Uncertain booms and fragility / Michael Junho Lee.

Format:

Book

Manuscript

Thesis/Dissertation

Author/Creator:

Lee, Michael Junho, author.

Contributor:

Yilmaz, Bilge, 1968- degree supervisor.

Kihlstrom, Richard, degree committee member.

Levit, Doron, degree committee member.

University of Pennsylvania. Department of Finance, degree granting institution.

Language:

English

Subjects (All):

Penn dissertations--Finance.

Finance--Penn dissertations.

Local Subjects:

Penn dissertations--Finance.

Finance--Penn dissertations.

Physical Description:

vi, 79 leaves : illustrations ; 29 cm

Production:

[Philadelphia, Pennsylvania] : University of Pennsylvania, 2016.

Summary:

I develop a framework of the build-up and outbreak of financial crises in an asymmetric information setting. In equilibrium, two distinct economic states arise endogenously: normal times--periods of modest investment, and booms--periods of expansionary investment. Normal times occur when the intermediary sector realizes moderate investment opportunities. Booms occur when the intermediary sector realizes many investment opportunities, but also occur when it realizes very few opportunities. As a result, investors face greater uncertainty in booms. During a boom, subsequent arrival of negative information about an intermediary asset results in large downward shifts in investors' confidence about the underlying quality of long-term assets. A crisis of confidence ensues. Investors collectively force costly early liquidation of the intermediated assets and move capital to safe assets, in a flight-to-quality episode.

Notes:

Ph. D. University of Pennsylvania 2016.

Department: Finance.

Supervisor: Bilge Yilmaz.

Includes bibliographical references.

OCLC:

960100897