Thesis (Ph.D.)--Indiana University, Dept. of Economics and Dept. of Finance, 2007. / Source: Dissertation Abstracts International, Volume: 68-05, Section: A, page: 2094. Advisers: Eric L. Leeper; Gregory F. Udell. "Title from dissertation home page (viewed Jan. 24, 2008)."

My dissertation consists of three essays. The first paper explores the determinants of the share of workers' compensation benefits provided by self-insured employers over the period 1983-2000. We examine hypotheses that the self-insurers' share is determined by industry affiliation, price level, firm size, along with statewide levels of loss severity and frequency. Prior studies have produced mixed results concerning whether self-insurers are primarily high-risk or low-risk. Our panel regression analysis indicates that a positive and statistically reliable relationship exists between self-insurance and the health services sector which is characterized by high nonfatal incidence rates. Our findings put forth evidence that employers in the high-risk health industry are very likely to self-insure. The second article explores the determinants of self-insurance for workers' compensation liability by hospitals. Using cross-sectional hospital data in Pennsylvania, this study examines firm-specific characteristics of self-insurers. The logistic regressions suggest a link between the control type of a hospital and self-insurance. Nonprofit hospitals are more likely to self-insure, while for-profit hospitals prefer market insurance. Aside from large size, self-insured hospitals are associated with concentration of businesses within a state and the self-insurance pattern of their competitors. The prevalence of self-insurance among hospitals provides evidence that high-risk employers tend to choose alternative risk transfer. The decision to self-insure can be isolated from residual market arguments. The third investigates whether insurance activities (underwriting and agency) enhance the financial performance of financial holding companies (FHCs). Stiroh and Rumble (2006) and Yeager et al. (2007) have argued that extension of banking to non-banking activities provides no diversification benefits for FHCs eligible to consolidate banking and insurance services. Using quarterly panel observations of 510 FHCs over the period 2003-2005, we obtain two main results: First, when we employ the aggregate non-interest income as a measure of expansion, risk-adjusted return of FHCs is positively associated with a shift toward non-interest activities. Second, when we disaggregate the sample by FHC size, risk-adjusted return is positively associated with insurance agency activities in small-sized FHCs and positively associated with insurance underwriting activities in large-sized FHCs. An implication of our finding is that both small and large FHCs can reap diversification benefits as long as they choose the right niche. / Business Administration

A comprehensive study of bank failures during the Florida land boom of the mid-1920s. This dissertation is the first work to analyze state and national banking records to determine the causes of specific bank failures during the banking panic of 1926. Previously confidential government documents, which are now public records because of this study, were utilized to establish why 150 Florida and Georgia banks failed in that year. / In ten days of July 1926, after uncontrollable depositor runs, one hundred and seventeen banks closed in the two states. Uninsured depositors lost an estimated $30 million, and several suicides followed the financial havoc. / Florida suffered through a banking crisis during the years preceding the stock market crash of 1929. Bank assets in Florida fell more than $300 million in 1926 alone. Between 1926 and 1929, bank assets declined from \$943 million to $375 million. / Regulatory secrecy permitted the banking debacle to grow beyond control as regulators concealed the magnitude of the problem. After lawsuits disclosed bank fraud, the public panicked. The ensuing depositor runs caused the banking crash. / Heretofore, the banking debacle has been blamed on the collapse of the Florida land boom. It was believed that the precipitate drop in real estate values created a regional recession which caused the banks to fail. Bankers were not regarded as the problem. In fact, they were defended by bank regulators, who blamed the crisis on the public. / This work concludes that banks which were operated prudently survived the deceleration of the land boom. Many bankers, however, looted the financial institutions they pledged to protect. They tried to get rich by wildly speculating with depositors' money in the real estate frenzy. When their schemes failed, so did their banks. This study proves that despite official disclaimers and previous historical accounts, virtually every bank failure which occurred in Florida and Georgia during 1926 involved massive insider abuses, a conscious conspiracy to defraud, or both. / Source: Dissertation Abstracts International, Volume: 51-04, Section: A, page: 1365. / Major Professor: Edward F. Keuchel. / Thesis (Ph.D.)--The Florida State University, 1990.

The propose of this dissertation is to test the efficacy of event study methods in the context of an important emerging market: Mexico The dissertation answers the following five questions: (a) Which is the most appropriate model to be used with the event study technique into the Mexican market for the following methodologies: Mean Adjusted Returns, Market Adjusted Returns, and the Market Model? (b) Which of the following tests---the T-test, Wilcoxon test, Sing test, and Corrado (1989) test---is the most appropriate test for each of the previously mentioned methodologies? (c) How should we measure the returns to obtain the best results with the event study technique? (d) How will our results be affected by the methodologies, tests, and returns used in the study? (e) What similarities and differences can we find as a result of the simulation process used between the U.S. market and Mexican market? One of the most frequent questions asked to managers or stockholders is: What is the effect of a specific decision on the price of a financial asset. The study of events is a relatively simple methodology used to answer a question like this In order to use such a methodology, we must have a model that describes the 'normal' behavior of the price of an asset through time. If exists difference between the model, and the market data, it says that a event exist. The analysis of the differences is what constitutes the study of events technique We need ex ante generators, normal expected return Rit of the security i in the time t and compare them with their actual ex post return For our work, the selected universe for E [Rit|Xt] are the returns produced by the prices of the 101 most negotiated stocks on the Mexican Stock Exchange from January 2, 1987 to March 2, 1998; such returns are considered in weekly and monthly time intervals In order to do comparisons we take random 101 stocks of the New York Stock Exchange from January 1987 to March 1998 in monthly intervals. The models we use to generate the Rit are: Mean Adjusted Returns, Market Adjusted Returns, Market and Risk Adjusted Returns The tests we considered are the t-test that is a parametric test and the non-parametric tests: sign-test, Wilcoxon test and Corrado test Once known the model with its parameters, a stock portfolio is made up and we compute epsilonpt and with the tests the null hypothesis is validated. H0: No abnormal returns The variable that concerns us in this paper, is the power of each one of the three methodologies, that is, the value of the conditional probability. (Abstract shortened by UMI.) / acase@tulane.edu

Anecdotal evidence suggests that underwriters prefer long-term investors among IPO investors and academic research has shown that long-term ownership improves value of the firm. Nevertheless, academic research has focused on initial allocation to IPO investors without considering effects of long-term holdings. Benveniste and Spindt (1989) argue that underpricing of IPO firms is compensation for the regular investors who reveal the true information about the IPO firm during the bookbuilding process. Aggarwal, Prabhala, and Puri (2002) find that initial allocations to institutions have positive impact on offer price revisions, but they appear to be too large to be explained only by information gathering. We present game theory model and empirical evidence that underpricing is given as compensation for long-term holdings. The compensation is made in two-installments; the flipping revenues, and the capital gains in the future sale of the allocation remainder. We find that long term holding by institutional investors is large, positively correlated with revisions of the offer price, showing that it adds value, and positively correlated with underpricing, showing that institutions get larger allocations of more underpriced offerings to cover their larger monitoring cost Despite significance of Investment Banks in financial world, governance of investment banks is largely unexamined. Academic studies of governance are ambivalent and often contradictory. Samples of firms from different industries pool firms with heterogeneous governance structures, which can confound empirical estimates of relationships among governance characteristics. Most governance characteristics are endogenous. We apply the novel method that uses external measures of governance: CEO pay-for-performance sensitivity, stock returns, competition in product markets, and disciplinary pressure from corporate control market, in order to assess the governance of investment banks. We conclude that banks are well governed over sample period We also examine whether there is a transfer of private information when investment bank is related to both sides of M&A transaction. We find that acquirer's announcement returns are higher when its advisor was involved with target. Target announcement returns are not affected. Overall evidence suggests that previous relationship is not harmful to any side in the transaction and is likely beneficial to acquirers / acase@tulane.edu

This thesis is about (a) money supply being determined by banking behaviour, or by the behaviour of central banks and (b) the influence of money supply on bank stock returns. That money is endogenously determined is a proposition of post-Keynesian (PK) economists suggesting that money supply is determined by the behaviour of commercial banks as banks adjust money creation in response to credit demands by the public. This theory challenges the monetarist view of exogenous money supply, where the central bank is said to control money supply. This thesis examines how, under the credit-creation behaviour of banks, the money supply affects bank stock returns in a multi-equation model.

This dissertation is a compilation of three studies that seek to extend the reaches of agency theory. In the first study, data on California banks from 1979-1987 were used to test the effect that board strength has on the acquisition and subsequent write-off of problem loans. As expected stronger boards incurred fewer loan delinquencies and loan losses. Board strength was also associated with smaller increases in loan write-offs when management turned over but larger increases when board members turned over. This suggests that board members are susceptible to escalating their level of commitment in the same way that managers are, implying that board members are also self-serving. Using the same data set, the second study examined the relationship between management ownership in banks and corporate performance and risk-taking. In support of the agency argument, increased management ownership led to higher levels of ROA and loan losses in the banks. The function was diminishing but monotonic. Using data gathered from private colleges and universities, the third study focused attention on agency in the not-for-profit sector by examining the relationship between board of director and presidential demography and school performance as measured by institutional revenue and gifts. The results provide mixed support and direction for the extension of agency models to the not-for-profit sector. Board strength, as measured by tenure and functional background, and presidential tenure, predicted better performance. These findings suggest that while boards play a significant role in performance of not-for-profits, their focus is on facilitating access to resources from the external environment rather than in monitoring management.

New semiparametric panel estimation methods have been developed, which make minimal distributional or functional form assumptions on the model. These estimators are illustrated in an efficiency analysis of the banking industry. This analysis finds that functional form and distributional assumptions are important in efficiency estimation. Moreover, models of time varying efficiency are relevant and indicate productivity movements in the banking industry.

In this dissertation, structural models that utilize parametric and nonparametric approaches are developed that are used to measure competition and cost efficiency in the US banking industry (1990--96). Competition in loan and deposit markets is studied using the method of conjectural variations (Bresnahan, 1982). The results indicate that market imperfections present are negligible, and that loan and deposit services are competitively priced. Cost efficiency is studied using a stochastic cost frontier in the spirit of Bauer (1990), and cost increases above optimal levels are assigned to technical and allocative inefficiencies. The results indicate that technical inefficiency is the major cause for deviations from the cost frontier and allocative inefficiency is declining during this period.

On May 29, 1990 the Agreement establishing the European Bank for Reconstruction and Development (EBRD) was signed in Paris. / As an international institution with a regional purpose, as a mixture of a private and development bank, the EBRD is without doubt a novel organisation. / But almost three years after its creation what is the assessment of this institution? / This thesis attempts not only to explain the existence of the Bank, the reasons which led to its creation but also to make explicit its mode of operation while casting a critical eye on its actions in Eastern Europe.