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.^

Social support, risk, and adjustment of immigrant preadolescents

The current study was designed to explore the salience of social support, immigrant status, and risk in middle childhood and early adolescence across two time periods as indicated by measures of school adjustment and well-being. Participants included 691 children of public elementary schools in grades 4 and 6 who were interviewed in 1997 (Time 1) and reinterviewed two years later (Time 2); 539 were U.S.-born, and 152 were foreign-born. ^ Repeated measures multivariate analyses of variance (MANOVA's) were conducted to assess the effects of immigrant status and risk on total support, well-being, and school adjustment from Time 1 to Time 2. Follow-up analyses, including Student-Newman-Keuls post hoc tests, were used to test the significance of the differences among the means of support categories (low and high), immigrant status (U.S. born and non-U.S. born), risk (low and high) and time (time 1 and time 2). ^ Results showed that immigrant participants in the high risk group reported significantly lower levels of support than their peers. Further, children of low risk at Time 2 indicated the highest levels of support. Second, immigrant preadolescents, preadolescents who reported low levels of social support, and preadolescents of the high risk reported lower levels of emotional well-being. There was also an interaction of support by risk by time, indicating that children who are at risk and had low levels of social support reported more emotional problems at Time 1. Finally, preadolescents who are at risk and preadolescents who reported lower levels of support were more likely to show school adaptation problems. Findings from this study highlight the importance of a multivariable approach to the study of support, emotional adjustment, and academic adjustment of immigrant preadolescents. ^

Teacher-student relationships and the link to academic adjustment and emotional well-being in early adolescence

The role of support from teachers on the academic and emotional adjustment of a ethnically and economically diverse sample of adolescents was examined. Analyses were conducted on data from a larger study examining social networks across the transition to junior high school. Participants in the current study included 694 African-American, Hispanic-American and European-American students in grades 6 and 8 from public elementary schools in South Florida. Some of these schools are located in economically distressed areas and some are in middle income areas. Children were interviewed, and information on teacher social support resources, school stressors, risk and academic and emotional adjustment was obtained. Several significant findings emerged from the analyses. First, overall teacher support was a significant predictor of a wide range of academic and emotional adjustment outcomes. Second, teacher support compensated for low peer support on teacher rated behavior problems. Third, teacher support interacted with school stress to predict depressed affect and self esteem. Fourth, teacher support interacted with low ecological risk conditions to predict feelings of loneliness. ^

Identity and intimacy as predictors of adolescent adjustment

Stressful developmental transitions related to identity and intimacy may have significant implications for adjustment in adolescence that last into young adulthood. Social and economic barriers experienced by minority adolescents have attracted attention as significant influences on normative developmental processes and psychosocial adjustment. The primary aim of this study was to describe significant relations among identity, intimacy, and adjustment in a sample of adolescents in an alternative school who were at elevated risk for problem behaviors. A sample of 120 multi-ethnic high school students responded to five self-administered questionnaires. In addition to describing significant gender differences in identity, and internalizing problems, this study documented that measures of identity accounted for significant variance in standard measures of internalizing problems using hierarchical multiple regression. The implications of these results for future research and practice are discussed.