Essays on Risk Aversion, Diversification and Non-Participation

My dissertation consists of three essays. The central theme of these essays is the psychological factors and biases that affect the portfolio allocation decision. The first essay entitled, “Are women more risk-averse than men?” examines the gender difference in risk aversion as revealed by actual investment choices. Using a sample that controls for biases in the level of education and finance knowledge, there is evidence that when individuals have the same level of education, irrespective of their knowledge of finance, women are no more risk-averse than their male counterparts. However, the gender-risk aversion relation is also a function of age, income, wealth, marital status, race/ethnicity and the number of children in the household. The second essay entitled, “Can diversification be learned?” investigates if investors who have superior investment knowledge are more likely to actively seek diversification benefits and are less prone to allocation biases. Results of cross-sectional analyses suggest that knowledge of finance increases the likelihood that an investor will efficiently allocate his direct investments across the major asset classes; invest in foreign assets; and hold a diversified equity portfolio. However, there is no evidence that investors who are more financially sophisticated make superior allocation decisions in their retirement savings. The final essay entitled, “The demographics of non-participation”, examines the factors that affect the decision not to hold stocks. The results of probit regression models indicate that when individuals are highly educated, the decision to not participate in the stock market is less related to demographic factors. In particular, when individuals have attained at least a college degree and have advanced knowledge of finance, they are significantly more likely to invest in equities either directly or indirectly through mutual funds or their retirement savings. There is also evidence that the decision not to hold stocks is motivated by short-term market expectations and the most recent investment experience. The findings of these essays should increase the body of research that seeks to reconcile what investors actually do (positive theory) with what traditional theories of finance predict that investors should do (normative theory).

Genetic Algorithms and Investment Strategies: A Global Perspective

The profitability of momentum portfolios in the equity markets is derived from the continuation of stock returns over medium time horizons. The empirical evidence of momentum, however, is significantly different across markets around the world. The purpose of this dissertation is to: 1) help global investors determine the optimal selection and holding periods for momentum portfolios, 2) evaluate the profitability of the optimized momentum portfolios in different time periods and market states, 3) assess the investment strategy profits after considering transaction costs, and 4) interpret momentum returns within the framework of prior studies on investors’ behavior. Improving on the traditional practice of selecting arbitrary selection and holding periods, a genetic algorithm (GA) is employed. The GA performs a thorough and structured search to capture the return continuations and reversals patterns of momentum portfolios. Three portfolio formation methods are used: price momentum, earnings momentum, and earnings and price momentum and a non-linear optimization procedure (GA). The focus is on common equity of the U.S. and a select number of countries, including Australia, France, Germany, Japan, the Netherlands, Sweden, Switzerland and the United Kingdom. The findings suggest that the evolutionary algorithm increases the annualized profits of the U.S. momentum portfolios. However, the difference in mean returns is statistically significant only in certain cases. In addition, after considering transaction costs, both price and earnings and price momentum portfolios do not appear to generate abnormal returns. Positive risk-adjusted returns net of trading costs are documented solely during “up” markets for a portfolio long in prior winners only. The results on the international momentum effects indicate that the GA improves the momentum returns by 2 to 5% on an annual basis. In addition, the relation between momentum returns and exchange rate appreciation/depreciation is examined. The currency appreciation does not appear to influence significantly momentum profits. Further, the influence of the market state on momentum returns is not uniform across the countries considered. The implications of the above findings are discussed with a focus on the practical aspects of momentum investing, both in the U.S. and globally.

Shareholder Ratification of The Auditor and Audit Market Competition

In my dissertation, I examine factors associated with firms’ submission of auditor selection for shareholder ratification and test if shareholder ratification of auditor selection is associated with the extent of price competition in the audit market (as measured by audit fees) and audit quality (as measured by clients’ earnings management). The dissertation is motivated from the recent recommendation of the U.S. Treasury’s Advisory Committee on Auditing Profession (ACAP) regarding the submission of auditor selection for shareholder ratification votes. The ACAP suggests that this practice may improve the competition in the audit market; yet, there is no empirical evidence supporting the ACAP’s recommendation. My dissertation attempts to fill the gap in the literature on an issue of current interest to the auditing profession. I find that firm size, CEO-Chair duality, insider ownership and institutional ownership are associated with the submission of auditor selection for shareholder ratification vote. However, I do not find an association between audit committee variables and the submission of auditor selection for shareholder ratification vote. The second essay investigates the association between auditor ratification and audit fees. Audit fees are higher in firms that submit auditor selection for shareholder ratification. The finding is not consistent with the increased price competition predicted by the ACAP. The third essay of my dissertation examine whether the submission of auditor selection for shareholder ratification is associated with earnings management. I find that firms that submit auditor selection for shareholder ratification are more likely to have lower level of earnings management. Overall, the results suggest that the same factors that are associated with higher quality monitoring also may be associated with the submission of auditor selection for shareholder ratification vote. The results call into question the one-size-fits-all approach recommended by the ACAP.

The Role of Splicing Factors and Small Nuclear RNAS in Spliceosomal Formation

Protein coding genes are comprised of protein-coding exons and non-protein-coding introns. The process of splicing involves removal of the introns and joining of the exons to form a mature messenger RNA, which subsequently undergoes translation into polypeptide. The spliceosome is a large, RNA/protein assembly of five small nuclear RNAs as well as over 300 proteins, which catalyzes intron removal and exon ligation. The selection of specific exons for inclusion in the mature messenger RNA is spatio-temporally regulated and results in production of an enormous diversity of polypeptides from a single gene locus. This phenomenon, known as alternative splicing, is regulated, in part, by protein splicing factors, which target the spliceosome to exon/intron boundaries. The first part of my dissertation (Chapters II and III) focuses on the discovery and characterization of the 45 kilodalton FK506 binding protein (FKBP45), which I discovered in the silk moth, Bombyx mori, as a U1 small nuclear RNA binding protein. This protein family binds the immunosuppressants FK506 and rapamycin and contains peptidyl-prolyl cis-trans isomerase activity, which converts polypeptides from cis to trans about a proline residue. This is the first time that an FKBP has been identified in the spliceosome. The second section of my dissertation (Chapters IV, V, VI and VII) is an investigation of the potential role of small nuclear RNA sequence variants in the control of splicing. I identified 46 copies of small nuclear RNAs in the 6X whole genome shotgun of the Bombyx mori p50T strain. These variants may play a role in differential binding of specific proteins that mediate alternative splicing. Along these lines, further investigation of U2 snRNA sequence variants in Bombyx mori demonstrated that some U2 snRNAs preferentially assemble into high molecular weight spliceosomal complexes over others. Expression of snRNA variants may represent another mechanism by which the cell is able to fine tune the splicing process.

An Indexing Structure and Application Model for Vehicles Moving on Road Networks

Moving objects database systems are the most challenging sub-category among Spatio-Temporal database systems. A database system that updates in real-time the location information of GPS-equipped moving vehicles has to meet even stricter requirements. Currently existing data storage models and indexing mechanisms work well only when the number of moving objects in the system is relatively small. This dissertation research aimed at the real-time tracking and history retrieval of massive numbers of vehicles moving on road networks. A total solution has been provided for the real-time update of the vehicles’ location and motion information, range queries on current and history data, and prediction of vehicles’ movement in the near future. To achieve these goals, a new approach called Segmented Time Associated to Partitioned Space (STAPS) was first proposed in this dissertation for building and manipulating the indexing structures for moving objects databases. Applying the STAPS approach, an indexing structure of associating a time interval tree to each road segment was developed for real-time database systems of vehicles moving on road networks. The indexing structure uses affordable storage to support real-time data updates and efficient query processing. The data update and query processing performance it provides is consistent without restrictions such as a time window or assuming linear moving trajectories. An application system design based on distributed system architecture with centralized organization was developed to maximally support the proposed data and indexing structures. The suggested system architecture is highly scalable and flexible. Finally, based on a real-world application model of vehicles moving in region-wide, main issues on the implementation of such a system were addressed.

Rastafarianism and the Nation of Islam as institutions for group-identity formation among blacks in the United States : a case study comparing their approaches

This dissertation explores the Rastafari movement and the Nation of Islam as institutions that provide a group-identity for their adherents. The study seeks to determine the characteristics of the identity that is institutionalized by each movement, and the nature of the institutionalization process. The research was conducted primarily in South Florida where both movements exist. An extensive literature review in conjunction with in-depth field interviews were used as the primary research methodologies. What was of particular interest were the reasons that the members of the movements chose one movement over the other, also the similarities and dissimilarities between the movements in their role as institutions for group-identity formation. The research showed that both movements imbued their members with a sense of pride, high self-esteem and a strong sense of race consciousness. In addition, it showed that there was significant variation in identity orientation within the Rastafari Movement, which contrasted with the Nation of Islam where the identity variations within the movement were negligible. This was due largely to the difference in structure between the movements, the Nation of Islam being a centrally organized movement with one leader while the Rastafari movement is a decentralized polycephalous one. Both movements were found to be millenarian in nature, essentially because of the significant utility of the concept that their members would rise to prominence through God's grace. Additionally, both movements were identified as expressive social movements, since they were determined as being primarily concerned with changing the attitudes of their members rather than effecting structural social change.

Acoustic Manipulation and Alignment of Particles for Applications in Separation, Micro-Templating, and Device Fabrication

This dissertation studies the manipulation of particles using acoustic stimulation for applications in microfluidics and templating of devices. The term particle is used here to denote any solid, liquid or gaseous material that has properties, which are distinct from the fluid in which it is suspended. Manipulation means to take over the movements of the particles and to position them in specified locations. Using devices, microfabricated out of silicon, the behavior of particles under the acoustic stimulation was studied with the main purpose of aligning the particles at either low-pressure zones, known as the nodes or high-pressure zones, known as anti-nodes. By aligning particles at the nodes in a flow system, these particles can be focused at the center or walls of a microchannel in order to ultimately separate them. These separations are of high scientific importance, especially in the biomedical domain, since acoustopheresis provides a unique approach to separate based on density and compressibility, unparalleled by other techniques. The study of controlling and aligning the particles in various geometries and configurations was successfully achieved by controlling the acoustic waves. Apart from their use in flow systems, a stationary suspended-particle device was developed to provide controllable light transmittance based on acoustic stimuli. Using a glass compartment and a carbon-particle suspension in an organic solvent, the device responded to acoustic stimulation by aligning the particles. The alignment of light-absorbing carbon particles afforded an increase in visible light transmittance as high as 84.5%, and it was controlled by adjusting the frequency and amplitude of the acoustic wave. The device also demonstrated alignment memory rendering it energy-efficient. A similar device for suspended-particles in a monomer enabled the development of electrically conductive films. These films were based on networks of conductive particles. Elastomers doped with conductive metal particles were rendered surface conductive at particle loadings as low as 1% by weight using acoustic focusing. The resulting films were flexible and had transparencies exceeding 80% in the visible spectrum (400-800 nm) These films had electrical bulk conductivities exceeding 50 S/cm.

A mathematical resolution to log transformations and the binning effect in applied processing of data in flow cytometry

This dissertation develops a new mathematical approach that overcomes the effect of a data processing phenomenon known as "histogram binning" inherent to flow cytometry data. A real-time procedure is introduced to prove the effectiveness and fast implementation of such an approach on real-world data. The histogram binning effect is a dilemma posed by two seemingly antagonistic developments: (1) flow cytometry data in its histogram form is extended in its dynamic range to improve its analysis and interpretation, and (2) the inevitable dynamic range extension introduces an unwelcome side effect, the binning effect, which skews the statistics of the data, undermining as a consequence the accuracy of the analysis and the eventual interpretation of the data. Researchers in the field contended with such a dilemma for many years, resorting either to hardware approaches that are rather costly with inherent calibration and noise effects; or have developed software techniques based on filtering the binning effect but without successfully preserving the statistical content of the original data. The mathematical approach introduced in this dissertation is so appealing that a patent application has been filed. The contribution of this dissertation is an incremental scientific innovation based on a mathematical framework that will allow researchers in the field of flow cytometry to improve the interpretation of data knowing that its statistical meaning has been faithfully preserved for its optimized analysis. Furthermore, with the same mathematical foundation, proof of the origin of such an inherent artifact is provided. These results are unique in that new mathematical derivations are established to define and solve the critical problem of the binning effect faced at the experimental assessment level, providing a data platform that preserves its statistical content. In addition, a novel method for accumulating the log-transformed data was developed. This new method uses the properties of the transformation of statistical distributions to accumulate the output histogram in a non-integer and multi-channel fashion. Although the mathematics of this new mapping technique seem intricate, the concise nature of the derivations allow for an implementation procedure that lends itself to a real-time implementation using lookup tables, a task that is also introduced in this dissertation.

Executive Characteristics and Going Concern Opinions

Auditors have come under increased scrutiny over the past several years about the growing number of client failures without a warning in the form of a going-concern modified (GCM) audit opinion. Statement on Auditing Standards No. 59 requires auditors to evaluate whether substantial doubt exists on an audit client’s ability to continue as a going concern (AICPA 1988). My dissertation consists of three essays. For the three essays, I empirically investigate issues related to GCM audit opinions and executive characteristics. Specifically, I examine the impact of executive tenure and gender on the issuance of GCM audit opinions. In addition, my dissertation addresses two other unique issues. Given that the Sarbanes-Oxley Act represents an important watershed event in the history and regulation of the accounting profession, I provide evidence about auditors’ propensities to issue GCM audit opinions in the post-SOX period. Further, I also expand extant research in this area by using multiple outcomes and thus go beyond the traditional use of bankruptcy alone as a tool to evaluate auditors’ GCM opinion. The results indicate that, after controlling for other financial characteristics, GCM audit opinions are significantly more likely for firms that have CFOs with short tenure and/or for firms with a female CFO or CEO. However, when examining the association between executive characteristics and two types of reporting errors, the results vary with the type of reporting error. Overall, the results provide evidence that executive characteristics are associated with auditors' reporting decisions.

Mitigating Inconsistencies by Coupling Data Cleaning, Filtering, and Contextual Data Validation in Wireless Sensor Networks

With the advent of peer to peer networks, and more importantly sensor networks, the desire to extract useful information from continuous and unbounded streams of data has become more prominent. For example, in tele-health applications, sensor based data streaming systems are used to continuously and accurately monitor Alzheimer's patients and their surrounding environment. Typically, the requirements of such applications necessitate the cleaning and filtering of continuous, corrupted and incomplete data streams gathered wirelessly in dynamically varying conditions. Yet, existing data stream cleaning and filtering schemes are incapable of capturing the dynamics of the environment while simultaneously suppressing the losses and corruption introduced by uncertain environmental, hardware, and network conditions. Consequently, existing data cleaning and filtering paradigms are being challenged. This dissertation develops novel schemes for cleaning data streams received from a wireless sensor network operating under non-linear and dynamically varying conditions. The study establishes a paradigm for validating spatio-temporal associations among data sources to enhance data cleaning. To simplify the complexity of the validation process, the developed solution maps the requirements of the application on a geometrical space and identifies the potential sensor nodes of interest. Additionally, this dissertation models a wireless sensor network data reduction system by ascertaining that segregating data adaptation and prediction processes will augment the data reduction rates. The schemes presented in this study are evaluated using simulation and information theory concepts. The results demonstrate that dynamic conditions of the environment are better managed when validation is used for data cleaning. They also show that when a fast convergent adaptation process is deployed, data reduction rates are significantly improved. Targeted applications of the developed methodology include machine health monitoring, tele-health, environment and habitat monitoring, intermodal transportation and homeland security.

Effects of Adolescent Depressive Symptoms, Pubertal Development, and Interpersonal Relationship Satisfaction on Sexual Risk Behaviors in Adolescent Romantic Couples

This study examined links between adolescent depressive symptoms, actual pubertal development, perceived pubertal timing relative to one’s peers, adolescent-maternal relationship satisfaction, and couple sexual behavior. Assessments of these variables were made on each couple member separately and then these variables were used to predict the sexual activity of the couple. Participants were drawn from the National Longitudinal Study of Adolescent Health (Add Health; Bearman et al., 1997; Udry, 1997) data set (N = 20,088; aged 12-18 years). Dimensions of adolescent romantic experiences using the total sample were described and then a subsample of romantically paired adolescents (n = 1,252) were used to test a risk and protective model for predicting couple sexual behavior using the factors noted above. Relevant measures from the Wave 1 Add Health measures were used. Most of the items used in Add Health to assess romantic relationship experiences, adolescent depressive symptoms, pubertal development (actual and perceived), adolescent-maternal relationship satisfaction, and couple sexual behavior were drawn from other national surveys or from scales with well documented psychometric properties. Results demonstrated that romantic relationships are part of most adolescents’ lives and that adolescents’ experiences with these relationships differ markedly by age, sex, and race/ethnicity. Further, each respective couple member’s pubertal development, perceived pubertal timing, and maternal relationship satisfaction were useful in predicting sexual risk-promoting and risk-reducing behaviors in adolescent romantic couples. Findings in this dissertation represent an initial step toward evaluating explanatory models of adolescent couple sexual behavior.

The Electoral Geography of the Slovak Republic: A Comparison of the 1994, 1998, and 2002 Parliamentary Elections

In what can rightly be said to be one of the most dramatic geopolitical shifts in modern times, the collapse of communist regimes in Central Europe and the former Soviet Union brought about dramatic changes in the entire region. As a consequence, wide ranging political, economic, and social transformations have occurred in almost all of these countries since 1989. The Slovak Republic, as a newly democratic country, went through the establishment of the electoral and party systems that are the central mechanisms to the formation of almost all modern democratic governments. The primary research purpose of this dissertation was to describe and explain regional variations in party support during Slovakia’s ten years of democratic transformation. A secondary purpose was to relate these spatial variations to the evolution of political parties in the post-independence period in light of the literature on transitional electoral systems. Research questions were analyzed using both aggregate and survey data. Specifically, the study utilized electoral data from 1994, 1998, and 2002 Slovak parliamentary elections and socio-economic data of the population within Slovak regions which were eventually correlated with the voting results by party in the 79 Slovak districts. The results of this study demonstrate that there is a tendency among voters in certain regions to provide continuous support to the same political parties/movements over time. In addition, the socio-economic characteristics of the Slovak population (gender, age, education, religion, nationality, unemployment, work force distribution, wages, urban-rural variable, and population density) in different regions tend to influence voting preferences in the parliamentary elections. Finally, there is an evident correlation between party preference and the party’s position on integration into European Union, as measured by perceived attitudes regarding the benefits of EU membership.

Effective Reconfigurable Antenna Designs to Enhance Performance and Enable Wireless Powering

With the increase in traffic on the internet, there is a greater demand for wireless mobile and ubiquitous applications. These applications need antennas that are not only broadband, but can also work in different frequency spectrums. Even though there is a greater demand for such applications, it is still imperative to conserve power. Thus, there is a need to design multi-broadband antennas that do not use a lot of power. Reconfigurable antennas can work in different frequency spectrums as well as conserve power. The current designs of reconfigurable antennas work only in one band. There is a need to design reconfigurable antennas that work in different frequency spectrums. In this current era of high power consumption there is also a greater demand for wireless powering. This dissertation explores ideal designs of reconfigurable antennas that can improve performance and enable wireless powering. This dissertation also presents lab results of the multi-broadband reconfigurable antenna that was created. A detailed mathematical analyses, as well as extensive simulation results are also presented. The novel reconfigurable antenna designs can be extended to Multiple Input Multiple Output (MIMO) environments and military applications.

Orthogonal Frequency Division Multiplexing Based Air Interfaces and Multiple Input Multiple Output Techniques in Cooperative Satellite Communications for 4th Generation Mobile Systems

Recently, wireless network technology has grown at such a pace that scientific research has become a practical reality in a very short time span. One mobile system that features high data rates and open network architecture is 4G. Currently, the research community and industry, in the field of wireless networks, are working on possible choices for solutions in the 4G system. The researcher considers one of the most important characteristics of future 4G mobile systems the ability to guarantee reliable communications at high data rates, in addition to high efficiency in the spectrum usage. On mobile wireless communication networks, one important factor is the coverage of large geographical areas. In 4G systems, a hybrid satellite/terrestrial network is crucial to providing users with coverage wherever needed. Subscribers thus require a reliable satellite link to access their services when they are in remote locations where a terrestrial infrastructure is unavailable. The results show that good modulation and access technique are also required in order to transmit high data rates over satellite links to mobile users. The dissertation proposes the use of OFDM (Orthogonal Frequency Multiple Access) for the satellite link by increasing the time diversity. This technique will allow for an increase of the data rate, as primarily required by multimedia applications, and will also optimally use the available bandwidth. In addition, this dissertation approaches the use of Cooperative Satellite Communications for hybrid satellite/terrestrial networks. By using this technique, the satellite coverage can be extended to areas where there is no direct link to the satellite. The issue of Cooperative Satellite Communications is solved through a new algorithm that forwards the received data from the fixed node to the mobile node. This algorithm is very efficient because it does not allow unnecessary transmissions and is based on signal to noise ratio (SNR) measures.

Efficient Storage and Domain-Specific Information Discovery on Semistructured Documents

The increasing amount of available semistructured data demands efficient mechanisms to store, process, and search an enormous corpus of data to encourage its global adoption. Current techniques to store semistructured documents either map them to relational databases, or use a combination of flat files and indexes. These two approaches result in a mismatch between the tree-structure of semistructured data and the access characteristics of the underlying storage devices. Furthermore, the inefficiency of XML parsing methods has slowed down the large-scale adoption of XML into actual system implementations. The recent development of lazy parsing techniques is a major step towards improving this situation, but lazy parsers still have significant drawbacks that undermine the massive adoption of XML. Once the processing (storage and parsing) issues for semistructured data have been addressed, another key challenge to leverage semistructured data is to perform effective information discovery on such data. Previous works have addressed this problem in a generic (i.e. domain independent) way, but this process can be improved if knowledge about the specific domain is taken into consideration. This dissertation had two general goals: The first goal was to devise novel techniques to efficiently store and process semistructured documents. This goal had two specific aims: We proposed a method for storing semistructured documents that maps the physical characteristics of the documents to the geometrical layout of hard drives. We developed a Double-Lazy Parser for semistructured documents which introduces lazy behavior in both the pre-parsing and progressive parsing phases of the standard Document Object Model's parsing mechanism. The second goal was to construct a user-friendly and efficient engine for performing Information Discovery over domain-specific semistructured documents. This goal also had two aims: We presented a framework that exploits the domain-specific knowledge to improve the quality of the information discovery process by incorporating domain ontologies. We also proposed meaningful evaluation metrics to compare the results of search systems over semistructured documents.