An empirical re-evaluation of the effects of education in nonmarket production
Author:
Christie Agioutanti
Year of Dissertation:
2009
Abstract
PRICING COLLATERALIZED DEBT OBLIGATIONS WITH PURE JUMP LÉVY PROCESSES: A DYNAMIC BOTTOM-UP APPROACH
Year of Dissertation:
2011
The Gaussian copula model is the industry standard in pricing CDO tranches because of its easy implementation and speedy calibration. However, it has several well-known shortcomings: It leads to the so-called correlation smile", generates symmetric and light-tailed asset return distributions and it is static. This dissertation proposes a dynamic bottom-up model based on a pure jump Lévy process, a path rarely taken in the credit pricing literature, and makes a comprehensive empirical analysis of bottom-up CDO pricing models. Owing to its ability to capture asymmetric heavy-tailed return distributions and to accommodate different degrees of dampening for positive and negative jumps, empirical evidence shows that the proposed model significantly outperforms the models commonly employed in the industry and frequently referenced in the literature in fitting CDX and iTraxx tranche spreads. As such, it constitutes an important addition to the credit pricing literature.
STOCK'S PRICE BEHAVIOUR AROUND CORPORATE MERGER AND ACQUISITION ANNOUNCEMENTS: EVIDENCE FROM THE NYSE
Year of Dissertation:
2010
Efficient price discovery is one of the most important qualities of a financial market. Assessing a market's efficiency of price discovery is a challenging topic because efficient prices are not directly observable. It is not clear how to measure the extent to which actual prices conform to efficient prices. In this study, we use a methodology based on a state space model which deals naturally with short-term microstructure noise and enables the estimation of the unobservable prices and by implication, the pricing error. We investigate the contribution of non-instantaneous price discovery to intraday stock's price volatility around US corporate merger and acquisition announcements for a sample of 53 NYSE stocks from 2004 to 2008 using the TAQ data.
Essays in Market Efficiency
Year of Dissertation:
2009
This dissertation investigates the market inefficiencies of both foreign exchange and equity markets. On the one hand, the efficiency of foreign exchange markets is explored through the measurement of the contribution to price discovery of the spot and futures market, and the its effect on intermarket mispricing. On the other hand, the efficiency of equity markets is tested by examining the martingale behavior of recently popular international stock index ETFs.
THE EFFECT OF FIRM-SPECIFIC RETURNS VARIATION ON R2: FROM THE PERSPECTIVE OF THE ACCRUAL ANOMALY
Year of Dissertation:
2009
R-square, calculated as CAPM of stock returns regressed on a market index, is constructed to explain stock price change by market-wide information. In my dissertation, I have analyzed the behavior of R-square and its decomposed variations (firm-specific and market-wide variation) with regard to the accrual anomaly, domestically and internationally. My major results in the US are as follows. First, the effect of accrual anomaly significantly lowering future R-square associated with higher firm-specific variations is robust and is not affected by (1) size, firm age, and other control variables; (2) industry risk and market risk; (3) other alternative explanations of accrual anomaly (value-glamour anomaly, bankruptcy risk, and arbitrage risk). Second, earning management is likely to be the reason why R-square decreases the accrual anomaly. Third, the difference in R-square between portfolios of good/poor accrual quality is subject to firm-specific variation. Fourth, the robustness of accrual anomaly significantly lowering future R-square even applies to the industry level. Using equity markets in 31 countries to investigate the relationship between the accrual anomaly and R-square, I find the occurrence of accrual anomaly significantly decreasing R-square is clustered largely in developed countries with relatively low R-square (USA, Australia, UK, Canada, Japan, Germany, Netherlands, South Africa, and France), casting doubt on the statement that the more efficient the capital market is, the lower R-square is. In terms of market efficiency, the actual R-square of developed countries should be higher. Finally, I observe that the phenomenon of accrual anomaly significantly lowering future R-square is more frequently found in countries with a low level of government corruption, those with a common law tradition, those with low quality of accounting standards, and those where shareholder ownership is widely dispersed. In addition, an analysis of ADRs (American Depository Receipts) helps to explain the effect of institutional and governmental structures on the relation between R-square and the accrual anomaly. Last, I also investigate the relation between stock return variation and extreme trading volume in the tail by demonstrating the asymmetry of the return and volume in six emerging countries.
Pharmaceutical Innovation and Infant Health: Palivizumab and RSV in California
Year of Dissertation:
2010
The respiratory syncytial virus (RSV) is the leading cause of bronchiolitis and other lower respiratory diseases in infants and is also the foremost cause of hospitalizations of infants younger than one year of age. In 1998 palivizumab was approved, a drug designed to provide passive immunity against the virus for infants who have risk factors making them especially susceptible to severe RSV infections. Although the drug can never increase the likelihood of a severe RSV infection, infants who are born with well developed respiratory and immune systems receive no additional benefit from the drug, and because of the high price of the drug, with a full treatment regimen costing over $5,000 per infant, the American Academy of Pediatrics (AAP) releases policy statements outlining which risk factors should be considered when determining if an infant will benefit from the application of palivizumab.
The Effect of the Sarbanes-Oxley Act of 2002 on Corporate Governance
Year of Dissertation:
2010
The Sarbanes-Oxley Act of 2002 (SOX) introduced strict governance rules for public companies in the US to prevent diversion of resources by corporate insiders. Another governance mechanism that serves to align the interests of managers and directors of the firm with outside shareholders is ownership structure as discussed in Chapter 1. The equity structure of dual-class firms is characterized by multiple classes of shares with differential voting rights, which allows insiders to hold disproportionate dividend and voting rights. Dual-class status may serve as a protection from value-reducing takeovers and help the realization of growth options. At the same time, since managerial cash-flow rights have an incentive alignment effect, while voting control reduces the discipline of the market for corporate control, dual-class firms may protect large private benefits of insiders.
Essays on Economic Policy: Income Inequality and Health Insurance
Year of Dissertation:
2010
This dissertation contains economic analyses of two critical social issues facing the United States at the dawn of the 21st century: income inequality and the affordability of health insurance.
Essays on Globalization, Skills and Development
Year of Dissertation:
2011
This dissertation examines how globalization, defined as increase in trade or Foreign Direct Investment (FDI), influences development in terms of economic growth and labor market effects. It also studies the role of human capital in affecting economic development both directly and interacting with globalization variables. The dissertation consists of four chapters: one macroeconomic study that revisits the impacts of globalization and education on economic growth (Chapter 1) and three micro-level case studies on Vietnam's labor market. One micro paper explores the impacts of FDI on wages (Chapter 2), another investigates the impacts of FDI on internal migration (Chapter 3), and the final study explores the effects of export liberalization on Vietnam's skill premium (Chapter 4).
ESTIMATION OF AN EMPIRICAL FAVAR MODEL AND DSGE MODEL FOR EVALUATING EFFECTS OF GOVERNMENT SPENDING IN JAPAN
Year of Dissertation:
2012
This paper studies the effects of government spending on the economy through estimation of an empirical Factor Augmented Vector Autoregression (FAVAR) model and a theoretical DSGE model. We first conducted FAVAR using data for 107 time series from Japan, and found that an increase in government investment and consumption leads to an increase in private consumption and real wages. We then constructed a New Keynesian (NK) general equilibrium model with real and nominal rigidities, including Edgeworth complementarity/substitutability between private and government consumption and productive public capital. The model extends the Bouakez and Rebei (2007) model in three dimensions: constructing an NK model, including intertemporal investment adjustment cost and variable capital utilization as real rigidities, and introducing public capital stocks as an externality to the production function of intermediate goods firms. Our model succeeds in explaining private consumption and real wages increase in response to government expenditure shocks. We estimate key parameters of the model using Bayesian inference and show that private and government consumption are Edgeworth complements and marginal productivity of public capital is productive in Japan.