Liquidity risk and the performance of UK mutual funds

We examine the role of liquidity risk, both as a stock characteristic as well as systematic liquidity risk, in UK mutual fund performance for the first time. Using four alternative measures of stock liquidity we extract principal components across stocks in order to construct systematic or market liquidity factors. We find that on average UK mutual funds are tilted towards liquid stocks (except for small stock funds as might be expected) but that, counter-intuitively, liquidity as a stock characteristic is positively priced in the cross-section of fund performance. We find that systematic liquidity risk is positively priced in the cross-section of fund performance. Overall, our results reveal a strong role for stock liquidity level and systematic liquidity risk in fund performance evaluation models.

Pairs trading in the UK equity market: risk and return

In this paper, we provide the first comprehensive UK evidence on the profitability of the pairs trading strategy. Evidence suggests that the strategy performs well in crisis periods, so we control for both risk and liquidity to assess performance. To evaluate the effect of market frictions on the strategy, we use several estimates of transaction costs. We also present evidence on the performance of the strategy in different economic and market states. Our results show that pairs trading portfolios typically have little exposure to known equity risk factors such as market, size, value, momentum and reversal. However, a model controlling for risk and liquidity explains a far larger proportion of returns. Incorporating different assumptions about bid-ask spreads leads to reductions in performance estimates. When we allow for time-varying risk exposures, conditioned on the contemporaneous equity market return, risk-adjusted returns are generally not significantly different from zero.

Leveraging lessons learned in organizations through implementing practice-based organizational learning and performance improvement - An opportunity for context-based intelligent assistant support (CIAS)

Organizations that leverage lessons learned from their experience in the practice of complex real-world activities are faced with five difficult problems. First, how to represent the learning situation in a recognizable way. Second, how to represent what was actually done in terms of repeatable actions. Third, how to assess performance taking account of the particular circumstances. Fourth, how to abstract lessons learned that are re-usable on future occasions. Fifth, how to determine whether to pursue practice maturity or strategic relevance of activities. Here, organizational learning and performance improvement are investigated in a field study using the Context-based Intelligent Assistant Support (CIAS) approach. A new conceptual framework for practice-based organizational learning and performance improvement is presented that supports researchers and practitioners address the problems evoked and contributes to a practice-based approach to activity management. The novelty of the research lies in the simultaneous study of the different levels involved in the activity. Route selection in light rail infrastructure projects involves practices at both the strategic and operational levels; it is part managerial/political and part engineering. Aspectual comparison of practices represented in Contextual Graphs constitutes a new approach to the selection of Key Performance Indicators (KPIs). This approach is free from causality assumptions and forms the basis of a new approach to practice-based organizational learning and performance improvement. The evolution of practices in contextual graphs is shown to be an objective and measurable expression of organizational learning. This diachronic representation is interpreted using a practice-based organizational learning novelty typology. This dissertation shows how lessons learned when effectively leveraged by an organization lead to practice maturity. The practice maturity level of an activity in combination with an assessment of an activity’s strategic relevance can be used by management to prioritize improvement effort.

An investigation of implicit measurement techniques amongst low risk and forensic samples

There are difficulties with utilising self- report and physiological measures of assessment amongst forensic populations. This study investigates implicit based measures amongst sexual offenders, nonsexual offenders and low risk samples. Implicit measurement is a term applied to measurement methods that makes it difficult to influence responses through conscious control. The test battery includes the Implicit Association Test (IAT), Rapid Serial Visual Presentation (RSVP), Viewing Time (VT) and the Structured Clinical interview for disorders. The IAT proposes that people will perform better on a task when they depend on well-practiced cognitive associations. The RSVP task requires participants to identify a single target image that is presented amongst a series of rapidly presented visual images. RSVP operates on the premise that if two target images are presented within 500milliseconds of each other, the possibility that the participant will recognize the second target is significantly reduced when the first target is of salience to the individual. This is the attentional blink phenomenon. VT is based on the principle that people will look longer at images that are of salience. Results showed that on the VT task, child sexual offenders took longer to view images of children than low risk groups. Nude over clothed images induced a greater attentional blink amongst low risk and offending samples on the RSVP task. Sexual offenders took longer than low risk groups on word pairing tasks where sexual words were paired with adult words on the IAT. The SCID highlighted differences between the offending and non offending groups on the sub scales for personality disorders. More erotic stimulus items on the VT and RSVP measures is recommended to better differentiate sexual preference between offending and non offending samples. A pictorial IAT is recommended. Findings provide the basis for further development of implicit measures within the assessment of sexual offenders.

The legitimation of risk and democracy: A case study of Bt cotton in Andhra Pradesh, India

This thesis explores the inter-related attempts to secure the legitimation of risk and democracy with regard to Bt cotton, a genetically modified crop, in the state of Andhra Pradesh in India. The research included nine months of ethnographic fieldwork, extensive library and newspaper research, as well as university attendance in India, undertaken between June, 2010 and March, 2011. This comparative study (involving organic, NPM and Bt cotton cultivation) was conducted in three villages in Telangana, a region which was granted secession from Andhra Pradesh in July, 2013, and in Hyderabad, the state capital. Andhra Pradesh is renowned for its agrarian crisis and farmer suicides, as well as for the conflict which Bt cotton represents. This study adopts the categories of legitimation developed by Van Leeuwen (2007; 2008) in order to explore the theory of risk society (Beck, 1992; 1994; 1999; 2009), and the Habermasian (1996: 356-366) core-periphery model as means of theoretically analysing democratic legitimacy. The legitimation of risk and democracy in relation to Bt cotton refers to normative views on the way in which power should be exercised with regard to risk differentiation, construction and definition. The analysis finds that the more legitimate the exercise of power, the lower the exposure to risk as a concern for the collective. This also has consequences for the way in which resources are distributed, knowledge constructed, and democratic praxis institutionalised as a concern for social and epistemic justice. The thesis argues that the struggle to legitimate risk and democracy has implications not only for the constitution of the new state of Telangana and the region’s development, but also for the emergence of global society and the future development of humanity as a whole.