UMD Theses and Dissertations
Permanent URI for this collectionhttp://hdl.handle.net/1903/3
New submissions to the thesis/dissertation collections are added automatically as they are received from the Graduate School. Currently, the Graduate School deposits all theses and dissertations from a given semester after the official graduation date. This means that there may be up to a 4 month delay in the appearance of a given thesis/dissertation in DRUM.
More information is available at Theses and Dissertations at University of Maryland Libraries.
Browse
62 results
Search Results
Item FINANCIAL HARDSHIP, PSYCHOLOGICAL DISTRESS, AND RELATIONSHIP FUNCTIONING(2024) Chawla, Isha; Falconier, Mariana; Kim, Jinhee; Family Studies; Digital Repository at the University of Maryland; University of Maryland (College Park, Md.)This dissertation aimed to expand understanding of the impact of financial hardship on individual and relationship well-being within Black and Latinx populations during a time when these groups were facing disproportionately high economic challenges due to the COVID-19 pandemic. This goal was achieved through a comprehensive literature review and two empirical studies. The literature review highlighted the need for further research on the impact of financial hardship on psychological distress and relationship functioning in Black and Latinx during the COVID-19 pandemic. The literature review suggested that, although the link between financial hardship and psychological distress had been studied during the COVID-19 pandemic, research on potential moderating and mediating mechanisms, such as race-based trauma and social exclusion, remains unexplored.The first empirical study aimed to expand understanding of the association between pandemic related financial hardship and psychological distress, as proposed by the Family Stress Model (FSM; Conger et al., 1994), in Latinx and Black adults by examining potential mediating and moderating factors. Using the FSM framework, this study analyzed secondary data from non-Latinx Black (n = 355) and non-Black/non-White Latinx (n = 46) adults who completed the Maryland Pandemic Survey (UME, 2021) during the COVID-19 pandemic. The path analysis results showed a positive and significant relationship between pandemic related financial hardship and psychological distress. The study found a significant mediating role of pandemic related difficulty in accessing mental health care in the relationship between pandemic related financial hardship and psychological distress. Specifically, pandemic related financial hardship was positively associated with pandemic related difficulty accessing mental health care, which in turn, was positively linked to psychological distress. The second empirical study aimed to test FSM comprehensively by including all mediating mechanisms through which financial hardship may be associated with relationship dissatisfaction in both partners and to evaluate potential racial-ethnic differences by comparing Latinx and non-Latinx Black couples with non-Latinx White couples. Using baseline data from a federally funded relationship education program (collected between 2020 and 2023 during the COVID-19 period), the study conducted a path analysis to test the hypothesized relationships among heterosexual couples in which both partners identified as non-Latinx Black (n =167 couples), non-Black/non-White Latinx (n =78 couples), and non-White Latinx (n = 47 couples). Consistent with the FSM, results indicated a significant indirect positive relationship between each partner’s financial hardship and their hostility towards their partner, mediated by increases in their own psychological distress. Also consistent with FSM (Conger et al., 1994), there was an indirect positive relationship between each partner's psychological distress and their partner’s relationship dissatisfaction, mediated through increases in their own hostility towards their partner. In line with FSM’s hypothesized full pathways of influence, each partner’s financial hardship was positively and indirectly related to their partner’s relationship dissatisfaction (partner effect) through increases in their own psychological distress and hostility towards the other partner. Additionally, each partner’s financial hardship was indirectly related to their own relationship dissatisfaction (actor effect) through the same pathways of influence. The results highlight that financial hardship exacerbates psychological distress and relationship functioning, particularly among Black and Latinx populations. Barriers to mental health access and increased hostility within relationships were pivotal in linking financial hardship to adverse outcomes. These findings particularly emphasize the need for inclusive, culturally attuned support systems, as well as policy and programming efforts to mitigate the dual impacts of financial hardship on vulnerable communities during crises like the COVID-19 pandemic.Item ESSAYS IN INNOVATION AND ENTREPRENEURSHIP(2024) Ye, Zhen; Tate, Geoffrey A.; Business and Management: Finance; Digital Repository at the University of Maryland; University of Maryland (College Park, Md.)My dissertation focuses on the topics of innovation and entrepreneurship. In Chapter 1, I study how banks affect their borrowing firms’ green innovation when they reduce credit to firms with high carbon emissions. Using banks’ commitments to carbon neutrality as credit shocks to the borrowing firms, I first show that high-emission firms file fewer green patents following their relationship banks’ commitments to carbon neutrality. At the same time, other borrowing firms that receive increased lending from these committed banks see an increase in green patent filings. Second, I present evidence suggesting that financial constraints and inventor mobility are important mechanisms driving these effects. Third, I find that the value of newly filed green patents by firms in high-emission industries declines post-commitment, whereas there appears to be no discernible impact on the value of green patents filed by other firms. Finally, I develop a novel measure that gauges a patent’s relevance to mitigating climate change impact using text algorithms and show that banks’ commitments lead to lower relevance of green patents filed by high-emission firms. Altogether, the paper highlights an unintended consequence of bank divestment: a decrease in the production of high-quality green patents.Chapter 2 is joint work with Sven Oskarsson and Rafael Ahlskog. This chapter investigates the effects of parental income volatility on individuals’ entrepreneurial decisions in Sweden. Our results indicate that individuals who experience higher uninsurable parental income volatility during adolescence are more likely to become entrepreneurs. Specifically, a one-standard-deviation increase in parental income volatility is associated with an increase in the probability of becoming an entrepreneur by around 45% relative to the mean. Second, we find that firms started by individuals with higher parental income instability have a lower survival rate. Finally, we present evidence in line with higher risk tolerance being an important mechanism driving our findings. We do not find support for alternative mechanisms, including human capital accumulation and financial resources.Item Essays in Corporate Finance(2024) Wu, Chengjun; Maksimovic, Vojislav; Business and Management: Finance; Digital Repository at the University of Maryland; University of Maryland (College Park, Md.)This dissertation contains three essays that explore topics in corporate finance and banking. Chapter 1 studies the role of board's political connections in corporate misconduct. Leveraging a policy shock in China that mandated politically connected directors to resign from corporate boards, I find that following the disruption in political connections, firms become less prone to commit misconduct while their misconduct is more likely to be detected. The elimination of political connections on board is particularly effective in deterring and detecting high-level offenses. The effects of the policy are also more pronounced for non-state-owned enterprise and firms in regions with lower level of corruption. I also find that firms affected by the shock are more inclined to initiate Directors and Officers insurance coverage and executives from such firms exhibit more negative sentiments in communications. Overall, the results suggest that political connections may shape firm compliance and facilitate a more lenient regulatory environment for the firm, thereby posing significant challenges to effective regulatory oversight. In Chapter 2, we argue that bank holding companies (BHCs) extend shadow insurance to the prime institutional money market funds (PI-MMFs) they sponsor and that PI-MMFs price this shadow insurance by charging investors significantly higher expense ratios and paying lower net yields. We provide evidence that after September 2008, expense ratios at BHC-sponsored PI-MMFs increased more than at non-BHC-sponsored PI-MMFs. Despite higher expense ratios, BHC-sponsored PI-MMFs did not experience larger redemptions than non-BHC-sponsored PI-MMFs. In addition, we show that expense ratios increased with BHCs' financial strength and the likelihood of their support; however, this expense ratio differential disappeared after the 2016 MMF reform. Chapter 3 studies how the revelation of financial misconduct affects the peer firms of the accused firm. I find that such spillover effect exists in both equity and debt markets using event study approach and staggered difference-in-differences design. In the equity market, the peer firms of the accused firm suffer significant negative cumulative abnormal returns. In the debt markets, both loans and bonds of the peer firms exhibit significantly higher spread over the benchmark risk-free rate following the misconduct revelation. Peer firms that employ the same auditor as the accused firm are more adversely affected. These peer firms not only experience even lower cumulative abnormal returns but also face tighter terms from creditors including collateral requirements and more restrictive covenants. They are also more likely to replace their auditors to distance themselves from the accused firm. The findings are consistent with the notion that financial misconduct erodes the trust in capital markets, prompting market participants to reassess the credibility of the non-accused peer firms.Item ESSAYS ON INNOVATION, HUMAN CAPITAL, AND SMALL BUSINESSES(2023) Xue, Jing; Maksimovic, Vojislav; Yang, Liu; Business and Management: Finance; Digital Repository at the University of Maryland; University of Maryland (College Park, Md.)This dissertation comprises three essays that explore how human and social capital influence innovation and promote firm dynamism, particularly for small businesses. It studies how firms' uptake of projects is shaped by the local environments, such as superstar firms, talent clusters, and local social capital. In the first essay, I study the labor channel underlying the agglomeration of innovation activity. It identifies the reallocation of human capital as a key channel of agglomeration spillovers for innovative firms. To measure agglomeration spillovers, I study how R&D labs in different local labor markets respond differently to scientific breakthroughs, which create large and unexpected shocks to innovation productivity in certain technology categories. I document four main findings. i), following scientific breakthroughs, affected labs in thicker local labor markets (i.e., commuting zones with more inventors innovating in a certain field) produce more patents and higher-quality patents, consistent with positive agglomeration spillovers. ii), the increase in patenting is mostly attributed to new hires rather than incumbent inventors. iii), the thick labor market effect is concentrated in states and industries where there is lower enforceability of non-compete agreements and labor is more mobile. iv), using textual analysis to identify lab-level exposure to scientific breakthroughs, I find that inventors are reallocated to labs that are more favorably affected by shocks, which helps labs in thicker labor markets to more easily bring in inventors working in the same niche fields and having a diverse knowledge base. Taken together, these results point to labor mobility as a key force in explaining why innovative firms cluster and suggest that the clustering of firms in thick labor markets can foster corporate innovation by facilitating the productivity-enhancing reallocation of human capital following scientific breakthroughs. In the second essay, I identify the entry effects of top innovative firms on incumbent innovation. I exploit the inter-temporal variation in patenting activities of local inventors in chosen commuting zones that attracted the firm headquarters and in runner-up commuting zones that were finalists of location choice. Treated and control groups have similar trends prior to the entry, while the local inventors in the chosen zones apply 6.7% more patents, gain 16.8% more top patents, and receive 11.6% more citations. Entry effects are stronger among local inventors who are technologically or socially closer to the entering firm, after controlling for innovation incentives and labor mobility. Social closeness, isolated from technological proximity, consistently explains the innovation gains, which suggests knowledge diffusion is the important channel for local innovation productivity spillovers. In the third essay, we investigate why small businesses exploit business opportunities better in some areas than others. In a sample of 1.2 million consumer-facing establishments, social capital predicts the uptake of risk-free loans controlling for close-by bank branches, income, and education. One standard deviation increase in the social capital metric accounts for 20 percent of the variation in uptake across zip codes, surpassing the impact of a bank branch within 1000 yards. Strong social capital benefits large, low-growth stores in less-dynamic areas, whereas bank branches benefit small, high-growth stores in more-dynamic areas. Virtual connections have the greatest effect on uptake in already advantaged locations.Item Asset Pricing and Portfolio Choice with Heavy-Tail Returns Distributions and Nonlinear Expectations(2022) Shirai, Yoshihiro; Madan, Dilip B; Mathematics; Digital Repository at the University of Maryland; University of Maryland (College Park, Md.)The fundamental works of Bachelier, Markovitz, Sharpe and Lintner, Black, Scholes and Merton, and others, which laid out the basis of the discipline that today we refer to as Mathematical Finance, rest in general on few main assumptions: returns are Gaussians, prices are unique/linear, markets are arbitrage-free, and investors are expected utility maximizers.It has long been recognized, on the other hand, that none of these assumptions hold true in practice, so the traditional theoretical results of Mathematical Finance are only approximately true at best, and their applicability is limited. Typical examples are the volatility smile, the leptokurtic feature of returns, trade- and volume-dependence of prices, existence of infinitesimally small arbitrage opportunities and constant violations of the expected utility theorem axioms. In this work, I continue the exploration, started a few decades ago, of the consequences of relaxing the assumptions of normality of returns, linearity/uniqueness of prices, and certainty equivalent based financial objectives. Specifically, in Chapter I, I develop a pure jump model for pricing credit index options, that is based on the double gamma dynamics for the default intensity. In Chapter II, I apply several supervised and unsupervised learning techniques to provide additional evidence of investors’ behaviors that contradicts Expected Utility Theory. In Chapter III, I show that spectral risk measures, a well known class of nonlinear expectation operators for pure jump semimartingales, admit an integral representation and, based on it, I define a new class of convex risk measures that are not sublinear.Item TRADING OPTION MODEL PARAMETERS AND CLIQUET PRICING USING OPTIMAL TRANSPORT(2022) Khalid, Shahnawaz; Madan, Dilip B; Applied Mathematics and Scientific Computation; Digital Repository at the University of Maryland; University of Maryland (College Park, Md.)This dissertation consists of two independent topics. Chapter 1 titled, “Trading Option Model Parameters” describes two methods of constructing a portfolio of vanilla options that is sensitive to only one parameter for any kind of option pricing model. These special portfolios can be constructed for any parameter and move in the same direction as that specific parameter, while being resistant to changes in all others. We use the Variance Gamma model and Bilateral Gamma model as examples and show both methods yield portfolios with similar payoff structure at maturity. In addition we show that the value of these portfolios remains unchanged when all but one parameter is perturbed. We conclude by assessing the viability of using these methods as a trading or hedging strategy. Chapter 2 titled “Pricing Cliquets using Martingale Optimal Transport” applies the theory of Optimal Transport to pricing forward starts and cliquets. We develop models based on relative entropy minimization that provide close fits to market data using information based on just the marginal distributions. We prove a duality result that provides an explicit form of the optimal distribution. Furthermore we provide an algorithm and a convergenceresult for iteratively computing the dual. Chapter 3 titled “Martingale Optimal Transport under Acceptability” addresses the issue of narrowing the no arbitrage price bounds for a cliquet by introducing the concept of acceptable risk. We prove a duality result based on acceptability and show how to numerically compute acceptable bounds.Item Are the voices of customers louder when they are seen? Evidence from CFPB complaints(2022) Mazur, Laurel Celastine; Hann, Rebecca; Business and Management: Accounting & Information Assurance; Digital Repository at the University of Maryland; University of Maryland (College Park, Md.)This paper exploits a unique policy change in the banking sector – the first disclosure of the customer complaints submitted to the Consumer Financial Protection Bureau (CFPB) – to examine whether regulatory scrutiny represents one mechanism through which the disclosure of customer complaints can affect bank behavior. I find that banks with a higher complaint volume on the disclosure date increase mortgage approval rates relative to banks with fewer complaints in the same county, and that this effect is strongest in financially underserved communities. I further find that the disclosure effect is larger for banks under more regulatory scrutiny, namely, those operating in states with stronger consumer financial protection enforcement and those with prior consumer affairs violations. Taken together, the results suggest that the public disclosure of customer complaints, especially when accompanied by regulatory pressure, can serve as a mechanism for customers to influence banks’ consumer lending behavior.Item BEYOND RISK: VOLUNTARY DISCLOSURE UNDER AMBIGUITY(2022) Rava, Ariel; Zur, Emanuel; Business and Management: Accounting & Information Assurance; Digital Repository at the University of Maryland; University of Maryland (College Park, Md.)In my dissertation, I examine the impact of ambiguity (Knightian uncertainty), alongside that of risk, on firms’ voluntary disclosure decisions. I confirm the well-known result that an increase in risk—uncertainty over outcomes—is associated with an increase in management guidance (earnings and capital expenditure forecasts). Conversely, I find that an increase in ambiguity—uncertainty over the probabilities of outcomes—is associated with less guidance. Furthermore, I show that ambiguity decreases following voluntary disclosures, consistent with managers being aware of and reacting to heightened ambiguity. Finally, I provide novel empirical evidence showing that guidance under ambiguity has adverse capital market consequences. Even though the ways through which risk impacts managers’ disclosure decisions have been extensively studied in the accounting literature, no extant research has examined whether and how ambiguity impacts these decisions. My findings are consistent with the notion that managers’ take into account the ambiguity in the environment, showing that ambiguity has an important and distinct impact on their voluntary disclosure decisions.Item Essays in Financial Economics(2022) Zhou, Wei; Kyle, Albert S; Business and Management: Finance; Digital Repository at the University of Maryland; University of Maryland (College Park, Md.)This dissertation contains two essays in market microstructure and institutional asset management. The first essay studies a dynamic model of strategic trading where the parameters of temporary price impact (how price depends on a trader's current rate of trading) and permanent price impact (how price depends on the cumulative quantity traded over time) are endogenous and time-varying. A monopolistic informed speculator trades with oligopolistic uninformed speculators. They agree to disagree about the precision of the informed speculator's private Gaussian information flow. In the interval-trading Nash equilibrium with linear Markov strategies, trade starts if the disagreement is high enough and stops when the decaying alpha becomes insufficient to generate further trading benefits. Equilibrium permanent price impact parameters encapsulate the counteracting effects of descending residual uncertainty and diminishing trading opportunities. Equilibrium temporary price impact parameters capture traders' inter-temporal trade-offs between the benefits of learning and trading. The second essay was motivated by the observation that active institutional investors anticipate potential unwinding costs when accumulating positions. In this essay, I develop a dynamic model to study how strategic traders' accumulation and unwinding motives interact and evolve when facing a decaying profit opportunity. The unwinding pressures come from quadratic (regulatory) holding costs and price impacts of competitors' trades. The model shows that (i) with unwinding pressures, traders are reluctant to exploit persistent opportunities and profit most from those with an intermediate decaying rate; (ii) competition alleviates the unwinding pressure from holding costs but strengthens that from competitors' price impacts; and (iii) with increased regulatory costs, traders' most profitable opportunities shift to more transient ones.Item Essays on Mutual Fund Performance Evaluation and Investors' Capital Allocations(2022) Cao, Bingkuan; Wermers, Russ; Business and Management: Finance; Digital Repository at the University of Maryland; University of Maryland (College Park, Md.)The dissertation contains two chapters that studies the performance of mutual funds and investors' capital allocations. In the first chapter, I study mutual funds' portfolio management and investors' capital allocations in a unified framework under mandatory portfolio disclosure. By modeling fund managers and investors simultaneously, I show that more skill managers produce better performance by trading more actively, which causes investors to care about both fund performance and activeness when evaluating fund managers. This investor's behavior explains the convex flow-performance relation observed in the market. In addition, my model demonstrates that portfolio holdings information is more useful to investors than fund returns because portfolio holdings reveal manager activeness that is not fully captured by fund returns. My model offers three novel empirical predictions for which I find consistent evidence in the data. First, investor flows respond to both fund performance and activeness. Second, investor flows are more sensitive to the performance of illiquid holdings in the portfolio. Finally, in a diff-in-diff analysis, I show that investor flows become more sensitive to fund activeness when portfolios are disclosed more frequently. In the second chapter, I study the performance attribution of bond mutual funds. I build a comprehensive sample of U.S. actively managed bond mutual funds with a large cross section and long time series, and examine the characteristics of funds that are most associated with superior active bond fund performance. I construct several sets of covariates to measure different aspects of managerial ability, including risk management, credit analysis, activeness, beta timing, liquidity provision, and family synergy. Given the large set of covariates, I employ machine learning methods such as Boosted Regression Trees to select the best predictors of bond fund performance. Unlike equity funds, I find that risk management plays an important role in generating superior performance. In addition, funds that are better at credit analysis and charge lower fees outperform their peers.