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.

The impacts of environmental and anthropogenic stressors on largemouth bass: an integration of field and laboratory studies

Several environmental stressors can impact the physiology and survival of fishes. Fish experience natural fluctuations in temperature and dissolved oxygen, but variations in these parameters due to anthropogenic sources are typically greater in magnitude and duration. Changes in temperature and oxygen of anthropogenic origins may therefore have larger negative impacts on fish than those occurring during natural events. Physiological parameters are sensitive indicators of the impacts of stressors by providing insight into the manner in which fish are disturbed by the stressor. Fish may display cumulative physiological responses to successive stressors, but the concept of synergy among multiple thermal stressors is poorly understood. Further, some fish species can be subjected to competitive angling events, which expose fish to an array of additional stressors that can increase mortality. The impacts of these events may change over seasons as fish display seasonal changes in behavior and physiology. Latitudinal origin may also affect the physiological response and mortality of fish exposed to common environmental stressors as individual populations are adapted to local environmental conditions. This thesis focuses on addressing these potential impacts on physiological parameters and mortality of largemouth bass (Micropterus salmoides) and provides implications for management and conservation. Largemouth bass were relatively robust to abrupt changes in temperature and oxygen, but were perturbed from physiological homeostasis during large (12°C) temperature shocks and low (< 4 mg O2/L) levels of dissolved oxygen. Cumulative physiological impacts of multiple cold shocks were only slightly greater than the disturbances sustained during a single cold shock, suggesting largemouth bass are able to tolerate successive thermal stressors. Largemouth bass exhibited seasonal changes in physiological parameters but the responses of fish to angling tournaments were relatively similar across seasons when compared with seasonal controls. Mortality was low during angling tournaments held during four seasons and no apparent seasonal trends were observed. Lastly, largemouth bass from two latitudinally separated populations exhibited differences in their physiological responses to acute cold stressors and overwinter mortality, characterized by greater mortality and physiological disturbances of southern fish than northern fish. Knowledge gained from this study can be used to make management and conservation decisions regarding a host of environmental factors and provides insight into the mechanisms by which fish species can persist over large latitudinal ranges.