This thesis consists of three chapters and investigates the issues related to liquidity risk, credit market contagion, and corporate cash holdings. The first chapter is coauthored work with Professor Jay Sa-Aadu and Associate Professor Ashish Tiwari and is titled ‘Market Liquidity, Funding Liquidity, and Hedge Fund Performance.’ The second chapter is sole-authored and is titled ‘Credit Market Contagion and Liquidity Shocks.’ The third chapter is coauthored with Steven Savoy and titled ‘Ambiguity Aversion and Corporate Cash Holdings.’ The first chapter examines the interaction between hedge funds’ performance and their market liquidity risk and funding liquidity risk. Using a 2-state Markov regime switching model we identify regimes with low and high market-wide liquidity. While funds with high market liquidity risk exposures earn a premium in the high liquidity regime, this premium vanishes in the low liquidity states. Moreover, funding liquidity risk, measured by the sensitivity of a hedge fund’s return to the Treasury-Eurodollar (TED) spread, is an important determinant of fund performance. Hedge funds with high loadings on the TED spread underperform low-loading funds by about 0.49% (10.98%) annually in the high (low) liquidity regime, during 1994-2012. The second chapter provides evidence on credit market contagion using CDS index data and identifies the channels through which contagion propagates in credit markets. The results show that funding liquidity and market liquidity are significant channels of contagion during periods with widening credit spreads and adverse liquidity shocks. These results provide support for the theoretical model proposed by Brunnermeier and Pedersen (2009) according to which negative liquidity spirals can lead to contagion across various asset classes. Furthermore, during periods with tightening credit spreads and positive liquidity shocks, the results indicate that a prime broker index and a bank index are important channels contributing to co-movement in credit spreads. This suggests that financial intermediaries play an important role in spreading market rallies across credit markets. The third chapter investigates the link between investors’ ambiguity aversion and precautionary corporate cash holdings. Investors’ ambiguity aversion is measured by the proportion of individual investors in a firm’s investor base who are hypothesized to be more ambiguity averse compared to institutional investors. We show that the value of cash holdings is negatively associated with the extent of ambiguity aversion in a firm’s shareholder base for firms that are financially constrained. Our results also show that financially constrained firms with a higher proportion of ambiguity averse investors hold less cash. These results provide support for models in which ambiguity averse investors dislike the cash holdings of firms, that are held for precautionary reasons to fund long term projects, given that the returns on long term projects are ambiguous.

Paper [I] theoretically analyzes how the level and uncertainty of future prospects affect incentives to abstain from sexual risk taking in the presence of HIV. The results suggest that, for individuals with limited access to HIV treatment, uncertainty of future health may be an important factor driving unsafe sex practices and support the empirical finding of a weak link between sexual behavior, HIV prevalence, and HIV knowledge in poor countries; therefore suggesting that AIDS policy needs to be calibrated in order to fit within different social contexts. Paper [II] empirically tests the link between uncertainty of future prospects and sexual risk taking in a group of young adults in Cape Town, South Africa. The findings indicate that expected income and health and future uncertainty are significant determinants of current patterns of sexual risk taking. However, the empirical results only provide limited support to a link between expected health and sexual risk taking. Paper [III] theoretically analyzes effects of affect and defensive denial on incentives to engage in sexual risk taking related to HIV. The results of the theoretical analysis suggest that the effect of rationalization of personal risk depends on the risk of being HIV positive. Although rationalization causes excessive risk taking behavior for individuals with a relatively low lifetime risk, it may prevent fatalism among individuals whose lifetime risk of HIV is perceived as overwhelming. Paper [IV] theoretically analyzes the role of identity conflict for the evolution of female labor supply over time. The results suggest the fear of becoming an outsider in society may have prevented a complete transition of women from housewives to breadwinners. In addition, our analysis shows that not recognizing that the weights attached to different social identities are endogenous may imply that the long-run effects on labor supply of a higher wage may be underestimated.

ABSTRACT INFLATION TARGETING AND FISCAL DOMINANCE: EVIDENCE FROM TURKEY SEL, TUgBA M.Sc., Department of Economics Supervisor: Prof. Dr. Erdal &Ouml / zmen September 2007, 60 pages. This study investigates the significance of fiscal dominance for an inflation targeting regime in the context of the recent Turkish experience. To this end, capital flows and country risk equations are estimated for the Turkish monthly data pertaining the inflation targeting regime implementation period. The results from the capital flows models based on portfolio approach strongly suggest that the real effective exchange rates in Turkey during the period are determined by foreign interest rates and the Emerging Markets Bond Index (EMBI) but not by the domestic interest rates in the long run. This supports the view that the risk premium channel dominates the standard portfolio channel in the determination of real exchange rates in Turkey during the period. The country risk of Turkey, proxied by the EMBI spread in the long run is determined by risk appetite of foreign investors and domestic variables including real debt stock, real consolidated budget balance, international gross reserves, current account deficits and credit ratings. All these results are found to be important manifestations of the presence fiscal dominance in Turkey. Consequently, contrary to the postulations of the conventional monetary policy transmission mechanism, interest rate increases to cope with inflationary pressures may lead to an inflation acceleration, rather than the reverse.

Die vorliegende Arbeit setzt sich aus zwei Teilstudien zusammen. In Teilstudie 1 wird die Stabilität eines allgemeinen Modells zu den Zusammenhängen zwischen Über- und Unterforderungsmerkmalen, sozialen Belastungen, Anforderungen und organisationalen Ressourcen einerseits sowie den Fehlbeanspruchungen emotionale Erschöpfung und Klientenaversion bzw. Distanzierungstendenzen andererseits für personenbezogene Dienstleistungstätigkeiten untersucht. Einbezogen wurden Ärztinnen und Ärzte, Pflegende und Mitarbeitende aus dem paramedizinischen Bereich sowie Lehrkräfte. Die deutlichsten positiven Zusammenhänge zeigen sich zwischen den Belastungen und der emotionalen Erschöpfung, wobei für die quantitative Überforderung die stabilsten Ergebnisse resultieren. Die Belastungen weisen über die emotionale Erschöpfung hinaus signifikante Zusammenhänge mit aversiven Gefühlen gegen Klientinnen und Klienten auf. Hinsichtlich der modellimplizierten Annahmen zu den positiven Zusammenhängen zwischen den Belastungen und der Distanzierung können in dieser Untersuchung zwar signifikante Ergebnisse, aber keine über die Stichproben hinweg stabilen Zusammenhänge gefunden werden. Die Annahmen zu einem negativen Zusammenhang zwischen den Anforderungen/Ressourcen und der Distanzierung können nur für die Anforderungsmerkmale bestätigt werden. In Teilstudie 2 erfolgte auf der Basis des in Teilstudie 1 entwickelten Arbeitsmodells eine vertiefte Betrachtung der Lehrkräftetätigkeit. Dabei wurden sowohl verschiedene Schulsystemebenen einbezogen als auch verschiedene Aufgabentypen unterschieden. Die Ergebnisse zeigen, dass auf organisationaler Ebene Gratifikationskrisen und mangelnde kollektive Selbstwirksamkeitserwartungen fehlbeanspruchungsrelevant sein können. Besonders deutliche Zusammenhänge mit den Fehlbeanspruchungen und der Distanzierung zeigen sich für die primäraufgabenbezogenen Belastungen. Auch die Reziprozitätseinschätzungen in Bezug auf Schülerinnen und Eltern zeigen diesbezüglich ähnliche, wenn auch weniger deutliche, Zusammenhänge. Die Ergebnisse zu den Personmerkmalen lassen darauf schliessen, dass die Rolle der Person bei der Burnoutentwicklung nicht unterschätzt werde sollte. Als praktische Implikationen der Untersuchungsergebnisse werden u.a. Vorschläge für eine Stärkung der unterrichtsbezogenen und der klassenübergreifenden Kooperation, für eine Optimierung der Organisationsstruktur und eine „Professionalisierung“ der Organisation sowie für eine weiterführende Erarbeitung schulhausspezifischer Konzepte und Leitlinien gemacht. Es wird die Frage gestellt, ob die Lehrkräftetätigkeit sinnvollerweise als Lebensberuf verstanden werden sollte. Schliesslich wird auf die Bedeutung der Distanzierungsfähigkeit und der Selbstwirksamkeitserwartungen der Lehrkräfte hingewiesen. / The present work comprises two parts to a study. In the first part, the stability of a model on the associations between workload (i.e. quantitative overload), task requirements (i.e. variety, completeness), organisational resources (i.e. decision possibilities) and strain as well as tendencies toward disengagement in human service work was investigated. This included four samples: assistant physicians, senior physicians, nursing and paramedic workers and teachers. The clearest positive associations are shown between stressors and emotional exhaustion, whereas the quantitative overload reached the most stable results. The stressors show beyond the emotional exhaustion significant associations with aversion to clients. Regarding the associations between workload and disengagement, there were some significantly positive coefficients, yet no stable associations over the four samples. The assumptions of a negative association betweend task requirements/resources and disengagement can only be confirmed for the task requirements. The second part to the study involved a deeper look into teachers' work based on the working model developed in part 1 of the study. Different school system levels were included and distinctions were made between different types of tasks. The results of this analysis showed that on an organizationl level, the effort-reward imbalance and the (lacking) of collective self-efficacy were associated with strain. Particularly clear associations have been demonstrated for primary task-related workload with strain and disengagement. Also, but not as clear, the reciprocity estimates relating to students and parents show similar associations. The results on the personal characteristics lead to the conclusion that the role of the person in the development of burnout should not be underestimated. Based on the results of the analyses, there are different implications for in practice. There was allusion to the possibilities for reinforcing teaching-related and inter-class cooperation. Further important implications are the "professionalisation" of the organisation school, combined with an optimisation of the school organisation and school management. The fundamental question arises, whether one would have to refrain from portraying teacher activities as a lifetime career. Finally the importance of the abilty to distance onself and the self-efficacy of teachers is pointed out.

Notre travail de thèse analyse, par des approches comportementales et neuro-anatomique, l'impact du vieillissement sur le processus d'aversion olfactive potentialisée par le goût (AOPG). Des rats jeunes, adultes et sénescents sont soumis à l'acquisition et au rappel de cet apprentissage. Tous les rats sont capables d'acquérir et de se rappeler cet apprentissage, même si on note une altération, en fonction de l'âge, de leurs capacités cognitives évaluées par trois tâches différentes. Les expressions de Fos et de Zif268, après rappel de l'AOPG, mettent en évidence des patterns d'activation cérébrale différents en fonction du stimulus (odeur ou goût) utilisé pour le rappel et qui, de plus, évoluent avec l'âge. Ce travail nous a permis de proposer un modèle fonctionnel de l'AOPG.

This thesis analyzes the optimal strategies of rational agents in incomplete financial markets. The incompleteness may arise from the stochastic volatility of stock prices, in which case we study the optimal pricing and hedging strategies of an option trader. We introduce a new concept that we call the relative indifference price, which is the price at which a trader is indifferent to trade in an additional option, given that he is currently holding and dynamically hedging a portfolio of options. We find that the appropriate volatility risk premium depends on the trader's risk aversion coeffcient and his portfolio position before selling or buying the additional option. More generally, the incompleteness of the market may arise from both the drift and volatility of the stock being driven by a correlated factor. In this setting, we study the optimal consumption and investment policies of CARA, conservative CRRA and aggressive CRRA agents. In particular, we provide interpretations of the non-myopic investment in terms of martingale measures and the risk monitoring strategy of a path-dependent option. / text

The fear of failure is something most people encounter on a daily basis and a common acceptance is; the more at stake, the harder is the process to make the right decision.This study examines how the variable “fear of failure” affects a strategic decision toexpand abroad. The study is based on a qualitative method and four CEOs of internationalized companies have been interviewed. Positivistic and deductive approaches are applied. Among the four companies risks was seen as a necessity fordeveloping the organization, but unnecessary risks were avoided. Finally, the study shows that fear affects internationalization decisions, especially in the form of lossaversion and uncertainty avoidance, where the uncertainty increased as physical and psychological distances increased. / Att rädsla för att misslyckas finns omkring oss är något som de flesta är medvetna om och oftast är det så att ju mer som står på spel, desto svårare blir processen att komma fram till rätt beslut. Studien har undersökt hur variabeln rädsla för att misslyckas påverkar ett strategiskt beslut om att etablera sig utomlands. Uppsatsen är byggd på en kvalitativ metod där fyra internationaliserade företag har studerats genom intervjuer. Vidare utgår studien från ett positivistiskt synsätt och ett deduktivt angreppssätt tillämpas. Bland de fyra företagen sågs risker som nödvändigt för att utveckla organisationen, men man tog helst inte onödiga risker. Avslutningsvis visar studien att rädsla påverkar internationaliseringsbeslut framförallt i form av förlust- och osäkerhetsaversion, där osäkerheten ökade med ökade fysiska och psykiska avstånd.

Sammanfattning Den finansiella marknaden har under de senaste decennierna till stor del präglats av både stark ekonomisk tillväxt och stora kriser, detta har lett till att risken relaterad till sparande och investeringar har blivit allt viktigare att kontrollera och undersöka. Samtidigt visar statistik från SCB att de svenska hushållen investerar allt mindre i aktier vilket kan skapa problem, både för den finansiella branschen i sig och det framtida välståndet. Dagens pensionssystem riskerar att inte klara framtidens ökande utbetalningsnivåer som krävs för att underhålla en allt större, äldre befolkning, som även lever allt längre. Detta är ett problem som gäller för hela EU och därför blir det allt viktigare med ett privat sparande, och därigenom att investera rätt. För att hjälpa privatpersoner att investera rätt, genom att utnyttja sin nivå av risktolerans, samtidigt som man gör det lättare för kreditgivare och rådgivare att kunna erbjuda korrekta produkter och investeringsstrategier, syftar denna studie huvudsakligen till att undersöka om det finns samband mellan olika demografiska och socioekonomiska variabler och nivåer av risktolerans. Med hjälp av tidigare studier valdes följande variabler att undersökas: kön, ålder, utbildningsnivå, relationsstatus, sysselsättning och inkomstnivå. Som verktyg för att mäta nivåer av risktolerans valdes Grable och Lyttons 13-items risk assessment instrument, vilken har genomgått ett flertal validitetsprövningar. Då majoriteten av forskningen inom finansiell risktolerans har genomförts på den amerikanska marknaden särskiljer sig denna studie då den riktar in sig på svenska individer, från 18 år till pension. Metoden för att få in svar har varit med hjälp av en enkätstudie, både via internet och genom pappersenkäter på ett antal arbetsplatser runt om i landet. Resultatet blev totalt 206 fullständiga enkäter och stark signifikans återfanns hos kön (99 procent konfidensintervall), där män i genomsnitt hade högre risktolerans än kvinnor. Även inkomstnivå var signifikant, med ett konfidensintervall på 90 procent, men visade att sambandet inte var perfekt positivt linjärt (låg inkomst = låg risktolerans, hög inkomst = hög risktolerans). Studien syftade även till att söka övriga förklaringar och samband som risktolerans också påverkar, med hänsyn till: sparande, pensionssparande, investeringsval, framtidsutsikt för den finansiella marknaden samt förändring av investeringsbeteende på grund av de senaste årens finansiella oro.Detta resulterade i att: 13,5 procent svarade att de inte hade något som helst privat sparande; mer än hälften av individerna uppgav att de inte har något privat pensionssparande; individer med högre inkomster valde oftare aktier som främsta investeringsval än de med lägre inkomster, som föredrog sparkonton; en övervägande majoritet har inte ändrat sitt investeringsbeteende men 25 procent av respondenterna angav att de investerar mindre nu till följd de senaste årens finansiella oro på marknaden samt att 40,6 procent angav att det är mer riskfyllt med värdepapper idag; mer än hälften av respondenterna angav att de känner en viss oro inför sin framtida pension.

La presente tesis estudia la correlación negativa entre inflación y precios reales de las acciones. En primer lugar, muestro evidencia de que la inflación impone costos reales en la economía, en particular al disminuir los beneficios de las empresas, tal como sugiriera originalmente Miton Friedman. Segundo, sugiero que la inflación decrece los precios reales de las acciones dado que la probabilidad de sufrir estanflación en el futuro crece con la tasa de inflación (premio evento-extremo). Tercero, testeo si la evidencia macroeconómica respalda la relación positiva entre inflación e incertidumbre, y la relación entre inflación y el precio del riesgo (avesión relativa al riesgo). Cuarto, presento un estudio histórico, Alemania entre 1870 y 1935, para mostrar que es el premio por evento-extremo, y no illusion monetaria, lo que conlleva la correlación negativa entre inflación y precios reales de acciones. El último capítulo discute contagio en países emergentes.

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