Using extreme value theory to value stock market returns

Extreme stock price movements are of great concern to both investors and the entire economy. For investors, a single negative return, or a combination of several smaller returns, can possible wipe out so much capital that the firm or portfolio becomes illiquid or insolvent. If enough investors experience this loss, it could shock the entire economy. An example of such a case is the stock market crash of 1987. Furthermore, there has been a lot of recent interest regarding the increasing volatility of stock prices. ^ This study presents an analysis of extreme stock price movements. The data utilized was the daily returns for the Standard and Poor's 500 index from January 3, 1978 to May 31, 2001. Research questions were analyzed using the statistical models provided by extreme value theory. One of the difficulties in examining stock price data is that there is no consensus regarding the correct shape of the distribution function generating the data. An advantage with extreme value theory is that no detailed knowledge of this distribution function is required to apply the asymptotic theory. We focus on the tail of the distribution. ^ Extreme value theory allows us to estimate a tail index, which we use to derive bounds on the returns for very low probabilities on an excess. Such information is useful in evaluating the volatility of stock prices. There are three possible limit laws for the maximum: Gumbel (thick-tailed), Fréchet (thin-tailed) or Weibull (no tail). Results indicated that extreme returns during the time period studied follow a Fréchet distribution. Thus, this study finds that extreme value analysis is a valuable tool for examining stock price movements and can be more efficient than the usual variance in measuring risk. ^

Ethics, Value Systems And The Professionalization Of Hoteliers

In the discussion - Ethics, Value Systems And The Professionalization Of Hoteliers by K. Michael Haywood, Associate Professor, School of Hotel and Food Administration, University of Guelph, Haywood initially presents: “Hoteliers and executives in other service industries should realize that the foundation of success in their businesses is based upon personal and corporate value systems and steady commitment to excellence. The author illustrates how ethical issues and manager morality are linked to, and shaped by the values of executives and the organization, and how improved professionalism can only be achieved through the adoption of a value system that rewards contributions rather than the mere attainment of results.” The bottom line of this discussion is, how does the hotel industry reconcile its behavior with that of public perception? “The time has come for hoteliers to examine their own standards of ethics, value systems, and professionalism,” Haywood says. And it is ethics that are at the center of this issue; Haywood holds that component in an estimable position. “Hoteliers must become value-driven,” advises Haywood. “They must be committed to excellence both in actualizing their best potentialities and in excelling in all they do. In other words, the professionalization of the hotelier can be achieved through a high degree of self-control, internalized values, codes of ethics, and related socialization processes,” he expands. “Serious ethical issues exist for hoteliers as well as for many business people and professionals in positions of responsibility,” Haywood alludes in defining some inter-industry problems. “The acceptance of kickbacks and gifts from suppliers, the hiding of income from taxation authorities, the lack of interest in installing and maintaining proper safety and security systems, and the raiding of competitors' staffs are common practices,” he offers, with the reasoning that if these problems can occur within ranks, then there is going to be a negative backlash in the public/client arena as well. Haywood divides the key principles of his thesis statement - ethics, value systems, and professionalism – into specific elements, and then continues to broaden the scope of each element. Promotion, product/service, and pricing are additional key components in Haywood’s discussion, and he addresses each with verve and vitality. Haywood references the four character types - craftsmen, jungle fighters, company men, and gamesmen – via a citation to Michael Maccoby, in the portion of the discussion dedicated to morality and success. Haywood closes with a series of questions derived from Lawrence Miller's American Spirit, Visions of a New Corporate Culture, each question designed to focus, shape, and organize management's attention to the values that Miller sets forth in his piece.

Enhanced 3-dimensional carbon nanotube based anodes for lithium-ion battery applications

A prototype 3-dimensional (3D) anode, based on multiwall carbon nanotubes (MWCNTs), for Li-ion batteries (LIBs), with potential use in Electric Vehicles (EVs) was investigated. The unique 3D design of the anode allowed much higher areal mass density of MWCNTs as active materials, resulting in more amount of Li+ ion intake, compared to that of a conventional 2D counterpart. Furthermore, 3D amorphous Si/MWCNTs hybrid structure offered enhancement in electrochemical response (specific capacity 549 mAhg–1 ). Also, an anode stack was fabricated to further increase the areal or volumetric mass density of MWCNTs. An areal mass density of the anode stack 34.9 mg/cm2 was attained, which is 1,342% higher than the value for a single layer 2.6 mg/cm2. Furthermore, the binder-assisted and hot-pressed anode stack yielded the average reversible, stable gravimetric and volumetric specific capacities of 213 mAhg–1 and 265 mAh/cm3, respectively (at 0.5C). Moreover, a large-scale patterned novel flexible 3D MWCNTs-graphene-polyethylene terephthalate (PET) anode structure was prepared. It generated a reversible specific capacity of 153 mAhg–1 at 0.17C and cycling stability of 130 mAhg –1 up to 50 cycles at 1.7C.

The market value implications of pension asset allocation

Pension funds have been part of the private sector since the 1850's. Defined Benefit pension plans [DB], where a company promises to make regular contributions to investment accounts held for participating employees in order to pay a promised lifelong annuity, are significant capital markets participants, amounting to 2.3 trillion dollars in 2010 (Federal Reserve Board, 2013). In 2006, Statement of Financial Accounting Standards No.158 (SFAS 158), Employers' Accounting for Defined Benefit Pension and Other Postemployment Plans, shifted information concerning funding status and pension asset/liability composition from disclosure in the footnotes to recognition in the financial statements. I add to the literature by being the first to examine the effect of recent pension reform during the financial crisis of 2008-09. This dissertation is comprised of three related essays. In my first essay, I investigate whether investors assign different pricing multiples to the various classes of pension assets when valuing firms. The pricing multiples on all classes of assets are significantly different from each other, but only investments in bonds and equities were value-relevant during the recent financial crisis. Consistent with investors viewing pension liabilities as liabilities of the firm, the pricing multiples on pension liabilities are significantly larger than those on non-pension liabilities. The only pension costs significantly associated with firm value are actual rate of return and interest expense. In my second essay, I investigate the role of accruals in predicting future cash flows, extending the Barth et al. (2001a) model of the accrual process. Using market value of equity as a proxy for cash flows, the results of this study suggest that aggregate accounting amounts mask how the components of earnings affect investors' ability to predict future cash flows. Disaggregating pension earnings components and accruals results in an increase in predictive power. During the 2008-2009 financial crisis, however, investors placed a greater (and negative) weight on the incremental information contained in the individual components of accruals. The inferences are robust to alternative specifications of accruals. Finally, in my third essay I investigate how investors view under-funded plans. On average, investors: view deficits arising from under-funded plans as belonging to the firm; reward firms with fully or over-funded pension plans; and encourage those funds with unfunded pension plans to become funded. Investors also encourage conservative pension asset allocations to mitigate firm risk, and smaller firms are perceived as being better able to handle the risk associated with underfunded plans. During the financial crisis of 2008-2009 underfunded status had a lower negative association with market value. In all three models, there are significant differences in pre- and post- SFAS 158 periods. These results are robust to various scenarios of the timing of the financial crisis and an alternative measure of funding.

Enhanced 3-Dimensional Carbon Nanotube Based Anodes for Li-ion Battery Applications

A prototype 3-dimensional (3D) anode, based on multiwall carbon nanotubes (MWCNTs), for Li-ion batteries (LIBs), with potential use in Electric Vehicles (EVs) was investigated. The unique 3D design of the anode allowed much higher areal mass density of MWCNTs as active materials, resulting in more amount of Li+ ion intake, compared to that of a conventional 2D counterpart. Furthermore, 3D amorphous Si/MWCNTs hybrid structure offered enhancement in electrochemical response (specific capacity 549 mAhg-1). Also, an anode stack was fabricated to further increase the areal or volumetric mass density of MWCNTs. An areal mass density of the anode stack 34.9 mg/cm2 was attained, which is 1,342% higher than the value for a single layer 2.6 mg/cm2. Furthermore, the binder-assisted and hot-pressed anode stack yielded the average reversible, stable gravimetric and volumetric specific capacities of 213 mAhg-1 and 265 mAh/cm3, respectively (at 0.5C). Moreover, a large-scale patterned novel flexible 3D MWCNTs-graphene-polyethylene terephthalate (PET) anode structure was prepared. It generated a reversible specific capacity of 153 mAhg-1 at 0.17C and cycling stability of 130 mAhg-1 up to 50 cycles at 1.7C.