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Essays on the economics of risk management and financial institutions.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Essays on the economics of risk management and financial institutions.
Author:	Kim, Hoikwang.
Description:	139 p.
Notes:	Source: Dissertation Abstracts International, Volume: 74-10(E), Section: A.
Notes:	Adviser: Olivia S. Mitchell.
Contained By:	Dissertation Abstracts International74-10A(E).
Subject:	Economics, Finance.
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3566396
ISBN:	9781303175619

Essays on the economics of risk management and financial institutions.
Kim, Hoikwang.

Essays on the economics of risk management and financial institutions. - 139 p.

Source: Dissertation Abstracts International, Volume: 74-10(E), Section: A.

Thesis (Ph.D.)--University of Pennsylvania, 2013.

50 million due to this shrouding. In the third essay, I investigate the theoretical impact of including two empirically-grounded innovations in a lifecycle portfolio choice model. The first innovation is a portfolio adjustment cost which individuals face when managing their financial wealth rather than delegating the task to professional money managers. When job-specific human capital is accumulated through learning-by-doing, investing time in financial management imposes opportunity costs in terms of current and future human capital accumulation. Another innovation is the incorporation of age-dependent efficiency patterns in financial decision making. These two innovations replicate empirically observed inactivity in portfolio adjustment patterns, especially for younger and older employees. The calibrated model quantifies welfare gains that the delegation option can bring to the lifecycle setting.This dissertation is comprised of three essays. In the first essay, I examine evidence for contagious runs in money market funds during the 2008 financial crisis, drawing on a rich dataset tracking U.S. money market fund daily flows and enrollment status in the Treasury Department's Temporary Guarantee Program (TGP). My evaluation of the positive externality effect from peer funds' enrollment in the TGP on non-enrolled funds shows that runs were contagious across funds. Moreover, retail investors were less likely than institutional investors to return to prime money market funds after TGP enrollment, implying that the latter benefited more from the government backstop. The results are germane to policies seeking to rebuild investor confidence in times of financial crisis. My second essay (with Santosh Anagol) studies a natural experiment in the Indian mutual funds sector that created a 22-month period during which closed-end funds were allowed to charge an arguably shrouded fee, whereas open-end funds were forced to charge entry loads. Forty-five new closed-end funds were started during this period, collecting USD 7.6 billion, whereas only two closed-end funds were started in the 66 months prior to this period, collecting USD 42 billion. No closed-end funds were started in the 20 months after this period. We estimate that investors lost and fund firms gained approximately USD

ISBN: 9781303175619Subjects--Topical Terms:

212585
Economics, Finance.

Essays on the economics of risk management and financial institutions.
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500 $a Source: Dissertation Abstracts International, Volume: 74-10(E), Section: A.
500 $a Adviser: Olivia S. Mitchell.
502 $a Thesis (Ph.D.)--University of Pennsylvania, 2013.
520 $a This dissertation is comprised of three essays. In the first essay, I examine evidence for contagious runs in money market funds during the 2008 financial crisis, drawing on a rich dataset tracking U.S. money market fund daily flows and enrollment status in the Treasury Department's Temporary Guarantee Program (TGP). My evaluation of the positive externality effect from peer funds' enrollment in the TGP on non-enrolled funds shows that runs were contagious across funds. Moreover, retail investors were less likely than institutional investors to return to prime money market funds after TGP enrollment, implying that the latter benefited more from the government backstop. The results are germane to policies seeking to rebuild investor confidence in times of financial crisis. My second essay (with Santosh Anagol) studies a natural experiment in the Indian mutual funds sector that created a 22-month period during which closed-end funds were allowed to charge an arguably shrouded fee, whereas open-end funds were forced to charge entry loads. Forty-five new closed-end funds were started during this period, collecting USD 7.6 billion, whereas only two closed-end funds were started in the 66 months prior to this period, collecting USD 42 billion. No closed-end funds were started in the 20 months after this period. We estimate that investors lost and fund firms gained approximately USD $3 50 million due to this shrouding. In the third essay, I investigate the theoretical impact of including two empirically-grounded innovations in a lifecycle portfolio choice model. The first innovation is a portfolio adjustment cost which individuals face when managing their financial wealth rather than delegating the task to professional money managers. When job-specific human capital is accumulated through learning-by-doing, investing time in financial management imposes opportunity costs in terms of current and future human capital accumulation. Another innovation is the incorporation of age-dependent efficiency patterns in financial decision making. These two innovations replicate empirically observed inactivity in portfolio adjustment patterns, especially for younger and older employees. The calibrated model quantifies welfare gains that the delegation option can bring to the lifecycle setting.
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