Liquidity and asset pricing: A comparison between three-factor and three-moment capital asset pricing models

Liquidity is an important attribute of an asset that investors would like to take into consideration when making investment decisions. However, the previous empirical evidence whether liquidity is a determinant of stock return is not unanimous. This dissertation provides a very comprehensive study about the role of liquidity in asset pricing using the Fama-French (1993) three-factor and Kraus and Litzenberger (1976) three-moment CAPM as models for risk adjustment. The relationship between liquidity and well-known determinants of stock returns such as size and book-to-market are also investigated. This study examines the liquidity and asset pricing issues for both intertemporal as well as cross-sectional data. ^ The results indicate an existence of a liquidity premium, i.e., less liquid stocks would demand higher rate of return than more liquid stocks. More specifically, a drop of 1 percent in liquidity is associated with a higher rate of return of about 2 to 3 basis points per month. Further investigation reveals that neither the Fama-French three-factor model nor the three-moment CAPM captures the liquidity premium. Finally, the results show that well-known determinants of stock return such as size and book-to-market do not serve as proxy for liquidity. ^ Overall, this dissertation shows that a liquidity premium exists in the stock market and that liquidity is a distinct effect, and is not influenced by the presence of non-market factors, market factors and other stock characteristics.^

Analysis and design of tall concrete buildings : an investigation regarding the use of cracked versus un-cracked moment of inertia

A debate is currently prevalent among the structural engineers regarding the use of cracked versus un-cracked moment of inertia of the structural elements in analyzing and designing tall concrete buildings. (The basic definition of a tall building, according to the Journal of Structural Design of Tall Buildings Vol. 13. No. 5, 2004 is a structure that is equal to or greater than 160 feet in height, or 6 stories or greater.) The controversy is the result of differing interpretations of certain ACI (American Concrete Institute) code provisions. The issue is whether designers should use cracked moment of inertia in order to estimate lateral deflection and whether the computed lateral deflection should be used to carry out subsequent second-order analysis (analysis considering the effect of first order lateral deflections on bending moment and shear stresses). On one hand, bending moments and shear forces estimated based on un-cracked moment of inertia of the sections may result in conservative designs by overestimating moments and shears. On the other hand, lateral deflections may be underestimated due to the same analyses resulting in unsafe designs.

Androgyny versus Patriarchy: A Historicist‐Psychoanalytic Reading of Hemingway's The Garden of Eden and Wilkie Collins's The Woman in White

This paper will examine how male and female character interactions in Ernest Hemingway’s The Garden of Eden and Wilkie Collins’s The Woman in White expose the internalization, normalization, and perpetuation of current modes of patriarchy in terms of gender roles through their presentations of androgyny. This paper highlights the parallels of gender construction and the interaction within the social relations depicted in these two novels, which have not been compared previously. The premise, based on the psychoanalytic theories of Jacques Lacan and cultural materialism of Raymond Williams, is that fiction reflects historical and contemporary social relations. Lacanian and feminist interpretations have both been conducted on literature written by Collins and Hemingway; however, neither look at these particular novels as two examples for the same contemporary phenomenon of 21st century patriarchal interpellation. This paper most similarly follows the work of Slavoj Žižek who analyzes contemporary social relations through film (including classics such as Casablanca and works by Alfred Hitchcock) and other aspects of popular culture. This project’s contribution and uniqueness lie with the way it applies theory to these particular literary works, specifically concerning gender relations and the prevalence of androgyny in widely read works by well-known authors in two very different literary and historical eras. My interpretation of these two novels provides an evaluation of historical and contemporary patriarchal norms and a radical potentiality for subverting the idea of static gender roles that has remained prevalent throughout the three centuries of these texts’ existence.