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Inflation has recently become a phenomenon of both global concern and interest. Thus, it is of increasing importance to distinguish which assets perform well under the current inflationary circumstances. This study leverages event-study techniques to investigate how Bitcoin prices move with inflation in comparison to stock indices on a multi-market level. I find no strong confirmation of Bitcoin’s inflation hedging capabilities, although it performs relatively better than the stock index over the pe- riod of time considered. Additionally, volatility in Bitcoin market does not seem very responsive to either inflationary events or surprises

Since its peak in 1996, the number of publicly listed US ?rms has declined by approximately 50%. In addition, US publicly listed ?rms are now on average larger and older than they were two decades ago. We collect a set of empirical facts on the changes in the distributions as well as entry and exit rates for public and private firms. We develop a model to evaluate which of two mechanisms | an increase in the cost of being public or a shift in the supply of private firm financing | can explain the decline in US public listings and changes in the firm distribution. We calibrate the model to match the data prior to 1996 and then quantify the extent to which these two mechanisms can explain the changes observed in the data.

This thesis consists of three chapters on finance. Chapter 1 studies how political ideology of the government shapes household's access to financial services. I find that access is higher under right-wing regimes than under left-wing. Chapter 2 investigates why do managers preannounce asset sales. I find that preannouncements prevail in specific situations: for assets outside the U.S., after poor stock performance, and when a new CEO has been appointed. Chapter 3 examines whether the U.S. states' property crime rate is a risk factor that induces lenders to increase covenants. I find that greater crime exposure leads to higher and tighter covenants.

In the U.S. equity market, high-frequency trading firms with access to fast networks engage in latency arbitrage. In this dissertation, we study both theoretically and empirically whether the artificial latency (“speed bump”) implemented by Investors Exchange (IEX) and NYSE American protects slow traders from HFT predatory trading and improves market quality. In the first chapter, we look at daily TAQ data around the implementation of these two speed bumps, and find empirical evidence that the IEX speed bump improves the overall market quality, while the NYSE American speed bump makes little difference. We find that the IEX speed bump has a larger impact on more volatile stocks and stocks traded on exchanges closer to IEX, while the NYSE American speed bump mostly affects trading handled by its Designated Market Makers. We also study latency reductions on several NYSE exchanges and find that they do not improve market quality. In the second chapter, we build a model to study how a speed bump affects investors and the market. Fundamental investors, high-frequency arbitrageurs and market makers trade on two exchanges. When we introduce a speed bump to one of them, overall price discovery improves while the market has lower liquidity. Fundamental investors become more profitable at the expense of HF traders, while uninformed investors can be better or worse. We find that investors’ trading behavior depends on information production, communication between market makers, as well as venue choice of uninformed investors, which in turn determine the impact of introducing a speed bump.

In the first chapter, we investigate the asset pricing implications of disagreement about the unobservable process that drives monetary policy. We construct a monetary economy with two investors who have heterogeneous priors about the unobservable expected growth of money, namely, the underlying monetary stance. The key friction is that information about this unobservable variable is symmetric but incomplete. Investors estimate it from observed realizations of money supply in a Bayesian framework. Investors value real money holdings intrinsically, which gives rise to a demand for money. In equilibrium, the demand for money and investors’ estimates endogenously determine the nominal short rates and expected inflation through a portfolio rebalancing channel. Disagreement about money growth is one driver of the conditional variation in all nominal interest rates, expected inflation, and inflation risk-premium. Through a parameterized example, we show that the volatility of nominal interest rates tend to rise with increases in disagreement. We show that the relation between disagreement about money growth and asset prices crucially depends on the persistence of the unobservable growth rate of money. We further use the model to investigate the consequences of allowing for heterogeneous interpretations of public information (e.g. central bank statements) on interest rates. We introduce a public signal on which investors may have different views. One steadfast investor believes the signal conveys relevant information about the unobservable process, while a doubtful one believes it contains only noise. Depending on the persistence of the unobservable process, interest rates may be more or less volatile in an economy populated by one steadfast investor and one doubtful investor that in an economy with two doubtful investors. In the second chapter, we propose a method to measure the importance of private information about fundamentals as a determinant of market power in the primary market for sovereign debt. The method is based on the estimation of a divisible good uniform price auction model presented in Vives (2010, 2011). We establish conditions under which the model is identified from bidding data. Through an application to the Colombian debt market, we show that private information decreases and inventory costs rise after the rebalancing of two emerging markets debt indices. These two findings have opposite effects on bid shading. The estimation results indicate that the change in revenue for the treasury is lower than two basis points of the par value of the bond offering. However, this result masks the economically meaningful impact that private informationand inventory costs separately have on market power. We use the model estimates to quantify the effect of these changes on bidders’ market po to reduce borrowing costs. Finally, in the third chapter, we provide model-free evidence that supports the estimated reduction in the importance of private information and the increase in inventory costs from our structural estimates. If bidders are privately informed in this market, then an auction’s cutoff price would reflect bidders’ private information about fundamentals that were not already captured by observable market prices. We show that auctions with high cutoff prices relative to a pre-auction benchmark predict high future secondary market prices. After the rebalancing, this effect either shrinks or vanishes altogether, consistent with a decline in the importance of private information. Furthermore, we find higher mean-reversion in inventories after the rebalancing. On average, it takes bidders 11.7 days to offload half of their inventories before the rebalancing, but only 7.5 days afterwards. Finally, we provide reduced-form evidence that is consistent with the assumptions regarding primary market participation from the theoretical model and our empirical identification and estimation strategies.

Short presentation at UCT Open Data Day 2021 detailing the impact of financial sanctions on access to Open Science resources.

Technological advances in digitalization and automation have begun to change the labor market in the United States. Automation is expected to replace a percentage of low and middle-income jobs in the United States. The changes in the labor market are predicted to result in job loss and displacement, increased inequality, and lower consumer demand. The social insurance programs currently employed in the United States are ill equipped to handle the changes in the labor market. This paper examines the effects of replacing unemployment benefits currently funded by states with a federally funded universal basic income. Existing and proposed basic income trials were examined to determine the effects on inequality. A universal basic income was also analyzed in both a labor market model and aggregate demand ��� aggregate supply model in order to determine the effect on wages and consumer demand. The research has indicated that the implementation of a basic income would raise wages as a result of increased bargaining power, lower inequality, and secure consumer purchasing power in the face of labor insecurity.

Food consumption involves inherently risky decisions with uncertain probabilities. This study examines how second-order ambiguity, or uncertainty over probabilities, affects food safety decisions. We conduct a food safety survey wherein subjects face both unambiguous and ambiguous situations, each with the same expected value. Respondents show a preference for unambiguous situations and state a willingness to pay to avoid ambiguity.

Herein we explore how money pumps from rational choice theory and nudges from behavioral economics work toward helping create better environmental policy. We examine the role of money pumps in environmental policy, and whether policymakers can use nudges to "supercharge" incentives. We summarize insight that has emerged from both camps in the areas of conflict/cooperation and mechanism design.

Forecasting volatility is important to financial asset pricing because a more accurate forecast will allow for a more accurate model to price financial assets. Currently the VIX is used as a measure of volatility in the market as a whole, but a major issue with this is that it is calculated based on manually traded options on the S&P 500. Another method of forecasting volatility is that of solving for volatility from the Black-Scholes model in option pricing, but this method is not consistent across prices; for different strike prices, a different volatility will be found, creating what is known as a volatility smile. I will develop a method which calculates a similar measure of volatility to the Black-Scholes method and the VIX, but using electronically traded options on the SPY ETF which tracks the S&P 500. I will also be incorporating the mathematical model developed by Britten-Jones and Neuberger in their 2000 paper, which is another variation from the method in which the VIX is calculated. The method developed will provide a smoother and more accurate forecast of volatility over any given time frame, with a 30 day forecast being the industry norm. The method will also have the ability to forecast volatilities for individual assets, not simply the whole market.

Aquatic invasive species are organisms that are non-native to a particular region and often become introduced by human intervention, a severe problem in the Great Lakes since the opening of the St. Lawrence Seaway 1959. Invasive species decrease environmental quality because they alter the native ecosystem and can often decrease the biomass of important sport fisheries. Thus, invasive species reduce demand for economic "goods" that depend on perceived environmental quality, such as sport fishing trips. This paper outlines and analyzes the effects of aquatic invasive species on the demand for recreational fishing trips in Great Lakes waters. A brief historical overview of the introduction of invasive species in the Great Lakes is presented, followed by their ecological and economic impacts on sport fishing. Since sport fishing on the Great Lakes does not require an entrance fee, trips are not traditional economic goods that are traded in the market. To assess their value, nonmarket valuation techniques are applied using fishing catch data and expenditures associated with sport fishing in the Great Lakes states to model consumer demand for sport fishing trips. Finally, an estimate of the economic loss due to reduced recreational fishing demand from aquatic invaders is presented.

In a current culture where the public eye heavily criticizes the federal government's accrual of debt, what can be said of an individual's debt accumulation? What variables affect the changes in aggregate consumer debt? Common thought has been that as interest rates decrease, consumers are attracted to increase their borrowing because it becomes cheaper (interest payments decrease). As true as this observation is, the significance of this effect hasn't been measured against other variables associated with debt. For example, when comparing the effect of interest rates against the effects of unemployment rates on total national measures of consumer debt, credit card debt, non-credit card debt, and mortgage debt the latter variable inflicts more impact on the metrics. The significant effect of unemployment rates on the aforementioned debt measurements was evident after conducting multivariable regressions on the selected data. Understanding the significance of this effect provides insight into national debt dynamics, thus providing useful tools in deciding economic policy.

This research paper is a macroeconomic analysis of the US higher education system with a financial twist to it. It begins by stating the problem with the US higher education system: tuition costs are high, public funding is decreasing, and therefore student debt numbers are almost unrecoverable. Next, it analyzes options for an 18-year old high school graduate toward attending (or not attending) college as a financial investment by using net present value calculations. These numbers help to shed further light on the aforementioned problem, and the paper closes with a proposed policy on how the US government already spends (toward higher education) the funds needed to pay for tuition for all in-state students, even with enrollment increases over 300%.

The global fisheries crisis is a topic of significant research across fields, including economics. It is evident that the current global fish stocks are declining, which has motivated environmental protection measures to be implemented. Low-income countries and their inhabitants are unevenly harmed by these environmental impacts, as artisanal fishing villages are dependent on fisheries for subsistence and livelihood. This case is particularly true in Sierra Leone, where poverty is evident, artisanal fishing communities exist, and dependence on fisheries is high (Kassam, et al. 2017; Teh, et al. 2016). Policy makers in these countries are faced with the challenge of mitigating environmental disasters while still ensuring that livelihoods of local people are protected. The present paper argues that an econometric model would provide useful, empirical evidence to these policy makers as to the specific factors of livelihood, responding to the question: which factors in the livelihoods of low-income artisanal fishers are most significant, and therefore should be considered in policy decisions? The econometric model in this paper follows the Sustainable Livelihoods Approach to environmental protection and poverty reduction (Krantz 2001). Livelihood, measured by the United Nations Development Programme Human Development Index, is explained by economic, social, and environmental variables in a sustainable livelihoods framework. Results and viability of this model are discussed, followed by a discussion of further research to sharpen these results. The model is then tested to show its practical application for policy-makers in maximizing poverty alleviation outcomes. Research concluded that insufficient data has caused present results to be relatively inconclusive for Sierra Leone today, but the model design and rationale can be useful given a substantially larger dataset.

With the emergence of new technologies such as hydraulic fracturing and horizontal drilling, large new deposits of oil and gas are poised to become economically viable. As this happens, substantially increased deliveries will make their way into the market, benefiting both producers and consumers. However, these potential benefits cannot be fully realized with the existing transmission capacity. Limited transmission capacity on key delivery routes creates bottlenecks that drive a wedge between the prices consumers pay and the prices sellers receive, lowering consumer surplus and reducing the incentive to develop the new deposits. A question of some policy relevance is therefore: How large is this wedge?

Donations are important for the long-term survival of many institutions. However, it is still uncertain exactly why it is that people choose to donate. Behavioral economics combines economics with psychology to better understand how humans make choices in markets. This research project focuses on the psychology of charitable giving, nudges, and the impact of natural resource rents on charitable giving. Without understanding individuals, it is impossible to understand why they donate. Nudges seek to take what has been learned about individuals to manipulate them into behaving the way policy makers desire. Natural resource rents are another facet to consider in determining how people behave. The main question of this research paper is if charitable giving is decreased by large natural resource rents in a state.

This paper examines the relationship between the price in the global commodity market for coffee and the prices growers receive at farmgate level. A dataset containing pricing information for fifteen producing countries is used to help explain the role of world prices and retail prices in determining the prices growers receive. A fixed effects regression model is used conduct a hypothesis test on the significance of global coffee prices. Global coffee market prices and average worldwide retail prices are shown to have a significant effect on farmgate prices for farmers. Potential implications of this linkage in the coffee sector are also addressed.

While theory predicts that bank loans provide valuable information to market participants, empirical results have been mixed. We propose and test the hypothesis that the benefits of bank loan announcements accrue differentially as a function of the borrowing firms' financial or operating performance. Evidence from a sample of newly public firms supports this hypothesis.

Laboratory methods are used to investigate the impacts of supply and demand risks in a forward market on prices, quantities traded, and earnings when the choice of transacting in a forward or spot market is endogenous. Forward market activity dominates spot trading, with 80-90% of the trades taking place in the forward market regardless of how risk arises. Buyer earnings tend to be higher than earnings for seller when there is risk. A correspondence exists between risk type and the relative increase in buyer earnings. Buyer earnings increase significantly when demand is random, and also when both supply and demand are random.

Liquidity is a central feature in the research of financial markets. Broadly speaking, liquidity describes the ease with which an asset can be traded both quickly and withoutdeviating much from the current market price. In this collection of essays, I investigate three aspects of liquidity ��� one affecting stocks in the context of a limit order bookmarket, and two in the context of the over-the-counter market governing U.S. corporate bonds. In the first essay, measuring liquidity as the depth of the limit order book atprice levels extending from the mid-quote price, I explore the implications of private information which can be drawn from the dynamic levels of liquidity in the order book. In the second essay, measuring illiquidity as the effective bid-ask spread, I create an estimate for the aggregate illiquidity of the broader over-the-counter market for U.S. corporate bonds from the observed illiquidity of bonds that are traded. In the third essay, measuring liquidity as the market���s ability to absorb the large demand to sell bonds resulting from a fire sale, I observe the unintended impacts that Dodd-Frankregulations have on bond market liquidity and the indirect effects they have on the cost of capital faced by corporations when raising debt in the bond market.

Scientists and advocates can disagree on the value of new products or technologies, such as growth hormones, genetically modified organisms, and food irradiation. Both sides of the debate disseminate information to the public hoping to influence public opinion. This study assesses the economic value of both pro and anti-public information using food irritation as a case study. The value of information sources is estimated in isolation and in combination. In isolation, the results indicate each set of information has value. In combination, only anti-irradiation information is found to have net positive value (persuading some consumers to purchase non-irradiated products). Pro-irradiation information worked to decrease the value of anti-irradiation information by 58% per person.

Undergraduate college freshmen are told they should expect to spend between two and three hours studying outside of class for each hour inside class. There has been little to no research, however, on whether this expectation is reasonable or optimal based on the future return students will see to their time investment. A regression on income using data from the National Longitudinal Survey of Youth, 1997, determines that grade point average (GPA), work experience, age, SAT scores, college major, and parental income are significant determinants of future income. Grade point average is a function of both study hours and academic aptitude, and students experience diminishing GPA returns for an increase in study time. With the controls for aptitude and other GPA-influencing variables, the regression coefficient on GPA largely captures gains to studying. If a student completing a four-year, 120 credit hour degree in a semester system studied the minimum recommended two hours per in class hour, the maximum return per study hour would be less than $6.00 per hour. While this return may compound over the working life, students do not appear to be accounting for compounding in their study time decisions, according to data from the National Survey of Student Engagement. A hypothetical student is constructed to illustrate the individual study time decision making process, as each student will choose a different optimal point to maximize their income return per study hour. Increasing student study time will require cooperation across universities to stop grade inflation and create incentives that reward studying rather than other measures.

Successful formation and long-term stability of cooperative ventures is often linked to the perceived fairness of the cost and resource allocations that these ventures employ. Indeed, the lack of a consensus over what basis should be used for gauging equitable allocation can undermine the prospects for collaboration. We use irrigation cost sharing as a context for examining the equity basis selections of cooperative ventures that successfully form and endure. Our analysis reveals that these selections are explained by features of the cooperative environment and inequities in the derived benefits from the irrigation water.

The theory of endogenous risk captures the idea that people self-protect and self-insure to reduce risks to human and environmental health. Herein we extend the standard static model to include the realities of (1) dynamic and multiple risks, and (2) non-expected utility (non-EU) behavior. Our results suggest both self-protection and self-insurance decrease for any one risk when cumulative dynamic risks are large and when multiple risks exist. If people are non-EU maximizers, self-protection and self-insurance also decline when they follow the conservatism heuristic (insufficient weighting of new information). In addition, if non-EU people over- and under-weight probabilities of bad states, they can invest non-linearly in self-protection and self-insurance.

In 1978, amid growing concerns over exposure to foreign oil producers ��� particularly OPEC ��� the U.S. Congress instructed the Office of Technology Assessment to assess the state of U.S. oilfield production. The resulting report indicated that hundreds of billions of barrels of known oil in the United States remained unproduced because it was not economically attainable by conventional methods. The report evaluated the potential for a range of enhanced oil recovery (EOR) techniques to recover significant amounts of this 'stranded' oil; a specific focus was on the use of Carbon Dioxide (CO2), and its potential for recovering a significant fraction of this oil.

Whether or not a publicly traded corporation's individual oil and well facility had committed an environmental violation from 2010 to 2015, was examined against measures of financial liquidity constraints for its corporate owners, namely the ratio of capital expenditures to total assets, and free cash flow to total assets, through a logistic regression. Its purpose was to identify whether or not extra cash might lead to oil and well facilities acting against shareholders best interests by committing environmental violations in the context of agency theory. It was found that when corporations have more cash on hand, through increased free cash flow or capital expenditures relative to total assets, a corporation is less likely to have environmental violations. As such, it is advisable that regulatory agencies such as the Environmental Protection Agency, who are faced with limited resources to investigate environmental behavior, when looking at publicly traded corporation's oil and well facilities, look towards the ones that have lower than average capital expenditures or free cash flow to total assets. I would like to thank Kenneth Gerow and Benjamin Gilbert for their support for writing this thesis.

Growing up, fishing was huge in my family. Every spare weekend was spent on with fishing pole in hand, and the family rivalry between my father, my brother, and I still rages on. Yet, for a trio of avid Wyoming fishermen, we spent a disproportional amount of time on Montana waters, even though the costs of doing so were much higher. I now realize that the benefits available to us in Montana were much greater than in Wyoming because of the stream access laws. The goal of this project is to examine the demand and supply functions for fishing, and a possible solution to increase fishing access in Wyoming as well as net benefits to society.

The taxicab has been one of the dominant forms of transportation in cities all over the world. Since the late 1980's, almost all U.S. cities have chosen to regulate their taxi industry. However, a new technology called ride-sharing applications, such as Uber and Lyft, has caused a major disruption to the traditional taxi industry. Since Uber's inception in 2009, the ride-sharing company has taken a significant amount of business from the taxi industry and is valued at around $60 billion. This study aims to look at the economic impact of Uber on the taxi industry. The study will examine the negative externalities (efficiency, quality, and safety) that come with this new technology. The economic impact will be analyzed by using Cournot's model and will examine the labor market. The main focus of the study will look at U.S. cities specifically the New York market. Possible economic policies will be proposed to create a more efficient taxi industry. The reason for this study is to get a better idea of how ride-sharing technology is changing the taxi industry and if a more efficient for-hire transportation market can be created.

A significant portion of household wealth is managed by financial professionals and investment companies. How these entities create value for their investors and whether their contributions are sufficient to justify the compensation are of great interest to both researchers and the general public. In this dissertation, we seek to further our understanding of the asset management industry. Chapter 1 explores the relationship between the fee of an investment product and how it is described by the money manager. To control for variations in dynamic strategies of differentfunds, we focus on Unit Investment Trust (UIT), a class of investment product with buy-and-hold portfolios and fixed life spans. In order to compare different portfolios, we adopt the method of collaborative filtering to transform the portfolio to a latent representation. A significant portion of dispersion in fees of UITs is correlated with how the investment objectives are stated, even after controlling for the variation in the portfolios. UITs whose investment statements include morepersuasive marketing languages and more discussions on stock selection procedures, diversification, and stock weightings charge higher sales fees. In Chapter 2, we consider a model of money management that reconciles the investment expertise of institutional investors and the lack of outperformance on their in-house managed capital.Due to the synergy between institutions' knowledge and external asset managers' skill, institutions never trade on their information directly. Instead, informed institutions delegate investment decisions to external asset managers while passing on their investment knowledge. Only uninformed institutions invest in-house due to the search cost of finding a skilled asset manager. We discuss how management fees and the size of the money management industry are related to the number of institutions with expertise and the value of institution expertise. Price is more informative when knowledge of institutions is more diffused.Chapter 3 is based on a joint paper with Bryan Routledge and Matthew Denes. We model the dynamic decisions of a Venture Capital (VC) fund during fundraising and capital deployment. VCs with better access and network receive greater deal flows, raise larger funds, and deploy capitalmore frequently. On the contrary, VCs with better screening abilities deploy capital at a slower rate due to the higher expected payoffs of future prospective projects. We estimate the model using VC deal data at each fund level. Funds differ mainly in access and are homogeneous in terms ofscreening ability. Differences in deal flows alone account for almost all the dispersion in fund values. By optimally matching estimated deal flow and screening, we can improve the average fund value by 2.5 percent. This corresponds to the unrealized gain from complementarity.

I analyze the relationship between bank failures that occur in the financial sector and the banking performance and condition ratios. The performance ratio that I chose to use in my analysis is the return on equity and the condition ratios are the capital adequacy ratio, the leverage ratio and the loan-deposit ratio. To achieve this goal, I use Estrella's model (2000) as my main framework and observe the banking sector over the recent credit crisis. I apply logit regression analysis to see if making predictions about future bank failures is possible with the available past data. In the regression analysis, I use both three-factor models and single factor models to assess the efficiency of more previously collected data. In order to see the motivators behind the banking firms' decisions, I also apply correlation tests between each performance and condition ratio.

Over the past few decades, information communication technology (ICT) and Internet interaction has developed drastically, causing more companies to join the phenomenon of Bricks and Mortar business model. Furthermore, as the trend persists, new business models have appeared: social networking sites, those who support online interaction and communication among the peers (such as Facebook and Twitter), email services and behavioral advertisement, electronic commerce for more convenient shopping experience, and information mediation online corporations, those who reduce individual search cost (such as online travel agency, OTA). Here, many times these corporations are not transparent in information and terms of use. If users do not agree to sometimes unfair statements, users are not permitted to use the service, which does not leave many choices for the users. This is much like the act of monopoly only except that it is overruling information instead of price. In order to combat this, we recall our traditional business model: competition brings about equilibrium in the market. In this research, we are going to investigate the fair terms of use and information transparency of online websites.

Carbon market serves as an emerging commodity market in financial services, where the carbon price returns and volatilities play significant roles in understanding the carbon market dynamics, besides making decisions related to the reduction of carbon emissions. In view of that, this research focuses on examining the cross-commodity volatility spillover effects in the European carbon, fossil fuel and biofuel markets. The sample includes daily closing prices of futures commodities such as carbon, crude oil, coal, natural gas and biodiesel, from March 25, 2008 to July 31, 2019. I employ a bi-variate version of VAR-GARCH-in-mean-BEKK model that allows for flexible distributional assumptions and asymmetry in the variance-covariance matrix. Besides, special attention is given in selecting the appropriate volatility spillover model. The empirical results reveal statistically significant spillover effects, in terms of returns and volatilities, from crude oil and coal markets to carbon market. On the other hand, there are statistically insignificant spillover effects, in terms of returns and volatilities, from natural gas and biodiesel markets to carbon market. These findings could assist the investors to build more effective investment portfolios. Furthermore, power enterprises and other industrial sectors could also regulate their energy consumption structure to attain optimal carbon emission reduction strategies.

This dissertation consists of three different essays that focus on exploring the multifractal behaviour in the financial markets. Examining the market efficiency and multifractality helps in better understand the behaviour and dynamics of an economy. This information is useful for policymakers and investors in planning their investment and hedging strategies. The market efficiency information is also playing an important character in economic development, in particular, asset allocation, capital formation, and wealth distribution.

Are cryptocurrencies indeed currencies? Anecdotal evidence on the volatility of cryptocurrency prices suggest that these “currencies” are not a good store of value, and similarly the time delays in validating and publishing crypto-based transactions suggest that they are not a good medium of exchange either. Due to the context it is defined in, it seems to not follow social conventions of fiat currencies. In this thesis, we undertake a systematic evaluation of how much do cryptocurrency prices behave like fiat currency prices, focusing on the predominant cryptocurrency — Bitcoin. We test the usefulness of various time series and structural models to predict future changes in Bitcoin prices and conclude that when predicting out of sample, its price is as unpredictable as fiat currency prices. Since cryptocurrencies generally have no central authority and hence receive no regulation, we explore its country-dependent characteristics, and find that the overall conclusions apply. We also examine if nominal interest rate differentials denominated in fiat currencies versus Bitcoin predict exchange rate movements, and find that in addition to the persistent violation in short-run, interest parity suggest that Bitcoin price has not been rising fast enough. We conclude that we have to refine the definition of monetary parameters on cryptocurrencies to better capture its properties, but as far as our examination indicates, the price of the predominant cryptocurrencies behaves similarly to most fiat currencies. In our point of view, Bitcoin is a currency.

In this paper, I seek to answer the following question: How can microfinance institutions attract more people to take advantage of the lending services provided by microfinance institutions in rural India? Much research has been conducted on the effects of interest rates on attainment of clients of microfinance institutions but little attention has been paid to other terms and conditions of lending policies such as the payment plans and also other services provided by microfinance institutions. To address my research question, I have collected a rich dataset consisting of information on 6,798 households living in slums in Hyderabad, Andhra Pradesh (India’s fifth largest city). My data comes from several datasets made available by the Centre for Microfinance. The specific data that I will be using was collected by Spandana Spoorthy Financial Limited, one of the world’s largest microfinance institutions. I expect changing payment plans and providing other services to have a larger effect on customer attainment than changing interest rates. I will be analyzing existing policies on microfinance loans using this dataset and other studies. Then, I will be using behavioral economics, specifically economic behavior anomalies, to propose new policies on microfinance loans in the hope of attracting more clients to microfinance institutions.

Efficient Market Hypothesis has always been a hot topic for empirical study in Finance. In this paper, we examine the efficiencies of Mainland China and Hong Kong markets by analyzing the different reactions of stock price and volatility to credit rating changes. The study of impact of credit rating change also fills a gap of no empirical analysis of credit rating change effect in these two markets. In a semi-strong efficient market, investors cannot make profit based on public information. In this study, we select Chinese cross-listed A-H share companies as our sample and compare the effects of bond rating changes on A-share stock price and H-share stock price. The differences in the stock return and volatility reactions signify the differences in market efficiency. The results from an event study indicate that neither market is semi-strong efficient and Hong Kong market is more efficient in digesting credit rating change information. Both Mainland China and Hong Kong markets show statistically significant and negative abnormal returns after the announcement of credit rating downgrades and only Mainland China market shows statistically significant abnormal returns before the announcement. Hong Kong market shows statistically significant and positive abnormal returns around the announcement of credit rating upgrades and Mainland China market shows no statistically significant abnormal returns around the announcement. Concerning volatility, credit rating downgrades can cause significant positive abnormal volatility around the announcement date in both Mainland China and Hong Kong markets, while there is no significant abnormal volatility around the announcement of credit rating upgrades. In the cross-sectional analysis of return reactions to credit rating changes, pre-announcement abnormal returns and whether credit ratings moved to speculative grade have an impact on the abnormal returns during the announcement.

This paper seeks to provide a general methodology for the valuation of alternative energy proposals in stochastic markets. Assuming that the markets for energy, fuel, and related financial derivatives are efficient and that prices between various fuels and energies are well understood, I will explain the existing theory of how these prices can be modeled as stochastic processes in relation to one another. I then postulate how these stochastic models can be incorporated into a mathematical framework to determine the value of an alternative energy proposal from the standpoint of consumers, investors, and society as a whole. While the mathematics supporting this argument have well been established, their application to proposal valuations as well as policy analysis has not been widely developed leaving most decision makers to rely on oversimplified discrete time models.

Catastrophe bonds, whose payoffs to investors are tied to the occurrence of natural disasters, provide primary insurers and reinsurers a mechanism by which they can securitize and transfer some of their residual risk to capital markets. We note that catastrophe bonds can be very attractive to investors as they provide the unique opportunity to improve a portfolio managers allocation by offering them an instrument that has both an attractive return and low covariability with financial markets. While catastrophe bonds are theoretically attractive, they have remained marginal relative to tranditional reinsurance. This paper proposes that a possible explanation for this marginality can be attributed to the lack of discussion about the pricing and valuation of these instruments in a public forum. We hope that this paper, which draws parallels between the modeling of defaultable bonds in a reduced-form setting and the pricing of catastrophe bonds, can serve as a springboard for future research in the insurance linked securities space.

The 2010 Basel III Capital Accord aims to strengthen banks’ capital adequacy. The Basel Committee on Banking Supervision proposed refined definitions of the three capital tiers, increased the minimum risk-weighted capital requirements, and introduced a capital conservation buffer and a counter-cyclical buffer. These proposals aim to raise the banks’ higher-quality capital and improve the banks’ ability to withstand financial shocks. This study explores the impacts of Basel III’s implementation by assessing: (1) change in bank lending, (2) change in bank solvency from banks’ risk-taking, and (3) change in the banks’ resilience to adverse stress scenarios from higher capital requirements.

Mapping Demographic and Service Delivery Data

Hedge fund activism announcements are associated with positive market reactions, and they introduce information asymmetry between insiders and outside investors. Target firm insiders have superior information about the campaign and play an important role in the campaign negotiation. This study examines insiders’ behavior as information asymmetry rises following the campaign announcement. Insiders increase trading in their own firms in response to the campaign announcement. These post-announcement insider trades have additional return predictability than insider trades in other times. Post-announcement insider buys predict higher probabilities of achieving successful campaign outcomes including management turnovers, increases in payout, and corporate restructurings, and higher value of these outcomes. I also find evidence that insiders use campaign resistance and trading interactively to achieve higher wealth gain.

As delegated monitors on behalf of investors, financial intermediaries minimize the cost of monitoring, which helps to resolve incentive problems between borrowers and lenders. However, the resulting information advantage of the intermediary creates new challenges. This thesis empirically investigates adverse effects of the information advantage of financial intermediaries, by combining finance research with historical research.

My dissertation consists of three chapters. In the first chapter, I analyze theeffect of the merger between American Airlines (AA) & US Airways (US) on market price and product quality. I use two complementary methodologies: difference-in-differences (DID) and merger simulation. Contrary to other results in the airline literature, the DID analysis shows that, overall, price has decreased as a result of themerger. While divestitures required as part of the merger had a strong price-reducing effect, the overall decrease involves non-divestiture markets as well. Interestingly, the decrease appears only in large airport-pair markets, whereas prices rose considerably in smaller ones. Effects on quality are mixed. The DID analysis shows that the merger reduced flight cancellations, increased flight delays, and had no effect on flight frequency or capacity overall. Using merger simulation, I find that the change in ownership leads to a 3% increase in price. The structural model performs betterin predicting the post-merger price if I allow the model to deviate from the Bertrand-Nash conduct. A 10% cost reduction due to the merger is able to predict the post-merger price quite well. When I incorporate a conduct parameter into the model, the required percentage of cost savings is lower. Given the divestiture and the subsequententry of low-cost carriers (LCCs), tacit collusion may break down. Thus both cost savings and reduced cooperation could explain a reduction in the price in the post-merger period.In my second chapter, I analyze possible reasons why airline prices are higher inthe smaller markets compared to larger markets. In the literature, most of the studies ignore the fact that the smaller markets are different compared to larger markets in terms of the nature of competition. I find that a combination of lower competition, and lack of entry from low cost carriers (LCCs) are the reasons behind higher prices in the smaller city-pair markets. I show that price is substantially higher in a market with a fewer number of firms controlling for several other factors. My paper estimates the modified critical number of firms to be 5 and the critical value of the HHI to be .6.In my third chapter, I study the effect of announcement of investment in research & development (R&D) on the value of a firm in the pharmaceutical industry. Three types of R&D by the pharmaceutical firms are considered for the analysis: acquisition of other smaller firms, internal investment in R&D, and collaborative investment in R&D. This chapter finds that few target specific characteristics and financial charac-teristics of the acquiring firm are important drivers of the abnormal returns around the announcement period.

Denna uppsats beskriver ett projekt för att utveckla och bedöma kompetens inom muntlig kommunikation för universitetsstudenter i finansiell ekonomi. Muntlig kommunikations-kompetens efterfrågas av arbetsmarknaden och speglas i programmålen, men utvecklingen av dylik kompetens i de enskilda kurserna är oklar. I linje med akademiska studier av utveckling av muntlig kompetens aktiveras studenterna muntligen i smågruppsdiskussioner av akademiska artiklar, med uppföljning i helklass och i tvärgrupper. Bedömning av prestationerna sker i termer av kunskaper, aktivitet, och djup i diskussionen. Resultaten visar att det muntliga momentet berikar studenternas inlärning och utvecklar deras muntliga kommunikationskompetens. Vidare påvisas att examination av muntlig kommunikations-kompetens är positivt korrelerad med ämneskunskaper, men att den också innefattar mer generiska aspekter som inte fångas upp vid enbart skriftlig examination.

Empirical studies of banking sector risk typically look at either the relationship of competition to risk or bank capital adequacy to risk but rarely integrate the two. This raises an issue of potential bias arising from omission of relevant control variables, and is of particular importance in the light of the introduction of a regulatory leverage ratio in Basel III. To fill this lacuna, we provide estimates for the relation between capital adequacy, bank competition and other control variables and four measures of aggregate bank risk for different country groups and time periods. We use macro data from the World Bank’s Global Financial Development Database over 1999-2015 for up to 120 countries globally. Results largely support “competition-fragility”, i.e. a positive relation of competition to risk controlling for capital; both capital measures controlling for competition are significant predictors of risk, but signs vary across risk measures; the leverage ratio is much more widely relevant than the risk adjusted capital ratio; and there are marked differences in results between advanced countries and emerging markets. Finally, we find competition drives capital ratios lower in a Panel VAR. We contend that our results using macro data are of particular relevance to regulators undertaking macroprudential surveillance because such data gives a greater weight to large systemic institutions than the more commonly-used bank-by-bank data.

This thesis explores the optimal trading strategies in different types of financial markets and its impact in shaping the investment decisions and patterns across the individuals and countries. The findings show that there are long term portfolio diversification possibilities among stock market, the short term possibilities, however, are extremely limited. In regards to the foreign exchange markets, 60% of the long run variations in the real price of gold attributes to the carry trade strategies. Moreover, the findings illustrate that neighbouring countries tend to hold the financial asset from the same destination country, and such spillover effect is stronger when both countries adopt pegged exchange rate regime. These have given researchers a better understanding of the market mechanism.