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.

Exporting the racial republic: African colonization, national citizenship, and the transformation of U.S. expansion, 1776-1864

The effort to create a colony of African Americans on the west coast of Africa was one of the most celebrated and influential movements in the United States during the first half of the 19th century. While historians have often viewed African colonization through the lens of domestic anti-slavery politics, colonization grew from an imperial impulse which promised to transform the identities of black colonists and indigenous Africans by helping them to build a democratic nation from the foundation of a settler colony. By proposing that persons of African descent could eventually become self-governing subjects, the liberal framework behind colonization offered the possibility of black citizenship rights, but only within racially homogenous nation-states, which some proponents of colonization imagined might lead to a “United States of Africa.” This dissertation examines how the notion of expanding democratic ideals through the export of racial nationhood was crucial to the appeal of colonization. It reveals how colonization surfaced in several crucial debates about race, citizenship, and empire in the antebellum United States by examining discussions about African Americans’ revolutionary claims to political rights, the bounds of US territorial expansion, the removal of native populations in North America, and the racialization of national citizenship, both at home and abroad. By examining African colonization from these perspectives, this dissertation argues that the United States’ efforts to construct a liberal democracy defined by white racial identity were directly connected to the nation’s emerging identity as a defender and exporter of political liberty throughout the world.