Three Essays in Empirical Asset Pricing

The financial crisis of 2007-2008 led to extraordinary government intervention in firms and markets. The scope and depth of government action rivaled that of the Great Depression. Many traded markets experienced dramatic declines in liquidity leading to the existence of conditions normally assumed to be promptly removed via the actions of profit seeking arbitrageurs. These extreme events motivate the three essays in this work. The first essay seeks and fails to find evidence of investor behavior consistent with the broad 'Too Big To Fail' policies enacted during the crisis by government agents. Only in limited circumstances, where government guarantees such as deposit insurance or U.S. Treasury lending lines already existed, did investors impart a premium to the debt security prices of firms under stress. The second essay introduces the Inflation Indexed Swap Basis (IIS Basis) in examining the large differences between cash and derivative markets based upon future U.S. inflation as measured by the Consumer Price Index (CPI). It reports the consistent positive value of this measure as well as the very large positive values it reached in the fourth quarter of 2008 after Lehman Brothers went bankrupt. It concludes that the IIS Basis continues to exist due to limitations in market liquidity and hedging alternatives. The third essay explores the methodology of performing debt based event studies utilizing credit default swaps (CDS). It provides practical implementation advice to researchers to address limited source data and/or small target firm sample size.

An examination of factors that influence entrepreneurial intention of high school students in Kenya

Abstract Considerable research has been carried out on entrepreneurship in efforts to understand its incidence in order to influence and maximize its benefits. Essentially, researchers and policy makers have sought to understand the link between individuals and business creation: Why some people start businesses while others do not. The research indicates that personality traits, individual background factors and association of entrepreneurship with career choice and small business enterprises, cannot sufficiently explain entrepreneurship. It is recognized that entrepreneurship is an intentional process and based on Ajzen’s Theory of Planned Behavior, the most defining characteristic of entrepreneurship is the intention to start a business. The purpose of this study was, therefore, to examine factors that influence entrepreneurial intention in high school students in Kenya. Specifically, the study aimed at determining if there were relationships between the perceptions of desirability, and feasibility of entrepreneurship with entrepreneurial intention of the students, identifying any difference in these perceptions with students of different backgrounds, and developing a model to predict entrepreneurship in the students. The study, therefore, tested how well Ajzen’s Theory of Planned Behavior applied in the Kenyan situation. A questionnaire was developed and administered to 969 final year high school students at a critical important point in their career decision making. Participants were selected using a combined convenience and random sampling technique, considering gender, rural/urban location, cost, and accessibility. Survey was the major method of data collection. Data analysis methods included descriptive statistics, correlation, ANOVA, factor analysis, effect size, and regression analysis. iii The findings of this study corroborate results from past studies. Attitudes are found to influence intention, and the attitudes to be moderated by individual background factors. Perceived personal desirability of entrepreneurship was found to have the greatest influence on entrepreneurial intention and perceived feasibility the lowest. The study findings also showed that perceived social desirability and feasibility of entrepreneurship contributed to perception of personal desirability, and that the background factors, including gender and prior experience, influenced entrepreneurial intention both directly and indirectly. In addition, based on the literature reviewed, the study finds that entrepreneurship promotion requires reduction of the high small business mortality rate and creation of both entrepreneurs and entrepreneurial opportunities (Kruger, 2000; Shane & Venkataraman, 2000). These findings have theoretical and practical implications for researchers, policy makers, teachers, and other entrepreneurship practitioners in Kenya.