Estimation of global beta and tests of capital asset pricing models

With the rapid globalization and integration of world capital markets, more and more stocks are listed in multiple markets. With multi-listed stocks, the traditional measurement of systematic risk, the domestic beta, is not appropriate since it only contain information from one market. ^ Prakash et al. (1993) developed a technique, the global beta, to capture information from multiple markets wherein the stocks are listed. In this study, the global betas are obtained as well as domestic betas for 704 multi-listed stocks from 59 world equity markets. Welch tests show that domestic betas are not equal across markets, therefore, global beta is more appropriate in a global investment setting. ^ The traditional Capital Asset Pricing Models (CAPM) is also tested with regards to both domestic beta and global beta. The results generally support the positive relationship between stocks returns and global beta while tend to reject this relationship between stocks returns and domestic beta. Further tests of International CAPM with domestic beta and global beta strengthen the conclusion.^

Ionized cluster beam deposition: Modeling, cluster size measurement and applications

Clusters are aggregations of atoms or molecules, generally intermediate in size between individual atoms and aggregates that are large enough to be called bulk matter. Clusters can also be called nanoparticles, because their size is on the order of nanometers or tens of nanometers. A new field has begun to take shape called nanostructured materials which takes advantage of these atom clusters. The ultra-small size of building blocks leads to dramatically different properties and it is anticipated that such atomically engineered materials will be able to be tailored to perform as no previous material could.^ The idea of ionized cluster beam (ICB) thin film deposition technique was first proposed by Takagi in 1972. It was based upon using a supersonic jet source to produce, ionize and accelerate beams of atomic clusters onto substrates in a vacuum environment. Conditions for formation of cluster beams suitable for thin film deposition have only recently been established following twenty years of effort. Zinc clusters over 1,000 atoms in average size have been synthesized both in our lab and that of Gspann. More recently, other methods of synthesizing clusters and nanoparticles, using different types of cluster sources, have come under development.^ In this work, we studied different aspects of nanoparticle beams. The work includes refinement of a model of the cluster formation mechanism, development of a new real-time, in situ cluster size measurement method, and study of the use of ICB in the fabrication of semiconductor devices.^ The formation process of the vaporized-metal cluster beam was simulated and investigated using classical nucleation theory and one dimensional gas flow equations. Zinc cluster sizes predicted at the nozzle exit are in good quantitative agreement with experimental results in our laboratory.^ A novel in situ real-time mass, energy and velocity measurement apparatus has been designed, built and tested. This small size time-of-flight mass spectrometer is suitable to be used in our cluster deposition systems and does not suffer from problems related to other methods of cluster size measurement like: requirement for specialized ionizing lasers, inductive electrical or electromagnetic coupling, dependency on the assumption of homogeneous nucleation, limits on the size measurement and non real-time capability. Measured ion energies using the electrostatic energy analyzer are in good accordance with values obtained from computer simulation. The velocity (v) is measured by pulsing the cluster beam and measuring the time of delay between the pulse and analyzer output current. The mass of a particle is calculated from m = (2E/v$\sp2).$ The error in the measured value of background gas mass is on the order of 28% of the mass of one N$\sb2$ molecule which is negligible for the measurement of large size clusters. This resolution in cluster size measurement is very acceptable for our purposes.^ Selective area deposition onto conducting patterns overlying insulating substrates was demonstrated using intense, fully-ionized cluster beams. Parameters influencing the selectivity are ion energy, repelling voltage, the ratio of the conductor to insulator dimension, and substrate thickness. ^

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 capital, HIV risk behavior and substance use among recent Latino immigrants in South Florida

Social capital, or social cohesion or group connectedness, can influence both HIV risk behavior and substance use. Because recent immigrants undergo a change in environment, one of the consequences can be a change in social capital. There may be an association among changes in social capital, and HIV risk behavior and substance use post immigration. The dissertation focused on the interface of these three variables among recent Latino immigrants (RLIs) in South Florida. The first manuscript is a systematic review of social capital and HIV risk behavior, and served as a partial background for the second and third manuscripts. Twelve papers with a measure of social capital as an independent variable and HIV risk as the dependent variable were included in the analysis. Eleven studies measured social capital at the individual level, and one study measured social capital at the group level. HIV risk was influenced by social capital, but the type of influence was dependent on the type of social capital and on the study population. Cognitive social capital, or levels of collective action, was protective against HIV in both men and women. The role of structural social capital, or levels of civic engagement/group participation, on HIV risk was dependent on the type of structural social capital and varied by gender. Microfinance programs and functional group participation were protective for women, while dysfunctional group participation and peer-level support may have increased HIV risk among men. The second manuscript was an original study assessing changes in social capital and HIV risk behavior pre to post immigration among RLIs in South Florida (n=527). HIV risk behavior was assessed through the frequency of vaginal-penile condom use, and the number of sexual partners. It was a longitudinal study using secondary data analysis to assess changes in social capital and HIV risk behavior pre immigration to two years post immigration, and to determine if there was a relationship between the two variables. There was an 8% decrease in total social capital (p < .05). Reporting of 'Never use' of condoms in the past 90 days increased in all subcategories (p < .05). Single men had a decrease in number of sexual partners (p < .05). Lower social capital measured on the dimension of 'friend and other' was marginally associated with fewer sexual partners. The third manuscript was another original study looking at the association between social capital and substance use among RLIs in South Florida (n=527). Substance use with measured by frequency of hazardous alcoholic drinking, and illicit drug use. It was a longitudinal study of social capital and substance-use from pre to two years post immigration. Post-immigration, social capital, hazardous drinking and illicit drug use decreased (p<.001). After adjusting for time, compared to males, females were less likely to engage in hazardous drinking (OR=.31, p<.001), and less likely to engage in illicit drug use (OR=.67, p=.01). Documentation status was a moderator between social capital and illicit drug use. 'Business' and 'Agency' social capital were associated with changes in illicit drug use for documented immigrants. After adjusting for gender and marital status, on average, documented immigrants with a one-unit increase in 'business' social capital were 1.2 times more likely to engage in illicit drug use (p<.01), and documented immigrants with one-unit increase in 'agency' social capital were 38% less likely to engage in illicit drug use (p<.01). 'Friend and other' social capital was associated with a decrease in illicit drug use among undocumented immigrants. After adjusting for gender and marital status, on average, undocumented immigrants with a one-unit increase in 'friend and other' social capital were 45% less likely to engage in hazardous drinking and 44% less likely to use illicit drugs (p<.01, p<.05). Studying these three domains is relevant because HIV continues to be a public health issue, particularly in Miami-Dade County, which is ranked among other U.S. regions with high rates of HIV/AIDS prevalence. Substance use is associated with HIV risk behavior; in most studies, increased substance use is associated with increased chances of HIV risk behavior. Immigration, which is the hypothesized catalyst for the change in social capital, has an impact on the dynamic of a society. Greater immigration can be burdensome on the host country's societal resources; however immigrants are also potentially a source of additional skilled labor for the workforce. Therefore, successful adaption of immigrants can have a positive influence on receiving communities. With Florida being a major receiver of immigrants to the U.S, this dissertation attempts to address an important public health issue for South Florida and the U.S. at large.

Social Capital, HIV Risk Behavior and Substance Use among Recent Latino Immigrants in South Florida

Social capital, or social cohesion or group connectedness, can influence both HIV risk behavior and substance use. Because recent immigrants undergo a change in environment, one of the consequences can be a change in social capital. There may be an association among changes in social capital, and HIV risk behavior and substance use post immigration. The dissertation focused on the interface of these three variables among recent Latino immigrants (RLIs) in South Florida. The first manuscript is a systematic review of social capital and HIV risk behavior, and served as a partial background for the second and third manuscripts. Twelve papers with a measure of social capital as an independent variable and HIV risk as the dependent variable were included in the analysis. Eleven studies measured social capital at the individual level, and one study measured social capital at the group level. HIV risk was influenced by social capital, but the type of influence was dependent on the type of social capital and on the study population. Cognitive social capital, or levels of collective action, was protective against HIV in both men and women. The role of structural social capital, or levels of civic engagement/group participation, on HIV risk was dependent on the type of structural social capital and varied by gender. Microfinance programs and functional group participation were protective for women, while dysfunctional group participation and peer-level support may have increased HIV risk among men. The second manuscript was an original study assessing changes in social capital and HIV risk behavior pre to post immigration among RLIs in South Florida (n=527). HIV risk behavior was assessed through the frequency of vaginal-penile condom use, and the number of sexual partners. It was a longitudinal study using secondary data analysis to assess changes in social capital and HIV risk behavior pre immigration to two years post immigration, and to determine if there was a relationship between the two variables. There was an 8% decrease in total social capital (p ˂ .05). Reporting of ‘Never use’ of condoms in the past 90 days increased in all subcategories (p ˂ .05). Single men had a decrease in number of sexual partners (p ˂ .05). Lower social capital measured on the dimension of ‘friend and other’ was marginally associated with fewer sexual partners. The third manuscript was another original study looking at the association between social capital and substance use among RLIs in South Florida (n=527). Substance use with measured by frequency of hazardous alcoholic drinking, and illicit drug use. It was a longitudinal study of social capital and substance-use from pre to two years post immigration. Post-immigration, social capital, hazardous drinking and illicit drug use decreased (p˂.001). After adjusting for time, compared to males, females were less likely to engage in hazardous drinking (OR=.31, p˂.001), and less likely to engage in illicit drug use (OR=.67, p=.01). Documentation status was a moderator between social capital and illicit drug use. ‘Business’ and ‘Agency’ social capital were associated with changes in illicit drug use for documented immigrants. After adjusting for gender and marital status, on average, documented immigrants with a one-unit increase in ‘business’ social capital were 1.2 times more likely to engage in illicit drug use (p˂.01), and documented immigrants with one-unit increase in ‘agency’ social capital were 38% less likely to engage in illicit drug use (p˂.01). ‘Friend and other’ social capital was associated with a decrease in illicit drug use among undocumented immigrants. After adjusting for gender and marital status, on average, undocumented immigrants with a one-unit increase in ‘friend and other’ social capital were 45% less likely to engage in hazardous drinking and 44% less likely to use illicit drugs (p˂.01, p˂.05). Studying these three domains is relevant because HIV continues to be a public health issue, particularly in Miami-Dade County, which is ranked among other U.S. regions with high rates of HIV/AIDS prevalence. Substance use is associated with HIV risk behavior; in most studies, increased substance use is associated with increased chances of HIV risk behavior. Immigration, which is the hypothesized catalyst for the change in social capital, has an impact on the dynamic of a society. Greater immigration can be burdensome on the host country’s societal resources; however immigrants are also potentially a source of additional skilled labor for the workforce. Therefore, successful adaption of immigrants can have a positive influence on receiving communities. With Florida being a major receiver of immigrants to the U.S, this dissertation attempts to address an important public health issue for South Florida and the U.S. at large.

The impact of institutional complexity and top management characteristics on executive compensation and firm performance

While most studies take a dyadic view when examining the environmental difference between the home country of a multinational enterprise (MNE) and a particular foreign country, they ignore that an MNE is managing a network of subsidiaries embedded in diverse environments. Additionally, neither the impacts of global environments on top executives nor the effects of top executives’ capabilities to handle institutional complexity are fully explored. Thus, using a three-essay format, this dissertation tried to fill these gaps by addressing the effects of institutional complexity and top management characteristics on top executive compensation and firm performance. ^ Essay 1 investigated the impact of an MNE’s institutional complexity, or the diversity of national institutions facing an MNE’s network of subsidiaries, on the top management team (TMT) compensation. This essay proposed that greater political and cultural complexity leads to not only greater TMT total compensation but also to a greater portion of TMT compensation linked with long-term performance. The arguments are supported in this essay by using an unbalanced panel dataset including 296 U.S. firms with 1,340 observations. ^ Essay 2 explored TMT social capital and its moderating role on value creation and appropriation by the chief executive officer (CEO). Using a sample with 548 U.S. firms and 2,010 observations, it found that greater TMT social capital does facilitate the effects of CEO intellectual capital and social capital on firm growth. Finally, essay 3 examined the performance implications for the fit between managerial information-processing capabilities and institutional complexity. It proposed that institutional complexity is associated with the needs of information-processing. On the other hand, smaller TMT turnover and larger TMT size reflect larger managerial information-processing capabilities. Consequently, superior performance is achieved by the match among institutional complexity, TMT turnover, and TMT size. All hypotheses in essay 3 are supported in a sample of 301 U.S. firms and 1,404 observations. ^ To conclude, this dissertation advances and extends our knowledge on the roles of institutional environments and top executives on firm performance and top executive compensation.^

Social Capital and International Migration from Latin America

We combine data from the Latin American Migration Project and the Mexican Migration Project to estimate models predicting the likelihood of taking of first and later trips to the United States from five nations: Mexico, the Dominican Republic, Costa Rica, Nicaragua, and Peru. The models test specific hypotheses about the effects of social capital on international migration and how these effects vary with respect to contextual factors. Our findings confirm the ubiquity of migrant networks and the universality of social capital effects throughout Latin America. They also reveal how the sizes of these effects are not uniform across settings. Social capital operates more powerfully on first as opposed to later trips and interacts with the cost of migration. In addition, effects are somewhat different when considering individual social capital (measuring strong ties) and community social capital (measuring weak ties). On first trips, the effect of strong ties in promoting migration increases with distance whereas the effect of weak ties decreases with distance. On later trips, the direction of effects for both individual and community social capital is negative for long distances but positive for short distances.

The new Jamaican migration : implications for theory and practice

While analysis of the effect which education and migration have on development is neither clear cut, nor obvious, regimes such as those of Jamaica have traditionally placed great emphasis on development through education at all levels. The process of human resource development and the accumulation of human capital is intended to unlock the door to modernization. Nevertheless, our findings indicate a considerable loss of professional and skilled personnel -- the same group that embody a disproportionate amount of educational expenditure relative to the population. Insofar as planning is concerned this migration represents a negative factor. The developing country of Jamaica is unintentionally supplying the developed world with an "annual gift" of human capital which its economy cannot afford. The major issue becomes: to what extent can any government "protect" its investments by restricting movements of capital and people. The general assumption of this paper is that the question of human rights cannot be ignored especially in democracies (which Jamaica decidedly is), where movement is seen as an ingrained human right. During the 1970s and 1980s, Jamaica and the Caribbean as a whole has lost much through intellectual capital migrations. Yet brains may also die in their own environment, if deprived the ability to create their own criteria and goals. Forcing people to stay with their money and know-how may only serve to produce and economic environment overgrown with weeds of lethargy, indolence and mediocrity.

The State of our Toolbox: A Meta-analysis of Reliability Measurement Precision

My study investigated internal consistency estimates of psychometric surveys as an operationalization of the state of measurement precision of constructs in industrial and organizational (I/O) psychology. Analyses were conducted of samples used in research articles published in the Journal of Applied Psychology between 1975 and 2010 in five year intervals (K = 934) from 480 articles yielding 1427 coefficients. Articles and their respective samples were coded for test-taker characteristics (e.g., age, gender, and ethnicity), research settings (e.g., lab and field studies), and actual tests (e.g., number of items and scale anchor points). A reliability and inter-item correlations depository was developed for I/O variables and construct groups. Personality measures had significantly lower inter-item correlations than other construct groups. Also, internal consistency estimates and reporting practices were evaluated over time, demonstrating an improvement in measurement precision and missing data.