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Essays in banking and finance
Descriptive
TitleInfo
Title
Essays in banking and finance
SubTitle
securitization, systemic risk and healthcare reform
Name
(type = personal)
NamePart
(type = family)
Dong
NamePart
(type = given)
Gang
NamePart
(type = date)
1973-
DisplayForm
Gang Dong
Role
RoleTerm
(authority = RULIB)
author
Name
(type = personal)
NamePart
(type = family)
Palia
NamePart
(type = given)
Darius
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Darius Palia
Affiliation
Advisory Committee
Role
RoleTerm
(authority = RULIB)
chair
Name
(type = personal)
NamePart
(type = family)
Wu
NamePart
(type = given)
Yangru
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Yangru Wu
Affiliation
Advisory Committee
Role
RoleTerm
(authority = RULIB)
internal member
Name
(type = personal)
NamePart
(type = family)
Kim
NamePart
(type = given)
Jin-Mo
DisplayForm
Jin-Mo Kim
Affiliation
Advisory Committee
Role
RoleTerm
(authority = RULIB)
internal member
Name
(type = personal)
NamePart
(type = family)
Brunnermeier
NamePart
(type = given)
Markus
DisplayForm
Markus Brunnermeier
Affiliation
Advisory Committee
Role
RoleTerm
(authority = RULIB)
outside member
Name
(type = corporate)
NamePart
Rutgers University
Role
RoleTerm
(authority = RULIB)
degree grantor
Name
(type = corporate)
NamePart
Graduate School - Newark
Role
RoleTerm
(authority = RULIB)
school
TypeOfResource
Text
Genre
(authority = marcgt)
theses
OriginInfo
DateCreated
(qualifier = exact)
2012
DateOther
(qualifier = exact);
(type = degree)
2012-05
CopyrightDate
(qualifier = exact)
2012
Place
PlaceTerm
(type = code)
xx
Language
LanguageTerm
(authority = ISO639-2b);
(type = code)
eng
Abstract
(type = abstract)
This dissertation includes three essays. The first essay identifies the determinants of bank’s risk contribution to systemic risk, and documents that banks with higher non-interest income (noncore activities like investment banking, venture capital and trading activities) have a higher contribution to systemic risk than traditional banking (deposit taking and lending). After decomposing total non-interest income into two components, trading income and investment banking and venture capital income, we find that both components are roughly equally related to systemic risk. These results are robust to endogeneity concerns when we use a difference-in-difference approach with the Lehman bankruptcy proxying for an exogenous shock. We also find that banks with higher trading income one-year prior to the recession earned lower returns during the recession period. No such significant effect was found for investment banking and venture capital income. The second essay analyzes the effect of mortgage securitization on the real economy and housing market. I estimate the dynamic response of housing risk and real GDP to shocks of mortgage securitization and banks’ ownership of mortgage-backed security (MBS), and test three hypotheses suggested in the extant literature. Using structural vector autoregression (SVAR) methodology and cross-sectional analysis, I find that securitization reduces housing risk by completing the market. Interestingly, housing risk increases when commercial banks’ ownership of MBS increases. This positive relationship is inconsistent with the agency view of securitization but is consistent with the neglected risk view of mortgage securitization (Gennaioli, Shleifer, and Vishny 2011). The causal inference is drawn from a quasi-experimental design using housing data of bordering CBSA regions in neighboring states with and without the passing of anti-predatory lending laws. The third essay identifies the passing of the Patient Protection and Affordable Care Act (PPACA) as an exogenous shock and uses the event study method to estimate the stock market’s reaction in terms of asset price changes in the health care sector. The stock market appears to view the passing of PPACA as good news to the home care and specialty outpatient services but bad news to the medical instrument and health insurance industries. This might suggest that the existing institutional structure of the insurance industry is biased against comprehensive health, and most growth opportunities exist in the home care and specialty outpatient services. Furthermore, the magnitude of the abnormal return is relatively larger for firms with higher profit and R&D investment, but smaller for firms held by healthcare-specialized institutional investors, which is consistent with the literature that price changes are partially due to information revelation efforts by sophisticated institutional investors.
Subject
(authority = RUETD)
Topic
Management
RelatedItem
(type = host)
TitleInfo
Title
Rutgers University Electronic Theses and Dissertations
Identifier
(type = RULIB)
ETD
Identifier
ETD_4054
PhysicalDescription
Form
(authority = gmd)
electronic resource
InternetMediaType
application/pdf
InternetMediaType
text/xml
Extent
xi, 158 p. : ill.
Note
(type = degree)
Ph.D.
Note
(type = bibliography)
Includes bibliographical references
Note
(type = vita)
Includes vita
Note
(type = statement of responsibility)
by Gang Dong
Subject
(authority = ETD-LCSH)
Topic
Banks and banking
Subject
(authority = ETD-LCSH)
Topic
Banks and banking--Real estate business
Subject
(authority = ETD-LCSH)
Topic
Financial risk management
Subject
(authority = ETD-LCSH)
Topic
Mortgage-backed securities
Subject
Name
(authority = LC-NAF)
NamePart
(type = corporate)
United States.--Patient Protection and Affordable Care Act
Identifier
(type = hdl)
http://hdl.rutgers.edu/1782.1/rucore10002600001.ETD.000065025
RelatedItem
(type = host)
TitleInfo
Title
Graduate School - Newark Electronic Theses and Dissertations
Identifier
(type = local)
rucore10002600001
Location
PhysicalLocation
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(displayLabel = Rutgers, The State University of New Jersey)
NjNbRU
Identifier
(type = doi)
doi:10.7282/T3R78D61
Genre
(authority = ExL-Esploro)
ETD doctoral
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Rights
RightsDeclaration
(ID = rulibRdec0006)
The author owns the copyright to this work.
RightsHolder
(type = personal)
Name
FamilyName
Dong
GivenName
Gang
Role
Copyright Holder
RightsEvent
Type
Permission or license
DateTime
(encoding = w3cdtf);
(qualifier = exact);
(point = start)
2012-04-30 12:32:45
AssociatedEntity
Name
Gang Dong
Role
Copyright holder
Affiliation
Rutgers University. Graduate School - Newark
AssociatedObject
Type
License
Name
Author Agreement License
Detail
I hereby grant to the Rutgers University Libraries and to my school the non-exclusive right to archive, reproduce and distribute my thesis or dissertation, in whole or in part, and/or my abstract, in whole or in part, in and from an electronic format, subject to the release date subsequently stipulated in this submittal form and approved by my school. I represent and stipulate that the thesis or dissertation and its abstract are my original work, that they do not infringe or violate any rights of others, and that I make these grants as the sole owner of the rights to my thesis or dissertation and its abstract. I represent that I have obtained written permissions, when necessary, from the owner(s) of each third party copyrighted matter to be included in my thesis or dissertation and will supply copies of such upon request by my school. I acknowledge that RU ETD and my school will not distribute my thesis or dissertation or its abstract if, in their reasonable judgment, they believe all such rights have not been secured. I acknowledge that I retain ownership rights to the copyright of my work. I also retain the right to use all or part of this thesis or dissertation in future works, such as articles or books.
Copyright
Status
Copyright protected
Availability
Status
Open
Reason
Permission or license
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Technical
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