Are Idiosyncratic Skewness and Idiosyncratic Kurtosis Priced?

This thesis investigates the pricing effects of idiosyncratic moments. We document that idiosyncratic moments, namely idiosyncratic skewness and idiosyncratic kurtosis vary over time. If a factor/characteristic is priced, it must show minimum variation to be correlated with stock returns. Moreover, we can identify two structural breaks in the time series of idiosyncratic kurtosis. Using a sample of US stocks traded on NYSE, AMEX and NASDAQ markets from January 1970 to December 2013, we run Fama-MacBeth test at the individual stock level. We document a negative and significant pricing effect of idiosyncratic skewness, consistent with the finding of Boyer et al. (2010). We also report that neither idiosyncratic volatility nor idiosyncratic kurtosis are consistently priced. We run robustness tests using different model specifications and period sub-samples. Our results are robust to the different factors and characteristics usually included in the Fama-MacBeth pricing tests. We also split first our sample using endogenously determined structural breaks. Second, we divide our sample into three equal sub-periods. The results are consistent with our main findings suggesting that expected returns of individual stocks are explained by idiosyncratic skewness. Both idiosyncratic volatility and idiosyncratic kurtosis are irrelevant to asset prices at the individual stock level. As an alternative method, we run Fama-MacBeth tests at the portfolio level. We find that idiosyncratic skewness is not significantly related to returns on idiosyncratic skewness-sorted portfolios. However, it is significant when tested against idiosyncratic kurtosis sorted portfolios.

Are Idiosyncratic Skewness and Idiosyncratic Kurtosis Priced?

This thesis investigates the pricing effects of idiosyncratic moments. We document that idiosyncratic moments, namely idiosyncratic skewness and idiosyncratic kurtosis vary over time. If a factor/characteristic is priced, it must show minimum variation to be correlated with stock returns. Moreover, we can identify two structural breaks in the time series of idiosyncratic kurtosis. Using a sample of US stocks traded on NYSE, AMEX and NASDAQ markets from January 1970 to December 2013, we run Fama-MacBeth test at the individual stock level. We document a negative and significant pricing effect of idiosyncratic skewness, consistent with the finding of Boyer et al. (2010). We also report that neither idiosyncratic volatility nor idiosyncratic kurtosis are consistently priced. We run robustness tests using different model specifications and period sub-samples. Our results are robust to the different factors and characteristics usually included in the Fama-MacBeth pricing tests. We also split first our sample using endogenously determined structural breaks. Second, we divide our sample into three equal sub-periods. The results are consistent with our main findings suggesting that expected returns of individual stocks are explained by idiosyncratic skewness. Both idiosyncratic volatility and idiosyncratic kurtosis are irrelevant to asset prices at the individual stock level. As an alternative method, we run Fama-MacBeth tests at the portfolio level. We find that idiosyncratic skewness is not significantly related to returns on idiosyncratic skewness-sorted portfolios. However, it is significant when tested against idiosyncratic kurtosis sorted portfolios.

EARLY LIFE EXPOSURE TO GENISTEIN AND DAIDZEIN DISRUPTS STRUCTURAL DEVELOPMENT OF REPRODUCTIVE ORGANS IN FEMALE MICE

In mice, exposure to isoflavones (ISO), abundant in soy infant formula, during the first 5 d of life alters structural and functional development of reproductive organs. Effects of longer exposures are unknown. The study objective was to evaluate whether exposure to a combination of daidzein and genistein in the first 10 compared to 5 d of life results in greater adverse effects on ovarian and uterine structure in adult mice. Thirteen litters of 8–12 pups were cross-fostered and randomized to corn oil or ISO (2 mg daidzein + 5 mg genistein/kg body weight/d) for the first 5 or 10 d of life. The 10-d protocol mimicked the period when infants are fed soy protein formula (SPF) but avoids the time when suckling pups can consume the mother’s diet. Body and organ weights and histology of ovaries and uteri were analyzed. There were no differences in the ovary or uterus weight, number of ovarian follicles, number of multiple oocyte follicles, or percent of ovarian cysts with 5 or 10 d of ISO intervention compared to respective controls. The 10-d ISO group had higher body weights from 6 d to 4 mo. of age and a higher percent of hyperplasia in the oviduct than the respective control. Lower numbers of ovarian corpus lutea and a higher incidence of abnormal changes were reported in the uteri of both ISO groups compared to their respective controls. Five- and 10-d exposure to ISO had similar long-lasting adverse effects on the structures of ovaries and uterus in adult mice. Only the 10-d ISO exposure resulted in greater body weight gain at adulthood.

STRUCTURAL ANALYSIS, LAYER THICKNESS MEASUREMENTS AND MINERALOGICAL INVESTIGATION OF THE LARGE INTERIOR LAYERED DEPOSIT WITHIN GANGES CHASMA, VALLES MARINERIS, MARS

The interior layered deposit (ILD) in Ganges Chasma, Valles Marineris, is a 4.25 km high mound that extends approximately 110 km from west to east. The deposition, deformation, and erosion history of the Ganges ILD records aids in identifying the processes that formed and shaped the Chasma. To interpret structural and geomorphic processes acting on the ILD, multiple layer attitudes and layer thickness transects were conducted on the Ganges ILD. Mineralogical data was analyzed to determine correlations between materials and landforms. Layer thickness measurements indicate that the majority of layers are between 0.5 m and 4 m throughout the ILD. Three major benches dominate the Ganges ILD. Layer thicknesses increase at the ILD benches, suggesting that the benches are formed from the gradual thickening of layers. This indicates that the benches are depositional features draping over basement topography. Layer attitudes indicate overall shallow dips generally confined to a North-South direction that locally appear to follow bench topography. Layering is disrupted on a scale of 40 m to 150 m in 12 separate locations throughout the ILD. In all locations, underlying layering is disturbed by overlying folded layers in a trough-like geometry. These features are interpreted to have formed as submarine channels in a lacustrine setting, subsequently infilled by sediments. Subsequently, the channels were eroded to the present topography, resulting in the thin, curved layering observed. Data cannot conclusively support one ILD formation hypothesis, but does indicate that the Ganges ILD postdates Chasma formation. The presence of water altered minerals, consistently thin layering, and layer orientations provide strong evidence that the ILD formed in a lacustrine setting.