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.

Tangible mobile app store design for China's new generation migrant worker

China has the largest numbers of Internet users and mobile phone subscribers in the world, as well as the most extensive peacetime internal migration on the planet. Mobile phone uses play a very important role in migrant responses to alienation and discrimination. There are 150 million to 200 million migrant workers in China, 60% of them are the second-generation migrant workers. They support the nation’s manufacturing and industry. The majority of these individuals is poor and is from rural areas of the country. These young people are currently ignored by mainstream mobile device manufacturers, even though this constituency will be a growing consumptive segment in the future. Thus, my research will target the new-generation migrant workers in China, and concentrates on their mobile lives to best develop a tangible mobile devices application store that will improve their mobile experiences.