Essays on stock return volatility in bank holding company and trading by company insider and institutional investors
Why this work is in the frame
A frame that forgets how it found something cannot be audited. These are the routes that admitted this work.
Bibliographic record
Abstract
Chapter one, "Insider Trading and Risk Taking in BHCs", documents a significant and positive relation between current and past quarter insider purchases (net demand) and current quarter changes in risk taking for BHCs with lower than average capital ratios over the 1995- 2003 time period. My findings are consistent with the argument that the dramatic increase in the use of equity-based compensation combined with banks' high leverage has had a substantial impact on bank managers' willingness to take risk. Chapter two, "Institutional Investor Demand and Idiosyncratic Volatility: Are Bank Holding Companies Special?" examines the relation between quarterly institutional demand and the previous quarter's change in idiosyncratic volatility. While changes in percentage institutional ownership are inversely related to the previous quarter's changes in idiosyncratic volatility of non-financial stocks in the NYSE/AMEX/Nasdaq common stock universe, they are not significantly related to the previous quarter's changes in idiosyncratic volatility of BHC stocks. I find that the risk-seeking affiliated trust departments of BHCs appear to increase their holdings of parent company stock following an increase in idiosyncratic volatility during the period from 1986 to 1996, thereby offsetting any aversion to the increased risk by other institutions. In addition, institutional investors' overall indifference to risk-taking changes among BHCs is likely also due to the low level of idiosyncratic volatility and few opportunities for informed trading in the banking industry.
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Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.000 | 0.000 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.000 | 0.000 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.000 | 0.002 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.000 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it