Essays on volatility and liquidity in financial markets

The price formation of financial assets is a complex process. It extends beyond the standard economic paradigm of supply and demand to the understanding of the dynamic behavior of price variability, the price impact of information, and the implications of trading behavior of market participants on prices. In this thesis, I study aggregate market and individual assets volatility, liquidity dimensions, and causes of mispricing for US equities over a recent sample period. How volatility forecasts are modeled, what determines intradaily jumps and causes changes in intradaily volatility and what drives the premium of traded equity indexes? Are they induced, for example, by the information content of lagged volatility and return parameters or by macroeconomic news, changes in liquidity and volatility? Besides satisfying our intellectual curiosity, answers to these questions are of direct importance to investors developing trading strategies, policy makers evaluating macroeconomic policies and to arbitrageurs exploiting mispricing in exchange-traded funds. Results show that the leverage effect and lagged absolute returns improve forecasts of continuous components of daily realized volatility as well as jumps. Implied volatility does not subsume the information content of lagged returns in forecasting realized volatility and its components. The reported results are linked to the heterogeneous market hypothesis and demonstrate the validity of extending the hypothesis to returns. Depth shocks, signed order flow, the number of trades, and resiliency are the most important determinants of intradaily volatility. In contrast, spread shock and resiliency are predictive of signed intradaily jumps. There are fewer macroeconomic news announcement surprises that cause extreme price movements or jumps than those that elevate intradaily volatility. Finally, the premium of exchange-traded funds is significantly associated with momentum in net asset value and a number of liquidity parameters including the spread, traded volume, and illiquidity. The mispricing of industry exchange traded funds suggest that limits to arbitrage are driven by potential illiquidity.

How to improve pupils' literacy? A cost-effectiveness analysis of a French educational project

The Action Lecture program is an innovative teaching method run in some nursery and primary schools in Paris and designed to improve pupils’ literacy. We report the results of an evaluation of this program. We describe the experimental protocol that was built to estimate the program’s impact on several types of indicators. Data were processed following a Differences-in-Differences (DID) method. Then we use the estimation of the impact on academic achievement to conduct a cost-effectiveness analysis and take a reduction of the class size program as a benchmark. The results are positive for the Action Lecture program.

Essays on technology adoption under uncertainty, globalization and economic growth

This thesis examines how the initial institutional and technological aspects of the economy and the reforms that alter these aspects influence long run growth and development. These issues are addressed in the framework of stochastic endogenous growth models and an empirical framework. The thesis is able to explain why developing nations exhibit diverse growth and inequality patterns. Consequently, the thesis raises a number of policy implications regarding how these nations can improve their economic outcomes.

Consumer perceptions of medication warnings about driving : a comparison of French and Australian labels

OBJECTIVE Little research has examined user perceptions of medication warnings about driving. Consumer perceptions of the Australian national approach to medication warnings about driving are examined. The Australian approach to warning presentation is compared with an alternative approach used in France. Visual characteristics of the warnings and overall warning readability are investigated. Risk perceptions and behavioral intentions associated with the warnings are also examined. METHOD Surveys were conducted with 358 public hospital outpatients in Queensland, Australia. Extending this investigation is a supplementary comparison study of French hospital outpatients (n = 75). RESULTS The results suggest that the Australian warning approach of using a combination of visual characteristics is important for consumers but that the use of a pictogram could enhance effects. Significantly higher levels of risk perception were found among the sample for the French highest severity label compared to the analogous mandatory Australian warning, with a similar trend evident in the French study results. The results also indicated that the French label was associated with more cautious behavioral intentions. CONCLUSION The results are potentially important for the Australian approach to medication warnings about driving impairment. The research contributes practical findings that can be used to enhance the effectiveness of warnings and develop countermeasures in this area. Hospital pharmacy patients should include persons with the highest level of likelihood of knowledge and awareness of medication warning labeling. Even in this context it appears that a review of the Australian warning system would be useful particularly in the context of increasing evidence relating to associated driving risks. Reviewing text size and readability of messages including the addition of pictograms, as well as clarifying the importance of potential risk in a general community context, is recommended for consideration and further research.

French version of the Family Attitude Scale : psychometric properties and relation of attitudes to the respondent's psychiatric status

The Family Attitude Scale (FAS) is a self-report measure of critical or hostile attitudes and behaviors towards another family member, and demonstrates an ability to predict relapse in psychoses. Data are not currently available on a French version of the scale. The present study developed a French version of the FAS, using a large general population sample to test its internal structure, criterion validity and relationships with the respondents' symptoms and psychiatric diagnoses, and examined the reciprocity of FAS ratings by respondents and their partners. A total of 2072 adults from an urban population undertook a diagnostic interview and completed self-report measures, including an FAS about their partner. A subset of participants had partners who also completed the FAS. Confirmatory factor analyses revealed an excellent fit by a single-factor model, and the FAS demonstrated a strong association with dyadic adjustment. FAS scores of respondents were affected by their anxiety levels and mood, alcohol and anxiety diagnoses, and moderate reciprocity of attitudes and behaviors between the partners was seen. The French version of the FAS has similarly strong psychometric properties to the original English version. Future research should assess the ability of the French FAS to predict relapse of psychiatric disorders.

An Interview with Sylvère Lotringer, Jean Baudrillard Chair at the European Graduate School and Professor Emeritus of French Literature and Philosophy at Columbia University, on the Architectural Contribution to Semiotext(e), Schizoculture, and the Early Deleuze and Guattari Scene at Columbia University

An Interview with Sylvère Lotringer, Jean Baudrillard Chair at the European Graduate School and Professor Emeritus of French Literature and Philosophy at Columbia University, on the Architectural Contribution to Semiotext(e), Schizoculture, and the Early Deleuze and Guattari Scene at Columbia University, which took place at the Department of French, Columbia University, New York City, July 2003. This interview exists as an audio cassette tape recording.

Essays on momentum investing strategies

The momentum investment strategy, which buys recent winner stocks and sells recent loser stocks, earns returns that are simply too good to be explained by traditional finance theories. This thesis extends our understanding of the sources of momentum profits. The research shows that part of the seemingly anomalous returns can be explained by the market's reaction to public news, is affected by how delisting returns are calculated, and is biased by ignoring the time-varying risk of the trading strategy.

Essays in the political economy of voting and reforms

This thesis presents four essays in the political economy of elections and reforms. The first study exploits discontinuities around school entry cut-off dates to show that early childhood conditions can impact the probability to become a top-flight politician. The second study provides empirical estimates of the effect of sequential voting on turnout and bandwagon voting outside the laboratory. The third work describes a novel nonparametric strategy to identify tactical voting patterns directly from balloting results using British election data. Finally, a study is put forward that examines the political feasibility of reforms.

The French polisher and the unsentimental interior

In January 2011 a swollen Brisbane River broke its banks flooding riverside houses and buildings. The river’s water spread and rose up through storm water drains inundating some 20 000 houses in low-lying land. As the water receded those residents affected by the floods returned to their homes to assess the damage. While some people breathed a sigh of relief others were devastated by the overwhelming damage to their homes and personal belongings. Over the next few weeks the landscape of Brisbane was altered not merely by the mud and debris left by the torrent of water, but by the piles of domestic contents occupying Brisbane streets. Beds, toys, cabinets, plasterboard, tiles and household furniture lined curbsides waiting for collection. Later they would accumulate in public parks and sports centres to await disposal, momentarily creating an unsettling landscape of discarded domestic interiors. While most houses remained standing the heart breaking repercussions were evident in their interiority. Thousands of volunteers flocked to help those affected by the floods to purge the damage left by the water – removing wall and floor linings, discarding furniture and spoilt belongings. In her paper on Hurricane Katrina, Julieanna Preston wrote, ‘What anthropological evidence would we find as we followed their migration – heaps left by the side of the road, the physical weight overcoming the personal value…’ For many of the post flood restored homes and buildings entire interiors have been replaced, eradicating any trace of the significant event that disturbed them only months earlier. There were artifacts that would have survived the floods - furniture of solid timber – these were discarded and with them the patina that marked an important event in history. The patina is beyond technological reproducibility, and as Walter Benjamin writes, this being the whole premise of genuineness. It is the role of the French Polisher to maintain the true wear of the artefact for it is the patina that is most valuable in its ability to narrate the history of a piece. In 2012 two separate exhibitions in Brisbane will take place to display a selected collection of flood-damaged artefacts. This orchestrated way to commemorate the damage left by floods may be a method to compensate for the haste in which the damage was purged from the city. This need for exhibiting damaged artifacts illustrates Andreas Huyssen’s point that "…today memory is understood as a mode of re-presentation and as belonging to the present." This research looks at the dying trade of the French Polisher through conversations and a visual study of flood damaged furniture. The research also investigates the personal loss of artifacts through intimate stories shared by flood victims. This paper seeks to understand why so much was discarded and celebrate what remains.

A comparison of factors influencing perceived risk by French and Australian cyclists and drivers

Differences in the levels of risk perceived by cyclists and car drivers may contribute to the dangers in their interactions. Levels of perceived risk have been shown to vary according to personal and environmental factors and between countries. Cycling rates in France are higher than in Australia, particularly among women. This study investigated whether cultural differences between France and Australia are reflected in perceived risks for experienced adult cyclists and drivers in the two countries. In online surveys, regular cyclists (France 336, Australia 444) and drivers (France 92, Australia 151) were asked to rate the level of risk in six situations: failure to yield; going through a red light; not signalling when turning; swerving; tail-gating; and not checking traffic. The effects of type of interacting vehicle and participant type on perceived risk were similar in France and Australia. However, the influence of responsibility for the risky behaviour differed according to participant type, type of situation and nationality. When the bicycle rider committed the road rule violation, Australian cyclists and drivers gave higher risk ratings than French cyclists and drivers. In both countries, cyclists rated themselves significantly higher than drivers on the perceived control and overconfidence subscales of the perceived skill measure. The French cyclists rated themselves higher than Australian cyclists on these scales, which could be responsible for overall lower perceived risk levels when interacting with a bike. Australian cyclists rated themselves significantly lower than drivers on the incompetence subscale but French cyclists rated themselves higher than drivers. In both countries incompetence scores were positively related to levels of perceived risk. Weekly time was associated with perceived risk in Australia but not in France. Frequency of traffic violations was not associated with perceived risk in either country. In conclusion, levels of perceived risk differed between drivers and cyclists in both countries and were influenced by type of interacting vehicle, experience and perceived skill. However, some differences between the results from the two countries merit further investigation to shed light on potential improvements in safety and cycling participation.

Architecture in the South Pacific : the Ocean of Islands

Architecture in the South Pacific: The Ocean of Islands recounts the recent developments of the South Pacific and its fascinating architecture. This volume traces the European architectural overlay onto this scattered group of islands as well as the transition of these same islands towards a regional identity that has been fashioned by the remoteness of each location, the incomparable setting, and the distinctive ethnic mix of its inhabitants. A series of themed essays present the story of architectural development in the Solomon Islands, Vanuatu, New Caledonia, Fiji, Wallis and Futuna, Tonga, the Cook Islands, Samoa and American Samoa, and French Polynesia. Recent architecture typifies the evolution of the islands as they have been subjected to the transformative waves of alien trade, religion, colonization, war and tourism, followed by post-colonialism and revived nationalism. As with the Pacific region itself, the most prominent characteristic of the architecture is its diversity. The blending of the universal and the local sets the stage for a fresh vision of the South Pacific across a wide range of building types, from spectacular mission churches to sensational resorts in paradise. This book, in full colour, will appeal to architects, armchair-tourists, students and all those for whom the South Pacific is the idyll of their dreams.

Three essays on banks trading activities

With a fair share of the blame for the subprime crisis pointing to banks' extensive involvement in trading, this thesis examines three closely related issues. The first essay shows that regulatory capital arbitrage, insolvency risk, and non-interest income are all important motivations for banks to become involved in trading. The second essay support the widely held perception that trading activities such as off-balance sheet derivatives, securitization, and assets sales all are making banks more opaque. With banks' business model changing from ''originate and hold'' to ''originate, repackage, and sell'', the last essay show that trading channel exist and it has weakened the effectiveness of monetary policy transmission through banks' capital and lending channel.

Affordances of ICTs: an environmental study of a French language unit offered at university level

This project investigates the integration of Information Communication Technologies (ICTs) into educational settings by closely looking at the uptake of the perceived affordances offered by ICTs by students enrolled in a French language course at Queensland University of Technology. This cross-disciplinary research uses the theoretical concepts of: Ecological Psychology (Gibson, 1979; Good, 2007; Reed, 1996); Ecological Linguistics (Greeno, 1994; Leather & van Dam, 2003; van Lier 2000, 2003, 2004a, 2004b); Design (Norman, 1988, 1999); Software Design/ Human-Computer Interaction (Hartson, 2003; McGrenere & Ho, 2000); Learning Design (Conole & Dyke, 2004a, 2004b; Laurillard et al. 2000;); Education (Kirschner, 2002; Salomon, 1993; Wijekumar et al., 2006) and Educational Psychology (Greeno, 1994). In order to investigate this subject, the following research questions, rooted in the theoretical foundations of the thesis, were formulated: (1) What are the learners’ attitudes towards the ICT tools used in the project?; (2) What are the affordances offered by ICTs used in a specific French language course at university level from the perspective of the teacher and from the perspective of language learners?; (3) What affordances offered by ICT tools used by the teacher within the specific teaching and learning environment have been taken up by learners?; and (4) What factors influence the uptake by learners of the affordances created by ICT tools used by the teacher within the specific teaching and learning environment? The teaching phase of this project, conducted between 2006 and 2008, used Action Research procedures (Hopkins, 2002; McNiff & Whitehead, 2002; van Lier 1994) as a research framework. The data were collected using the following combination of qualitative and quantitative methods: (1) questionnaires administered to students (Hopkins, 2002; McNiff & Whitehead, 2002) using Likert-scale questions, open questions, yes/no questions; (2) partnership classroom observations of research participants conducted by Research Participant Advocates (Hopkins, 2002; McNiff & Whitehead, 2002); and (3) a focus group with volunteering students who participated in the unit (semi-structured interview) (Hopkins, 2002; McNiff & Whitehead, 2002). The data analysis confirms the importance of a careful examination of the teaching and learning environment and reveals differences in the ways in which the opportunities for an action offered by the ICTs were perceived by teacher and students, which impacted on the uptake of affordances. The author applied the model of affordance, as described by Good (2007), to explain these differences and to investigate their consequences. In conclusion, the teacher-researcher considers that the discrepancies in perceiving the affordances result from the disparities between the frames of reference and the functional contexts of the teacher-researcher and students. Based on the results of the data analysis, a series of recommendations is formulated supporting calls for careful analysis of frames of reference and the functional contexts of all participants in the learning and teaching process. The author also suggests a modified model of affordance, outlining the important characteristics of its constituents.

A behavioural economics inquiry into inequality in education: Three empirical essays

This thesis investigates behavioural processes for inequality in education and solutions to mitigate such effects, applying conceptual and methodological insights from behavioural and experimental economics. It explores relative age differences in economic preferences of young individuals, the influence of stereotypes and positive discrimination on performance, and evaluates a program that offers strong encouragement for educational achievement of indigenous high school students.