Organizational Unit:
Scheller College of Business

Permanent Link
https://hdl.handle.net/1853/70690
Research Organization Registry ID
Description
Previous Names
Parent Organization
Parent Organization
Includes Organization(s)
ArchiveSpace Name Record
https://finding-aids.library.gatech.edu/agents/corporate_entities/255

Filters

2020 - 2021 11
11
11
11
Reset filters

Settings
End date: 2021 × Start date: 2020 × Item Type: Publication × search.filters.applied.f.resourcesubtype: Dissertation ×

Publication Search Results

Now showing 1 - 10 of 11
Thumbnail Image
Item

Essays on International Finance: Stock Market Wealth Creation, Sovereign CDS Spreads, and Currency Comovement

2021-08-11 , Jang, Ernest S.

Using the wealth creation measure developed by Bessembinder (2018), we estimate stock market wealth creation around the world and show the importance of national culture in explaining wealth creation. The 88 stock markets in our sample create $76.6 trillion net wealth from 1973 to 2019, with the U.S. contributing the most (52.5%). Among industries, finance creates the most wealth (17.6%). We find that countries with individualistic, less masculine, and less uncertainty avoidant cultures have comparative advantages in stock market wealth creation. We also show that culture influences wealth creation through multiple channels, such as innovation, governance, information, education, and sustainability. In this paper, we first document that the degree of co-movement of currencies varies a great deal across different base (measurement) currencies. In estimating the co-movement, we use the average of R2s from regressions of exchange rate changes of each of our 27 floating-rate sample currencies against the base currency on the currency market factor. Over our sample period 1999–2018, the average R2 is found to range from 22.1% for the Singapore dollar to 71.8% for the South African rand, with the average of 51.5% across sample base currencies. This implies that the extent to which the currency risk is diversifiable critically depends on the investor’s home currency; for instance, the currency risk would be highly diversifiable for Singapore dollar-based investors but largely systematic for South African rand-based investors. Motivated by our novel currency clustering analysis utilizing a base-currency independent metric, we then set forth and provide strong evidence supporting the hypothesis that the idiosyncratic (connected) currencies influenced weakly (strongly) by the major global currencies, i.e., the U.S. dollar and the euro, face high (low) degrees of co-movements of other currencies This paper analyzes the impact of the Federal funds rate surprises on the sovereign CDS spreads of 83 countries by using 138 FOMC announcements from 2002 to 2018. We document that sovereign CDS spreads tend to increase on the day after the announcements of unexpected reduction in federal fund rates. On average, a hypothetical 100 basis point negative Federal funds target rate shock is associated with about seven basis points increase in sovereign CDS spreads on the day after the FOMC announcement. We also find that the impact of Federal funds rate shock on sovereign CDS spread varies depending on macroeconomic conditions. Specifically, the impact is more pronounced for countries with higher external debts, lower foreign reserves, higher proportions of primary commodities in their exports, heavier dependency on the U.S. economy, and lower exchange rate volatility against U.S. dollar. We also find that countries with higher than median CDS spread mainly drive these results. Our findings in this paper suggest that U.S. monetary policy shock is an important determinant of the sovereign credit spread.

View
Thumbnail Image
Item

IDENTIFIED MOTIVATION AND THE ASYMMETRIC EFFECTS OF INFORMAL CONTROL SYSTEMS ON SUBORDINATE BEHAVIOR

2021-06-23 , Kugel, Jonathan

Due to the limits of formal management control systems (MCS) for tasks with unobservable/non-contractible inputs, firms often preferentially select subordinates who exhibit identified motivation (strong perceptions of importance) towards the firm’s mission. While prior literature examines the “crowding out” of identified motivation by formal MCS, less is known about how informal MCS asymmetrically affect subordinates both with and without identified motivation. Given the difficulty in preferentially selecting subordinates with identified motivation relative to those without, I seek evidence of an informal control regime that can best utilize subordinates of all motivation levels. Using the frameworks of Self-Determination Theory and Stewardship Theory, I experimentally test subordinates’ goal congruence and subsequent cooperation with the superior under conventional directives vs “nonformal communications” (unofficial management guidance). Results confirm that informal controls do not crowd out identified motivation yet do impair alignment of amotivated subordinates’ actions to firm objectives.

View
Thumbnail Image
Item

Essays on financial intermediation and household finance

2020-07-14 , Paradkar, Nikhil Dilip

This dissertation consists of three essays on the intersection of financial intermediation and household finance. In the first essay, using proprietary account-level data from a major credit bureau, I examine the impact of stress tests on bank risk-taking in the U.S. consumer credit card market. I decompose credit supply and demand effects by exploiting credit card--level data on limits and balances matched to both consumers and banks. For the same consumer, I examine the lending response of banks experiencing higher stress test--induced capital requirements (i.e., high-exposure banks) relative to less-exposed banks. I find that the earlier rounds of stress tests induced high-exposure banks to sharply reduce credit limits, especially for ex-ante risky borrowers. In contrast, in later rounds of stress tests, high-exposure banks increased limits for risky consumers. Consistent with higher bank risk-taking in later rounds, cards issued by highly exposed banks have a higher ex-post likelihood of default. Additionally, I document that more affected non-prime borrowers are more likely to default subsequently, and that this effect is markedly pronounced for the low-income and less-educated consumer segments. My findings suggest that stress test--induced increases in capital requirements can encourage higher bank risk-taking, with distributional consequences for consumer creditworthiness. In the second essay, using comprehensive credit bureau data, we study how obtaining marketplace lending (MPL) credit impacts consumers' future borrowing capacities and outcomes. We find that MPL borrowers' credit scores improve temporarily after loan origination relative to observably similar bank borrowers and borrowers with unmet credit demand, but MPL borrowers default at higher rates subsequently. We show that the initial improvement in capacities is somewhat mechanical, while the subsequent deterioration in outcomes indicates MPLs' screening is weaker relative to banks. MPL screening relative to banks is especially weaker when banks have relationship-based information and when MPL platforms provide less information to MPL investors. In the third essay, using comprehensive credit card--borrower--bank matched data of approximately 500 million credit cards in the U.S., we analyze how a sharp unexpected decline in banks' short-term wholesale funding in 2008 affected their consumers. We decompose credit supply and demand effects using the sudden dry-up of short-term wholesale funding (which accounted for 17.8% of bank funding pre-2008) and account-level data on credit card limits and balances. For the same consumer, credit card issuers experiencing a 10% greater decline in wholesale funding reduced credit limits by 0.9% more relative to other issuers. Consumers' aggregate card balances decreased by 0.32% for a 1% reduction in aggregate limits induced by the wholesale funding liquidity shock. We document significant heterogeneity in the pass-through of the bank liquidity shocks with banks cutting credit limits by more for credit-constrained consumers (e.g., lower credit-score and higher credit utilization consumers). These consumers respond by cutting their consumption as they are less able to borrow from alternate sources. Moreover, this consumption decline is long-lasting for these credit-constrained consumers. Our results highlight that when banks face liquidity shocks, they are more likely to pass on these shocks to consumers who are least able to hedge against them. Consequently, our results show who bears the real costs of fragile bank funding structures.

View
Thumbnail Image
Item

Behavioral research on sustainable and socially/environmentally responsible operations

2020-06-16 , Mahmoudzadeh, Mahdi

With the growth of global interest in sustainability and social responsibility, more companies and manufacturers have started practicing sustainable operations and social and environmental responsibility in their supply chains. Recent advancements in the field of behavioral economics have uncovered many relevant insights that can be of help in understanding interests and motives among different entities in supply chains including suppliers, manufacturers, policy makers, and customers. Utilizing both experimental and analytical methods, this dissertation's focus is to incorporate some of the relevant insights from behavioral economics into topics related to sustainable operations, circular economy, and social responsibility in supply chains. The first chapter looks at replacement purchases and buyback schemes by durable goods manufacturers. In contrast to the classical model and conventional wisdom that ignore the relevance of framing effects in difference schemes, this chapter explores the framing difference between trade-ins and upgrades and studies how relaxing the equivalence assumption modifies predictions of the classical model and provides predictions more in line with today's durable goods markets. The second chapter looks at social/environmental responsibility in supply chains and examines what type of consumer reactions—encouraging ones that highlight the value of responsible sourcing or discouraging ones that highlight the possibility of a consumer boycott—can lead supply chains towards more responsible sourcing. Our results enrich the normative model's insights and lead to a straightforward recommendation for NGOs that is also in line with what can be expected from consumers. This third chapter, motivated by Best Buy's recent recycling program, studies the potential of a charging for recycling program from a circular economy perspective. We find evidence that, in contrast to the long-standing practice of free recycling, charging for recycling can increase adoption of green electronics among consumers. This chapter suggests that current environmental laws that prohibit retailers from charging for recycling may be counterproductive to circular economy.

View
Thumbnail Image
Item

The Effect of Opaque Audit Methods and Auditor Ownership on Reliance on Independent Expectations

2021-07-30 , Holmstrom, Kathryn M.

Increasing access to data and advanced statistical methods can help auditors generate independent expectations of estimates, but expectations are not useful unless auditors rely on them. However, advanced methods are likely more opaque (i.e., more difficult to understand due to a lack of transparency), which in turn affects understanding of the output of the method, such as independent expectations. I predict that auditors rely less on independent expectations generated with more opaque audit methods. I further predict that developing psychological ownership of independent expectations increases reliance on expectations generated using more opaque methods, while ownership is not critical for reliance on expectations generated using less opaque methods. In an experiment with senior auditors, I find results supporting my predictions, specifically for auditors with relevant task experience. This study provides insights into auditors’ use of independent expectations and advanced methods that are becoming more pervasive in practice.

View
Thumbnail Image
Item

Essays on The Effects of Variable Debt Obligations

2021-04-29 , Simasek, Peter

This dissertation consists of three essays on variable debt obligations. In the first essay, I develop a novel dataset to examine the impact of pension group annuity purchases on capital structure and corporate policies. Pension obligations are shown to contribute to rising cash flow volatility to stakeholders, which is a prominent factor in the decision to offload these liabilities. I find the reduction in pension debt is replaced with a commensurate dollar value of long-term debt. The substitution is concentrated in financially unconstrained firms, while those facing greater financial constraints reduce total leverage. Firms engaging in a group annuity purchase increase pension contributions and capital expenditures in the event year. Consistent with a lower expected probability of future cash shortfalls, changes to investment policy are concentrated in financially constrained firms. Short and long horizon event studies reveal pension annuity buyouts are associated with significantly negative abnormal returns due to disappointing cash flow news upon announcement. In the second chapter of the dissertation, we exploit an exogenous, universal increase in discount rates mandated by the Moving Ahead for Progress Act (MAP-21) to identify the impact of pension overhang on investment. We find that firms with large unfunded pension liabilities increase investment by 13% after the MAP-21 induced decrease in pension liabilities. The effects are more pronounced for ex-ante financially constrained firms, yet pension-related cash flows have a minimal impact on investment. Credit ratings of affected firms improve while CEOs with more pay-for-performance and longer horizon increase investment to a greater extent after MAP-21. Our results highlight the role of pension overhang on investment. In the third chapter, we examine the relative pricing of nominal Treasury bonds and Treasury inflation-protected securities (TIPS) in the presence of United States default risk. Higher bond yields are associated with a higher U.S. credit default swap premium, but more so for TIPS. This leads to a narrower breakeven inflation (BEI). An estimated no-arbitrage model shows BEI is related to differing expectations of loss given default on the two Treasury securities and that most of the relative mispricing after the financial crisis can be attributed to default risk. Our finding suggests credit risk is embedded in the pricing of U.S. sovereign debt.

View
Thumbnail Image
Item

NETWORK ANALYSIS OF STOCK MARKETS

2020-06-22 , Wei, Fengrong

This dissertation consists of three essays on the application of network methods in finance study at the country-level, firm-level, and fund-level. In the first essay, we extend the analysis of globalization from the market factor to the rest of Fama-French factors and the Carhart momentum factor. The findings show that most of the sample local factors are significantly globalized, with the degree of globalization varying substantially across factors. Specifically, the market factor is the most globalized factor on average, followed by the momentum, size, value, profitability, and investment factors. In addition, we show that the impact of financial globalization has been imputed in the local factors, which explains the intriguing finding of integrated international asset pricing. That is, the local Fama-French factors outperform the global counterparts in pricing stocks, seemingly suggesting that stocks are priced as if financial markets were segmented despite the evident globalization. Our results indicate that this puzzle is attributable to the globalization of local factors. In the second essay, we propose a system-wide approach to the study of the firm-specific connections, which capture the distinct relatedness between firms through unique features, conditional on the U.S. market. The proposed approach provides a new system-wide and factor-free measurement of market integration. We find that the degree of the firm-specific connections has decreased over time, and industry and style attributes significantly positively affect these connections. By applying these connections, investors can consistently gain through holding relatively few stocks randomly chosen across communities clustered based on these connections. Moreover, this consistency of gains has increased substantially over time, pointing to the importance of considering the firm-specific connections in risk diversification. In the third essay, we use holding-linked network of mutual funds, measured by the similarity between funds' portfolios, to examine the network predictability of fund performance and flows. Using the new network method, we find evidence of significant predictability between funds with similar holdings. The predictability persists three to six months for alternative performance measures and at least twelve months for fund flows. In addition, a long-short strategy based on these holding links yields a significant annual alpha of about 4.5%. These findings reflect the similar underlying drivers of funds' portfolio holdings and show the persistent prediction of fund performance and flows by the holding linked network.

View
Thumbnail Image
Item

Essays on Online Behavior in Medical Crowdfunding

2021-07-20 , Hur, Yunyoung

In the context of medical crowdfunding, this dissertation investigates how individual reactions are diversified as they encounter certain events online. Specifically, this dissertation focuses on the two types of events: the social endorsement cue and the varying physical attractiveness of patients in medical crowdfunding cases. In the first chapter, we examine how the impact of social influence changes in the presence of non-social cues of various strengths in affecting a user’s likelihood to donate. We conduct a large-scale randomized field experiment to find that the impact of social influence depends on its relational informational value in the presence or the absence of alternative credible information sources. The findings of this study suggest that informational social influence dominates normative social influence in this context, contributing to both the literature and the managerial insights by uncovering user behavior in medical crowdfunding and related fields. In the second chapter, we examine the differential impact of physical attractiveness on the two types of prosocial behavior: sharing and donation. Based on the large-scale randomized field experiment, we discover that the impact of physical attractiveness depends on whether the online behavior is private or public, as people behave less restricted in private and behave to manage image in public. The findings of this study contribute to understanding the controversies in the existing research and provide a guideline in building online business strategies.

View
Thumbnail Image
Item

Essays on the effectiveness and implications of governments' green product incentives

2020-07-22 , He, Cheng

In my dissertation, I empirically study the impact of two of the most common types of state-level government incentives, i.e., HOV-lane exemption and tax credit, in the U.S. automobile industry. Assessing the impact of monetary and non-monetary green-product incentives is challenging given the endogenous nature of governments' incentive provisions. To identify the effect of government incentives on unit sales of green and non-green vehicles, both essays take advantage of policy changes in various U.S. states. From a methodological standpoint, I employ a a multitude of quasi-experimental methods, including difference-in-differences with Coarsened Exact Matching, regression discontinuity in time, and border strategy. The first essay explores the impact of HOV incentive launch and termination in California and Utah on the unit sales of green and non-green vehicles. Unlike previous studies that only examine the launch of the HOV incentive and find an insignificant impact on green vehicle sales, this essay concentrates on its termination. The findings suggest that the termination of the HOV incentive decreases unit sales of green vehicles covered by the incentive by 14.4%. I also provide suggestive evidence that this significant negative effect of HOV incentive termination is through a mechanism related to the primary benefit the incentive provides: time saving. More precisely, the results indicate that the negative effect is more pronounced in counties where consumers value time saving more (i.e., counties with higher income and longer commute to work). In addition, the termination shifts consumers to non-green vehicles with higher performance. Importantly, in line with prior literature, the launch of the HOV incentive is not found to have a significant effect on green vehicle sales. This means that 1) the effect of termination is not simply the opposite of that of launch and 2) the net effect of the HOV incentive is negative. Combined together, the findings imply that governments' green product incentives could backfire. The second essay examines the impact of tax-credit incentive launch in South Carolina on the unit sales of green vehicles and non-green vehicles. Using quasi-experimental methods, I find that the introduction of the tax-credit incentive leads to a 25.1% increase in the unit sales of green vehicles, while the unit sales of non-green vehicles remain unchanged. I also provide suggestive evidence that the tax-credit incentive is effective through the cost-saving mechanism. Specifically, the tax-credit incentive is more effective in counties where consumers value cost saving more (i.e., counties with lower income). Additionally, the incentive induces substitution from non-green vehicles with high fuel efficiency. The results also indicate that the tax-credit incentive does not result in market expansion for green vehicles. Therefore, the increased demand for green vehicles covered by the tax-credit incentive mainly comes from demand substitution from gasoline vehicles with high fuel efficiency.

View
Thumbnail Image
Item

Courageous Followership: An Investigation of the Nature, Antecedents, and Outcomes of a Multidimensional Construct

2020-06-17 , Hogan, Toschia M.

Evolving views of followers and power in today’s increasingly complex and turbulent business environments provides a backdrop for the emergence of scholarly and industry intrigue in the role and behavior of followers. Surprisingly, although it is widely acknowledged that without followers, there is no leader and that followership shapes employee performance, empirical investigations of effective followership remains scarce. Thus, in this dissertation, I examine the nature of followership and the coinciding influence of courage in followers. Specifically, integrating the nascent followership and courage literature, I introduce a new conceptualization of courageous followership and validate a newly developed multi-dimensional measure of the construct (Study 1). In a separate study, integrating event system and trait activation theories to develop and test an interactionist model, I investigate whether perceptions of leader characteristics (i.e., resilience and relational energy) foster followership behavior (i.e., courageous followership) and followership outcomes (i.e., follower creativity). Furthermore, I hypothesize that the strength of a weak situation (i.e., disruptive event criticality) influences the relationship between leader resilience and courageous followership and more so when perceptions of leader relational energy are high. The findings of the person-event interactionist model illustrate the independent and synergistic causes of a new type of followership behavior and substantiate the effectiveness of followership in inspiring meaningful outcomes for employees. Theoretical and practical implications, along with directions for productive future followership research, are discussed.

View