Wealth effects of mergers and acquisitions for US firms: using alternative pricing models

This empirical study employs a different methodology to examine the change in wealth associated with mergers and acquisitions (M&As) for US firms. Specifically, we employ the standard CAPM, the Fama-French three-factor model and the Carhart four-factor models within the OLS and GJR-GARCH estimation methods to test the behaviour of the cumulative abnormal returns (CARs). Whilst the standard CAPM captures the variability of stock returns with the overall market, the Fama-French factors capture the risk factors that are important to investors. Additionally, augmenting the Fama-French three-factor model with the Carhart momentum factor to generate the four-factor captures additional pricing elements that may affect stock returns. Traditionally, estimates of abnormal returns (ARs) in M&As situations rely on the standard OLS estimation method. However, the standard OLS will provide inefficient estimates of the ARs if the data contain ARCH and asymmetric effects. To minimise this problem of estimation efficiency we re-estimated the ARs using GJR-GARCH estimation method. We find that there is variation in the results both as regards the choice models and estimation methods. Besides these variations in the estimated models and the choice of estimation methods, we also tested whether the ARs are affected by the degree of liquidity of the stocks and the size of the firm. We document significant positive post-announcement cumulative ARs (CARs) for target firm shareholders under both the OLS and GJR-GARCH methods across all three methodologies. However, post-event CARs for acquiring firm shareholders were insignificant for both sets of estimation methods under the three methodologies. The GJR-GARCH method seems to generate larger CARs than those of the OLS method. Using both market capitalization and trading volume as a measure of liquidity and the size of the firm, we observed strong return continuations in the medium firms relative to small and large firms for target shareholders. We consistently observed market efficiency in small and large firm. This implies that target firms for small and large firms overreact to new information resulting in a more efficient market. For acquirer firms, our measure of liquidity captures strong return continuations for small firms under the OLS estimates for both CAPM and Fama-French three-factor models, whilst under the GJR-GARCH estimates only for Carhart model. Post-announcement bootstrapping simulated CARs confirmed our earlier results.

Subtractive and divisive adaptation in visual motion computations

Models of visual motion processing that introduce priors for low speed through Bayesian computations are sometimes treated with scepticism by empirical researchers because of the convenient way in which parameters of the Bayesian priors have been chosen. Using the effects of motion adaptation on motion perception to illustrate, we show that the Bayesian prior, far from being convenient, may be estimated on-line and therefore represents a useful tool by which visual motion processes may be optimized in order to extract the motion signals commonly encountered in every day experience. The prescription for optimization, when combined with system constraints on the transmission of visual information, may lead to an exaggeration of perceptual bias through the process of adaptation. Our approach extends the Bayesian model of visual motion proposed byWeiss et al. [Weiss Y., Simoncelli, E., & Adelson, E. (2002). Motion illusions as optimal perception Nature Neuroscience, 5:598-604.], in suggesting that perceptual bias reflects a compromise taken by a rational system in the face of uncertain signals and system constraints. © 2007.

Seeing blur:'Motion sharpening' without motion

It is widely supposed that things tend to look blurred when they are moving fast. Previous work has shown that this is true for sharp edges but, paradoxically, blurred edges look sharper when they are moving than when stationary. This is 'motion sharpening'. We show that blurred edges also look up to 50% sharper when they are presented briefly (8-24 ms) than at longer durations (100-500 ms) without motion. This argues strongly against high-level models of sharpening based specifically on compensation for motion blur. It also argues against a recent, low-level, linear filter model that requires motion to produce sharpening. No linear filter model can explain our finding that sharpening was similar for sinusoidal and non-sinusoidal gratings, since linear filters can never distort sine waves. We also conclude that the idea of a 'default' assumption of sharpness is not supported by experimental evidence. A possible source of sharpening is a nonlinearity in the contrast response of early visual mechanisms to fast or transient temporal changes, perhaps based on the magnocellular (M-cell) pathway. Our finding that sharpening is not diminished at low contrast sets strong constraints on the nature of the nonlinearity.

On models for magnetic field line diffusion

In this contribution, certain aspects of the nonlinear dynamics of magnetic field lines are reviewed. First, the basic facts (known from literature) concerning the Hamiltonian structure are briefly summarized. The paper then concentrates on the following subjects: (i) Transition from the continuous description to discrete maps; (ii) Characteristics of incomplete chaos; (iii) Control of chaos. The presentation is concluded by some remarks on the motion of particles in stochastic magnetic fields.

Spiral mechanisms are required to account for summation of complex motion components

Stimuli from one family of complex motions are defined by their spiral pitch, where cardinal axes represent signed expansion and rotation. Intermediate spirals are represented by intermediate pitches. It is well established that vision contains mechanisms that sum over space and direction to detect these stimuli (Morrone et al., Nature 376 (1995) 507) and one possibility is that four cardinal mechanisms encode the entire family. We extended earlier work (Meese & Harris, Vision Research 41 (2001) 1901) using subthreshold summation of random dot kinematograms and a two-interval forced choice technique to investigate this possibility. In our main experiments, the spiral pitch of one component was fixed and that of another was varied in steps of 15° relative to the first. Regardless of whether the fixed component was aligned with cardinal axes or an intermediate spiral, summation to-coherence-threshold between the two components declined as a function of their difference in spiral pitch. Similar experiments showed that none of the following were critical design features or stimulus parameters for our results: superposition of signal dots, limited life-time dots, the presence of speed gradients, stimulus size or the number of dots. A simplex algorithm was used to fit models containing mechanisms spaced at a pitch of either 90° (cardinal model) or 45° (cardinal+model) and combined using a fourth-root summation rule. For both models, direction half-bandwidth was equated for all mechanisms and was the only free parameter. Only the cardinal+model could account for the full set of results. We conclude that the detection of complex motion in human vision requires both cardinal and spiral mechanisms with a half-bandwidth of approximately 46°. © 2002 Elsevier Science Ltd. All rights reserved.

Broad direction bandwidths for complex motion mechanisms

Growing evidence from psychophysics and single-unit recordings suggests specialised mechanisms in the primate visual system for the detection of complex motion patterns such as expansion and rotation. Here we used a subthreshold summation technique to determine the direction tuning functions of the detecting mechanisms. We measured thresholds for discriminating noise and signal + noise for pairs of superimposed complex motion patterns (signal A and B) carried by random-dot stimuli in a circular 5° field. For expansion, rotation, deformation and translation we found broad tuning functions approximated by cos(d), where d is the difference in dot directions for signal A and B. These data were well described by models in which either: (a) cardinal mechanisms had direction bandwidths (half-widths) of around 60° or (b) the number of mechanisms was increased and their half-width was reduced to about 40°. When d = 180° we found summation to be greater than probability summation for expansion, rotation and translation, consistent with the idea that mechanisms for these stimuli are constructed from subunits responsive to relative motion. For deformation, however, we found sensitivity declined when d = 180°, suggesting antagonistic input from directional subunits in the deformation mechanism. This is a necessary property for a mechanism whose job is to extract the deformation component from the optic flow field. © 2001 Elsevier Science Ltd.

Development of multiphase and multiscale mathematical models for thermal spray process

High velocity oxyfuel (HVOF) thermal spraying is one of the most significant developments in the thermal spray industry since the development of the original plasma spray technique. The first investigation deals with the combustion and discrete particle models within the general purpose commercial CFD code FLUENT to solve the combustion of kerosene and couple the motion of fuel droplets with the gas flow dynamics in a Lagrangian fashion. The effects of liquid fuel droplets on the thermodynamics of the combusting gas flow are examined thoroughly showing that combustion process of kerosene is independent on the initial fuel droplet sizes. The second analysis copes with the full water cooling numerical model, which can assist on thermal performance optimisation or to determine the best method for heat removal without the cost of building physical prototypes. The numerical results indicate that the water flow rate and direction has noticeable influence on the cooling efficiency but no noticeable effect on the gas flow dynamics within the thermal spraying gun. The third investigation deals with the development and implementation of discrete phase particle models. The results indicate that most powder particles are not melted upon hitting the substrate to be coated. The oxidation model confirms that HVOF guns can produce metallic coating with low oxidation within the typical standing-off distance about 30cm. Physical properties such as porosity, microstructure, surface roughness and adhesion strength of coatings produced by droplet deposition in a thermal spray process are determined to a large extent by the dynamics of deformation and solidification of the particles impinging on the substrate. Therefore, is one of the objectives of this study to present a complete numerical model of droplet impact and solidification. The modelling results show that solidification of droplets is significantly affected by the thermal contact resistance/substrate surface roughness.

A review of multi-factor capacity expansion models for manufacturing plants:searching for a holistic decision aid

Investment in capacity expansion remains one of the most critical decisions for a manufacturing organisation with global production facilities. Multiple factors need to be considered making the decision process very complex. The purpose of this paper is to establish the state-of-the-art in multi-factor models for capacity expansion of manufacturing plants within a corporation. The research programme consisting of an extensive literature review and a structured assessment of the strengths and weaknesses of the current research is presented. The study found that there is a wealth of mathematical multi-factor models for evaluating capacity expansion decisions however no single contribution captures all the different facets of the problem.

The spatial distribution of self-employment in India:evidence from semi-parametric geoadditive models

The spatial distribution of self-employment in India: evidence from semiparametric geoadditive models, Regional Studies. The entrepreneurship literature has rarely considered spatial location as a micro-determinant of occupational choice. It has also ignored self-employment in developing countries. Using Bayesian semiparametric geoadditive techniques, this paper models spatial location as a micro-determinant of self-employment choice in India. The empirical results suggest the presence of spatial occupational neighbourhoods and a clear north–south divide in self-employment when the entire sample is considered; however, spatial variation in the non-agriculture sector disappears to a large extent when individual factors that influence self-employment choice are explicitly controlled. The results further suggest non-linear effects of age, education and wealth on self-employment.

Bridging large and small scales of water models using hybrid Molecular Dynamics/Fluctuating Hydrodynamics framework

This thesis presents a two-dimensional water model investigation and development of a multiscale method for the modelling of large systems, such as virus in water or peptide immersed in the solvent. We have implemented a two-dimensional ‘Mercedes Benz’ (MB) or BN2D water model using Molecular Dynamics. We have studied its dynamical and structural properties dependence on the model’s parameters. For the first time we derived formulas to calculate thermodynamic properties of the MB model in the microcanonical (NVE) ensemble. We also derived equations of motion in the isothermal–isobaric (NPT) ensemble. We have analysed the rotational degree of freedom of the model in both ensembles. We have developed and implemented a self-consistent multiscale method, which is able to communicate micro- and macro- scales. This multiscale method assumes, that matter consists of the two phases. One phase is related to micro- and the other to macroscale. We simulate the macro scale using Landau Lifshitz-Fluctuating Hydrodynamics, while we describe the microscale using Molecular Dynamics. We have demonstrated that the communication between the disparate scales is possible without introduction of fictitious interface or approximations which reduce the accuracy of the information exchange between the scales. We have investigated control parameters, which were introduced to control the contribution of each phases to the matter behaviour. We have shown, that microscales inherit dynamical properties of the macroscales and vice versa, depending on the concentration of each phase. We have shown, that Radial Distribution Function is not altered and velocity autocorrelation functions are gradually transformed, from Molecular Dynamics to Fluctuating Hydrodynamics description, when phase balance is changed. In this work we test our multiscale method for the liquid argon, BN2D and SPC/E water models. For the SPC/E water model we investigate microscale fluctuations which are computed using advanced mapping technique of the small scales to the large scales, which was developed by Voulgarakisand et. al.