This item is only available for download by members of the University of Illinois community. Students, faculty, and staff at the U of I may log in with your NetID and password to view the item. If you are trying to access an Illinois-restricted dissertation or thesis, you can request a copy through your library's Inter-Library Loan office or purchase a copy directly from ProQuest.
Permalink
https://hdl.handle.net/2142/87433
Description
Title
Essays in Financial Economics
Author(s)
Dimmock, Stephen G.
Issue Date
2005
Doctoral Committee Chair(s)
Louis K.C.Chan
Department of Study
Finance
Discipline
Finance
Degree Granting Institution
University of Illinois at Urbana-Champaign
Degree Name
Ph.D.
Degree Level
Dissertation
Keyword(s)
Economics, Finance
Language
eng
Abstract
This dissertation contains three essays in the subject of financial economics. This first essay studies the issue of loss-aversion and household portfolio choice. Calibrated models of household portfolio choice generate two counterfactual predictions: that all households will participate in equity markets, and that households will allocate all of their wealth to equity. In this essay I test if loss-aversion can explain the differences between observed household behavior and the predictions of these models. Using survey data I obtain a direct measure of each surveyed household's loss aversion coefficient. I then test whether loss-aversion has explanatory power for the participation decision and for the allocation of wealth to risky assets. I find that higher loss-aversion leads to a lower participation probability and a lower allocation to risky assets. The second essay evaluates the performance of a number of performance benchmarking techniques on a sample of active pension fund money managers. The results suggest that the choice of benchmarking technique can drive inferences about manager skill. The third essay explores the cross-section of option returns. There is considerable evidence that options are not redundant securities. Despite this little is known about option returns. This paper empirically investigates the effect of information risk and liquidity on the cross-section of individual equity option returns. After delta-adjusting it is shown that liquidity and information risk are priced characteristics in the cross-section of option returns.
Use this login method if you
don't
have an
@illinois.edu
email address.
(Oops, I do have one)
IDEALS migrated to a new platform on June 23, 2022. If you created
your account prior to this date, you will have to reset your password
using the forgot-password link below.
