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. ^

Lower Aptian Comparative Stratigraphy of the Basco-Cantabrian Region (Spain) and Eastern Cordillera (Colombia): implications for local factors in the depositional record of Oceanic Anoxic Event 1a (OAE-1a)

An important episode of carbon sequestration, Oceanic Anoxic Event 1a (OAE-1a), characterizes the Lower Aptian worldwide, and is mostly known from deeper-water settings. The present work of two Lower Aptian deposits, Madotz (N Spain) and Curití Quarry (Colombia), is a multiproxy study that includes fossil assemblages, microfacies, X-ray diffraction bulk and clay mineralogy, elemental analyses (major, minor, trace elements), Rock-Eval pyrolysis, biomarkers, inorganic and organic carbon content, and stable carbon isotopes. The results provide baseline evidence of the local and global controlling environmental factors influencing OAE-1a in shallow-water settings. The data also improve our general understanding of the conditions under which organic-carbon-rich deposits accumulate. The sequence at Madotz includes four intervals (Unit 1; Subunits 2a, 2b and 2c) that overlap the times prior to, during and after the occurrence of OAE-1a. The Lower Unit 1(3m thick) is essentially siliciclastic, and Subunit 2a (20m) contains Urgonian carbonate facies that document abruptly changing platform conditions prior to OAE-1a. Subunit 2b (24.4 m) is a mixed carbonate-siliciclastic facies with orbitolinid-rich levels that coincides with OAE-1a δ13C stages C4-C6, and is coeval with the upper part of the Deshayesites forbesi ammonite zone. Levels with pyrite and the highest TOC values (0.4-0.97%), interpreted as accumulating under suboxic conditions, and are restricted to δ13C stages C4 and C5. The best development of the suboxic facies is at the level representing the peak of the transgression. Subunit 2c, within δ13C stage C7, shows a return of the Urgonian facies. The 23.35-m section at Curití includes a 6.3-m interval at the base of the Paja Formation dominated by organic-rich marlstones and shales lacking benthic fossils and bioturbation, with TOC values as high as 8.84%. The interval overlies a level containing reworked and phosphatized assemblages of middle Barremian to lowest Aptian ammonites. The range of values and the overall pattern of the δ13Corg (-22.05‰ to -20.47‰) in the 6.3m-interval is comparable with Lower Aptian δ13C stage C7. Thus, conditions of oxygen depletion at this site also occurred after Oceanic Anoxic Event-1a, which developed between carbon isotope stages C3 and C6. Both sites, Madotz and Curití, attest to the importance of terrigenous and nutrient fluxes in increasing OM productivity that led to episodic oxygen deficiency.