Financial institutions and asset prices
File(s)
Author(s)
Ding, Lei
Type
Thesis
Abstract
This thesis analyses the role of financial institutions in determining asset prices both theoretically and empirically, and consists of three papers. Chapter 1 provides the motivation and a detailed summary of the three papers. Chapter 2 focuses on the hedge fund industry that has come to play a prominent role in today's financial markets due to its explosive growth. Fierce competition for funds generates relative performance objectives for managers. This paper studies how a hedge-fund manager's investment decision is affected by her tournament concern, incentive contract and liquidation threat. Chapter 3 examines the impact of both managerial capital and delegated capital on asset-market equilibrium by generalising the marginal investor to be a portfolio manager who is paid a relative performance fee. This chapter studies whether it is possible to stabilise financial markets by adopting a less centralized approach based on the idea of altering institutional incentives before a crisis rather than remedial actions after a crisis. Given that the model in Chapter 3 is an example of equity risk-capital models that fit the facts surrounding bank-based intermediaries, Chapter 4 investigates the characteristics of banks' balance sheets and also suggest that banks' balance sheets convey information on predicting subsequent asset-market variations. Chapter 5 concludes.
Version
Open Access
Date Issued
2014-03
Date Awarded
2014-11
Copyright Statement
Attribution NoDerivatives 4.0 International Licence (CC BY-ND)
Advisor
Bhamra, Harjoat
Distaso, Walter
Publisher Department
Business School
Publisher Institution
Imperial College London
Qualification Level
Doctoral
Qualification Name
Doctor of Philosophy (PhD)