Dissertation
Essays on stock return volatility in bank holding company and trading by company insider and institutional investors
Washington State University
Doctor of Philosophy (PhD), Washington State University
08/2010
DOI:
https://doi.org/10.7273/000005645
Abstract
Chapter one, "Insider Trading and Risk Taking in BHCs", documents a significant and positive relation between current and past quarter insider purchases (net demand) and current quarter changes in risk taking for BHCs with lower than average capital ratios over the 1995- 2003 time period. My findings are consistent with the argument that the dramatic increase in the use of equity-based compensation combined with banks' high leverage has had a substantial impact on bank managers' willingness to take risk. Chapter two, "Institutional Investor Demand and Idiosyncratic Volatility: Are Bank Holding Companies Special?" examines the relation between quarterly institutional demand and the previous quarter's change in idiosyncratic volatility. While changes in percentage institutional ownership are inversely related to the previous quarter's changes in idiosyncratic volatility of non-financial stocks in the NYSE/AMEX/Nasdaq common stock universe, they are not significantly related to the previous quarter's changes in idiosyncratic volatility of BHC stocks. I find that the risk-seeking affiliated trust departments of BHCs appear to increase their holdings of parent company stock following an increase in idiosyncratic volatility during the period from 1986 to 1996, thereby offsetting any aversion to the increased risk by other institutions. In addition, institutional investors' overall indifference to risk-taking changes among BHCs is likely also due to the low level of idiosyncratic volatility and few opportunities for informed trading in the banking industry.
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Details
- Title
- Essays on stock return volatility in bank holding company and trading by company insider and institutional investors
- Creators
- Dandan Wu
- Contributors
- David A. Whidbee (Chair)Donna L Paul (Committee Member) - Washington State University, Department of Finance and Management ScienceHarry J Turtle (Committee Member)
- Awarding Institution
- Washington State University
- Academic Unit
- Carson College of Business
- Theses and Dissertations
- Doctor of Philosophy (PhD), Washington State University
- Publisher
- Washington State University
- Number of pages
- 128
- Identifiers
- 99901054738201842
- Language
- English
- Resource Type
- Dissertation