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GROMB The first chapter studies how the introduction of a futures market for steel affects steel producers and their customers. Focusing on CCPs backed repotrades during the eurozone crisis, we show that the market factored in the default of CCPs.
In turn, this affected their capacity to ensure liquidity in the interbank market. Our results have strong consequences for the way CCPs should be regulate. The second chapter aims at Phd dissertations finance the impact of the rise of the concentration in the banking sector on aggregate credit fluctuations.
The explanation lies in the fact that the strength of banking groups idiosyncratic shocks is limited compared to aggregate and subsidiaries level ones. The last chapter, a joint work with Thomas Bourveau and Adrien Matray, focuses on the transmission of corporate risk culture.
We show that subsidiaries of the same banking group tend to assess future risks in similar ways. In turn, this gives insights on how banking crisis can spread be fueled by corporate risk culture. I find a large average increase in demand for short-selling prior to auctions.
Yet, the demand for short-selling a bond does not predict a subsequent increase in the bond's yield. Overall, there is no evidence that short-sellers or edict or interpret auction outcomes better than the market. In the second chapter, I develop and test a model explaining the gradual price decrease observed in the days leading to large anticipated asset sales such as Treasury auctions.
In the model, risk-averse investors anticipate an asset sale which magnitude, and hence price, are uncertain. I show that investors face a trade-off between hedging the price risk with a long position, and speculating on the difference between the pre-sale and the expected sale prices.
Due to hedging, the equilibrium price is above the expected sale price. As the sale date approaches, uncertainty about the sale price decreases, short speculative positions increase and the price decreases.
In line with the predictions, I find that the yield of Italian Treasuries increases by 1. In the third chapter, I study the link between prices and repo rates during the subprime crisis.
I find that the no-arbitrage relationship between prices and repo rates in Duffie fares worse during the crisis. However, low-reporate bonds have an Overall, while there are high limits of arbitrage, prices and repo rates feature larger co-movements during the crisis.
There is evidence this outperformance arises from stock selection skills of illiquid funds. The stocks held by illiquid funds outperform portfolios matched by characteristics. Liquid funds declare benchmarks that make their benchmark adjusted returns appear larger. A portfolio of stocks held by illiquid funds subsequently outperforms a portfolio of stocks held by liquid funds.
The second chapter documents a predictability pattern in returns. This chapter identifies high opportunities in stocks with difficult valuation as times when returns of neglected stocks diverge from returns of covered stocks. Subsequent returns of stocks with difficult valuation are higher when beginning of period opportunities are high, as compared to when beginning of period opportunities are low.
This is consistent with an information risk theory, where investors demand a higher premium to hold stocks with higher probability of informed trading, because they fear adverse selection.
The third chapter explores instances when mutual funds change their style style is regarded as risk exposure alongside usual factors.
Mutual funds do not take more risk when it is more profitable to do so. After performing badly, mutual funds move closer to the style of good performing peer funds.
Young funds' styles diverge from the style of old peer funds. Recently hired managers diverge in style from veteran managers of peer funds. When the average fund takes more risk alongside a style dimension, it does not simultaneously consider other style dimensions. The thirdchapter explores the effects of exercising contingent capital, and how these instrumentscan contribute to solving the bank leverage dilemna.
The first chapter presents joint work withChristophe Spaenjers.
We find that individuals with longer subjective life horizons hold higherconditional equity shares, and the effect of a shortening life horizon on portfolio choice is offset bybequest motives.Feb 17, · Shipping finance in Singapore: A case study of current options Singapore is an international shipping hub, and ship-building remains a profitable activity on the island.
This study examines the options for ship owners based in Singapore who seek to finance new builds as well as reconstruction projects. Ph.D Placements & Alumni PhD Dissertations PhD Dissertations PhD Dissertations Sort by: Finance household finance, public finance and financial attheheels.com first chapter presents a work joint with Claire C´el´erier, analyzing the growingcomplexity of retail structured products, and how bank use complexity to mitigate.
PhD Thesis RISK TAKING IN FINANCIAL MARKETS: A BEHAVIORAL PERSPECTIVE Author: José Luiz Barros Fernandes Supervisors: Juan Ignacio Peña Benjamin Miranda Tabak Department of Business Administration Getafe Behavior Finance and Estimation Risk in Stochastic.
Finance: Doctoral Theses This thesis considers three questions in Corporate Finance. The first chapter examines the effect of institutional ownership on the governance dynamics of firms and corporate outcomes. I exploit an. Our "Microfinance Micro Finance" researchers are highly-educated specialists with impeccable research and writing skills who have vast experience in preparing doctoral-level research materials.
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