Essays on Financial Institutions and Asset Pricing.
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文摘
Financial market is consists of different institutions which have different functions,play different roles and may have their own inherent problems. The interaction of financial institutions,the frictions between and within institutions could influence the efficiency of information diffusion,the effectiveness of delegated asset management and eventually the prices of assets. My dissertation includes three chapters which address the importance of financial institutions in financial market and asset pricing: 1) some financial institutions are specialized in information collection and production. By analyzing the example of sell-side analysts,I want to demonstrate how information is transmitted from information producers to investors and how the market for information works； 2) one of main functions of banks is to produce information-insensitive assets as a medium of exchange. I try to show how securitization issuers,a modern variety of banks,perform this traditional function by issuing private safe debt,i.e. Asset-backed securities ABS) and Mortgage-backed securities MBS)； 3) how to align incentives of managers in delegated asset management? I empirically show that the mutual fund flow-performance relationship could act as a monitoring mechanism. In the first chapter,examines whether the sell-side research industry adds value to its mutual fund clients. I use a novel data set to identify the network of broker-client relationships. I find that,within a mutual funds portfolio,the stocks covered by the funds brokers outperform the uncovered stocks by 6.3% per year,on average. This supports the view that sell-side analysts add value to their clients by helping them make better investment decisions. I further test whether the value added can be attributed to private communications between analysts and their clients. First,I find that,before an analyst releases a negative positive) recommendation on a stock,her clients sell buy) significantly more of the stock than do non-clients. Second,among stocks with a strong buy recommendation,those bought by clients before the recommendation announcements earn a 120-day post-recommendation abnormal return that is 1.78% higher,on average,than those sold by clients before the recommendations. These results suggest that brokers help their clients gain an information advantage over non-clients by providing private services and information. Overall,the paper helps to make sense of the existence and size of the sell-side research industry. Theoretical research suggests that earning the convenience yield carried by safe assets could be one of the most important driving forces for the boom in the securitization market that preceded the financial crisis of 2007-2009. Therefore,the second chapter of my dissertation empirically tests this hypothesis by examining the relationship between a high frequency ABS/MBS issuance series and a new proxy for the convenience yield. I use two shocks as instruments: the seasonal fluctuation of the convenience yield and the variation in Treasury issuance. Both are independent of the securitization market,but they are correlated with the convenience yield. I find that ABS/MBS issuers react to the change in the convenience yield,i.e.,they issue more ABS/MBS when the expected convenience yield is high,and vice versa. A similar phenomenon can be found in another market for private safe assets,the ABCP market. This phenomenon does not exist,however,in markets for risky debt,such as the corporate bond market. It is well-documented that mutual fund flows are positively related to funds past performance. In the third chapter of my dissertation,I focus on the time-series variation in the performance-flow relationship. First,I show that there is indeed variation in this relationship: in some periods,investors are more sensitive to fund performance than in others periods,and the difference is statistically and economically significant. Second,I show that a large part of the variation in the performance-flow relationship is predictable based on public information. Third,and most important,I predict that fund managers will respond to the variation in the performance-flow sensitivity: specifically,we should observe greater effort by fund managers at times when the sensitivity is high,precisely because the payoff to effort is higher at these times. Using several proxies for manager effort,I confirm this prediction in the data. The results are robust to alternative explanations and out-of-sample test.