Estimation of global systematic risk for securities listed in multiple markets

The market model is the most frequently estimated model in financial economics and has proven extremely useful in the estimation of systematic risk. In this era of rapid globalization of financial markets there has been a substantial increase in cross listings of stocks in foreign and regional capital markets. As many as a third to a half of the stocks in some major exchanges are foreign listed. The multiple listings of stocks has major implications for the estimation of systematic risk. The traditiona1 method of estimating the market model by using data from only one market will lead to misleading estimates of beta. This study demonstrates that the estimator for systematic risk and the methodology itself changes when stocks are listed in multiple markets. General expressions are developed to obtain the estimator of global beta under a variety of assumptions about the error terms of the market models for different capital markets. The assumptions pertain both to the volatilities of the abnormal returns in each market, and to the relationship between the markets. ^ Explicit expressions are derived for the estimation of global systematic risk beta when the returns are homoscedastic and also under different heteroscedastic conditions both within and/or between markets. These results for the estimation of global beta are further extended when return generating process follows an autoregressive scheme.^

The multiple dimensions of political trust in democratic Argentina

Why do Argentines continue to support democracy despite distrusting political institutions and politicians? Support for democracy is high even though performance of the regime is poor. One would suspect that poor economic and political performance would open the door for military intervention given the history of Argentina. What changed? What explains variance across the multiple dimensions of political trust, such as trust in the regime, trust in political institutions, and trust in politicians? This dissertation is a case study of political culture through public opinion exploring the multiple dimensions of political trust in Argentina during the 1990s. ^ Variance across the different dimensions of political trust may be an indicator of the rise of a new type of citizens called "critical citizens." Critical citizens are citizens who criticize the regime to obtain democratic reforms but support the ideals of democracy. In established democracies, the rise of critical citizens is explained by a shift in individuals' value priorities towards postmaterialism. Postmaterialism is a cultural change in the direction of values that emphasize self-realization and individual well-being. Postmaterialism influences various social and political attitudes. ^ Because Argentina is experiencing a cultural change and a rise of critical citizens similar to more advanced societies, the theory of postmaterialism generated the main hypothesis to explain the multiple dimensions of political trust. This dissertation also tested an alternative explanation: the multiple dimensions of political trust responded instead to citizens' evaluations of performance. Ultimately, postmaterialism explained trust in the political regime and trust in the political institutions. Contrary to expectations, postmaterialism did not explain trust in the political elites or politicians. Trust in politicians was better explained by the alternative hypothesis, performance. ^ The main method of research was the statistical method supplemented with the comparative method when data were available. Two main databases were used: the World Values Surveys and the Latinobarometer. ^

A multi-method approach for the assessment of composite indices and rankings

There is growing popularity in the use of composite indices and rankings for cross-organizational benchmarking. However, little attention has been paid to alternative methods and procedures for the computation of these indices and how the use of such methods may impact the resulting indices and rankings. This dissertation developed an approach for assessing composite indices and rankings based on the integration of a number of methods for aggregation, data transformation and attribute weighting involved in their computation. The integrated model developed is based on the simulation of composite indices using methods and procedures proposed in the area of multi-criteria decision making (MCDM) and knowledge discovery in databases (KDD). The approach developed in this dissertation was automated through an IT artifact that was designed, developed and evaluated based on the framework and guidelines of the design science paradigm of information systems research. This artifact dynamically generates multiple versions of indices and rankings by considering different methodological scenarios according to user specified parameters. The computerized implementation was done in Visual Basic for Excel 2007. Using different performance measures, the artifact produces a number of excel outputs for the comparison and assessment of the indices and rankings. In order to evaluate the efficacy of the artifact and its underlying approach, a full empirical analysis was conducted using the World Bank's Doing Business database for the year 2010, which includes ten sub-indices (each corresponding to different areas of the business environment and regulation) for 183 countries. The output results, which were obtained using 115 methodological scenarios for the assessment of this index and its ten sub-indices, indicated that the variability of the component indicators considered in each case influenced the sensitivity of the rankings to the methodological choices. Overall, the results of our multi-method assessment were consistent with the World Bank rankings except in cases where the indices involved cost indicators measured in per capita income which yielded more sensitive results. Low income level countries exhibited more sensitivity in their rankings and less agreement between the benchmark rankings and our multi-method based rankings than higher income country groups.

Method development for the analysis of smokeless powders and organic gunshot residue by ultra performance liquid chromatography with tandem mass spectrometry

The goal of this project was to develop a rapid separation and detection method for analyzing organic compounds in smokeless powders and then test its applicability on gunshot residue (GSR) samples. In this project, a total of 20 common smokeless powder additives and their decomposition products were separated by ultra performance liquid chromatography (UPLC) and confirmed by tandem mass spectrometry (MS/MS) using multiple reaction monitoring mode (MRM). Some of the targeted compounds included diphenylamines, centralites, nitrotoluenes, nitroglycerin, and various phthalates. The compounds were ionized in the MS source using simultaneous positive and negative electrospray ionization (ESI) with negative atmospheric pressure chemical ionization (APCI) in order to detect all compounds in a single analysis. The developed UPLC/MS/MS method was applied to commercially available smokeless powders and gunshot residue samples recovered from the hands of shooters, spent cartridges, and smokeless powder retrieved from unfired cartridges. Distinct compositions were identified for smokeless powders from different manufacturers and from separate manufacturing lots. The procedure also produced specific chemical profiles when tested on gunshot residues from different manufacturers. Overall, this thesis represents the development of a rapid and reproducible procedure capable of simultaneously detecting the widest possible range of components present in organic gunshot residue.^

Determining polarization dependent diffraction coefficients from building edges using FDTD method

Electromagnetic waves in suburban environment encounter multiple obstructions that shadow the signal. These waves are scattered and random in polarization. They take multiple paths that add as vectors at the portable device. Buildings have vertical and horizontal edges. Diffraction from edges has polarization dependent characteristics. In practical case, a signal transmitted from a vertically polarized high antenna will result in a significant fraction of total power in the horizontal polarization at the street level. Signal reception can be improved whenever there is a probability of receiving the signal in at least two independent ways or branches. The Finite-Difference Time-Domain (FDTD) method was applied to obtain the two and three-dimensional dyadic diffraction coefficients (soft and hard) of right-angle perfect electric conductor (PEC) wedges illuminated by a plane wave. The FDTD results were in good agreement with the asymptotic solutions obtained using Uniform Theory of Diffraction (UTD). Further, a material wedge replaced the PEC wedge and the dyadic diffraction coefficient for the same was obtained.