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Essays on Risk-Taking in Financial I...

Kapadia, Qiao Lan.

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Essays on Risk-Taking in Financial Institutions and Accounting Policy.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Essays on Risk-Taking in Financial Institutions and Accounting Policy./
Author:	Kapadia, Qiao Lan.
Published:	Ann Arbor : ProQuest Dissertations & Theses, : 2016,
Description:	171 p.
Notes:	Source: Dissertation Abstracts International, Volume: 77-12(E), Section: A.
Contained By:	Dissertation Abstracts International77-12A(E).
Subject:	Accounting. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10155780
ISBN:	9781369108415

Essays on Risk-Taking in Financial Institutions and Accounting Policy.
Kapadia, Qiao Lan.

Essays on Risk-Taking in Financial Institutions and Accounting Policy. - Ann Arbor : ProQuest Dissertations & Theses, 2016 - 171 p.

Source: Dissertation Abstracts International, Volume: 77-12(E), Section: A.

Thesis (Ph.D.)--Yale University, 2016.

This dissertation consists of three essays that empirically examine risk-taking in financial institutions across different settings: shareholders of heterogeneous horizon, and public versus private bank holding companies, and how accounting information can be useful in understanding or even predicting liquidity risk during the recent financial crisis.

ISBN: 9781369108415Subjects--Topical Terms:

557516
Accounting.

Essays on Risk-Taking in Financial Institutions and Accounting Policy.
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245 1 0 $a Essays on Risk-Taking in Financial Institutions and Accounting Policy.
260 1 $a Ann Arbor : $b ProQuest Dissertations & Theses, $c 2016
300 $a 171 p.
500 $a Source: Dissertation Abstracts International, Volume: 77-12(E), Section: A.
500 $a Adviser: Shyam Sunder.
502 $a Thesis (Ph.D.)--Yale University, 2016.
520 $a This dissertation consists of three essays that empirically examine risk-taking in financial institutions across different settings: shareholders of heterogeneous horizon, and public versus private bank holding companies, and how accounting information can be useful in understanding or even predicting liquidity risk during the recent financial crisis.
520 $a In the first essay, I find that realized gains and losses (RGL) from the sale of available-for-sale (AFS) securities, a historical cost accounting variable, has forward looking information about bank's liquidity risk. Intuitively, the bank's decision to sell a security is based on private information about its own liquidity risk, and RGL reveals that information. Specifically, I find that the absolute magnitude of RGL on AFS securities in the period immediately prior to the failure of Lehman Brothers negatively predicted the change in uninsured deposits in the post-Lehman crisis period, and was most economically significant for the banks with lowest Tier 1 capital and return on assets, although RGL did not predict liquidity during other crisis periods (e.g., Long Term Capital Management and Dotcom crisis). Moreover, in contrast, fair value changes of AFS securities did not have predictive power.
520 $a The second essay examines whether risk taking in financial institutions is related to the horizon of their shareholders. In the period prior to the financial crisis of 2008-09, I find a significant and robust relation between the riskiness of financial institutions as measured by financial leverage and the firm's shareholder horizon as measured by the average portfolio turnover of the financial institution's institutional investors. Riskier banks had institutional shareholders with shorter horizons. Moreover, an exogenous shock to the financial leverage resulting from a change in accounting regulation was related to the bank's average shareholder horizon. My results indicate that shorter-horizon shareholders may be attracted to riskier banks, suggesting the existence of risk based clienteles.
520 $a The third essay, co-authored with Kahn Kolev, examines the risk profiles of public and private bank holding companies (BHC) in the years leading up to the financial crisis of 2007-2009. Since private BHCs are closely held, they are less likely than their public counterparts to face incentive problems (e.g., risk-shifting and myopia) that induce suboptimal risk-taking. Thus, contrasting public and private BHCs provides a convenient setting to analyze the much debated issue of whether "bad incentives", "bad model", or "bad luck" led to the excessive risk build-up in the financial industry prior to the crisis.
520 $a We find that risk, measured as the standard deviation of return on assets (ROA) and the holdings of private mortgage-backed securities (MBS), increased much faster in public BHCs than in their private counterparts as the housing boom (2002-2007) deepened, while there was no such wedge in the early part of the boom. These adjustments made by the private banks ahead of the crisis suggest that the industry was cognizant of the risks involved. We also find that the increase in interest expenses and the interest rate public BHCs paid in the bubble period were significantly lower than those incurred by private BHCs, despite the larger increase in the risk-taking in the public banks, suggesting a break-down of the market discipline. Moreover, the public BHC with the highest holdings of private MBS experienced the smallest increase in interest expense/rate. We interpret the findings as evidence that, during the run-up to the crisis, the disciplinary role of markets on public banks weakened, allowing them to take on excessive risk.
590 $a School code: 0265.
650 4 $a Accounting. $3 557516
650 4 $a Banking. $2 bicssc $3 1557594
650 4 $a Finance. $3 542899
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