Essays on financial economics

Financial economics;Non-linear approach;Machine learning

Zhang, He ; McCarthy, Patrick Economics Li, Haizheng Nair-Reichert, Usha Belton, Willie Jayaraman, Narayanan ; McCarthy, Patrick

University:Georgia Institute of Technology

Department:Economics

关键词: Financial economics;    Non-linear approach;    Machine learning;   

Others  :  https://smartech.gatech.edu/bitstream/1853/62828/1/ZHANG-DISSERTATION-2020.pdf

美国|英语

来源: SMARTech Repository

【 摘 要 】

This dissertation explores the problem of what kind of impacts can education of employees have on firms’ financial and economical performances, the problem of how monetary policy made by Federal Reserve Bank can influence the market share of banks in the loan market, and the problem of why Chinese firms give up the premium andIPO overseas. Building upon the previous research, this dissertation proposes the methodology of combining machine learning and econometrics to answer the questions that both finance researchers and economists don’t have answers to. The methodological innovation of this dissertation includes the non-linear control function approach, the inference for marginal effects of cubic polynomial variables, and methods of text mining on financial reports. By using these methods/approaches proposed, this dissertation finds out that the education of employees have non-linear effects on firms’ financial/economic performance, that the interest rate adjustments made by Federal Reserve Bank can squeeze small banks out of the loan market, and that the Chinese firms which IPO overseas are giving up the premium for the government protection and information disclosure requirements. These findings fill in the blanks in the financial economics literature of corresponding areas.