Thesis (Ph. D.)--UCLA, 2005. / Vita. Includes bibliographical references (leaves 67-70).

Thesis (M.A.)--Virginia Polytechnic Institute and State University, 1990. / Vita. Abstract. Includes bibliographical references (leaf 42). Also available via the Internet.

Thesis (Ph.D.)--Tufts University, 2005. / Chair: Laurent L. Jacque. Submitted to the Fletcher School of Law and Diplomacy. Includes bibliographical references (leaves 100-114). Access restricted to members of the Tufts University community. Also available via the World Wide Web;

by Kwan Chi Tak. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1999. / Includes bibliographical references (leaves 44-45). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / LIST OF FIGURES --- p.vi / LIST OF TABLES --- p.vii / ACKNOWLEDGEMENT --- p.viii / CHAPTER / Chapter I. --- OBJECTIVES AND METHODOLOGY --- p.1 / Objectives --- p.1 / Methodology --- p.1 / Data Source --- p.1 / Analysis on the Efficiency of Secondary Bond Market --- p.1 / Data Collected --- p.2 / Period of Investigation --- p.2 / Bonds Selected --- p.3 / Interviews --- p.3 / Chapter II. --- DEVELOPMENT OF BOND MARKET IN CHINA --- p.4 / Amount of Issue --- p.4 / Types of Bonds Available in China --- p.5 / Government Bonds --- p.6 / Policy Financial Bonds --- p.7 / Enterprise Bonds --- p.7 / Conclusion --- p.7 / Chapter III. --- DEVELOPMENT OF GOVERNMENT BOND MARKET --- p.9 / Background --- p.9 / Issuance Methods --- p.9 / Types --- p.11 / Cost of Issuance and Redemption --- p.12 / The Establishment of Secondary Market --- p.13 / Conclusion --- p.14 / Chapter IV. --- GOVERNMENT DEFICIT FINANCING --- p.16 / The Economy of China --- p.17 / Government revenues and Expenditures --- p.17 / Deficits --- p.19 / Government Bond Issuance --- p.21 / repayment Ability --- p.22 / Conclusion --- p.23 / Chapter V. --- BENCHMARK RATES --- p.23 / Primary Market --- p.23 / Interest Rates --- p.23 / Government Bond Coupons --- p.24 / Anomaly --- p.24 / Pricing of other securities --- p.25 / secondary market --- p.25 / Efficiency of Secondary Bond Market --- p.27 / Conclusion --- p.29 / Chapter VI. --- OPEN MARKET OPERATIONS --- p.30 / Background --- p.30 / Open Market Operations --- p.30 / The Effectiveness --- p.31 / Conclusion --- p.33 / Chapter VII. --- OTHER FACTORS --- p.34 / Education --- p.34 / Institutional Investors --- p.34 / Transaction Costs --- p.35 / Distribution --- p.35 / Transaction Fees --- p.35 / Conclusion --- p.36 / Chapter VIII. --- CONCLUSIONS AND RECOMMENDATIONS --- p.37 / Conclusions --- p.37 / Positive Factors --- p.37 / Negative Factors --- p.38 / Recommendations --- p.39 / Chapter IX. --- APPENDIX I --- p.41 / Chapter X. --- APPENDIX --- p.43 / Chapter XI. --- BIBLIOGRAPHY --- p.44

Thesis (M.Commerce Hons.)--University of Western Sydney, Macarthur, Faculty of Business, 1999. / Bibliography: p. 94-99.

Thesis (Ph. D.)--Stanford University, 1991. / Includes bibliographical references (leaves 174-185).

In part 1 of this study I examine several models of competitive markets in which a group of uninformed traders uses the equilibrium price of a traded asset as an indirect source of information known to a group of informed traders. Four different models are compared in two homogeneous information cases plus one asymmetric information case, revealing a) an allocative efficiency benefit resulting from the opportunity to trade current consumption for future consumption, b) a 'dealer' benefit accruing to traders who are able to observe and act on demand fluctuations not apparent to other traders, c) a 'hedging' benefit accruing to all traders, and d) a loss of hedging benefits due to information dissemination before hedge trading can take place. The effect of an increase in precision of information given to informed traders is calculated for the above factors and for net welfare. In part 2, a two-factor model using the instantaneous rate of interest and the return on a consol bond to describe the term structure of interest rates - the Brennan-Schwartz model - is used to derive theoretical prices for American call and put options on U.S. government bonds and treasury bills. These model prices are then compared with market prices. The theoretical model used to value the debt options also provides hedge ratios which may be used to construct zero-investment portfolios which, in theory, are perfectly riskless. Several trading strategies based on these 'riskless' portfolios are examined. / Business, Sauder School of / Graduate

This dissertation studies topics in financial economics. In the first chapter, The Corporate Supply of (Quasi) Safe Assets, I examine whether the demand for safe assets affects nonfinancial corporations in the US. Investors value safety services in financial assets, such as the ability to serve as a store of value, to serve as collateral, or to meet mandatory capital and liquidity requirements. I present a model in which investors value safety services not only in traditional safe assets such as US Treasuries, but also in corporate debt. Shareholders thus maximize the value of the firm by complementing standard business operations with safe asset creation. Based on this theoretical framework, I use the CDS-bond basis to derive a measurement of the safety premium of corporate bonds. I document substantial cross sectional variation in the safety premium of corporate bonds, which allows me to test the model’s predictions. I show that a high safety premium leads toa marked increase in debt issuance by relatively safer firms. These debt proceeds have a small impact on real investment and are largely used instead for equity payouts. This mechanism can explain why, in the aftermath of the financial crisis, non-financial investment grade companies significantly increased their debt issuance and equity payout while investment remained weak. The second chapter, The Cross-Section of Risk and Return, focuses on a common practice in the finance literature which is to create characteristic portfolios by sorting on characteristics associated with average returns. We show that the resultant portfolios are likely to capture not only the priced risk associated with the characteristic but also unpriced risk. We develop a procedure to remove this unpriced risk using covariance information estimated from past returns. We apply our methodology to the five Fama-French characteristic portfolios. The squared Sharpe ratio of the optimal combination of the resultant characteristic efficient portfolios is 2.13, compared with 1.17 for the original characteristic portfolios. In the third chapter, Should Information be Sold Separately? Evidence from MiFID II, we examine whether selling information separately improves its production. We use a recent regulation in Europe (MiFID II) that unbundles research from transactions to investigate this question. We show that unbundling causes fewer research analysts to cover a firm. This decrease does not come from small- or mid-cap firms but is concentrated in large firms. Contrary to conventional wisdom, the reduction in the coverage quantity is accompanied by an increase in the coverage quality. Further analyses suggest that the enhancement of analyst competition could drive the results: inaccurate analysts drop out (extensive margin) and analysts who stay produce better-quality research (intensive margin). Our findings suggest that selling information separately improves information quality at the cost of reducing information quantity.

Submitted by Filipe dos Santos (fsantos@pucsp.br) on 2016-12-06T18:30:22Z No. of bitstreams: 1 Rodolfo Gonçalves de Abreu Ribeiro.pdf: 587202 bytes, checksum: c449f1c9fde46a828eb284fa630fef9d (MD5) / Made available in DSpace on 2016-12-06T18:30:22Z (GMT). No. of bitstreams: 1 Rodolfo Gonçalves de Abreu Ribeiro.pdf: 587202 bytes, checksum: c449f1c9fde46a828eb284fa630fef9d (MD5) Previous issue date: 2016-11-21 / The current capitalism phase is determined by finance; it is the heart of social relations nowadays. The neoliberalism that has resurfaced as a political ideology in the late 1970’s contributed to the advancement of finance in the economy. This ideology was as ideal thoughts of Friedrich Hayek and Milton Friedman. His ideals were that the State should not intervene in the economy, and market forces should act freely without any intervention mechanism. The postwar period until the mid-1970 was marked by “repression of finance", with the financial and capital markets regulated and compartmentalized. Then, this capitalism period begins to show a crisis and finances, before suppressed, unite to neoliberalism speech to rescue their earnings eroded by inflation. The neo-liberal prescription breaks down barriers and limits of finance, and the creation of numerous financial mechanisms increase the income levels. This process, called Financialization of the global economy, has started the United States of America and in Britain, firstly has spread by the central countries and secondly in outlying countries. An important component of this process of financialization was the securitization of debt securities that together with institutional investors have grown exponentially in this capitalism stage. The main focus of this study is investigate the mechanism of public debt as a factor of income concentration in favor of rentiers / A fase atual do capitalismo é marcada pelo domínio das finanças, sendo que estas se encontram no centro das relações sociais. O neoliberalismo, que ressurgiu como uma ideologia política no final dos anos 1970, contribuiu para o avanço das finanças na economia. O ideal neoliberal tinha como princípios os pensamentos de Friedrich Hayek e Milton Friedman, cujas convicções eram de que o Estado não deveria intervir na economia, e as forças de mercado deveriam atuar livremente, sem quaisquer mecanismos de intervenção. O período que marca o pós-guerra até meados dos anos 1970 é assinalado pela “repressão das finanças”, com os mercados financeiros e de capitais regulamentados e compartimentados. Essa fase do capitalismo começa a entrar em crise e as finanças, antes reprimidas, unem-se ao discurso neoliberal a fim de resgatar os seus rendimentos corroídos pela inflação. O receituário neoliberal quebra as barreiras e os limites para as finanças e, com a criação de inúmeros mecanismos financeiros, é possível retomar os elevados níveis de rendimento. A financeirização da economia começa nos Estados Unidos da América e na Grã- Bretanha, espalha-se pelos países centrais do capitalismo e, em um segundo momento, penetra nos países periféricos do capitalismo. Um componente importante desse processo de financeirização foi a securitização dos títulos de dívida pública que, juntamente com os investidores institucionais, cresceram exponencialmente nessa etapa do capitalismo. O foco desse estudo é o mecanismo da dívida pública como um fator de concentração de renda em favor dos rentistas

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