Exchange-traded funds and information asymmetry

This thesis focuses on three main questions. The first uses ExchangeTraded Funds (ETFs) to evaluate estimated adverse selection costs obtained spread decomposition models. The second compares the Probability of Informed Trading (PIN) in Exchange-Traded Funds to control securities. The third examines the intra-day ETF trading patterns. These spread decomposition models evaluated are Glosten and Harris (1988); George, Kaul, and Nimalendran (1991); Lin, Sanger, and Booth (1995); Madhavan, Richardson, and Roomans (1997); Huang and Stoll (1997). Using the characteristics of ETFs it is shown that only the Glosten and Harris (1988) and Madhavan, et al (1997) models provide theoretically consistent results. When the PIN measure is employed ETFs are shown to have greater PINs than control securities. The investigation of the intra-day trading patterns shows that return volatility and trading volume have a U-shaped intra-day pattern. A study of trading systems shows that ETFs on the American Stock Exchange (AMEX) have a U-shaped intra-day pattern of bid-ask spreads, while ETFs on NASDAQ do not. Specifically, ETFs on NASDAQ have higher bid-ask spreads at the market opening, then the lowest bid-ask spread in the middle of the day. At the close of the market, the bid-ask spread of ETFs on NASDAQ slightly elevated when compared to mid-day.

Structural funds and the knowledge-based economy:a regional case-study (1999-2009)

The research presented in this thesis investigates the nature of the relationship between the development of the Knowledge-Based Economy (KBE) and Structural Funds (SF) in European regions. A particular focus is placed on the West Midlands (UK) and Silesia (Poland). The time-frame taken into account in this research is the years 1999 to 2009. This is methodologically addressed by firstly establishing a new way of calculating the General Index of the KBE for all of the EU regions; secondly, applying a number of statistical methods to measure the influence of the Funds on the changes in the regional KBE over time; and finally, by conducting a series of semi-structured stakeholder interviews in the two key case study regions: the West Midlands and Silesia. The three main findings of the thesis are: first, over the examined time-frame, the values of the KBE General Index increased in over 66% of the EU regions; furthermore, the number of the “new” EU regions in which the KBE increased over time is far higher than in the “old” EU. Second, any impact of Structural Funds on the regional KBE occurs only in the minority of the European regions and any form of functional dependency between the two can be observed only in 30% of the regions. Third, although the pattern of development of the regional KBE and the correlation coefficients differ in the cases of Silesia and the West Midlands, the analysis of variance carried out yields identical results for both regions. Furthermore, the qualitative analysis’ results show similarities in the approach towards the Structural Funds in the two key case-study regions.

Reviewing the hedge funds literature I:hedge funds and hedge funds' managerial characteristics

This paper summarizes the literature on hedge funds (HFs) developed over the last two decades, particularly that which relates to managerial characteristics (a companion piece covers the return and risk management characteristics of HFs). It classifies, the current HF literature, suggesting which critical problems have been “solved” and which problems have not been yet adequately addressed. It also discusses the effects of past financial regulation and the prospects for the effect of new financial regulation on the HF industry and its performance and risk management practices, and suggests new avenues for research. Furthermore, it highlights the importance of managerial characteristics for HF performance, and the successes and the shortfalls to date in developing more sophisticated HF-related risk management tools.

Whither critical pedagogy in the neo-liberal university today? Two UK practitioners' reflections on constraints and possibilities

This paper, based on the reflections of two academic social scientists, offers a starting point for dialogue about the importance of critical pedagogy within the university today, and about the potentially transformative possibilities of higher education more generally. We first explain how the current context of HE, framed through neoliberal restructuring, is reshaping opportunities for alternative forms of education and knowledge production to emerge. We then consider how insights from both critical pedagogy and popular education inform our work in this climate. Against this backdrop, we consider the effects of our efforts to realise the ideals of critical pedagogy in our teaching to date and ask how we might build more productive links between classroom and activist practices. Finally, we suggest that doing so can help facilitate a more fully articulated reconsideration of the meanings, purposes and practices of HE in contemporary society. This paper also includes responses from two educational developers, Janet Strivens and Ranald Macdonald, with the aim of creating a dialogue on the role of critical pedagogy in higher education.

Ametropia and ocular biometry in a UK university student population

Purpose. The prevalence of myopia is known to vary with age, ethnicity, level of education, and socioeconomic status, with a high prevalence reported in university students and in people from East Asian countries. This study determines the prevalence of ametropia in a mixed ethnicity U.K. university student population and compares associated ocular biometric measures. Methods. Refractive error and related ocular component data were collected on 373 first-year U.K. undergraduate students (mean age = 19.55 years ± 2.99, range = 17-30 years) at the start of the academic year at Aston University, Birmingham, and the University of Bradford, West Yorkshire. The ethnic variation of the students was as follows: white 38.9%, British Asian 58.2%, Chinese 2.1%, and black 0.8%. Noncycloplegic refractive error was measured with an infrared open-field autorefractor, the Shin-Nippon NVision-K 5001 (Shin Nippon, Ryusyo Industrial Co. Ltd, Osaka, Japan). Myopia was defined as a mean spherical equivalent (MSE) less than or equal to -0.50 D. Hyperopia was defined as an MSE greater than or equal to +0.50 D. Axial length, corneal curvature, and anterior chamber depth were measured using the Zeiss IOLMaster (Carl Zeiss, Jena, GmBH). Results. The analysis was carried out only for white and British Asian groups. The overall distribution of refractive error exhibited leptokurtosis, and prevalence levels were similar for white and British Asian (the predominant ethnic group) students across each ametropic group: myopia (50% vs. 53.4%), hyperopia (18.8% vs. 17.3%), and emmetropia (31.2% vs. 29.3%). There were no significant differences in the distribution of ametropia and biometric components between white and British Asian samples. Conclusion. The absence of a significant difference in refractive error and ocular components between white and British Asian students exposed to the same educational system is of interest. However, it is clear that a further study incorporating formal epidemiologic methods of analysis is required to address adequately the recent proposal that juvenile myopia develops principally from myopiagenic environments and is relatively independent of ethnicity.

The design and implementation of a computer-assisted instruction system in a university environment

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Analysis of variables measured in the visual screening of University of Birmingham freshmen and a critical review of visual screening methods and approach

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University-led innovative and inspirational engineering education

The UK Government and large employers have recognised the skills gap between learners leaving the education system and the requirements of employers. The current system is seen to be failing significant numbers of learners and has been accused of schooling but not educating our young people. University-led technical colleges are one part of the solution being developed to provide outstanding engineering education. This paper focusses on the learning experience that the Aston University Engineering Academy, the first University-led University Technical College (UTC), has created for entrants to the Engineering Academy in September 2012, when it opens in brand new buildings next to the University. The overall aim is to produce technically literate young people that have business and enterprise skills as well as insight into the diverse range of opportunities in Engineering and Technical disciplines. The project has brought University staff and students together with employers and Academy staff to optimise the engineering education that they will receive. The innovative model presented has drawn on research from across the world in the implementation of this new type of school, as well as educational practices from the USA and the Scandinavian countries. The resulting curriculum is authentic and exciting and expands the University model of problem-based learning and placements into the secondary school environment. The benefits of this close partnership for University staff and students, the employers and the Academy staff are expanded on and the paper concludes with a prediction of progression routes from the Academy.

Recent advances in hedge funds' performance attribution:performance persistence and fundamental factors

We survey articles on hedge funds' performance persistence and fundamental factors from the mid-1990s to the present. For performance persistence, we present some pioneering studies that contradict previous findings that hedge funds' performance is a short term matter. We discuss recent innovative studies that examine the size, age, performance fees and other factors to give a 360° view of hedge funds' performance attribution. Small funds, younger funds and funds with high performance fees all outperform the opposite. Long lockup period funds tend to outperform short lockups and domiciled funds tend to outperform offshore funds. This is the first survey of recent innovative and challenging studies into hedge funds' performance attribution, and it should be particularly useful to investors trying to choose between hedge funds.

Advanced optical fibre gratings and applications

DUE TO COPYRIGHT RESTRICTIONS ONLY AVAILABLE FOR CONSULTATION AT ASTON UNIVERSITY LIBRARY AND INFORMATION SERVICES WITH PRIOR ARRANGEMENT This thesis describes a detailed study of advanced optical fibre sensors based on fibre Bragg grating (FBG), tilted fibre Bragg grating (TFBG) and long-period grating (LPG) and their applications in optical communications and sensing. The major contributions presented in this thesis are summarised below.The most important contribution from the research work presented in this thesis is the implementation of in-fibre grating based refractive index (RI) sensors, which could be the good candidates for optical biochemical sensing. Several fibre grating based RI sensors have been proposed and demonstrated by exploring novel grating structures and different fibre types, and employing efficient hydrofluoric acid etching technique to enhance the RI sensitivity. All the RI devices discussed in this thesis have been used to measure the concentration of sugar solution to simulate the chemical sensing. Efforts have also been made to overcome the RI-temperature cross-sensitivity for practical application. The demonstrated in-fibre grating based RI sensors could be further implemented as potential optical biosensors by applying bioactive coatings to realise high bio-sensitivity and bio-selectivity.Another major contribution of this thesis is the application of TFBGs. A prototype interrogation system by the use of TFBG with CCD-array was implemented to perform wavelength division multiplexing (WDM) interrogation around 800nm wavelength region with the advantages of compact size, fast detection speed and low-cost. As a high light, a novel in-fibre twist sensors utilising strong polarisation dependant coupling behaviour of an 81°-TFBG was presented to demonstrate the high torsion sensitivity and capability of direction recognition.

Experimental designs and analysis of data for mixtures

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Bolton and the missing link : a banker's analysis of the lending relationship with small businesses

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Submission for the degree of Doctor of Philosophy by published work at Aston University

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