Doctor of Business Administration (D.B.A.), Franklin University, 2023, Business Administration

This research explores the impact of zero-commission stock trading on individual stock market participation across a spectrum of demographic and socioeconomic factors. The advent of online platforms offering commission-free trades has potentially democratized stock market access, which this study investigates against the backdrop of traditionally low individual engagement in stock investments. The research was a quantitative cross-sectional survey, collecting data from a diverse American demographic. A significant 41% response rate was achieved, resulting in the completion of 495 questionnaires. The analysis reveals that income is the dominant factor influencing stock market involvement, accounting for 21% of the variance in participation rates; higher earners are more likely to invest. The allure of zero-commission trading stands out as a strong predictor of SMP accounting for 15% variance in participation while widespread adoption of smartphones and trading apps accounting for (4%). Financial knowledge and awareness was equally a significant predictor, contributing to 6% variation in SMP. Additionally, gender and age accounted for 3% and 4% variance respectively. The research underscores critical areas for policy and educational interventions, such as increasing financial literacy to bridge the gender gap and extending market access to lower-income groups. By shedding light on these factors, the study provides a comprehensive understanding of the recent shifts in stock market participation dynamics, highlighting the transformative potential of zero-commission trading in an increasingly digital financial landscape.

Committee: Beverly Smith (Committee Chair); Tim Wiseman (Committee Member); Lewis Chongwony (Committee Member) Subjects: Accounting; Economic Theory; Economics; Education Finance; Educational Tests and Measurements; Finance; Management; Public Policy

PhD, University of Cincinnati, 2020, Business: Business Administration

Risk plays a central role in financial markets. Households and companies adjust their consumption and investment behaviors, respectively, when facing risk. Financial markets then react to the adjustments accordingly. Whereas a positive risk-return relation is the first fundamental law of finance, however, empirical evidence does not always support such implication. My dissertation focuses on identifying the disagreements between existing asset-pricing theories and empirical evidence, and proposing new explanations that reconcile the disagreements. Essay 1 studies how aggregate consumption responds to macroeconomic shocks. Essay 2 shows how the revisions in aggregate consumption estimates affect the measure of asset prices. Essay 3 demonstrates how financial constraints affect corporate payout and investment policies. Essay 1: Leading consumption-based asset-pricing models have two major implications: First, investors expect higher future stock market returns when the expected stock market volatility increases. Second, stock market prices decrease monotonically with stock market volatility. Neither implication, however, is supported by data. In the first essay, I introduce a consumption-based model featuring two, fear and euphoria, variances to jointly explain the unstable relation between stock market variance and return, and between stock market variance and price. I also present empirical evidence that supports the model implications. Essay 2: We document novel empirical support for the CCAPM. Real-time consumption has significant explanatory power for the cross-section of expected stock returns, while previous studies have found elusive results using revised latest-vintage data. We also lends support to Kroencke's (2017) conjecture that the Bureau of Economic Analysis filters consumption data by showing that it does so gradually through revisions. The revised data perform poorly in the CCAPM estimation because they are heavily filtered and contain substant (open full item for complete abstract)

Committee: Hui Guo Ph.D. (Committee Chair); Brian Hatch Ph.D. (Committee Member); Hernan Moscoso Boedo Ph.D. (Committee Member) Subjects: Business Administration

Doctor of Philosophy, The Ohio State University, 2018, Economics

This dissertation analyzes the effect of productivity risk on economic fluctuations and asset prices in a production economy. My analysis is based on the direct estimation of various specifications regarding productivity, a key driver of fluctuations in macro quantities and asset prices, and seeks to avoid being the error of reverse-engineering the exogenous productivity process to match asset-pricing data. In the first chapter, I investigate how to justify a sizable long-run consumption risk in a production economy. Informed by the permanent income hypothesis, I propose a non-stationary data generating process for U.S. productivity, which may have persistent trend growth shocks. Parameter estimates using the exact initial Kalman filtering technique are utilized in a standard production economy model with Epstein-Zin preferences. I find that the estimated persistent trend growth shocks to productivity are the key driver of such a sizable long-run consumption risk in the production economy, leading to a low risk-free rate and a higher equity premium. In the second chapter, I investigate whether uncertainty shocks to productivity can help explain a higher equity premium in a production economy. For this analysis, I propose data-generating processes featuring stochastic mean and volatility and then estimate them using the particle filtering technique. I find that uncertainty shocks are persistent only when conditional mean is constant while, once we allow for growth shocks being independent of uncertainty shocks, growth shocks soak up the most portion of the persistence of uncertainty shocks. Thus, uncertainty shocks to productivity have a very little to contribute to generating a sizable risk that the production economy faces. In the third, last chapter, I provide estimates of the relative importance of a shock to a positive macroeconomic event (an upside shock) and a shock to a negative macroeconomic event (a downside shock). The downside shock results in a (open full item for complete abstract)

Committee: Pok-Sang Lam (Advisor); Stephen Cosslett (Committee Member); Robert De Jong (Committee Member) Subjects: Economics

Doctor of Philosophy, The Ohio State University, 2014, Business Administration

This dissertation examines the modeling of asset prices in production economies. Chapter 1 presents a model which endogenizes a key mechanism of many theories of aggregate asset prices. In order to generate time-varying risk premia, many theories assume time-varying volatility. Chapter 1 shows that this channel can be endogenized with precautionary saving motives. Precautionary motives prescribe that, in bad times, next period's consumption should be very sensitive to economic news. High sensitivity in bad times results in time-varying consumption volatility, even in the presence of homoskedastic shocks. This channel is made visible by modeling production, and is amplified with external habit preferences. An estimated model featuring this channel quantitatively accounts for excess return and dividend predictability regressions. It also matches the first two moments of excess equity returns, the risk-free rate, and the second moments of consumption, output, and investment. Chapter 2 shows that the model of Chapter 1 not only addresses aggregate asset prices, but can also be extended to address key facts about the cross section of stock returns. This result is important because a solution to the equity premium puzzle should be informative about risk in general. I add idiosyncratic productivity to the model from Chapter 1. I find that the model's expected returns are log-linear in book-to-market equity, consistent with the data. Moreover, the slope of the relationship is similar. In both the model and the data, a 20% higher book-to-market implies a 100 b.p. increase in expected returns. The result is robust. It requires neither operating leverage nor asymmetric adjustment costs. Rather, value firms are low productivity firms, and mean reversion causes them to have high cash flow growth. This prediction is inconsistent with conventional wisdom, but consistent with recent empirical evidence. I present additional empirical evidence showing that value f (open full item for complete abstract)

Committee: Lu Zhang (Advisor); Xiaoji Lin (Committee Member); René Stulz (Committee Member); Julia Thomas (Committee Member) Subjects: Finance

Doctor of Philosophy, The Ohio State University, 2010, Economics

The first essay, “Pricing Housing Market Returns,” finds the housing premium to be smaller than the equity premium. Using state-level data that spans the 1983 to 2006 period, I estimate the asset pricing Euler equations from the intertemporal consumption problem faced by a representative consumer with Epstein-Zin (EZ) preferences. The EZ Capital Asset Pricing Model captures a large proportion of the variation in housing returns over the sample period, and I find there to be heterogeneity in the structural parameter estimates across geographies. Controlling for the risk priced by the model and the consumption value of housing, I find that the housing premium is smaller than the equity premium. This result is surprising given that frictions, such as high transaction costs and borrowing constraints, affect the investor in housing more than the investor in equities. I examine institutional differences between the asset classes and find that some of the difference between the two premia may be related to differences in the tax treatment between the two asset classes. The second essay, “Non-durable Consumption Volatility and Illiquid Assets,” finds that factors beyond the volatility of asset payoffs may significantly affect the volatility of the agent's consumption stream. The empirical failure of consumption-based asset pricing models is often attributed to the lack of volatility in aggregate measures of consumption. However, I illustrate in this paper that frictions faced by agents may lead to much higher levels of volatility in individual consumption than we observe in the aggregate data. I develop a life-cycle model of in which the consumer derives utility from non-durable consumption and stock in a risky asset: housing. Non-convex adjustment costs generate lumpy changes in the stock of the risky asset over the life-cycle. The model predicts that non-durable consumption volatility is increasing in both the ability to borrow against the assets held in the consumer's (open full item for complete abstract)

Committee: Pok-sang Lam PhD (Committee Chair); Donald Haurin PhD (Committee Member); Mario Miranda PhD (Committee Member) Subjects: Economics; Finance

Doctor of Philosophy, The Ohio State University, 2008, Economics

My dissertation addresses two main issues regarding asset returns: econometric modeling of asset returns in chapters 2 and 3 and puzzling features of the standard consumption-based asset pricing model (C-CAPM) in chapters 4 and 5. Chapter 2 develops a new theoretical derivation for the GARCH-skew-t model as a mixture distribution of normal and inverted-chi-square in order to represent the three important stylized facts of financial data: volatility clustering, skewness and thick-tails. The GARCH-skew-t is same as the GARCH-t model if the skewness parameter is shut-off. The GARCH-skew-t is applied to U.S. excess stock market returns, and the equity premium is computed based on the estimated model. It is shown that skewness and kurtosis can have significant effect on the equity premium and that with sufficiently negatively skewed distribution of the excess returns, a finite equity premium can be assured, contrary to the case of the Student t in which an infinite equity premium arises. Chapter 3 provides a new empirical guidance for modeling a skewed and thick-tailed error distribution along with GARCH effects based on the theoretical derivation for the GARCH-skew-t model and empirical findings on the Realized Volatility (RV) measure, constructed from the summation of higher frequency squared (demeaned) returns. Based on an 80-year sample of U.S. daily stock market returns, it is found that the distribution of monthly RV conditional on past returns is approximately the inverted-chi-square while monthly market returns, conditional on RV and past returns are normally distributed with RV in both mean and variance. These empirical findings serve as the building blocks underlying the GARCH-skew-t model. Thus, the findings provide a new empirical justification for the GARCH-skew-t modeling of equity returns. Moreover, the implied GARCH-skew-t model accurately represents the three important stylized facts for equity returns. Chapter 4 provides a possible solution to asset r (open full item for complete abstract)

Committee: J. Huston McCulloch (Advisor); Paul Evans (Committee Member); Pok-sang Lam (Committee Member) Subjects:

PHD, Kent State University, 2008, College of Business and Entrepreneurship, Ambassador Crawford / Department of Finance

Nations have broadly varying cultures of equity financing. This dissertation examines both cross-national differences in the price of equity risk and cross-national differences in preference for equity financing, with a view toward how social factors such as trust, in the sense of actual and perceived contract reliability, affects nations' cultures of equity. As a planning measure for long-term investments, the equity premium is an important estimate. Nevertheless, there is little agreement on the empirical estimates of the equity premium in various countries or on the methods most appropriate for estimating the equity premium. Using improved and consistent methodologies, for the first time this dissertation provides equity premium estimates using two different estimation procedures for wide sample of countries covering a recent eight-year period. While Residual Income Growth (RIV) and Abnormal Earnings Growth (AEG) estimates follow similar trends though time, it is found that AEG estimates are consistently lower and less variable. Next, unlike prior studies, this dissertation assesses national characteristics as determinants of cross-border differences in equity premia. It is found that country equity premia narrow with greater concentration of equity ownership and greater economic inequality. Country equity premia widen with more uncertainty avoidance as well as more stock and bond market development, and better legal protection and regulatory quality. Results point to non-pecuniary benefits to holding equity or to controlling ownerships having preferential access to capital. Further, there is little research on the degree to which nations' reliance on markets versus institutions is determined by cultural, legal, and other national characteristics. This dissertation documents that national preference for market financing is associated with increased private monitoring of banks, market openness, and market concentration. Less national preference for market financi (open full item for complete abstract)

Committee: Raj Aggarwal PhD (Committee Co-Chair); John Thornton PhD (Committee Co-Chair); Michael Ellis PhD (Committee Member) Subjects: Finance