Thesis advisor: Arthur Lewbel / In this series of essays, I apply the tools of economics to a variety of real world problems. The first essay looks at the impact of a gun control regulation on mortality and crime. A third of US states have removed all restrictions on carrying concealed handguns. This might decrease crime by invisibly arming law-abiding citizens, or increase it by eliminating penalties for criminals. It could have no effect at all, because handguns are easily hidden, so anyone who wished to carry a gun was already doing so. I compare counties along the borders of states that liberalized concealed carry to contiguous counties in neighboring states that did not, using mortality and crime micro-data. I find that deregulation had no impact on homicide, violent crime, firearm mortality, firearm usage, or firearm ownership. The second essay, co-authored with Sajala Pandey, looks at the impact of an earthquake in Nepal on child development. Biologists have posited that prenatal maternal stress (PNMS) has an adverse impact on child development, possibly via the process of epigenetic imprinting which occurs during the first trimester. Researchers have attempted to study this link by using natural disasters as a source of exogenous variation. A shortcoming of these studies is that natural disasters may also affect prenatal healthcare provision, either by decreasing it’s provision (due to infrastructure being destroyed) or increasing it (thanks to aid flowing into the region.) We look at the impact of 2015 Earthquake in Nepal on children who were (a) in utero at the time of the earthquake and (b) in areas severely affected by it. Consistent with theories from PNMS, we find that the earthquake adversely impacted their height-for-age, and the effects were concentrated on individuals who were in the first trimester of gestation. These negative effects were entirely offset by an increase in the consumption of antenatal healthcare. We find that the earthquake resulted in a improvement in development indicators for those children who were in severely affected areas but not in-utero at the time of the earthquake, highlighting the importance of healthcare provision in early childhood. The third essay, co-authored with Andrew Copland, proposes a solution to the problem of assigning multiple scarce goods to agents in the absence of prices, for example assigning seats in courses to students in a university. Students submit a list of preferences over courses, a lottery for rankings is held, and an algorithm allocates each student their top available course, reversing their ranks at the end of each round. Then, for each student, the algorithm compares their outcomes to the outcomes generated by every alternative ordering they could have set. Whenever such revisions result in more preferred outcomes, their preferences are replaced with the alternative. Our solution is non-dictatorial and Pareto optimal. When it converges without encountering a loop, it is strategy-proof. It retains properties even in small economies. We compare our algorithm to alternatives. / Thesis (PhD) — Boston College, 2021. / Submitted to: Boston College. Graduate School of Arts and Sciences. / Discipline: Economics.

Includes bibliography. / ORGANIZATION OF THESIS: In Chapter 2, the important contributions to the development of Capital Market Theory will be discussed. Greater emphasis will be given to the more classical contributions and only a brief outline of the mathematical development will be presented where it is deemed necessary for the ensuing development of the thesis. In Chapter 3, a modified approach for portfolio selection in thinly-traded environments is proposed. This proposal concentrates on improving estimation of the inputs for practical implementation of the usual Markowitz portfolio selection routine. The estimation procedure adopted makes corrections for thin-trading and also makes use of the CAPM to improve the vector of return inputs. Chapter 4, basically consists of four sections. The first, gives a brief outline on historical estimation problems associated with the market model. In the second section the extent of thin-trading is investigated on the JSE. Furthermore a suitable beta estimation procedure which corrects for the effects of thin-trading is investigated empirically. In the third section an extended market model is proposed. This model leads to a more detailed, yet tractable structure of the risk components of stocks on smaller markets. An empirical investigation is subsequently conducted to investigate the risk structure of JSE stocks. In the last section of Chapter 4, an example of an empirical study using risk-adjusted returns is presented. The example considers the choice between bullion and South African gold shares from the international diversification perspective. In Chapter 5, empirical tests of the CAPM are conducted. This chapter consists of 2 main sections, namely, univariate tests and multivariate tests of the CAPM. Both of the tests also consider possible extensions of the CAPM by encorporating additional factors in the tests. Chapter 6 represents the main focus of this thesis, here the power of the univariate and multivariate tests of the CAPM are investigated using a simulation approach. The power investigation is conducted on simulated data that charaterizes the NYSE, however the JSE parameters are also considered. In the final section of this chapter the power of these tests are compared using various structured residual variance-covariance matrices. Lastly, some final thoughts and directions for future research are offered.

In this thesis, we study random bridges of a certain class of Lévy processes and their applications to credit risky asset pricing. In the first part, we construct the compound random bridges(CLRBs) and analyze some tools and properties that make them suitable models for information processes. We focus on the Markov property, dynamic consistency, measure changes and increment distributions. Thereafter, we consider applications in credit risky asset pricing. We generalize the information based credit risky asset pricing framework to incorporate prematurity default possibilities. Lastly we derive closed-form expressions for default trends and intensities for credit risky bonds with CLRB as the background partial information process. We obtain analytical expressions for specific CLRBs. The second part looks at application of stochastic filtering in the current information based asset pricing framework. First, we formulate credit risky asset pricing in the information-based framework as a filtering problem under incomplete information. We derive the Kalman-Bucy filter in one dimension for bridges of Lévy processes with a given finite variance.

Thesis advisor: Michael D. Grubb / The first chapter studies behavioral mechanisms to expand health insurance coverage. In health insurance markets where regulators limit insurers' ability to price on the health status of individuals, a traditional regulatory intervention to protect the market from adverse selection and expand coverage among young and healthy people is mandating insurance coverage. In this chapter, I analyze an alternative, behavioral mechanism in the context of the Affordable Care Act Marketplaces: the automatic enrollment of the uninsured with possible opt-out. I build a theoretical model which shows that this nudging policy increases coverage rates, and the size of its benefit depends on the strength of consumer inertia. Using an individual-level panel dataset on health insurance plan choice and claims, I estimate a structural model of health insurance demand and supply in the presence of switching costs. Simulating the effects of the policy, I find that auto-enrollment can increase enrollment rates by over 60% and reduce annual premiums by $300. Moreover, I show that taking into account the heterogeneity of preferences is essential when designing default plans for auto-enrolled consumers. Defaulting everyone into the same contract type leads to more quitting due to inefficient matching and it may also indirectly increase adverse selection on the intensive margin through the price adjustment mechanism. The results of this paper suggest that in order to avoid these problems and maximize the benfits of auto-enrollment in selection markets, it is important to design smart default policies. The second chapter explores how changes in cost sharing affect consumers' demand for health care. Cost sharing reduction (CSR) subsidies are a less well-known provision of the Affordable Care Act (ACA) that aimed to make private health insurance coverage more affordable. These subsidies discontinuously increase the share of expenses paid by the insurer as enrollee income crosses the eligibility cutoffs. This specific subsidy design provides a unique setting to identify moral hazard in health care utilization from observational data that is a major empirical challenge in the literature. In this chapter, I combine individual-level post-subsidy premium data from an All Payer Claims Database with information on plan-level base prices to recover the amount of the premium subsidy. Applying the ACA's premium subsidy formula backwards, I am able to estimate family income. Using this imputed income, I exploit a sharp regression discontinuity design to study the impact of changes in actuarial value on consumer behavior. I find significant increases in health care utilization at income levels associated with the CSR subsidy eligibility cutoffs. These results imply that individuals tend to use more health care services only due to the fact that the insurer becomes responsible for a larger share of their expenditures. These results provide insights about the price elasticity of demand for medical care in a new context. The third chapter evaluates the impact of the ACA on HPV vaccination. Rates of completion of the HPV vaccine series remain suboptimal in the US. The effects of the ACA on HPV vaccine completion are largely unknown. The aim of this study was to examine the associations between the ACA's 2010 provisions and 2014 insurance expansions with HPV vaccine completion by sex and health insurance type. Using 2009-2015 public and private health insurance claims, we conducted a logistic regression model to examine the associations between the ACA policy changes with HPV vaccine completion as well as interactions by sex and health insurance type. Among females and males who initiated the HPV vaccine, 27.6% and 28.0%, respectively, completed the series within 12 months. Among females, the 2010 ACA provision was associated with increases in HPV vaccine completion for the privately-insured and Medicaid enrollees. The 2014 health insurance expansions were associated with increases in vaccine completion for females with private insurance and Medicaid. Among males, the 2014 ACA reforms were associated with increases in HPV vaccine completion for the privately-insured and Medicaid enrollees. Despite low HPV vaccine completion overall, both sets of ACA provisions increased completion among females and males. Our results suggest that expanding Medicaid across the remaining states could increase HPV vaccine completion among publicly-insured youth and prevent HPV-related cancers. / Thesis (PhD) — Boston College, 2020. / Submitted to: Boston College. Graduate School of Arts and Sciences. / Discipline: Economics.

Time series models have been widely used in simulating financial data sets. Finding a nice way to estimate the parameters is really important. One of the traditional ways is to use maximum likelihood estimation to make an approach. However, when the error terms don’t have normality, MLE would be less efficient. Quasi maximum likelihood estimation, also regarded as Gaussian MLE, would be more efficient. Considering the heavy-tailed financial data sets, we can use non-Gaussian quasi maximum likelihood, which needs less assumptions and conditions. We use real financial data sets to compare these estimators.

Three distinct but interrelated studies with their foundations in recent developments in the South African capital markets are presented in this thesis. The first study presents an empirical analysis of the systemic risk exposures and contributions of 125 financial institutions between 2003 and 2018. Using two popular measures of systemic risk, the marginal expected shortfall (MES) and conditional capital shortfall (SRISK), it is shown that banking institutions are collectively the largest contributors to systemic risk in the financial system. Surprisingly, further analysis reveals that despite the high levels of market concentration and interconnectedness, SRISK increases are not propagated across sectors. Notwithstanding the foregoing, the results provide support for previous empirical findings of the systemic importance of banking institutions. In addition, causality analysis of the relationship between SRISK in the banking sector and the prime lending rate provides new evidence that complements previous theories of systemic risk spillovers into the real economy, specifically through lending activity. Overall, the results illustrate the potential for the use of market based measures in supporting macroprudential oversight and informing policy decisions. The second essay addresses questions related to misconduct contagion and crowding. Crowding is a form of clustering in which the behaviour of market participants leads to congestion on one side of the market, otherwise known as crowded trades. We propose a measure of crowding, based on intraday trade data and use the measure to study changes in the trading environment following allegations of misconduct. Evidence of coincidental and significant changes in crowding and trade volumes is reported in the first set of empirical results, consistent with the notion of information contagion and how firm-specific developments may have significance for other firms. More importantly, the study demonstrates empirically, that crowding increases exposure to adverse spillover effects and deteriorates liquidity in the equity market. We further contributes to the literature, by documenting novel evidence of the asymmetric effects of intraday volatility and trade volume on MES and quoted spreads, respectively, that is dependent on the crowd direction. Relative to buy-crowds, sellcrowds amplify the effect volatility has on MES and reduce the effect trade volume has on quoted spreads. In the third study, the aim is to investigate the implications of domestic crosslistings for the market quality of twenty-six firms that cross-listed between April 2018 and April 2020, following a series of amendments to legislation. Evidence of significant improvements in market quality in the six months after a cross limited, even after adjusting for market quality changes of firms that do not cross-list. Additionally, our results offer no support for the hypothesis that there is a significant difference in market quality changes observed for high and low liquidity firms, in contrast to previous cross-listing studies. Lastly, by consolidating order books across exchanges, it is shown that the price dimension of execution quality can be improved across all venues, even after controlling for liquidity characteristics. We conclude that interoperability between venues can be effective in reducing the cost of trading, and is therefore necessary for a domestic cross-listing to be worthwhile. Collectively, the findings contribute to the ongoing debate around best execution standards and inter-market competition in South Africa's equity market.

No description available.

No description available.

For the past forty-two years, the debate has raged over the optimal use of debt in the firm?s capital structure. Numerous studies have looked at the factors that affect a firm?s capital structure, in both the domestic and foreign markets. Many of these studies have focused their attention on the U.S. and developed countries. Similarities and differences between the U.S. and other industrialized countries have been explored and noted. The objective of this study is to determine if there are similarities between the factors that determine capital structure in emerging markets and those of more developed nations. Are the determining factors different for emerging markets and what are possible explanations for these difference? This study attempts to determine if factors that have been shown to influence the capital structure of developed nations are, in fact, influential in emerging market. The study also incorporates additional factors that may be particular to emerging markets to determine if they have an impact of the firm?s choice of capital structure. This study finds that capital structure determinants are more portable to firms in Asian markets than in Latin American markets. The study also finds that the means by which debt is measure does, in fact, have a bearing on the significance of the explanatory variables.

This dissertation traces the evolution of Canadian housing policy from 1935 to 1949 and examines the background to the origins of the housing problems which promoted the creation of these programs from the beginning of the 20th century. The basic housing problem, viewed as a disparity between what families needed in terms of acceptable shelter and what they could afford to pay without sacrificing other necessities of life, is shown to have reached major proportions in rapidly expanding Canadian cities in the boom period from 1900 -1913. Such gaps were exacerbated by later war induced movements of population and slowing down of new residential construction as ·a result of the inflation of building supplies. The ensuing shelter shortage and 1 abour unrest encouraged the passage of the first federal housing legislation in 1919. This program refused to accept the principle of subsidized housing. It attempted to provide low cost housing through maximum price ceilings on the cost of homes sold under the program. Consequently the homes built under the scheme were frequently of poor construction and many returned to the ownership of municipalities after the home price deflation, which took place in 1923. The program was discontinued and the revival of prosperity to the residential construction industry ended the interest of unions, architects, business groups, planners and many social work professionals in social housing. The great depression of the 1930's brought a renewal of public interest in housing problems and of federal housing programs. This new concern of professionals, unions and certain business groups in the housing problem created a backbench revolt of Conservative MP 1 S in Bennett•s government. The unanimous endorsation of the reformers• approach by the all party parliamentary housing committee led to the passage of the Dominion Housing act of 1935 by Bennett • s government. This new DHA 1egis1 a tion, however, ignored the basic request of reform opinion for subsidized low rental housing and instead provided for joint government private lender mortgage loans which could only be afforded by the top twenty per cent of Canadian fami 1 i es in terms of income. Low rental housing was assigned by the DHA to an Economic Council of Canada which never met as it was abolished by King•s government before any of its members could be appointed. Social housing was also shunted aside by the National Housing Acts of 1938 and 1944. These provided unworkable legislation which promised, but could not produce, limited dividend, low rental housing. As a result of the necessities of the Second World War,opposition of the Department of Finance to publicly constructed rental housing was briefly set aside by the federal government. The protests of tenants kept such construction, first for munitions workers and later directed to returning veterans, as an important factor in the immediate post-war years. However this large scale program of social housing, would be replaced by a very low volume public housing effort in the NHA amendments of 1949. This legislation )which finally committed the federal government to the controversial principle of subsidized housing )would provide only a trickle of units until it was amended after 1964. Federal policy had discouraged social housing while encouraging the development of a housing industry dominated by large scale residential builders. It was these large scale developers, fostered by federal interventions such as the Integrated Housing Program, that would largely shape future Canadian urban residential development. / Thesis / Doctor of Philosophy (PhD)