Skip to Main Content
 

Global Search Box

 
 
 
 

Files

File List


osu1092764216.pdf (2.77 MB)

ETD Abstract Container

Abstract Header

Empirical studies on risk management of investors and banks

Angerer, Xiaohong W.
http://rave.ohiolink.edu/etdc/view?acc_num=osu1092764216

Abstract Details

2004, Doctor of Philosophy, Ohio State University, Economics.
This dissertation is composed of two empirical studies on risk management. The first part is an empirical study on income risk and portfolio choice of investors. Recent theoretical work has shown that uninsurable labor income risk likely reduces the share of risky asset investment. Little empirical work has been done to examine this effect. This empirical study on the issue has three novel features. First, the long labor income history in NLSY79 is used to estimate the labor income risk. Second, the study distinguishes between permanent and transitory labor income risk, and estimates them for individuals. Third, I explicitly consider human capital as a component of the portfolio. Human capital is treated as a risk-free asset and estimated using signal extraction technique to labor income data. The study finds strong empirical support for the theory that labor income risk significantly reduces the share of risky assets in the portfolio of an investor. Furthermore, as economic theory suggests, permanent income risk has a significant effect on portfolio choice while transitory income risk has little effect. The second part of the dissertation is an empirical study on the interest rate risk management of banks. Using a rolling sample of bank holding companies from 1986 to 2002, the study investigates how banks adjust their balance sheet maturity structure according to their perception of current and future interest rate changes. Banks tend to lengthen the maturity of net assets when the yield curve is steeply sloped and shorten it when they expect the interest rate to increase in the future. To account for the off-balance-sheet activity effect on interest rate risk exposure, the sample is divided into those with high and low interest rate derivative activities. For banks with little off-balance-sheet interest rate derivative activities, the cross-sectional variation in their responsiveness of maturity structure to interest rate changes explains the stock market risk and returns of common equities. The interest rate risk management strategies reflect the extent of risk taking and are priced in the stock market.
Pok-sang Lam (Advisor)
135 p.
portfolio choice; risk management; labor income risk; interest rate risk; maturity management; asset pricing

Recommended Citations

Citations

  • Angerer, X. W. (2004). Empirical studies on risk management of investors and banks [Doctoral dissertation, Ohio State University]. OhioLINK Electronic Theses and Dissertations Center. http://rave.ohiolink.edu/etdc/view?acc_num=osu1092764216

    APA Style (7th edition)

  • Angerer, Xiaohong. Empirical studies on risk management of investors and banks. 2004. Ohio State University, Doctoral dissertation. OhioLINK Electronic Theses and Dissertations Center, http://rave.ohiolink.edu/etdc/view?acc_num=osu1092764216.

    MLA Style (8th edition)

  • Angerer, Xiaohong. "Empirical studies on risk management of investors and banks." Doctoral dissertation, Ohio State University, 2004. http://rave.ohiolink.edu/etdc/view?acc_num=osu1092764216

    Chicago Manual of Style (17th edition)

osu1092764216
2,142
© 2004, all rights reserved.
This open access ETD is published by The Ohio State University and OhioLINK.