Short-Sale Constraints and the Pricing of Managerial Skills

We investigate the impact of the absence of short selling on the pricing of managerial skills in the mutual fund industry. In the presence of divergent opinions regarding managerial skills, fund managers can strategically use fees to attract only the most optimistic capital. The recognition of this fee strategy helps explain a set of stylized observations and puzzles in the mutual fund industry, including the underperformance of active funds, the existence of flow convexity, and the negative correlation between gross-of-fee α and fees.

Mutual Funds and Mispriced Stocks

We find a strong negative predictive relation between the propensity of active mutual funds to hold overpriced stocks and their subsequent performance. High-propensity funds, or overpriced funds, display poor stock picking skills as they further purchase overpriced stocks during episodes of fund inflows. Interestingly, overpriced funds attract considerable capital inflows during high sentiment episodes, after controlling for the effects of past fund performance. The overall evidence is consistent with the notion that overpriced funds, unable to improve their stock picking skills through time, target optimistic investors by engaging in marketing activities and catering to preferences for skewed returns.

Outperformance in exchange-traded fund pricing deviations: Generalized control of data snooping bias

An investigation into exchange-traded fund (ETF) outperforrnance during the period 2008-2012 is undertaken utilizing a data set of 288 U.S. traded securities. ETFs are tested for net asset value (NAV) premium, underlying index and market benchmark outperformance, with Sharpe, Treynor, and Sortino ratios employed as risk-adjusted performance measures. A key contribution is the application of an innovative generalized stepdown procedure in controlling for data snooping bias. We find that a large proportion of optimized replication and debt asset class ETFs display risk-adjusted premiums with energy and precious metals focused funds outperforming the S&P 500 market benchmark. 

Mutual Solubilities of Water and Hydrophobic Ionic Liquids

The ionic nature of ionic liquids (ILs) results in a unique combination of intrinsic properties that produces increasing interest in the research of these fluids as environmentally friendly "neoteric" solvents. One of the main research fields is their exploitation as solvents for liquid-liquid extractions, but although ILs cannot vaporize leading to air pollution, they present non-negligible miscibility with water that may be the cause of some environmental aquatic risks. It is thus important to know the mutual solubilities between ILs and water before their industrial applications. In this work, the mutual solubilities of hydrophobic yet hygroscopic imidazolium-, pyridinium-, pyrrolidinium-, and piperidinium-based ILs in combination with the anions bis(trifluoromethylsulfonyl)imide, hexafluorophosphate, and tricyanomethane with water were measured between 288.15 and 318.15 K. The effect of the ILs structural combinations, as well as the influence of several factors, namely cation side alkyl chain length, the number of cation substitutions, the cation family, and the anion identity in these mutual solubilities are analyzed and discussed. The hydrophobicity of the anions increases in the order [C(CN)3] <[PF6] <[Tf2N] while the hydrophobicity of the cations increases from [Cnmim] <[Cnmpy] [Cnmpyr] <[Cnmpip] and with the alkyl chain length increase. From experimental measurements of the temperature dependence of ionic liquid solubilities in water, the thermodynamic molar functions of solution, such as Gibbs energy, enthalpy, and entropy at infinite dilution were determined, showing that the solubility of these ILs in water is entropically driven and that the anion solvation at the IL-rich phase controls their solubilities in water. The COSMO-RS, a predictive method based on unimolecular quantum chemistry calculations, was also evaluated for the description of the water-IL binary systems studied, where it showed to be capable of providing an acceptable qualitative agreement with the experimental data.

Mutual Solubilities of Water and the [Cnmim][Tf2N] Hydrophobic Ionic Liquids

Ionic liquids (ILs) have recently garnered increased attention because of their potential environmental benefits as "green" replacements over conventional volatile organic solvents. While ILs cannot significantly volatilize and contribute to air pollution, even the most hydrophobic ones present some miscibility with water posing environmental risks to the aquatic ecosystems. Thus, the knowledge of ILs toxicity and their water solubility must be assessed before an accurate judgment of their environmental benefits and prior to their industrial applications. In this work, the mutual solubilities for [C2-C8mim][Tf2N] (n-alkyl-3-methylimidazolium bis(trifluoromethylsulfonyl)imide) and water between 288.15 and 318.15 K at atmospheric pressure were measured. Although these are among the most hydrophobic ionic liquids known, the solubility of water in these compounds is surprisingly large, ranging from 0.17 to 0.36 in mole fraction, while the solubility of these ILs in water is much lower ranging from 3.2 × 10-5 to 1.1 × 10-3 in mole fraction, in the temperature and pressure conditions studied. From the experimental data, the molar thermodynamic functions of solution and solvation such as Gibbs energy, enthalpy, and entropy at infinite dilution were estimated, showing that the solubility of these ILs in water is entropically driven. The predictive capability of COSMO-RS, a model based on unimolecular quantum chemistry calculations, was evaluated for the description of the binary systems investigated providing an acceptable agreement between the model predictions and the experimental data both with the temperature dependence and with the ILs structural variations.

Mutual impedance between two dipole antennas fed by single source

We present a new circuit-model approach which can be used to compute the mutual impedance between two dipoles fed at the same feed point. The validity of the method is confirmed by comparison with mutual impedance values obtained when the dipoles are individually excited and orientated at angles between 0degrees and 90degrees. (C) 2004 Wiley Periodicals, Inc.

Parent-off spring associations in wintering brent geese: parental investment or mutual assistance?

The continued parent-offspring associations in the Eastern Canadian High Arctic light-bellied brent goose Branta bernicla hrota was examined to determine whether this is an example of continued parental investment or mutual assistance. Adults with juveniles spend more than twice as much time being vigilant and aggressive than do those without offspring. The loss of a partner, however, does not result in the remaining parent increasing parental care but does result in increased 'self-care' by the juveniles. Neither parents nor single-parent juveniles appear to pay an energetic cost relative to non-parental adults and two-parent juveniles, respectively. Differences in the feeding distribution of parents and non-parents and equivalent or better physical condition suggests that families are able to maintain access to a superior food supply over the winter. Passive 'assistance' by juveniles may assist in maintaining this position in favoured areas, and this is achieved with little overt aggression. The present study thus provides no data that show a net cost to parents by remaining with their juveniles over the winter period. Thus, mutual assistance might be a better explanation of the prolonged association rather than a period of parental investment with an overall cost.