.
Show more

117 Read more

Three Essays in Applied Economics.

Three Essays in Applied Economics.

When denoted with “yes”, regressions additionally include Distance from the 1993 reform 6 twoyear dummies; Province FE 104 dummies; Year dummies 2000-2004; City characteristics judicial [r]

98 Read more

Three Essays in Health Economics

Three Essays in Health Economics

Regressions include controls for race and education of the younger spouse, quadratics in the age of both spouses separately interacted with dummy variables for Medicare eligibility of t[r]

131 Read more

Three Essays on Health Economics

Three Essays on Health Economics

Parents and physicians may also manipulate the birth timing due to financial incentives. For physicians, Gruber et al. (1999) find that higher reimbursement fee triggers more C-section deliveries, the C-section procedure is one of the main mechanism of changing the timing of birth. A similar result was found by Grant (2009), his finding indicates that the one percentage point increase in C-section rate from about one-quarter of the original rate is attributed to an additional $1000 reimbursement for C-section procedure. For parents, Dickert-Conlin and Chandra (1999) find the increased tax benefit rise the probability of having the child in the last week of December rather than the first week of next year. Gans and Leigh (2009) find that in 2004 over 1000 births were moved from June to July to get the $3000 baby bonus, which is eligible for children born on or after July 1 st, 2004 in Australian. This shifting constituting 6 percent of the babies who would have been born in June. They also find the drop in the birth of June was mainly due to fewer C-section and induction procedures in June. And of the rise in births of July, half were C-section births, three-tenths were non-induced vaginal births, and two-tenths were induced vaginal births. All of these studies suggest that parents and physicians manipulate the birth timing because of monetary incentive, personal preference, unique cultures and so on.
Show more

121 Read more

Three essays in labor economics

Three essays in labor economics

In the last part of the paper, we simulate the total wage effects of new migration inflows for the period 1999–2017 focusing on model C, which better models workers’ skill mix. In the long run, with full capital adjustment, the overall effect of immigration on wages is, by construction, zero. Nevertheless, considering the wage impact of immigration by education group we find that highly educated workers comparatively experience the most adverse impact of immigration, probably because of the large inflow of highly educated workers in the period considered. Also, we compute short run wage effects on native and foreign workers’ wages subdividing the time span of our dataset into three sub-periods corresponding to migration policy changes or to changes in economic conditions. We find that the short run yearly negative impact of migration inflows on native wages increases after the enactment of the bilateral agreements with the EU on the free movement of persons in 2002, and then mitigates after the beginning of the economic crisis in 2009. Furthermore, highly educated workers bear the most adverse consequences of migration, with a yearly decrease in wages after the enactment of the bilateral agreements of 0.9% for natives and 1.6% for foreigners. Again, this can be explained by the upsurge in highly educated foreign workers that moved to Switzerland after the enactment of the bilateral agreements, especially from Germany.
Show more

151 Read more

Three Essays in Financial Economics

Three Essays in Financial Economics

Table 1.3 reports regression estimates of the sensitivity of changes in monthly credit spreads (CS t ) to changes in interest rates (TB t ) for the January 1973 to December 2014 period for two regimes and four different cases, with t-statistics displayed in parentheses and with the “L” index representing up to three lags. The bootstrapped P-values are reported in brackets below the t-statistics. In regime I&III, shocks to interest rates and credit spreads are either average or significantly positive, while in regime II&III they are either average or significantly negative, as defined by their magnitude with respect to a one-sigma deviation from the mean. Case 1 is the base model where the residuals 𝛼 t  t and + t 𝛽 t in the VAR system (CS t = (TB L +CS L + 𝛼 t  t )/(1-αβ) and TB t = (CS L +TB L + t 𝛽 t )/(1- αβ)) are estimated without any extra variable(s). Case 2 is the model where the residuals in the VAR system (CS t = (TB L +CS L +  D t + 𝛼 t  t )/(1-αβ) and TB t =(CS L +TB L +  D t + t 𝛽 t )/(1-αβ)) are estimated with a dummy variable D t set to 1 between January 1973 and August 1981 and set to zero between September 1981 and December 2014. Case 3 is the model where the residuals in the VAR system (CS t = (TB L +CS L +  [TB t -K t ]+ 𝛼 t  t )/(1-αβ)and TB t =(CS L +TB L +  [TB t -K t ]+ t 𝛽 t ))/(1-αβ)) are estimated with a mean-reverting level K t of interest rates calculated as a 5-year moving average. Case 4 is the model where the residuals in the VAR system (CS t =(TB L +CS L +  D t +  [TB t -K t ]+ 𝛼 t  t )/(1-αβ)and TB t =(CS L +TB L +  D t +  [TB t - K t ]+ t 𝛽 t )/(1-αβ)) are estimated with both a dummy D t and a mean-reverting level K t . Panel A reports the results for investment-grade bonds, while panel B reports the results for high-yield bonds.
Show more

106 Read more

Three essays on the economics of patents

Three essays on the economics of patents

Surprisingly, my results show that licensing is impossible under UE and just significant innovations are licensed under the LP rule, for an- other side it is shown that licensing using a[r]

73 Read more

Show all 10000 documents...