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Dissertations / Theses on the topic 'Neoclassical school of economics'
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1
Flatau, P. R. "Essays in the development, methodology and policy prescriptions of neoclassical distribution theory /." Murdoch University Digital Theses Program, 2006. http://wwwlib.murdoch.edu.au/adt/browse/view/adt-MU20091123.135256.
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Shotter, Magdalena. "The influence of Marshallian neo-classical economics on management accounting in South Africa /." Pretoria : [s.n.], 2005. http://upetd.up.ac.za/thesis/available/etd-08112006-160141.
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Thesis (D. Comm.(Financial management sciences))-University of Pretoria, 2005.Summary in English. Includes bibliographical references (leaves 121-130). Available on the Internet via the World Wide Web.
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Duhamel, Marc. "Essays on second-best economic policymaking with price makers." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 2000. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape3/PQDD_0017/NQ56535.pdf.
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Browning, Iain W. P. "Western Australian education policy and neo-classic economic influences /." Access via Murdoch University Digital Theses Project, 2002. http://wwwlib.murdoch.edu.au/adt/browse/view/adt-MU20051129.112230.
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Ferguson, James Montgomery. "Free riding, contribution behavior, and public goods : the case of the Virginia nongame wildlife tax checkoff /." Diss., This resource online, 1990. http://scholar.lib.vt.edu/theses/available/etd-05222007-091320/.
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Maas, Harro. "William Stanley Jevons and the making of modern economics /." Cambridge : Cambridge University Press, 2005. http://aleph.unisg.ch/hsgscan/hm00155220.pdf.
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Kraft, Michael Gerhard. "Ökonomie zwischen Wissenschaft und Ethik : eine dogmenhistorische Untersuchung von Léon M. E. Walras bis Milton Friedmann /." Frankfurt am Main [u.a.] : Lang, 2005. http://www.gbv.de/dms/ilmenau/toc/497325365kraft.PDF.
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Neugeboren, Robert Howard. "Rationality and the methodology of neoclassical economics." Thesis, University of Cambridge, 1989. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.317905.
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Togati, Teodoro Dario. "A critical assessment of the Neoclassical Synthesis." Thesis, University of Cambridge, 1989. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.333382.
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Olligschlaeger, Andreas Matthias. "Neoclassical economics and labour migration theory : a Canadian perspective." Thesis, University of British Columbia, 1986. http://hdl.handle.net/2429/26579.
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This thesis examines the theoretical and empirical base of neoclassical migration analysis in economic geography. It is shown that the key assumptions of neoclassical migration analysis stem from the broader marginal equilibrium analysis and theory of resource allocation that defines the neoclassical school. Spefically, the hypothesis that neoclassical economics makes with respect to labour migration is that labour flows from low wage, high unemployment regions to regions with high wages and low unemployment, thus arriving at a state of equilibrium. This hypothesis is tested using Canadian labour migration data for 1976-1981. It is found that the hypothesis is unable to explain labour migration patterns in Canada because: first, the assumptions about human behaviour that the neoclassical model makes are both too simplistic and unrealistic, as are those about the nature of the economy, and second, migration seems to promote cumulative causation rather than move the system towards equilibrium.Arts, Faculty of
Geography, Department of
Graduate
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Peacock, Mark S. "On human agency." Thesis, University of Cambridge, 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.389884.
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Moore, Janice L. "Gender bias in neoclassical economics, a case study of Viêt Nam's economic transition." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1998. http://www.collectionscanada.ca/obj/s4/f2/dsk2/tape15/PQDD_0022/MQ33848.pdf.
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Isler, Ozan. "From scarcity to surplus a contribution to the critique of neoclassical foundations /." Diss., [Riverside, Calif.] : University of California, Riverside, 2009. http://proquest.umi.com/pqdweb?index=1&did=1957313601&SrchMode=2&sid=4&Fmt=2&VInst=PROD&VType=PQD&RQT=309&VName=PQD&TS=1269378384&clientId=48051.
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Thesis (Ph. D.)--University of California, Riverside, 2009.Includes abstract. Title from first page of PDF file (viewed March 23, 2010). Includes bibliographical references (p. 183-185). Issued in print and online. Available via ProQuest Digital Dissertations.
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Denenny, David Timothy. "Cultural Naturalism and the Market God." OpenSIUC, 2018. https://opensiuc.lib.siu.edu/theses/2464.
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This work employs John Dewey's cultural naturalism to explore how and why the orthodox economic tradition functions as a religious faith.Scholars such as the theologian Harvey Cox and others now view orthodox economic practice as a religion. Other scholars such as Max Weber, Alasdair MacIntyre, and numerous others view modern economic practice as exemplifying a particular ethic. The focus in this work is placed upon the destructive consequences of practicing the Market faith. This work argues that much of contemporary economic practice maintains a view of science that is incompatible with the kind of naturalism found in Classical American Pragmatism. The history of the development of economics as a religious faith is explored beginning in the seventeenth-century up to the present day. The philosophical assumptions that have composed this relatively new faith are analyzed in detail. The conclusion provides an account of what we may hope for in the future.
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Quigley, Ellen. "The education of economists : social norms and the Academy in the Canadian context." Thesis, University of Cambridge, 2018. https://www.repository.cam.ac.uk/handle/1810/271835.
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This dissertation centres upon the learning processes and social norms associated with two distinct strands of economic thinking – one loosely heterodox and the other mainstream, or “neo-classical.” My intention is to examine the learning processes and consequent beliefs of a range of Canadian economists, especially macroeconomists. To achieve this goal, I have undertaken a number of comparative case studies within the Canadian context. These have generated data from a survey of 100 academic economists as well as a series of in-depth interviews with 58 Canadian economists across the political and methodological spectra. My results have drawn from the contributions of a total of 158 respondents. This thesis aims to examine economics education in the Canadian context, charting the rise of neoclassical economics from the 1970s onwards while examining the educational processes, choice of language, social norms, and views of human nature to be found among a variety of Canadian economists with differing political orientations. This may help to identify the role economics education has played in shaping the economic landscape in Canada, and how Canadian economists’ learning processes have emphasised or minimised certain assumptions about public policy and human nature that differ from what is taught – implicitly or explicitly – elsewhere. In a field that is, among the social sciences, by far the most resistant to knowledge from other disciplines, Canadian academic economists are by all appearances global outliers. My research suggests that they are significantly more open to knowledge from other disciplines than groups of economists elsewhere; relative to American academic economists, they are almost twice as likely to believe that interdisciplinary knowledge is better than knowledge generated from a single field, and the older cohorts surpass even U.S. sociologists in this regard. My research also suggests that social norms may have a more profound effect on economists’ beliefs than their formal education in economics, and that historical and institutional factors – especially during economists’ formative years – may have a life-long impact on Canadian economists’ political beliefs. There also appear to be educational, geographical, and cohort-related effects on economists’ beliefs that, together with the effects of Canadian social norms, combine to form an image of a discipline that is less polarised, more pro-interdisciplinarity, and substantially more accepting of a role for government in economic policy than that of their economist brethren in the U.S.
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Norton, Julie Ragatz. "THE ECLIPSE OF INSTITUTIONALISM? AN INVESTIGATION INTO THE FORMATION OF CONSENSUS AROUND NEOCLASSICAL ECONOMICS IN THE 1950s." Diss., Temple University Libraries, 2019. http://cdm16002.contentdm.oclc.org/cdm/ref/collection/p245801coll10/id/596907.
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PhilosophyPh.D.
As the discipline of economics professionalized during the interwar period, two schools of thought emerged: institutionalism and neoclassical economics. By 1954, after the publication of Arrow and Debreu’s landmark article on general equilibrium theory, consensus formed around neoclassical economics. This outcome was significantly influenced by trends in the philosophy of science, notably the transformation from the logical empiricism of the Vienna Circle to an ‘Americanized’ version of logical empiricism that was dominant through the 1950s. This version of logical empiricism provided a powerful ally to neoclassical economics by affirming its philosophical and methodological commitments as examples of “good science”. This dissertation explores this process of consensus formation by considering whether consensus would be judged normatively appropriate from the perspective of three distinct approaches to the philosophy of science; Carl Hempel’s logical empiricism, Thomas Kuhn’s account of theory change and Helen Longino’s critical contextual empiricism. The conclusion is that there is no ‘consensus on consensus’. Longino’s approach reveals the ways in which alignments between mid-century philosophy of science and neoclassical economics mask the normative commitments implicit in both disciplines. Moreover, Longino’s alternative set of theoretical virtues reveal how questioning the standards of “good science” yields very different conclusions about both the scientific credentials and viability of institutional economics. My conclusion is that a pluralistic approach to the philosophy of science is essential to fully understanding the case study of mid-century economics.
Temple University--Theses
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Primrose, David Essex. "Govern-Mentality: The Subjectification of Homo Economicus and Promulgation of Neoliberalism Through Behavioural Economics." Thesis, The University of Sydney, 2016. http://hdl.handle.net/2123/16530.
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In recent decades, behavioural economics has progressively emerged as part of the zeitgeist of contemporary economic research and policy-making. At the conceptual level, behaviouralism utilises research from psychology to identify predictably recurring behavioural departures from neoclassical economics, demonstrate the importance of such deviations in diverse economic contexts, formalise these deviations through constructing novel models of economic behaviour and incorporate these models into a range of areas of social inquiry. Concomitantly, these theoretical foundations have regularly been cited as having significant political implications in providing the grounding for a post-neoliberal consensus built around the principles of ‘libertarian-paternalism’. In both respects, the tradition has justifiably been accorded increased attention in both academic and policy-making institutions. Yet, despite its evident theoretical advancements over neoclassical models of decision-making, this study argues that behavioural economics remains deeply-engrained in the corpus of neoclassical economics. Specifically, it argues that behavioural economics seeks to rework rather than reject neoclassical formulations of rationality as a means to extend the conceptual and normative reach of the latter. Rather than accepting the self-representation of the tradition as transcending the problematic presuppositions of Homo Economicus, the study utilises Foucauldean insights on epistemology and neoliberalism to demonstrate that behaviouralism adopts a normative stance in favour of this model both as an ideal for rational human behaviour and as a potentially realisable state-of-affairs. Behavioural economics retains Homo Economicus as the normative ideal for rational decision-making, in that it selectively deploys the insights of psychology to pathologise real-world decision-making as deviating from this archetype due to biases and heuristics. In turn, it advances policies to correct for such ‘anomalies’ and enable actors to behave as if they were operating according to the axioms of constrained optimisation. In effect, behaviouralism engages in the subjectification of Homo Economicus, through which it seeks to produce and accord authority to this subjectivity as the essential microfoundation for social and economic order through functioning markets. Concomitantly, this subjectification enables the tradition to serve as an apparatus of contemporary neoliberal governmentality, whereby it seeks to engender a certain economic subjectivity contingent on the existence of the market as a locus of veridiction. In particular, behaviouralism promulgates a broader economisation of the social terrain by fostering and legitimising increasing biopolitical management of individuals, interests and populations by the state to seek to correct for their deviations from Homo Economicus and ensure more efficacious conformity to market logics. Simultaneously, as demonstrated through a case-study of policy proposals and reports of experiments designed to test the application of behavioural principles in addressing rural poverty in the Global South, behaviouralism also renders complex matters of political economic policy-making as questions of bolstering individual rationality to buttress individual and social welfare. It thereby depoliticises extant institutions of neoliberal governmentality and the promulgation of biopolitical measures seeking to deepen an economistic logic across the social terrain, while also undermining contestation over alternative institutional and structural configurations. Rather than offering a fundamental challenge to neoclassical economics and neoliberalism, the political economy of behavioural economics is thus demonstrated to buttress the conceptual and political status quo.
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Shortall, Felton Craig. "The emergence of the proletariat as subject and the 'marginalist revolution' : the origins of neoclassical economics in Britain and France." Thesis, University of Essex, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.394214.
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Donzelli, Franco. "The concept of equilibrium in neoclassical economic theory : an inquiry into the evolution of general competitive analysis from Walras to the 'neo-Walrasian research programme'." Thesis, University of Cambridge, 1989. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.335711.
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Walters, Christopher R. "School choice, school quality, and human capital : three essays." Thesis, Massachusetts Institute of Technology, 2013. http://hdl.handle.net/1721.1/81048.
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Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2013.Cataloged from PDF version of thesis.
Includes bibliographical references (p. 173-180).
This dissertation consists of three essays covering topics in the economics of education. Two common threads connect these essays: first, a focus on the inputs and practices driving variation in effectiveness across educational programs; and second, an interest in the relationships between students' preferences, characteristics, and returns to human capital investment. In the first chapter, I develop and estimate a structural model of school choice that links students' decisions to apply to and attend charter schools in Boston, Massachusetts to their potential achievement test scores in charter schools and public schools. This chapter is motivated by a growing literature that uses randomized entrance lotteries to show that urban charter schools, including those in Boston, substantially increase test scores and close racial achievement gaps among their applicants. A key policy question is whether charter expansion is likely to produce similar effects on a larger scale. To address this question, I use the structural model to predict the effects of charter expansion for the citywide achievement distribution in Boston. Estimates of the model suggest that charter applicants are negatively selected on achievement gains: low-income students and students with low prior achievement gain the most from charter attendance, but are unlikely to apply to charter schools. This form of selection implies that lottery-based estimates understate gains for broader groups of students, and that charter schools will produce substantial gains for marginal applicants drawn in by expansion. Simulations suggest that realistic expansions are likely to reduce the gap in math scores between Boston and the rest of Massachusetts by up to 8 percent, and reduce racial achievement gaps by roughly 5 percent. Nevertheless, the estimates also imply that perceived application costs are high and that most students prefer traditional public schools to charter schools, so large expansions may leave many charter seats empty. These results suggest that in the absence of significant behavioral or institutional changes, the potential gains from charter expansion may be limited as much by demand as by supply. The second chapter, written jointly with Joshua Angrist and Parag Pathak, seeks to explain differences in effectiveness across charter schools. Using a large sample of lotteried applicants to charter schools throughout Massachusetts, we show that urban charter schools boost student achievement, while charter schools in other settings do not. We then explore student-level and school-level explanations for this difference. In an econometric framework that isolates sources of charter effect heterogeneity, we show that urban charter schools boost achievement well beyond that of urban public school students, while non-urban charters reduce achievement from a higher baseline. Student demographics explain some of these gains since urban charters are most effective for non-whites and low-baseline achievers. At the same time, non-urban charter schools are uniformly ineffective. Our estimates also reveal important school-level heterogeneity within the urban charter sample. A non-lottery analysis suggests that urban charters with binding, well-documented admissions lotteries generate larger score gains than under-subscribed urban charter schools with poor lottery records. Using a detailed survey of school practices and characteristics, we link charter impacts to inputs such as instructional time, classroom techniques and school philosophy. The relative effectiveness of urban lottery-sample charters is accounted for by these schools' embrace of the No Excuses approach to urban education, a package of policies that includes strict discipline, increased instructional time, selective teacher-hiring, and a focus on traditional skills. In the third chapter, I use data from the Head Start Impact Study (HSIS), a nationwide randomized trial of the Head Start program, to study the relationship between site-level treatment effects and educational inputs within Head Start. Studies of small-scale, intensive early-childhood programs, including the High/Scope Perry Preschool Project, show that such programs can have transformative effects on human capital and economic outcomes. Evidence for larger-scale programs like Head Start is more mixed. I use the HSIS data to ask whether Head Start centers using practices more similar to successful model programs produce larger short-run effects on cognitive and non-cognitive skills. My results show that while there is significant variation in effectiveness across Head Start centers, centers that are more similar to the Perry Preschool Project on observed dimensions are not more effective. Specifically, Head Start centers using the High/Scope curriculum, the centerpiece of the Perry experiment, do not produce larger gains relative to other centers. Other inputs often cited as essential to the success of the Perry Project, including teacher education, teacher certification, teacher/student ratios, instructional time, and frequency of home visiting, are also unrelated to effectiveness in Head Start. These results suggest that replicating the success of small-scale programs may be difficult, as the effectiveness of such programs may be due to idiosyncratic, unmeasured inputs. JEL Classification: 121, C51, J24
by Christopher Ross Walters.
Ph.D.
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Fernandez, Garcia Mariana. "How to transform foreign aid in Latin America through ecological economics." Thesis, Uppsala universitet, Institutionen för geovetenskaper, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-387668.
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This study mainly argues the role that neoliberalism and neoclassical economics (mainstream economics) have had through foreign aid in Latin America and its effects over the years. The mere ideology of a market-centered society has been detrimental for many already. What this study aims to do is to portray that it has had the same effect on our environment as well. From poverty to environmental destruction, the neglect of social and environmental factors in our political socio-economic system has had its toll worldwide. The constant aim forgrowth and neoliberal approach in politics cannot be simply reversed by applying SDG’s political strategies.The definition of sustainable development has been vague enough already to rely on it as a fix. Ecological Economics on the other hand may imply a factual solution within aid and politics in Latin America and around the world, as it would be environmental and humanitarian-based. Some of the finding of this study include a comparison between ecological economics and neoclassical economics and practical applications for ecological economics within foreign aid.
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Bakri, Alexander Salah. "Valor e sustentabilidade: um estudo comparativo entre economia ambiental neoclássica, economia ecológica e marxismo ecológico." Universidade de São Paulo, 2018. http://www.teses.usp.br/teses/disponiveis/100/100136/tde-04052018-010857/.
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Este trabalho fará uma sistematização de três esquemas analíticos voltados ao exame da crise ecológica gerada pelo atual sistema global de produção e consumo - a Economia Ecológica, a Economia Ambiental Neoclássica e o Marxismo Ecológico. Uma apresentação estruturada dos referidos conjuntos teóricos será exposta, à medida que se comparam as suas principais premissas, objetos de análise e lógica, prosseguindo para o exame das suas teorias do valor. Esta exposição pavimentará o caminho para uma análise dos conceitos de sustentabilidade adotados pela Economia Ambiental Neoclássica, pela Economia Ecológica e pelo Marxismo Ecológico. Assim, se buscará aferir a forma com que um conjunto de meta premissas opera a construção de um esquema teórico dedicado a analisar a crise ecológica, como ele se reflete na construção de uma teoria do valor, e, mais adiante, em como se traduz na sua própria concepção de sustentabilidadeThis work will systematize three analytical schemes aimed at examining the ecological crisis generated by the current global production and consumption model - Ecological Economics, Neoclassical Environmental Economics and Ecological Marxism. A structured presentation of these theoretical sets will be exposed, as their main premises, objects of analysis and logic are compared, continuing to examine their theories of value. This exhibition will pave the way for an analysis of the concepts of sustainability adopted by Neoclassical Environmental Economics, Ecological Economics and Ecological Marxism. Thus, one will try to gauge how a set of meta premises operates the construction of a theoretical framework dedicated to analyzing the ecological crisis, as it is reflected in the construction of a value theory, and, later, how it translates into its own conception of sustainability
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Schmidt, Stefanie R. (Stefanie Rae). "School quality, compulsory education laws and the growth of American high school attendance, 1915-1935." Thesis, Massachusetts Institute of Technology, 1996. http://hdl.handle.net/1721.1/10709.
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Chuang, Hwei-Lin. "An estimable dynamic model of schooling : an application to high school dropouts' return to school /." The Ohio State University, 1990. http://rave.ohiolink.edu/etdc/view?acc_num=osu1280254034.
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Tumanova, Eglė. "Lietuvos infliacijos kontrolės įvertinimas pagal Neoklasikinę ir Neokeinsistinę teorijas." Bachelor's thesis, Lithuanian Academic Libraries Network (LABT), 2009. http://vddb.library.lt/obj/LT-eLABa-0001:E.02~2008~D_20090403_124111-37339.
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Šiame darbe analizuojamos Neoklasikų bei Neokeinsistų teorinės įžvalgos, per šių teorijų prizmę siekiama įvertinti infliacijos kontrolės priemones, taikytas Lietuvoje 1991-2007 metais. Šiam tikslui pasiekti atlikta Neoklasikų bei Neokeinsistų teorijų analizė, išskirtos bei palygintos šių mokyklų atstovų rekomenduojamos infliacijos priemonės. Taip pat atlikta 1991-2007 metų Lietuvos infliacijos pokyčių bei juos lėmusių veiksnių analizė, peržvelgta šio laikotarpio monetarinė bei fiskalinė politikos. Išskyrus analizuotų Neoklasikų bei Neokeinsistų teorijų autorių siūlomus infliacijos kontrolės metodus, įvertintos Lietuvos infliacijos kontrolės priemonės. Padaryta išvada, kad Lietuvos infliacijos kontrolės modelis turi bruožų, būdingų tiek Neoklasikų, tiek Neokeinsistų teorijoms.In this work Neoclassical and Neokeynesian academic providence are analyzed with an aim to estimate Lithuanian inflation control devices, applied from 1991 to 2007. In order to reach this goal Neoclassical and Neokeynesian theories are analyzed. Inflation control tools, counseled by representatives of these schools of thoughts, are excluded and compared. Lithuanian inflation variations and their causes are analyzed, monetary and fiscal policies are delineated. By using segregated ideas of analyzed Neoclassical and Neokeynesian authors, Lithuanian inflation control methods are assessed. The conclusion is that Lithuanian inflation control model carries features, which are common both for Neoclassical and Neokeynesian schools of thoughts.
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Dasah, Bernard Z. "Neoclassical economics and the role of information, communication, and culture in socio-economic development, a case study of the structural adjustment programme in Ghana." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1999. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape10/PQDD_0018/NQ55318.pdf.
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Dasah, Bernard Zori. "Neoclassical economics and the role of information, communication, and culture in socio-economic development : a case study of the structural adjustment programme in Ghana." Thesis, McGill University, 1999. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=35999.
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For close to two decades the leading international financial organizations, the World Bank and the International Monetary Fund, have imposed their structural adjustment programme on Third World countries, notably in Sub-Saharan African, creating forms of neoclassical financial management at an unsurpassed rate. However, the thesis argues that this approach does not distinguish adequately between policies favourable to the growth and prosperity of developed countries and those pertaining to developing countries in part because the paradigm has an impoverished notion of information, communication, and culture. By fostering this economic paradigm in developing countries, these organizations may, in effect, be imposing an inconsistent model on them in many respects. This thesis explores this conundrum with particular reference to the model's concepts of information, communication, and culture and the consequences of these concepts on the application of the model in Sub-Saharan Africa, specifically in Ghana.The thesis employs case studies to demonstrate the impact of cultural imperatives on the neoclassical economic concepts of efficiency of competition, trade liberalization, currency devaluation, public expenditure reduction, and privatization promoted by the structural adjustment programme. It suggests that some of the failures of the programme may be ascribed to the great differences between the imperatives of neoclassical economics and the cultural realities of Sub-Saharan Africa.
The thesis takes the position that the incorporation of an understanding of culture and economy similar to that of the communicologists' holistic and wider perspective on economics and economic systems would ameliorate many weaknesses of the structural adjustment programmes of the IMF and the World Bank and enhance the effectiveness of future structural adjustment programmes.
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Grote, Janice A. Baker Paul J. "A case study of a MicroSociety school." Normal, Ill. Illinois State University, 2002. http://wwwlib.umi.com/cr/ilstu/fullcit?p3064513.
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Thesis (Ed. D.)--Illinois State University, 2002.Title from title page screen, viewed February 28, 2006. Dissertation Committee: Paul J. Baker (chair), Amelia D. Adkins, Wayne A. Benenson, Ramona Lomeli. Includes bibliographical references (leaves 160-162) and abstract. Also available in print.
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Strayer, Wayne E. "The returns to high school quality : college choice and earnings /." Connect to resource, 1997. http://rave.ohiolink.edu/etdc/view.cgi?acc%5Fnum=osu1261310960.
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Sun, Yang Ph D. Massachusetts Institute of Technology. "Essays in financial economics." Thesis, Massachusetts Institute of Technology, 2015. http://hdl.handle.net/1721.1/108220.
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Thesis: Ph. D., Massachusetts Institute of Technology, Sloan School of Management, 2015.Cataloged from PDF version of thesis.
Includes bibliographical references (pages 157-163).
This thesis consists of three essays in corporate finance and capital markets. The first chapter estimates the effect of competition from low-cost index funds on fees in the money management industry. A difference-in-differences analysis exploiting the staggered entry of index funds finds that while actively managed funds sold directly to retail investors reduce fees by six percent, those sold through brokers increase fees by four percent. Additionally, actively managed funds, especially closet indexers, shift away from holding the index portfolio. The paper proposes a price-discrimination model to illustrate that the effect of low-cost passive fund competition depends on market segmentation. Beyond the price competition effect, the entry creates a selection effect that isolates the least-price-sensitive investors in the broker channel and results in a price increase for this group. Repeating the study using the entry of exchange-traded funds reveals similar but stronger finding. Overall, the results shed light on why aggregate mutual fund fees decline slowly despite increased competition from lower-cost passive alternatives. The second chapter, joint with Jean-Noel Barrot, examines the effects of imperfect investor risk adjustment on the behavior of mutual fund managers. We exploit a natural experiment when a major fund rating company changed its rating methodology. While in the old system, all equity funds were compared with one another in one pool, in the new algorithm, funds become compared within narrow peer groups. This algorithm revision increases the ability of retail investor to compare funds based on risk-adjusted returns, and it has an important impact on the fund mangers' compensation. The sensitivity of retail fund flows to systematic returns is eliminated. Using institutional funds as a control for retail funds in a difference-in-differences analysis, we find that this revision reduces fund managers risk taking behavior, in particular for funds in the categories that had biased low ratings ex-ante. The third chapter, joint with Carola Frydman and Eric Hilt, documents the dividend policy of firms in the United States during the first three decades of the twentieth century. This period features severe information asymmetry between insiders and outsiders, while other factors that could affect the payout policy were relatively muted. In the years surrounding World War I, industrial firms increased their payout ratios and dividends became less sticky. The new industrial firms listed on the NYSE in the 1920s had the best fit with the Lintner (1956) model and these firms refrained from committing to sticky dividend policy. Consistent with the asymmetric information theory, the market reacted positively to dividend increase announcements, especially to those made by the new industrials, and reacted negatively to dividend cuts.
by Yang Sun.
The effect of index fund competition on money management fees -- The effect of investor risk adjustment on fund manager incentives -- Dividend policy in the early twentieth century United States.
Ph. D.
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Chen, Chyi-Mei. "Essays on financial economics." Thesis, Massachusetts Institute of Technology, 1992. http://hdl.handle.net/1721.1/13148.
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Mitton, Todd V. (Todd Victor) 1966. "Essays in financial economics." Thesis, Massachusetts Institute of Technology, 2000. http://hdl.handle.net/1721.1/8807.
Full textAbstract:
Thesis (Ph.D.)--Massachusetts Institute of Technology, Sloan School of Management, 2000.Includes bibliographical references.
The thesis consists of three essays dealing with corporate governance in an international context. The first essay is entitled "A Cross-Firm Analysis of the Impact of Corporate Governance on the East Asian Financial Crisis." In a sample of 399 firms from Indonesia, Korea, Malaysia, the Philippines, and Thailand, cross-firm differences in variables related to corporate governance had a significant impact on firm performance during the East Asian financial crisis of 1997- 1998. Higher outside ownership concentration led to significantly better stock price performance during the crisis, but higher managerial ownership concentration had no significant effect on performance. This may indicate that the presence of an outside lock holder can mitigate expropriation of minority shareholders, but that managers with significant holdings can resist this effect. Diversified firms performed significantly worse than focused firms during the crisis. On average, single-segment firms emerged from the crisis trading at a premium of over 20% relative to diversified firms with which they were equally valued prior to the crisis. The relative loss in value for diversified firms was due primarily to the performance of firms with high variation in investment opportunities across divisions, suggesting that cross-subsidization of divisions may have been a source of the value loss. Variables indicative of higher disclosure quality are associated with significantly better performance during the crisis. Having an ADR and having an auditor from a "Big Six" accounting firm had separate positive effects on firm performance. Firms with both indicators came out of the crisis valued at a premium of over 50%, on average, relative to firms without these indicators with which they were equally valued prior to the crisis. Taken as a whole, the results provide some evidence at the micro level that poor corporate governance contributed to the depth of the East Asian financial crisis. The second essay is entitled "The Performance of Politically Favored Firms in the East Asian Financial Crisis: Evidence from Malaysia." Malaysia presents an interesting opportunity to study the impact of political favoritism on firm performance during the East Asian crisis. Favoritism runs along two dimensions in Malaysia. Firms are favored based on the ethnicity of their owners as well as through personal relationships with key government officials. I find that the stock price performance of firms favored based on ethnicity was significantly better than the performance of non-favored firms during the crisis. However, the performance of firms favored through personal connections was significantly worse than the performance of non-connected firms. The evidence does not suggest that the relative loss for connected firms was driven by excessive leverage or inherent operating inefficiencies. Rather, the evidence suggests that the performance difference was driven by changes in the expected value of benefits for politically favored firms. The third essay is entitled "Do Agency Problems Affect Dividend Policy? Firm-Level Evidence from Around the World." The "outcome" agency model of dividends (La Porta, Lopez-de-Si lanes, Shleifer, and Vishny (LLSV (2000)) yields two key empirical predictions. First, dividend payouts will be higher among firms in which agency problems are less severe. Second, a negative relationship between growth opportunities and dividend payouts will be stronger among firms in which agency problems are less severe. LLSV (2000) use country-level measures of legal protection as a proxy for lower agency costs, and find empirical support for both predictions. I build on these findings by using firm-level measures indicative of the severity of agency problems. The proxies I employ are based on the cross-listing of firms in the U.S., the quality of accounting disclosure, diversification across industries, and the presence of a large outside shareholder. In a sample of 3,385 firms across 32 countries, I also find empirical support for both predictions of the outcome model.
by Todd V. Mitton.
Ph.D.
33
Ru, Hong Ph D. Massachusetts Institute of Technology. "Essays in financial economics." Thesis, Massachusetts Institute of Technology, 2015. http://hdl.handle.net/1721.1/98607.
Full textAbstract:
Thesis: Ph. D., Massachusetts Institute of Technology, Sloan School of Management, 2015.Cataloged from PDF version of thesis.
Includes bibliographical references.
This thesis considers three empirical essays on financial economics. The first chapter examines the effect of government credit on firm investment, employment, debt, profitability, and survival by using unique data from the China Development Bank (CDB). I explore the different effects of various types of government credit (credit to infrastructure vs. credit to state-owned enterprises (SOEs)). I also trace the effect of government credit across different levels of the supply chain. I find that CDB SOE industry loans crowd out private firms in the same industry but crowd in private firms in downstream industries. I also find private firms benefit from CDB infrastructure loans. I use the exogenous timing of municipal political leaders' turnover as an instrument for CDB loans to cities. The second chapter, joint with Antoinette Schoar, analyzes pricing and advertising strategies of credit card offers. We show that credit cards which have reward programs have lower regular APR but rely more heavily on backward loaded and more hidden payment features. Issuers target different reward programs at different types of the population: Programs such as miles, cash back and points are offered to richer and more educated customers, while low intro APR offers are offered to poorer and less educated customers. Our results also suggest that card features that are mainly demanded by sophisticated consumers cannot be shrouded and need to be priced upfront. Finally, using shocks to the credit worthiness of customers, we show that card issuers rely more heavily on backward loaded credit terms when customers are more protected. The third chapter studies the effects of privatization on both SOEs and privately-owned firms in China. Using political turnover as an instrument variable for privatization, I find that after privatization, the productivity of SOEs and private firms increases by 50% and 100%, respectively. Moreover, every 100 workers got fired by SOEs come with a 169 increase from private firms' hiring in the same industry and same province. I also find that politicians' fixed effect on SOEs is significant. Moreover, corrupt politicians make SOEs less efficient but more powerful in the market.
by Hong Ru.
Ph. D.
34
Edmans, Alex. "Essays in financial economics." Thesis, Massachusetts Institute of Technology, 2007. http://hdl.handle.net/1721.1/40855.
Full textAbstract:
Thesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, 2007.This electronic version was submitted by the student author. The certified thesis is available in the Institute Archives and Special Collections.
Includes bibliographical references.
This thesis consists of three essays in financial economics. Chapter 1 is entitled "Inside Debt." Existing theories advocate the use of cash and equity in executive compensation. However, recent empirical studies have documented the prevalence of debt-like instruments such as pensions. This chapter rationalizes the use of such inside debt as an effcient solution to the agency costs of debt. Owing to its greater sensitivity to liquidation payoffs, inside debt is more effective at optimizing project selection than the bonuses, private benefits and reputational concerns advocated by prior literature. Contrary to intuition, it is typically inefficient to align the manager with firm value by granting him equal proportions of debt and equity. Chapter 2 is entitled "Sports Sentiment and Stock Returns" and co-authored with Diego Garcia and Oyvind Norli. We investigate the stock market reaction to sudden changes in investor mood. Motivated by psychological evidence of a strong link between soccer outcomes and mood, we use international soccer results as our primary mood variable. We find a significant market decline after soccer losses. For example, a loss in the world Cup elimination stage leads to a next-day abnormal stock return of -49 basis points. This loss effect is stronger in small stocks and in more important games, and is robust to methodological changes. We also document a loss effect after international cricket, rugby, and basketball games.
(cont.) Chapter 3 is entitled "Leverage, Ownership Concentration, and the Tension Between Liquidation and Investment." Allowing early liquidation minimizes investor losses if the manager is unskilled. However, the possibility of liquidation deters a skilled manager from undertaking long-term projects that risk interim turbulence. This chapter introduces a novel role of debt that overcomes this tension. Leverage concentrates equity holders' stakes, creating incentives for them to find out whether short-term losses result from low ability or a temporary down-turn in a profitable project. If the firm is fundamentally sound, it is not liquidated upon poor performance. Debt therefore allows termination without inducing myopia. Unlike models of managerial discipline based on total payout, here dividends are not a substitute for debt as they achieve liquidation without incentivizing monitoring.
by Alexander James Edmans.
Ph.D.
35
Green, Daniel (Daniel Weiss). "Essays in financial economics." Thesis, Massachusetts Institute of Technology, 2018. http://hdl.handle.net/1721.1/118000.
Full textAbstract:
Thesis: Ph. D., Massachusetts Institute of Technology, Sloan School of Management, 2018.Cataloged from PDF version of thesis.
Includes bibliographical references.
The essays in this thesis study issues in finance affecting large corporations, developing economies, and households. The common theme that connects these essays is a focus on how financial institutions, frictions, and policies affect the allocation of resources in the economy. The first chapter explores a classic question in corporate finance: how valuable are restrictive debt covenants in reducing the agency costs of debt? I answer this question by exploiting the revealed preference decision to refinance fixed-coupon debt, which weighs observable interest rate savings against the unobservable costs of a change in restrictive debt covenants induced by refinancing. Plausibly exogenous variation in this trade-off reveals that firms require higher interest rate savings to refinance when it would add restrictive covenants and require much lower interest rate savings when refinancing sheds covenants. A high-yield bond's restrictive covenant package increases the value of speculative-grade firms by 2.4 percent on average. Joint work with Ernest Liu in Chapter 2 provides a theory that explains how institutional weakness in credit markets can fail to stimulate development even when there is ample credit supply. We show that when borrowers lack credible mechanisms to commit not to borrow further from other lenders in the future, not only does the increasing availability of lenders raise the interest rate on loans and reduce the amount of funds that entrepreneurs can borrow, but perversely it is those entrepreneurs with more profitable investment opportunities that will end up raising fewer investments precisely because they have stronger desires to seek out additional lenders in the future. This effect further discourages entrepreneurs from initiating the most efficient and productive endeavors, generating persistent underdevelopment. Chapter 3 explores the role of liquidity constraints in households' responses to fiscal stimulus programs. In joint work with Jonathan Parker, Brian Melzer, and Arcenis Rojas, this chapter evaluates the impact of the Car Allowance Rebate System (CARS) on vehicle purchases. We find that the liquidity provided by CARS amplified household responses to the economic subsidy. Liquidity provision was lower for the owners of clunkers encumbered by loans, since participation required loan repayment. Such households had a very low participation rate, which we attribute to liquidity constraints and distinguish from the effects of other indebtedness, household income, and the size of the program subsidy.
by Daniel Green.
1. Corporate Refinancing, Covenants, and the Agency Cost of Debt -- 2. Growing Pains in Financial Development: Institutional Weakness and Investment Efficiency -- 3. Accelerator or Brake? Cash for Clunkers, Household Liquidity, and Aggregate Demand.
Ph. D.
36
Mitra, Indrajit. "Essays in financial economics." Thesis, Massachusetts Institute of Technology, 2015. http://hdl.handle.net/1721.1/98610.
Full textAbstract:
Thesis: Ph. D., Massachusetts Institute of Technology, Sloan School of Management, 2015.Cataloged from PDF version of thesis.
Includes bibliographical references.
This dissertation consist of three essays. In the first essay, I examine optimal dynamic contracting between risk-averse investors and firm insiders in a dynamic general-equilibrium model with heterogeneous firms. The equilibrium optimal contract features a higher rate of inefficient liquidations in aggregate states with low productivity and a reward-for-luck policy in high productivity states. I show that with realistic parameters, moral hazard has a first order quantitative effect on equilibrium dynamics of macro-economic quantities and asset prices. The conditional dynamics depend on the time-varying cross-sectional distribution of financial slack of firms in the economy. Moral hazard improves upon the predictions of the friction-less economy in three ways. First, the sensitivity of risk premia and key macro-economic quantities rises after successive negative aggregate shocks. Accumulation of small shocks results in a disproportionately large decline in aggregate quantities, and a rise in risk-premia. Second, inefficiencies resulting from second-best contractual arrangements amplify the effect of primitive shocks and make the economy more sensitive to negative than to positive shocks. Third, controlling for current aggregate productivity, firm exit rates contain incremental information about future output growth. In the second essay I quantitatively analyze the cross-sectional implications of optimal dynamic contracting between risk-averse investors and firm insiders in a dynamic general equilibrium model. I make two changes compared to essay one. First, I allow for firm-level investment. Second, I model firms to use a decreasing returns to scale technology instead of a linear one. My model makes two predictions on steady-state capital accumulation which are consistent with empirical evidence. First, I show that conditional on survival, younger firms are smaller and have higher expected growth rates. Second, investment rates in small firms are more volatile and more sensitive to realized cash flows than large firms. In the presence of aggregate shocks, my model predicts that the conditional aggregate dynamics of key macro-economic quantities depends on the cross-sectional distribution of firm-level investment rates. Controlling for aggregate productivity, states of the economy in which a higher fraction of firms have lower investment rates are characterized by low aggregate output, investment, and consumption, and higher risk-premium. I provide quantitative estimates in a calibrated model. In the third essay, we propose a simulation-based procedure for evaluating approximation accuracy of numerical solutions of general equilibrium models with heterogeneous agents. We measure the approximation accuracy by the magnitude of the loss suffered by the agents as a result of following sub-optimal policies. Our procedure allows agents to have knowledge of the future paths of the economy under suitably imposed costs of such foresight. This method is very general, straightforward to implement, and can be used in conjunction with various solution algorithms. We illustrate our method in the context of the incomplete-markets model of Krusell and Smith, where we apply it to two widely used approximation techniques: crosssectional moment truncation and history truncation.
by Indrajit Mitra.
Ph. D.
37
Edsparr, Patrik Lennart. "Essays in financial economics." Thesis, Massachusetts Institute of Technology, 1994. http://hdl.handle.net/1721.1/11614.
Full text
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Mullins, William Ph D. Massachusetts Institute of Technology. "Essays in financial economics/." Thesis, Massachusetts Institute of Technology, 2014. http://hdl.handle.net/1721.1/97317.
Full textAbstract:
Thesis: Ph. D., Massachusetts Institute of Technology, Sloan School of Management, 2014.Includes bibliographical references.
This thesis examines three questions in Corporate Finance. The first chapter investigates the effect of institutional ownership on the governance dynamics and behavior of firms. I exploit the exogenous change in equity index membership generated by the reconstitution of the Russell indices. Following reconstitution, I show that firms just included in the Russell 1000 index have higher institutional ownership (IO) concentration than those just excluded - both a change in indexers and a change in active 10, suggesting a complementarity between these types of investors. Firms just included in the Russell 1000 increase the performance sensitivity of their CEO's pay, have a higher likelihood of CEO turnover, and have lower capital expenditures. Overall, these results suggest a significant impact of institutional preferences on corporate behavior. Chapter 2, joint with Antoinette Schoar, shows that CEOs' management styles and philosophy vary with the control rights of the founder and/or owning family, using a survey of over 800 CEOs in 22 emerging economies. CEOs of firms with greater family involvement have more hierarchical management, feel more accountable to stakeholders than they do to shareholders and see their role as maintaining the status quo rather than bringing change. In contrast, professional CEOs of non-family firms display a more textbook approach of shareholder-value-maximization. Between these types we find a continuum of leadership styles and philosophies that vary with how intensively family members are involved in management. Chapter 3 examines whether and how companies benefit from campaign contributions. To obtain exogenous variation in such political connections, I use U.S. congressional elections that were decided by less than 1% of votes in a RDD. Such close elections are akin to randomized assignment: Prior to the election, companies' political connections have similar expected values. My estimates suggest that companies connected to the winning candidate experience both a significant increase in long-term firm value and a positive short-term stock market reaction around the election date. I further document evidence supporting four channels through which political connections may enhance firm value: 1) allocation of procurement contracts, 2) reduced legislative and regulatory risks, 3) improved bank financing, and 4) improved access to lobbying.
by William Mullins.
Ph. D.
39
Iskoz, Sergey. "Essays in financial economics." Thesis, Massachusetts Institute of Technology, 2003. http://hdl.handle.net/1721.1/16969.
Full textAbstract:
Thesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, 2003.Includes bibliographical references.
This electronic version was submitted by the student author. The certified thesis is available in the Institute Archives and Special Collections.
This thesis consists of three essays on various topics in Financial Economics. Underwriter analysts issue recommendations that are on average more favorable than recommendations of other analysts. In Chapter 1, I investigate whether this bias matters for returns, and whether it matters for wealth redistribution between institutional and individual investors. I find that underwriter 'Strong Buy' recommendations for IPOs exhibit inferior performance. For other positive recommendations - 'Buys' for IPOs, and 'Strong Buys' and 'Buys' for SEOs - there are no significant differences between affiliated and unaffiliated analysts. Institutional reaction to analyst recommendations is broadly consistent with these results. For IPOs, institutions increase their holdings only in response to unaffiliated recommendations. For SEOs, the response to underwriter recommendations is actually somewhat stronger than to non-underwriter recommendations. In addition, there is little evidence that individual investors as a class incur losses by following the 'Strong Buy' recommendations issued by IPO underwriters. Further analysis indicates that conflicts of interest is an unlikely explanation for the favorable bias in underwriter analyst recommendations. Chapter 2 is joint work with professor Jiang Wang. In this essay, we develop a methodology to identify money managers who have private information about future asset returns. The methodology does not rely on a specific risk model, such as the Sharpe ratio, CAPM, or APT. Instead, it relies on the observation that returns generated by managers with private information cannot be replicated by those without it. Using managers' trading records, we develop distribution-free tests that can identify such managers.
(cont.) We show that our approach is general with regard to the nature of private information the managers may have, and with regard to the trading strategies they may follow. In Chapter 3, I study welfare implications of increased market transparency in a context of a three-period model with risk-averse investors and constrained risk-neutral market makers. Market makers' constraint can take one of two forms: they are either required to have non-negative final wealth, or they cannot borrow. In addition to fundamental uncertainty about a risky payoff, there is uncertainty about total market-making capacity in the economy. Increased transparency is associated with reduction in this uncertainty. The more transparent equilibrium improves the sharing of fundamental risk, and is Pareto optimal for most parameter values. I also find that market makers' equilibrium positions are socially optimal; a small exogenous change in their positions does not lead to Pareto improvement.
by Sergey Iskoz.
Ph.D.
40
Hindy, Ayman. "Essays in financial economics." Thesis, Massachusetts Institute of Technology, 1990. http://hdl.handle.net/1721.1/13594.
Full text
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Chae, Joon 1967. "Essays in financial economics." Thesis, Massachusetts Institute of Technology, 2003. http://hdl.handle.net/1721.1/29757.
Full textAbstract:
Thesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, 2003.Includes bibliographical references (leaves 66-68).
In Chapter 1, I investigate trading volume before scheduled and unscheduled corporate announcements to explore how traders respond to private information. I show that cumulative trading volume decreases by more than 15% prior to scheduled announcements. The decline in trading volume is largest when information asymmetry is high, while the opposite relation holds for volume after the announcement. In contrast, trading volume before unscheduled announcements increases dramatically and shows little relation to proxies for information asymmetry. All the results for scheduled announcements are consistent with asymmetric information theories, where discretionary liquidity traders (DLTs) decrease volume when they know there is much adverse selection. However, DLTs do not seem to read information embedded in prices before unscheduled announcements. I further investigate the behavior of market makers and find that they act appropriately by increasing price sensitivity before all announcements. This implies that market makers extract timing information from their order books. Chapter 2 is joint work with Li He and professor Andrew W. Lo. We implement various statistical analyses on stock market returns, using CRSP equal weighted and value weighted index returns from 1926-2001, as Fama (1965) did more than 35 years ago. Investigating marginal and conditional stock return distribution, we report many characteristics of stock return distributions. First, stock return distribution is still not following a normal distribution even though many studies have been assuming this.
(cont.) Second, autocorrelations of stock market returns are not zero as verified by many predictability studies. The magnitude of autocorrelations varies considerably from one period to another. In addition, we analyze several stock market anomalies, such as January effect, turn-of-the-month effect, turn-of-the-quarter effect, and weekday effect. Interestingly, most effects are still significant after many years of their discoveries.
by Joon Chae.
Ph.D.
42
Kang, Hyungjune. "Essays in financial economics." Thesis, Massachusetts Institute of Technology, 2018. http://hdl.handle.net/1721.1/118006.
Full textAbstract:
Thesis: Ph. D., Massachusetts Institute of Technology, Sloan School of Management, 2018.Cataloged from PDF version of thesis.
Includes bibliographical references.
This thesis consists of three chapters. In the first chapter, I analyze a dynamic game in which a sender of unknown quality persuades a receiver by designing an experiment (model) that transforms signals into recommendations (messages). When the receiver learns the sender's quality by observing the sender's past recommendations and realized events, I show that, due to reputational concern, the sender chooses an experiment that limits the amount of information. A more patient sender is less likely to devise an informative experiment. I also demonstrate that the quality of the sender-optimal experiment-measured by the amount of information-is not monotonic in the sender's quality. The framework can be applied to various settings including financial regulation and analyst forecasting. In the second chapter, based on joint work with Tetsuya Kaji, we study how Value-at- Risk (VaR) constraint affects the amount of information that price conveys in an economy with asymmetric information. We first show that VaR constraint is different from others (e.g. borrowing and short-sale constraints) in that VaR constraint is relevant only when price is moderate. We find that when some investors follow a VaR rule, realistically high or low prices reveal more information than intermediate prices. We illustrate how the presence of VaR investors affects other investors' incentive to acquire information. In the third chapter, based on joint work with Tetsuya Kaji, we propose a class of risk measures called the tail risk measures that establish the upper bounds below which the quantities of interest fall with probability at least as much as a pre-specified confidence level. We show that a simple rule based on the Bonferroni inequality can control a tail risk measure at a desired level even when the true risk is unknown and needs to be estimated. Most popular risk measures such as Value-at-Risk and expected shortfall are interpreted as tail risk measures. Empirical applications illustrate how the proposed concept can be applied to practical risk control problems.
by Hyungjune Kang.
1. A Dynamic Model of Reputation in Bayesian Persuasion Games -- 2. Value-at-Risk Constrain and Persuasion Informativeness -- 3. Controlling Tail Risk Measures with Estimation Error.
Ph. D.
43
Thakor, Richard Todd. "Essays in financial economics." Thesis, Massachusetts Institute of Technology, 2016. http://hdl.handle.net/1721.1/107530.
Full textAbstract:
Thesis: S.M. in Management Research, Massachusetts Institute of Technology, Sloan School of Management, 2016.Cataloged from PDF version of thesis.
Includes bibliographical references.
In the first chapter, I examine how financial constraints affect asset allocation, and consequently productivity and asset values. Using a unique dataset of agricultural outcomes, I explore how farmers respond to exogenous cash inflows that are caused by an expansion of hydraulic fracturing (fracking) leases. Farmers who receive positive cash flow shocks increase their purchases of land, which results in a reallocation effect. Examining cross-county purchases, I find that farmers in high-productivity counties who receive cash flow shocks buy farmland in low-productivity counties. In contrast, when farmers in low-productivity counties receive positive cash flow shocks, they do not engage in similar behavior. Moreover, farmers increase their purchases of vacant (undeveloped) land. Average output, productivity, and profits all increase following these positive cash flow shocks, and farmland prices rise significantly. These effects are broadly consistent with an efficient reallocation of land towards more productive users. Finally, I show that farmers borrow relatively less following the cash flow shock. In the second chapter, I develop and empirically test a dynamic sequential equilibrium model of corporate cash payout policy that endogenizes a firm's dividend initiation decision, and its extreme reluctance to subsequently cut dividends in a sequential equilibrium. After payment of dividends, all excess cash is disgorged via stock repurchases that elicit no price reactions. The theoretical model generates results consistent with many stylized facts related to dividend initiations, including: a positive dividend-initiation announcement effect; a larger (in absolute value) negative announcement effect for a dividend cut/omission than for an initiation; and a probability of dividend initiation that is increasing in the firm's profitability and assets in place, and decreasing in the personal tax rate on dividends relative to capital gains. The model also generates additional novel predictions: (i) the probability of dividend initiation is decreasing in managerial ownership of the firm, and this effect is stronger the weaker is (external) corporate governance; (ii) the dividend initiation probability is decreasing in the potential loss in value from the "two-audience-signaling" information disclosure costs associated with secondary equity issues. These new predictions are tested empirically using panel data through a predictive logit model of dividend initiations, and additional empirical support for the information-disclosure result is found using a regression discontinuity design. In the third chapter, I develop a theory in which the owners of firms pursue short-termism in project choice to limit managerial rent-seeking behavior. Unlike in previous theories, a short-term bias in investment horizons maximizes firm value in the second-best case, whereas managers themselves prefer long-horizon projects. Short-termism benefits the firm in two ways: it limits managerial rent extraction by preventing investments in bad projects that delay information revelation about project quality and managerial ability, and it enables faster learning about managerial ability which allows more efficient subsequent decisions. This result does not depend on any stock mispricing or managerial desire to use earnings management in order to manipulate stock prices. The likelihood of short-termism is higher when corporate governance is stronger, and at lower levels of the corporate hierarchy. Numerous testable predictions of the analysis are discussed.
by Richard Todd Thakor.
Financial constraints and asset reallocation: evidence from farming and fracking -- The dividend initiation decision: theory and evidence -- A theory of efficient short-termism.
S.M. in Management Research
44
Severino, Díaz Felipe. "Essays in financial economics." Thesis, Massachusetts Institute of Technology, 2014. http://hdl.handle.net/1721.1/90077.
Full textAbstract:
Thesis: Ph. D., Massachusetts Institute of Technology, Sloan School of Management, 2014.Cataloged from PDF version of thesis.
Includes bibliographical references.
This thesis consists of three empirical essays in financial economics, examining the consequences of imperfect financial markets for households, small business and house prices. In the first chapter (co-authored with Meta Brown and Brandi Coates) we explore the effect of personal bankruptcy laws on household debt. Personal bankruptcy laws in the US, and many other countries, protect a fraction of an individual's assets from seizure by unsecured creditors in case of default. An increase in the level of bankruptcy protection diminishes the collateral value of assets, and can therefore reduce borrowers' access to credit. However, it might also increase the demand for credit especially from risk averse borrowers by improving risk-sharing. Using changes in the level of protection across US states and across time, we show that bankruptcy protection laws increase borrowers' holdings of unsecured credit, but leave secured debt -mortgage and auto loans- unchanged. At the same time we find an increase in the interest rate for unsecured credit, but not for other types of credit. The effect is predominantly driven by lower-income areas and regions with higher home ownership concentration, for which an increase in the level of protection explains between 10% and 30% of the growth in their credit card debt. Using detailed individual data, we find no measurable increase in delinquency rates of households in the subsequent three years. These results suggest that changes in bankruptcy protections did not reduce the aggregate level of household debt, but they might have affected the composition of borrowing. In the second chapter (co-authored with Manuel Adelino and Antoientte Schoar) we document the role of the collateral lending channel in small business employment and self-employment in the period before the financial crisis of 2008. Small businesses in areas with a bigger run up in prices experienced a stronger increase in employment than large firms in the same industries. This increase in small business employment was more pronounced in industries that need little startup capital and can be financed more easily using housing as collateral. The increase is not limited to the non-tradable sector and is also present in manufacturing industries, in particular in those that ship goods over long distances. This indicates that this channel is separate from the aggregate demand channel by which home equity based borrowing leads to higher demand and employment creation. In aggregate, the collateral lending channel explains 15-25 % of employment variation. In the third chapter (co-authored with Manuel Adelino and Antoinette Schoar) we use exogenous changes in the conforming loan limit as an instrument for lower cost of financing, and show that cheaper credit significantly increases house prices. Houses that become eligible for financing with a conforming loan show an increase in value of 1.16 dollars per square foot (for an average price per square foot of 220 dollars). These coefficients are consistent with a local elasticity of house prices to interest rates that is lower than some previous studies proposed (below 10). In addition, loan to value ratios around the conforming loan limit deviate significantly from the common 80 percent norm, which confirms that it is an important factor in the financing choices of home buyers. In line with our interpretation, the results are stronger in the first half of our sample (1998-2001) when the conforming loan limit was more important, given that other forms of financing were less common and substantially more expensive. Results are also stronger in zip codes where personal income growth is low or declining, and in regions with lower elasticity of housing supply.
by Felipe Severino.
Ph. D.
45
Dou, Winston Wei. "Essays in financial economics." Thesis, Massachusetts Institute of Technology, 2017. http://hdl.handle.net/1721.1/109661.
Full textAbstract:
Thesis: Ph. D., Massachusetts Institute of Technology, Sloan School of Management, 2017.Cataloged from PDF version of thesis.
Includes bibliographical references (pages 361-383).
This thesis consists of three essays that theoretically and empirically investigate the asset pricing and macroeconomic implications of uncertainty shocks, propose new measures for model robustness, explain the joint dynamics on equity excess returns and real exchange rates. In the first chapter, I show that the effect of uncertainty shocks on asset prices and macroeconomic dynamics depends on the degree of risk sharing in the economy and the origin of uncertainty. I develop a general equilibrium model with imperfect risk sharing and two sources of uncertainty shocks: (i) cash-flow uncertainty shocks, which affect the idiosyncratic volatility of firms' productivity, and (ii) growth uncertainty shocks, which affect the idiosyncratic variability of firms' investment opportunities. My model deviates from the neoclassical setting in one respect: firms' investment policies are set by the experts who are subject to a moral hazard problem and thus must maintain an non-diversified ownership stake in the firm. As a result, risk sharing between experts and other investors is imperfect. Limited risk sharing distorts equilibrium investment choices, firm valuation, and prices of risk in equilibrium relative to the frictionless benchmark. In the calibrated model, the risk premium on growth uncertainty shocks is negative under poor risk sharing conditions and positive otherwise. Moreover, the cross-sectional spread in valuations between value and growth stocks loads positively on the growth uncertainty shocks under poor risk sharing conditions and negatively otherwise. Empirical tests support these predictions of the model. The second chapter is based on the joint work Chen, Dou, and Kogan (2015), in which we propose a new quantitative measure of model fragility, based on the tendency of a model to over-fit the data in sample with poor out-of-sample performance. We formally show that structural economic models are fragile when the cross-equation restrictions they impose on the baseline statistical model appear excessively informative about combinations of model parameters that are otherwise difficult to estimate. We develop an analytically tractable asymptotic approximation to our fragility measure which we use to identify the problematic parameter combinations. Using these asymptotic results, we diagnose fragility in asset pricing models with rare disasters and long-run consumption risk. The third chapter is based on the joint work Dou and Verdelhan (2015), which presents a two-good, two-country real model that replicates the basic stylized facts on equity excess returns and real interest rates. In the model, markets are incomplete. In each country, workers cannot participate in financial markets whereas investors trade domestic and foreign stocks, as well as an international bond. The investors' asset positions are subject to a borrowing constraint, along with a short-selling constraint on equity. Foreign and domestic agents differ in their elasticity of inter temporal substitution and in their risk-aversion. A time-varying probability of a global disaster implies time-varying risk premia in asset markets, and therefore large and time-varying expected valuation effects on international asset positions. The model highlights the role of market incompleteness and heterogeneity across countries in accounting for the volatility of equity and debt international capital flows.
by Winston Wei Dou.
Ph. D.
46
Bernstein, Asaf. "Essays in financial economics." Thesis, Massachusetts Institute of Technology, 2016. http://hdl.handle.net/1721.1/105085.
Full textAbstract:
Thesis: Ph. D., Massachusetts Institute of Technology, Sloan School of Management, 2016.Cataloged from PDF version of thesis.
Includes bibliographical references.
This thesis consists of three empirical essays in financial economics that explore the role financial regulation can play in firm, household, and investor decision making. In the first chapter for households with homes worth less than the mortgage I test the effect of "household debt overhang" on their labor supply decisions. I utilize a new transaction-level dataset with comprehensive information on assets, liabilities, and deposits for all customers of a major U.S. financial institution from 2010-2014. I then exploit plausibly exogenous variation in the timing of home purchases among households in the same region and time as an instrument for the probability of negative home equity and find that negative equity causes a 2%-6% reduction in household labor supply. These results are robust to the inclusion of time-varying national cohort fixed effects as well as using a life-event driven proxy for the timing of home purchase based on the date of college attendance. Income-contingent loss mitigation creates implicit marginal tax rates that provide a plausible channel by which household debt overhang acts. Consistent with this explanation I find that the labor supply decline is larger in regions where mortgage modifications are more prevalent, even if foreclosures occur less frequently. Taken together these results provide evidence that the moral hazard problem caused by mortgage debt overhang can exacerbate employment declines and highlights the potential unintended consequences of mortgage assistance programs. In the second chapter I investigate whether restrictions on bank speculation can be costly for non-financial firms by examining the unexpected inception of federal rating-contingent investment restrictions in 1936 preventing banks from purchasing speculative grade securities. Immediately following the ruling I find a persistent 3-5% equity value decline for firms requiring speculative financing, concentrated in industries reliant on external financing, but no change in bond yields. Rather than face increases in default risk or direct interest costs these firms reduce debt issuances to improve ratings, leading to reduced investment and asset growth in the years following the ruling. In the third chapter (co-authored with Eric Hughson and Marc Weidenmier) we explore the role clearinghouses play in global financial stability. Empirical identification of the effect of centralized clearing on counterparty risk is challenging because of the co-incidence of macro-economic turbulence and the introduction of clearinghouses. We overcome these concerns by examining a novel historical experiment, the establishment of a clearinghouse on the New York Stock Exchange (NYSE) in 1892. During this period the largest NYSE stocks were also listed on the Consolidated Stock Exchange (CSE), which already had a clearinghouse. Using identical securities on the CSE as a control, we find that the introduction of clearing reduced annualized volatility of NYSE returns by 90-173bps and increased asset values. Prior to clearing, shocks to overnight lending rates reduced the value of stocks on the NYSE, relative to identical stocks on the CSE, but this was no longer true after the establishment of clearing. We also show that at least V2 of the average reduction in counterparty risk on the NYSE is driven by a reduction in contagion risk - the risk of a cascade of broker defaults. Our results indicate that clearing can cause a significant improvement in market stability and value through a reduction in network contagion and counterparty risk.
by Asaf Bernstein.
Chapter 1. Household Debt Overhang and Labor Supply -- Chapter 2. More Than Just Speculation: The Costs of Restrictions on Speculative Investing -- Chapter 3. Counterparty Risk and the Establishment of the New York Stock Exchange Clearinghouse.
Ph. D.
47
Duarte, Victor (Fonseca Duarte). "Essays in financial economics." Thesis, Massachusetts Institute of Technology, 2018. http://hdl.handle.net/1721.1/118016.
Full textAbstract:
Thesis: Ph. D., Massachusetts Institute of Technology, Sloan School of Management, 2018.Cataloged from PDF version of thesis.
Includes bibliographical references.
This thesis consists of three chapters on asset pricing, dynamic stochastic general equilibrium and structural estimation of dynamic models. Chapter 1 introduces a global, nonlinear numerical method to solve a large class of continuous-time models in economics and finance. Using modern tools from Machine Learning, I show that the problem of solving the corresponding nonlinear partial differential equations (PDEs) can be recast as a sequence of supervised learning problems. Furthermore, I propose a setting to test and evaluate solution methods. In the context of a Neoclassical Growth Model, given any value function, the productivity function can be reverse engineered so that the Hamilton-Jacobi-Bellman (HJB) equation corresponding to the dynamic optimization problem is identically zero. This provides a testing ground for solution methods. Chapter 2 leverages the algorithm developed in chapter 1 to do structural estimation of stochastic dynamic models in economics. By extending the state space to include all model parameters, I show that we need to solve the model only once to do structural estimation. Parameters are then estimated by minimizing the distance between key empirical moments and the model-implied ones. Unlike the Simulated Method of Moments, the model-implied moments are estimated without the computation of a single moment. Instead, a neural network learns the corresponding moments using raw simulated observations. In chapter 3 I study a multi-sector production-based economy where countercyclical risk premia and capital reallocation lengthens recessions. In the model, risk-aversion increases after negative productivity shocks, and the ensuing capital reallocation propagates the reduction in aggregate productivity and aggregate consumption. The decrease in consumption keeps the risk aversion high, preventing a quick recovery to the balanced growth path.
by Victor Duarte.
1. Machine Learning for Continuous-Time Economics -- 2, Gradient-Based Structural Estimation -- 3. Sectoral Reallocation and Endogenous Risk-Aversion.
Ph. D.
48
Zhou, Yifan Ph D. Massachusetts Institute of Technology. "Essays in financial economics." Thesis, Massachusetts Institute of Technology, 2013. http://hdl.handle.net/1721.1/82288.
Full textAbstract:
Thesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, 2013.Cataloged from PDF version of thesis.
Includes bibliographical references.
In Chapter 1, we seek to understand the relation between liquidity and market imperfections from two dimensions: 1) Across liquidity measures, we compare the influence of imperfections on two commonly used measures, Kyle's lambda and price reversal; 2) Across imperfections, we study the interaction between two sources of market imperfection, information asymmetry and participation cost. We show that the two liquidity measures may be affected in opposite directions by the same imperfection, or may not capture liquidity changes at all; imperfection interactions can cause the market to appear "less illiquid" than single-imperfection benchmarks. Our model also suggests that imperfections and liquidity shocks may influence expected returns in opposite directions, which complicates the liquidity-asset price cross-sectional relation. In Chapter 2, joint with Andrew Lo, we perform an empirical comparison of systemic risk measures. In a recent survey paper, Bisias et al. (2012) provide a summary of 31 proposed measures for systemic risk in the financial system. In this paper we examine a subset of these measures to determine their time series properties before, during, and after the Financial Crisis of 2007-2009. By comparing their empirical properties over time, we hope to identify which measures were most informative for navigating through the 1998 and the 2007-2009 crises. By constructing rolling-window estimates of these measures using only prior data, we control for the most blatant forms of look-ahead bias to assess the value of these measures as "early-warning signals". Finally, we explore the possibility of combining these measures to produce even more informative indicators of systemic risk. In Chapter 3, joint with Andrew Lo and Silvia Sgherri, we construct two global systemic In Chapter 3, joint with Andrew Lo and Silvia Sgherri, we construct two global systemic risk indicators as well as a panel of regional indicators, using monthly hedge fund data. Results show that our geographic-focus global indicator provided contemporaneous characterization of financial distress; the hedge fund style-category global indicator generated early-warnings for the 2007 quant crisis and the 2011 European debt crisis, and typically led the geographic-focus indicator by 1~2 months. In addition, we use Granger causality network to visualize the interconnectedness of regional risks and track the transmission of crisis over time.
by Yifan Zhou.
Ph.D.
49
Meeuwis, Maarten. "Essays in financial economics." Thesis, Massachusetts Institute of Technology, 2020. https://hdl.handle.net/1721.1/126978.
Full textAbstract:
Thesis: Ph. D., Massachusetts Institute of Technology, Sloan School of Management, May, 2020Cataloged from PDF version of thesis.
Includes bibliographical references.
This dissertation consists of three essays in financial economics, with a focus on household financial decisions and their implications for asset pricing and macroeconomic dynamics. In Chapter 1, I use data on the portfolio holdings and income of millions of US retirement investors to show that positive and persistent shocks to income lead to a significant increase in the equity share of investor portfolios, while increases in financial wealth due to realized returns lead to a small decline in the equity share. In a standard homothetic life-cycle model with human capital and constant risk aversion, the portfolio responses to these two wealth shocks should be of equal magnitude and opposite sign. The positive net effect in the data is evidence for risk aversion that decreases in total wealth. In Chapter 2, I show that decreasing relative risk aversion preferences have significant long-run implications for inequality and asset prices.
I estimate the structural parameters of a life-cycle consumption and portfolio choice model that accounts for inertia in portfolio rebalancing. The model matches reduced-form estimates of the portfolio responses to wealth shocks with a significant degree of non-homotheticity in risk preferences, such that a 10% permanent income growth leads to a decrease in risk aversion by 1.7%. I find that decreasing relative risk aversion in the model doubles the share of wealth at the top, as equity is concentrated in the hands of the wealthy. The model also implies that rising income inequality in the US has led to a 15% decline in the equity premium over the past three decades. In joint work with Jonathan Parker, Antoinette Schoar, and Duncan Simester, we document in Chapter 3 how agents who believe in different models of the world change their investment behavior differently in response to a public signal.
We use a proprietary dataset of the portfolio holdings of millions of US households and identify households ex ante that hold different models of the world using political party affiliation (probabilistically inferred from zip code). Our public signal is the unexpected outcome of the US national election of 2016. Relative to Democrats, Republican investors actively increase the equity share and market beta of their portfolios following the election. The rebalancing is due to a small share of investors making large adjustments. We conclude that this behavior is driven by belief heterogeneity because of extensive controls for differential hedging needs or preferences, including detailed controls for age, wealth, income, state, and even county-employer fixed effects.
by Maarten Meeuwis.
1. Wealth Fluctuations and Risk Preferences: Evidence from US Investor Portfolios -- 2. Portfolio Choice with Non-Homothetic Preferences -- 3. Belief Disagreement and Portfolio Choice -- A. Appendix for "Wealth Fluctuations and Risk Preferences: Evidence from US Investor Portfolios" -- B. Appendix for "Portfolio Choice with Non-Homothetic Preferences" --C. Appendix for "Belief Disagreement and Portfolio Choice".
Ph. D.
Ph.D. Massachusetts Institute of Technology, Sloan School of Management
50
Lu, Fangzhou Ph D. Massachusetts Institute of Technology. "Essays in financial economics." Thesis, Massachusetts Institute of Technology, 2020. https://hdl.handle.net/1721.1/126979.
Full textAbstract:
Thesis: Ph. D., Massachusetts Institute of Technology, Sloan School of Management, May, 2020Cataloged from PDF version of thesis.
Includes bibliographical references.
In Chapter 1, I document that there is a high correlation between the returns of cryptocurrencies and those of utility tokens, which are claims to products and services yet to be developed that are issued through ICOs and traded on crypto-exchanges. I demonstrate the presence of a numeraire effect in the pricing of these tokens and present evidence that it is driven by a combination of group thinking and representativeness bias. Investors mistakenly overestimate the probability that a cryptocurrency-denominated token is issued by a blockchain firm, and thus believe the fundamental value of the token is correlated with that of Bitcoin. I show that a 1% increase in the return on Bitcoin during the month before a token first lists on a crypto exchange predicts a 5% higher ICO return for a cryptocurrency-denominated token than for a fiat-currency-denominated token.
If a token is denominated in a cryptocurrency on one exchange and its otherwise identical twin is denominated in a fiat currency on another exchange, then a 1% increase in the cryptocurrency return relative to the fiat currency predicts a 60 bp divergence in their prices. In Chapter 2, I show that consistent with being driven by a combination of group thinking and representativeness bias, the numeraire effect is more pronounced for tokens with more complex business plans. Moreover, experimental evidence corroborates these empirical findings and suggests that the numeraire effect is present in other asset prices as well and can explain home-currency bias. The combination of high volatility and numeraire effects undermines the ability of cryptocurrencies to serve as units of account. In Chapter 3, I demonstrate that debt owed to family and friends (DOFF) is a major component of household and entrepreneurial finance, particularly in developing countries.
However, such informal finance carries with it an implicit covenant that can cause households to forgo durable-good consumption. This is because durablegood consumption can be perceived by the lender as a mis-use of funds and can result in social sanctions or debt recall. This paper uses China's Vehicle Scrappage Program (VSP) as a laboratory in which to study the causal link between DOFF and consumption. Merging survey data on Chinese household balance sheets with bid prices from China's online used-car markets, I find that DOFF on the balance sheet significantly reduces the probability that eligible households participate in the VSP and trade in their clunkers for new cars. Further, I find that this negative effect of DOFF on consumption is significantly mitigated by the presence of formal features such as a written contract, pre-determined debt repayment schedule, or positive interest rate.
Together these results suggest that developing more formal channels for household finance can lead to increases in consumption. This is particularly important for developing countries such as China, where low consumption rates impede economic growth.
by Fangzhou Lu.
1. Numeraire Effect in ICOs -- 2. Textual analysis and experimental evidence on cryptocurrencies trading behavior -- 3. Social Debt Overhang and Under-Consumption -- A. Appendix Tables -- B Appendix: Instructions to experiment participants.
Ph. D.
Ph.D. Massachusetts Institute of Technology, Sloan School of Management