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Essays in optimal dynamic risk shari...

Urosevic, Branko Vladeta.

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Essays in optimal dynamic risk sharing in equity and debt markets.

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Essays in optimal dynamic risk sharing in equity and debt markets./
Author:	Urosevic, Branko Vladeta.
Description:	177 p.
Notes:	Chairs: Robert H. Edelstein; Peter DeMarzo.
Contained By:	Dissertation Abstracts International63-09A.
Subject:	Business Administration, Banking. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3063583
ISBN:	0493825258

Essays in optimal dynamic risk sharing in equity and debt markets.
Urosevic, Branko Vladeta.

Essays in optimal dynamic risk sharing in equity and debt markets. - 177 p.

Chairs: Robert H. Edelstein; Peter DeMarzo.

Thesis (Ph.D.)--University of California, Berkeley, 2002.

This dissertation consists of three essays on optimal dynamic risk sharing. In the first essay, we analyze the optimal trading strategy of a risk-averse large shareholder who undertakes costly effort to improve a firm's dividends under two scenarios: First, when the large shareholder can commit to a trading strategy; and second, when such commitment is impossible. Absent commitment, the large shareholder's stake ultimately converges to the competitive (perfect risk sharing) outcome. In general, convergence to such outcome is gradual. In the continuous trading approximation, the problem can be solved in closed form and the equilibrium share price expressed in terms of the primitives. The model provides a rationale for both Initial Public Offering (IPO) underpricing and the use of lockup provisions. The results generalize beyond the moral hazard framework.

ISBN: 0493825258Subjects--Topical Terms:

1018458
Business Administration, Banking.

Essays in optimal dynamic risk sharing in equity and debt markets.
LDR:03401nam 2200301 a 45 001 938718
005 20110512
008 110512s2002 eng d
020 $a 0493825258
035 $a (UnM)AAI3063583
035 $a AAI3063583
040 $a UnM $c UnM
100 1 $a Urosevic, Branko Vladeta. $3 1262691
245 1 0 $a Essays in optimal dynamic risk sharing in equity and debt markets.
300 $a 177 p.
500 $a Chairs: Robert H. Edelstein; Peter DeMarzo.
500 $a Source: Dissertation Abstracts International, Volume: 63-09, Section: A, page: 3250.
502 $a Thesis (Ph.D.)--University of California, Berkeley, 2002.
520 $a This dissertation consists of three essays on optimal dynamic risk sharing. In the first essay, we analyze the optimal trading strategy of a risk-averse large shareholder who undertakes costly effort to improve a firm's dividends under two scenarios: First, when the large shareholder can commit to a trading strategy; and second, when such commitment is impossible. Absent commitment, the large shareholder's stake ultimately converges to the competitive (perfect risk sharing) outcome. In general, convergence to such outcome is gradual. In the continuous trading approximation, the problem can be solved in closed form and the equilibrium share price expressed in terms of the primitives. The model provides a rationale for both Initial Public Offering (IPO) underpricing and the use of lockup provisions. The results generalize beyond the moral hazard framework.
520 $a The second essay extends the first essay along several dimensions. If a company has multiple large shareholders (‘insiders’), the speed of adjustment of the aggregate stake towards the competitive allocation increases with the number of insiders when outside investors are risk-averse, and does not depend on the number of insiders when outside investors are risk-neutral. If an insider can trade in multiple risky assets, the speed of adjustment in the monitored asset would decrease because the systematic risk can be hedged. The empirical analysis confirms the theoretical model. For a sample of American IPOs, half-life of the average aggregate insider stake is 9 years. Insiders in companies with no lockup provisions, typically firms with one dominant large shareholder, adjust their aggregate stakes slower than insiders with lockup restrictions.
520 $a The third essay develops an optimal risk sharing interest rate contract under conditions of symmetric information and stochastic borrower's income and collateral values. The slope of the optimal contract interest rate depends upon the agents' risk aversion and time horizon, as well as volatility of and co-variation among the market interest rate, borrower's collateral value and income. In general, while both short and long term Pareto optimal contracts are variable rate, long-term contract rates have more ‘muted’ response to the market rate changes. This may explain the fact that in the absence of optimal contracts, long term borrowers tend to prefer fixed instead of adjustable rate mortgages.
590 $a School code: 0028.
650 4 $a Business Administration, Banking. $3 1018458
690 $a 0770
710 2 0 $a University of California, Berkeley. $3 687832
773 0 $t Dissertation Abstracts International $g 63-09A.
790 $a 0028
790 1 0 $a DeMarzo, Peter, $e advisor
790 1 0 $a Edelstein, Robert H., $e advisor
791 $a Ph.D.
792 $a 2002
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3063583