International stock portfolio selection and performance measures recognizing higher moments of return distributions

Since the seminal works of Markowitz (1952), Sharpe (1964), and Lintner (1965), numerous studies on portfolio selection and performance measure have been based upon the mean-variance framework. However, several researchers (e.g., Arditti (1967, and 1971), Samuelson (1970), and Rubinstein (1973)) argue that the higher moments cannot be neglected unless there is reason to believe that: (i) the asset returns are normally distributed and the investor's utility function is quadratic, or (ii) the empirical evidence demonstrates that higher moments are irrelevant to the investor's decision. Based on the same argument, this dissertation investigates the impact of higher moments of return distributions on three issues concerning the 14 international stock markets.^ First, the portfolio selection with skewness is determined using: the Polynomial Goal Programming in which investor preferences for skewness can be incorporated. The empirical findings suggest that the return distributions of international stock markets are not normally distributed, and that the incorporation of skewness into an investor's portfolio decision causes a major change in the construction of his optimal portfolio. The evidence also indicates that an investor will trade expected return of the portfolio for skewness. Moreover, when short sales are allowed, investors are better off as they attain higher expected return and skewness simultaneously.^ Second, the performance of international stock markets are evaluated using two types of performance measures: (i) the two-moment performance measures of Sharpe (1966), and Treynor (1965), and (ii) the higher-moment performance measures of Prakash and Bear (1986), and Stephens and Proffitt (1991). The empirical evidence indicates that higher moments of return distributions are significant and relevant to the investor's decision. Thus, the higher moment performance measures should be more appropriate to evaluate the performances of international stock markets. The evidence also indicates that various measures provide a vastly different performance ranking of the markets, albeit in the same direction.^ Finally, the inter-temporal stability of the international stock markets is investigated using the Parhizgari and Prakash (1989) algorithm for the Sen and Puri (1968) test which accounts for non-normality of return distributions. The empirical finding indicates that there is strong evidence to support the stability in international stock market movements. However, when the Anderson test which assumes normality of return distributions is employed, the stability in the correlation structure is rejected. This suggests that the non-normality of the return distribution is an important factor that cannot be ignored in the investigation of inter-temporal stability of international stock markets. ^

Development of risk based treatability and engineering measures for reducing exposure to lead contaminated media in the Miami inner city, Florida

A major consequence of contamination at the local level’s population as it relates to environmental health and environmental engineering is childhood lead poisoning. Environmental contamination is one of the pressing environmental concerns facing the world today. Current approaches often focus on large contaminated industrial size sites that are designated by regulatory agencies for site remediation. Prior to this study, there were no known published studies conducted at the local and smaller scale, such as neighborhoods, where often much of the contamination is present to remediate. An environmental health study of local lead-poisoning data in Liberty City, Little Haiti and eastern Little Havana in Miami-Dade County, Florida accounted for a disproportionately high number of the county’s reported childhood lead poisoning cases. An engineering system was developed and designed for a comprehensive risk management methodology that is distinctively applicable to the geographical and environmental conditions of Miami-Dade County, Florida. Furthermore, a scientific approach for interpreting environmental health concerns, while involving detailed environmental engineering control measures and methods for site remediation in contained media was developed for implementation. Test samples were obtained from residents and sites in those specific communities in Miami-Dade County, Florida (Gasana and Chamorro 2002). Currently lead does not have an Oral Assessment, Inhalation Assessment, and Oral Slope Factor; variables that are required to run a quantitative risk assessment. However, various institutional controls from federal agencies’ standards and regulation for contaminated lead in media yield adequate maximum concentration limits (MCLs). For this study an MCL of .0015 (mg/L) was used. A risk management approach concerning contaminated media involving lead demonstrates that the linkage of environmental health and environmental engineering can yield a feasible solution.

An Examination of Qualitative Empirical Studies at the AHRD from 1999-2003: Method, Rationale for Method, Data Collection, Sampling Strategies, and Integrity Measures

The paper examines the nature of qualitative empirical studies published in the AHRD proceedings from 1999-2003 and discusses findings on method, rationale for method, data collection, sampling strategies, and integrity measures.

Team diversity and leadership: Tests of model of process and direct effects

A model was tested to examine relationships among leadership behaviors, team diversity, and team process measures with team performance and satisfaction at both the team and leader-member levels of analysis. Relationships between leadership behavior and team demographic and cognitive diversity were hypothesized to have both direct effects on organizational outcomes as well as indirect effects through team processes. Leader member differences were investigated to determine the effects of leader-member diversity leader-member exchange quality, individual effectiveness and satisfaction.^ Leadership had little direct effect on team performance, but several strong positive indirect effects through team processes. Demographic Diversity had no impact on team processes, directly impacted only one performance measure, and moderated the leadership to team process relationship.^ Cognitive Diversity had a number of direct and indirect effects on team performance, the net effects uniformly positive, and did not moderate the leadership to team process relationship.^ In sum, the team model suggests a complex combination of leadership behaviors positively impacting team processes, demographic diversity having little impact on team process or performance, cognitive diversity having a positive net impact impact, and team processes having mixed effects on team outcomes.^ At the leader-member level, leadership behaviors were a strong predictor of Leader-Member Exchange (LMX) quality. Leader-member demographic and cognitive dissimilarity were each predictors of LMX quality, but failed to moderate the leader behavior to LMX quality relationship. LMX quality was strongly and positively related to self reported effectiveness and satisfaction.^ The study makes several contributions to the literature. First, it explicitly links leadership and team diversity. Second, demographic and cognitive diversity are conceptualized as distinct and multi-faceted constructs. Third, a methodology for creating an index of categorical demographic and interval cognitive measures is provided so that diversity can be measured in a holistic conjoint fashion. Fourth, the study simultaneously investigates the impact of diversity at the team and leader-member levels of analyses. Fifth, insights into the moderating impact of different forms of team diversity on the leadership to team process relationship are provided. Sixth, this study incorporates a wide range of objective and independent measures to provide a 360$\sp\circ$ assessment of team performance. ^

Liquidity, governance and adverse selection in asset pricing

A plethora of recent literature on asset pricing provides plenty of empirical evidence on the importance of liquidity, governance and adverse selection of equity on pricing of assets together with more traditional factors such as market beta and the Fama-French factors. However, literature has usually stressed that these factors are priced individually. In this dissertation we argue that these factors may be related to each other, hence not only individual but also joint tests of their significance is called for. ^ In the three related essays, we examine the liquidity premium in the context of the finer three-digit SIC industry classification, joint importance of liquidity and governance factors as well as governance and adverse selection. Recent studies by Core, Guay and Rusticus (2006) and Ben-Rephael, Kadan and Wohl (2010) find that governance and liquidity premiums are dwindling in the last few years. One reason could be that liquidity is very unevenly distributed across industries. This could affect the interpretation of prior liquidity studies. Thus, in the first chapter we analyze the relation of industry clustering and liquidity risk following a finer industry classification suggested by Johnson, Moorman and Sorescu (2009). In the second chapter, we examine the dwindling influence of the governance factor if taken simultaneously with liquidity. We argue that this happens since governance characteristics are potentially a proxy for information asymmetry that may be better captured by market liquidity of a company's shares. Hence, we jointly examine both the factors, namely, governance and liquidity - in a series of standard asset pricing tests. Our results reconfirm the importance of governance and liquidity in explaining stock returns thus independently corroborating the findings of Amihud (2002) and Gompers, Ishii and Metrick (2003). Moreover, governance is not subsumed by liquidity. Lastly, we analyze the relation of governance and adverse selection, and again corroborate previous findings of a priced governance factor. Furthermore, we ascertain the importance of microstructure measures in asset pricing by employing Huang and Stoll's (1997) method to extract an adverse selection variable and finding evidence for its explanatory power in four-factor regressions.^

Liquidity, Governance and Adverse Selection in Asset Pricing

A plethora of recent literature on asset pricing provides plenty of empirical evidence on the importance of liquidity, governance and adverse selection of equity on pricing of assets together with more traditional factors such as market beta and the Fama-French factors. However, literature has usually stressed that these factors are priced individually. In this dissertation we argue that these factors may be related to each other, hence not only individual but also joint tests of their significance is called for. In the three related essays, we examine the liquidity premium in the context of the finer three-digit SIC industry classification, joint importance of liquidity and governance factors as well as governance and adverse selection. Recent studies by Core, Guay and Rusticus (2006) and Ben-Rephael, Kadan and Wohl (2010) find that governance and liquidity premiums are dwindling in the last few years. One reason could be that liquidity is very unevenly distributed across industries. This could affect the interpretation of prior liquidity studies. Thus, in the first chapter we analyze the relation of industry clustering and liquidity risk following a finer industry classification suggested by Johnson, Moorman and Sorescu (2009). In the second chapter, we examine the dwindling influence of the governance factor if taken simultaneously with liquidity. We argue that this happens since governance characteristics are potentially a proxy for information asymmetry that may be better captured by market liquidity of a company’s shares. Hence, we jointly examine both the factors, namely, governance and liquidity – in a series of standard asset pricing tests. Our results reconfirm the importance of governance and liquidity in explaining stock returns thus independently corroborating the findings of Amihud (2002) and Gompers, Ishii and Metrick (2003). Moreover, governance is not subsumed by liquidity. Lastly, we analyze the relation of governance and adverse selection, and again corroborate previous findings of a priced governance factor. Furthermore, we ascertain the importance of microstructure measures in asset pricing by employing Huang and Stoll’s (1997) method to extract an adverse selection variable and finding evidence for its explanatory power in four-factor regressions.