Date of Graduation


Document Type


Degree Name

Doctor of Philosophy in Business Administration (PhD)

Degree Level





Timothy Yeager

Committee Member

Wayne Lee

Second Committee Member

Craig Rennie


Active Investment, Bond Mutual Fund Performance, Bootstrap Simulation, Deregulation, Systemic Risk, Volatility Forecasting


The Financial Services Modernization Act of 1999, also known as the Gramm–Leach–Bliley Act (“Act”), repealed a regulatory proscription in the Glass–Steagall Act of 1933 that prohibited commercial bank holding companies (BHCs) from underwriting most bonds, equities, and insurance policies. After the passage of the Act in November 1999, BHCs that converted to financial holding companies (FHCs) were allowed to engage in securities underwriting without restrictions. The first paper examines whether the removal of barriers to securities underwriting had an adverse impact on the overall stability of the financial sector, and thereby, contributed indirectly to the financial crisis of 2008. The DCC-GARCH time series model is applied to simulate bank returns for estimating several systemic risk measures. Comparing FHCs with various matched samples of banking organizations, we find an economically small increase in systemic risk at FHCs that resulted from the bank’s shift into previously ineligible activities. However, we find an economically large increase in systemic risk at FHCs that results indirectly from their rapid growth in assets.

In the second paper, bootstrap simulations based on U.S. open-end actively-managed domestic bond mutual funds between 1999 and 2016 show benchmark-adjusted returns that more than cover costs. The top 10% of all bond mutual funds generate significant precision-adjusted alpha 𝑡(𝛼) from timing and selection. Results hold for government and corporate bond funds as well as across bond mutual funds stratified by assets under management (AUM). Timing is more important than selection, particularly in short 3-year horizons. Selection matters most for the largest bond mutual funds with AUM>$750M. The economic value (EV) from active management by the top 10% of bond mutual funds is 20 bps and 6.5 bps on AUM from timing and selection respectively. EV from timing of 37 bps is highest for the top 10% of corporate bond mutual funds, and from selection of 25 bps, is highest for the top 10% of bond mutual funds with AUM>$750M.