Doctor of Philosophy, The Ohio State University, 2016, Family Resource Management

With an aging population, an increasing number of people including the baby boomers are entering their retirement age. The need for appropriate financial planning for the elderly is an important issue as most of them will need to depend on their retirement savings for expenditures in their retirement. The elderly people's well-being will hinge on how well they manage their personal finances. Yet there are many challenges facing the older population with respect to personal financial management. One of the most important challenges is that many elderly people have mental health conditions which may affect their ability to manage their household portfolios. This study examines the influences of different kinds of mental health conditions including depression, memory problems, sleep problems and psychiatric problems on household portfolio choice. This study specifically examines two potential significant mechanisms by which mental health conditions might affect household portfolio choice, namely direct influence of mental health on portfolio choice and indirect influence of mental health on portfolio choice through affecting cognitive ability. Based on the theoretical background on the relationship among mental health conditions, cognitive ability and portfolio choice, a model concerning these factors is established. Empirical specifications are built based on health and personal financial management literature. Several research hypotheses are developed to test the direct and indirect influences of mental health conditions on household portfolio choice. Panel regression analyses with fixed effects and mediation models are used to test the hypotheses concerning portfolio decisions in older households in various empirical specifications. Using data from the Health and Retirement Study, this study finds that elderly persons suffering from mental health conditions, including memory problems and depression, have significantly lower cognitive ability than those withou (open full item for complete abstract)

Committee: Tansel Yilmazer (Advisor); Sherman Hanna (Committee Member); Catherine Montalto (Committee Member); Robert Scharff (Committee Member) Subjects: Behavioral Sciences; Economics; Finance; Health

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

This dissertation examines three distinct questions within the international portfolio choice literature. In chapter one, I study the change in the equity home bias during the financial panic of 2008. Using a sample of 45 countries, I document that the equity home bias fell. This is puzzling because theories of home bias and portfolio choice under uncertainty predict that during a crisis, the home bias should increase. With a novel methodology, I show that the active trades of investors, which increased the home bias, were subsumed by the passive valuation changes in their portfolio holdings, which decreased the home bias. I find evidence consistent with a role for portfolio rebalancing, increased information asymmetries, and the familiarity bias in portfolio allocations during the crisis. In chapter two, I analyze the impact of aggregate changes in U.S. demand for foreign stocks on U.S. firm-level stock prices. Separating U.S. net flows into outflows and inflows, I document that stocks with higher sensitivity to outflows earn significantly lower risk-adjusted returns. High outflows-beta firms tend to be smaller, younger, more volatile, and less globally diversified. Using firm-level, risk-adjusted returns, I find that the significantly negative premium is not subsumed by these characteristics or others commonly associated with misvaluation or limits to arbitrage. I show that the return on an outflows-mimicking portfolio is predictable and largely concentrated during periods when the demand for foreign equity is likely to fall, i.e., following reduced wealth, increased uncertainty, and reduced sentiment. The results are consistent with sensitivity to aggregate changes in U.S. demand for foreign stocks affecting firm-level U.S. stock returns. In chapter three, I study why U.S. investors' foreign portfolio share nearly doubled from 1994 to 2010. Using a sample of monthly bilateral equity holdings between investors in the U.S. and 45 countries, I document that (open full item for complete abstract)

Committee: René Stulz Ph.D. (Committee Chair); Kewei Hou Ph.D. (Committee Member); Ingrid Werner Ph.D. (Committee Member) Subjects: Finance

Doctor of Philosophy, The Ohio State University, 2004, 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 (open full item for complete abstract)

Committee: Pok-sang Lam (Advisor) Subjects: