Three essays on liquidity

Doutoramento em Gestão.

Three essays on corporate taxation : financial reporting, value, and firm creation

Doutoramento em Gestão

Three Essays on a Longitudinal Analysis of Business Start-ups using the Kauffman Firm Survey

This dissertation focused on the longitudinal analysis of business start-ups using three waves of data from the Kauffman Firm Survey. The first essay used the data from years 2004-2008, and examined the simultaneous relationship between a firm’s capital structure, human resource policies, and its impact on the level of innovation. The firm leverage was calculated as, debt divided by total financial resources. Index of employee well-being was determined by a set of nine dichotomous questions asked in the survey. A negative binomial fixed effects model was used to analyze the effect of employee well-being and leverage on the count data of patents and copyrights, which were used as a proxy for innovation. The paper demonstrated that employee well-being positively affects the firm's innovation, while a higher leverage ratio had a negative impact on the innovation. No significant relation was found between leverage and employee well-being. The second essay used the data from years 2004-2009, and inquired whether a higher entrepreneurial speed of learning is desirable, and whether there is a linkage between the speed of learning and growth rate of the firm. The change in the speed of learning was measured using a pooled OLS estimator in repeated cross-sections. There was evidence of a declining speed of learning over time, and it was concluded that a higher speed of learning is not necessarily a good thing, because speed of learning is contingent on the entrepreneur's initial knowledge, and the precision of the signals he receives from the market. Also, there was no reason to expect speed of learning to be related to the growth of the firm in one direction over another. The third essay used the data from years 2004-2010, and determined the timing of diversification activities by the business start-ups. It captured when a start-up diversified for the first time, and explored the association between an early diversification strategy adopted by a firm, and its survival rate. A semi-parametric Cox proportional hazard model was used to examine the survival pattern. The results demonstrated that firms diversifying at an early stage in their lives show a higher survival rate; however, this effect fades over time.

Three Essays on Dual-Class Stock Structure

Dual-class stock structure is characterized by the separation of voting rights and cash flow rights. The departure from a common “one share-one vote” configuration creates ideal conditions for conflicts of interest and agency problems between controlling insiders (the holders of voting rights) and remaining shareholders. The owners of voting rights have the opportunity to extract private benefits and act in their personal interest; as a result, dual-class firms are often perceived to have low transparency and high information asymmetry. This dissertation investigates the quality of information and the information environment of firms with two classes of stock. The first essay examines the quality of information by studying accruals in dual-class firms in comparison to firms with only one class of stock. The results suggest that the quality of accruals is better in dual-class firms than in single-class firms. In addition, the difference in the quality of accruals between firms that abolish their dual-class share structure by unification and singe-class firms disappears in the post-unification period. The second essay investigates the earnings informativeness of dual-class firms by examining the explanatory power of earnings for returns. The results indicate that the earnings informativeness is lower for dual-class firms as compared to single-class firms. Earnings informativeness improves in firms that unify their shares. The third essay compares the level of information asymmetry between dual-class firms and single-class firms. It is documented that the information environment for dual-class firms is worse than for single-class firms. Also, the finding suggests that the difference in information environment between dual-class firms and single-class firms disappears after dual-class stock unification.

Three Essays on Market Depth in Futures Markets

Liquidity is an important market characteristic for participants in every financial market. One of the three components of liquidity is market depth. Prior literature lacks a comprehensive analysis of depth in U.S. futures markets due to past limitations on the availability of data. However, recent innovations in data collection and dissemination provide new opportunities to investigate the depth dimension of liquidity. In this dissertation, the Chicago Mercantile Exchange (CME) Group proprietary database on depth is employed to study the dynamics of depth in the U.S. futures markets. This database allows for the analysis of depth along the entire limit order book rather than just at the first level. The first essay examines the characteristics of depth within the context of the five-deep limit order book. Results show that a large amount of depth is present in the book beyond the best level. Furthermore, the findings show that the characteristics of five-deep depth between day and night trading vary and that depth is unequal across levels within the limit order book. The second essay examines the link between the five-deep market depth and the bid-ask spread. The results suggest an inverse relation between the spread and the depth after adjusting for control factors. The third essay explores transitory volatility in relation to depth in the limit order book. Evidence supports the relation between an increase in volatility and a subsequent decrease in market depth. Overall, the results of this dissertation are consistent with limit order traders actively managing depth along the limit order book in electronic U.S. futures markets.

Three essays on the interest rate cruve multiplicity in the interbank market

Esta tesis lleva por título ”Tres ensayos sobre la multiplicidad de curvas de tipos de interés en el mercado interbancario” y está compuesta por tres artículos de investigación independientes en los que se analiza la evolución de los diferenciales del mercado interbancario del Euro en el periodo post-crisis. El objetivo es obtener información embebida en las cotizaciones de estos diferenciales emplenado distintas metodologías e identificar las variables que subyacen al fenómeno de la multiplicidad de curvas, caracterizando el papel que juegan a la hora de explicar esta evolución. El análisis se realiza según una aproximación cercana a la práctica de mercado (Capítulo 2), siguiendo técnicas de valoración de activos (Capítulo 3) y finalmente considerando métodos econométricos (Capítulo 4). El Capítulo 2, que incluye el primer ensayo, se centra en la evolución dinámica de las distintas curvas de tipos de interés surgidas a raíz de la crisis -diferenciadas por la periodicidad de pago del tipo de interés subyacente- a través del estudio de sus diferenciales respecto a la curva overnight. La metodología empleada es similar a la de Diebold and Li (2006) y se resume en tres factores principales que se interpretan como nivel, pendiente y curvatura. El análisis de componentes principales de estos factores para distintas periodicidades muestra que existen patrones comunes entre los factores de las diferentes curvas, en particular el primer componente principal explica el 90% de su variación. El estudio de los determinantes de estos factores revela importantes conclusiones sobre las fuentes de este patrón. En concreto, se observa que el nivel tiene una relación muy importante con el riesgo de crédito. Asimismo, el estudio del contenido informacional de los errores residuales del modelo -mediante el cómputo de la medida de ruido de Hu et al. (2013)- nos lleva a concluir que estos residuos tienen relación con la liquidez. El análisis de estos datos empleando téncicas VAR refuerza estos resultados...

Three essays on the intraday dynamics of the foreign exchange market

Containing three essays on the intraday dynamics of the foreign exchange market, the dissertation highlights the role of higher-moments in improving the forecasting ability of exchange rates models while contributing to the literature through the identification of new calendar anomalies in the currency market which has implications for regulators and investors.

Supporting collaboration on very large-scale interactive wall surfaces

In this paper we describe CubIT, a multi-user presentation and collaboration system installed at the Queensland University of Technology’s (QUT) Cube facility. The ‘Cube’ is an interactive visualisation facility made up of five very large-scale interactive multi-panel wall displays, each consisting of up to twelve 55-inch multi-touch screens (48 screens in total) and massive projected display screens situated above the display panels. The paper outlines the unique design challenges, features, implementation and evaluation of CubIT. The system was built to make the Cube facility accessible to QUT’s academic and student population. CubIT enables users to easily upload and share their own media content, and allows multiple users to simultaneously interact with the Cube’s wall displays. The features of CubIT were implemented via three user interfaces, a multi-touch interface working on the wall displays, a mobile phone and tablet application and a web-based content management system. Each of these interfaces plays a different role and offers different interaction mechanisms. Together they support a wide range of collaborative features including multi-user shared workspaces, drag and drop upload and sharing between users, session management and dynamic state control between different parts of the system. The results of our evaluation study showed that CubIT was successfully used for a variety of tasks, and highlighted challenges with regards to user expectations regarding functionality as well as issues arising from public use.

Experimental studies of non-load bearing steel wall systems under fire conditions

Fire safety of buildings has been recognised as very important by the building industry and the community at large. Traditionally, increased fire rating is provided by simply adding more plasterboards to light gauge steel frame (LSF) walls, which is inefficient. Many research studies have been undertaken to investigate the thermal behaviour of traditional LSF stud wall systems under standard fire conditions. However, no research has been undertaken on the thermal behaviour of LSF stud walls using the recently proposed composite panel. Extensive fire testing of both non-load bearing and load bearing wall panels was conducted in this research based on the standard time-temperature curve in AS1530.4. Three groups of LSF wall specimens were tested with no insulation, cavity insulation and the new composite panel based on an external insulation layer between plasterboards. This paper presents the details of this experimental study into the thermal performance of non-load bearing walls lined with various configurations of plasterboard and insulation. Extensive descriptive and numerical results of the tested non-load bearing wall panels given in this paper provide a thorough understanding of their thermal behaviour, and valuable time-temperature data that can be used to validate numerical models. Test results showed that the innovative composite stud wall systems outperformed the traditional stud wall systems in terms of their thermal performance, giving a much higher fire rating.

On the ignition and extinction problems in forced convection systems

In this paper the problem of ignition and extinction has been formulated for the flow of a compressible fluid with Prandtl and Schmidt numbers taken as unity. In particular, the problems of (i) a jet impinging on a wall of combustible material and (ii) the opposed jet diffusion flame have been studied. In the wall jet case, three approximations in the momentum equation namely, (i) potential flow, (ii) viscous flow, (ii) viscous incompressible with k = 1 and (iii) Lees' approximation (taking pressure gradient terms zero) are studied. It is shown that the predictions of the mass flow rates at extinction are not very sensitive to the approximations made in the momentum equation. The effects of varying the wall temperature in the case (i) and the jet temperature in the case (ii) on the extinction speeds have been studied. The effects of varying the activation energy and the free stream oxidant concentration in case (ii), have also been investigated.

Natural Convection in a Vertical Channel with Arrays of Flush-Mounted Heaters on Opposite Conductive Walls

Three-dimensional numerical study of natural convection in a vertical channel with flush-mounted discrete heaters on opposite conductive substrate walls is carried out in the present work. Detailed flow and heat transfer characteristics are presented for various Grashof numbers. The heat transfer effects on one wall by the presence of heaters on its opposite wall is examined. It is found that heat transfer rates on one wall are increased by the presence of heaters on its opposite wall. The thermal boundary layers on the opposite walls complement each other for enhanced heat transfer. The effects of spacing between the heated walls, spacings between heaters and substrate conductivity on flow and heat transfer are examined. Existence of optimum spacings between the heated walls for maximum heat transfer and mass flow are observed. It is found that the heat transfer and fluid flow do not follow the same optimum spacings. Mass flow rate reaches maximum value at a wall spacing greater than the spacing for maximum heat transfer. This is because the interaction of thermal boundary layers on individual walls ceases at a lower spacing before the velocity boundary layers separate each other. It is found that increased spacings between heaters reduce individual heater temperatures provided the heaters close to exit on both substrates avail sufficient substrate potions on the exit side. Insufficient substrate portions between the exit heaters and the exit cause abnormal local temperature rise in the exit heaters which are the hottest ones among all the heaters. Optimal heater spacings exist for minimum hottest heater temperature rise. Correlations are presented for dimensionless mass flow rate, temperature maximum, and average Nusselt number.

Three-dimensional effects on sliding and waving wings

Like large insects, micro air vehicles operate at low Reynolds numbers O(1; 000 - 10; 000) in a regime characterized by separated flow and strong vortices. The leading-edge vortex has been identified as a significant source of high lift on insect wings, but the conditions required for the formation of a stably attached leading-edge vortex are not yet known. The waving wing is designed to model the translational phase of an insect wing stroke by preserving the unsteady starting and stopping motion as well as three-dimensionality in both wing geometry (via a finite-span wing) and kinematics (via wing rotation). The current study examines the effect of the spanwise velocity gradient on the development of the leading-edge vortex along the wing as well as the effects of increasing threedimensionalityby decreasing wing aspect ratio from four to two. Dye flow visualization and particle image velocimetry reveal that the leading-edge vortices that form on a sliding or waving wing have a very high aspect ratio. The structure of the flow is largely two-dimensional on both sliding and waving wings and there is minimal interaction between the leading-edge vortices and the tip vortex. Significant spanwise flow was observed on the waving wing but not on the sliding wing. Despite the increased three-dimensionality on the aspect ratio 2 waving wing, there is no evidence of an attached leading-edge vortex and the structure of the flow is very similar to that on the higher-aspect-ratio wing and sliding wing. © Copyright 2010.

Substrate Clamping Effects on Irreversible Domain Wall Dynamics in Lead Zirconate Titanate Thin Films

The role of long-range strain interactions on domain wall dynamics is explored through macroscopic and local measurements of nonlinear behavior in mechanically clamped and released polycrystalline lead zirconate-titanate (PZT) films. Released films show a dramatic change in the global dielectric nonlinearity and its frequency dependence as a function of mechanical clamping. Furthermore, we observe a transition from strong clustering of the nonlinear response for the clamped case to almost uniform nonlinearity for the released film. This behavior is ascribed to increased mobility of domain walls. These results suggest the dominant role of collective strain interactions mediated by the local and global mechanical boundary conditions on the domain wall dynamics. The work presented in this Letter demonstrates that measurements on clamped films may considerably underestimate the piezoelectric coefficients and coupling constants of released structures used in microelectromechanical systems, energy harvesting systems, and microrobots.

Cell wall degrading enzymes and interaction between Trichoderma Aggressivum and Agaricus Bisporus

Agaricus bisporus is the most commonly cultivated mushroom in North America and has a great economic value. Green mould is a serious disease of A. bisporus and causes major reductions in mushroom crop production. The causative agent of green mould disease in North America was identified as Trichoderma aggressivum f. aggressivum. Variations in the disease resistance have been shown in the different commercial mushroom strains. The purpose of this study is to continue investigations of the interactions between T. aggressivum and A. bisporus during the development of green mould disease. The main focus of the research was to study the roles of cell wall degrading enzymes in green mould disease resistance and pathogenesis. First, we tried to isolate and sequence the N-acetylglucosaminidase from A. bisporus to understand the defensive mechanism of mushroom against the disease. However, the lack of genomic and proteomic information of A. bisporus limited our efforts. Next, T. aggressivum cell wall degrading enzymes that are thought to attack Agaricus and mediate the disease development were examined. The three cell wall degrading enzymes genes, encoding endochitinase (ech42), glucanase (fJ-1,3 glucanase) and protease (prb 1), were isolated and sequenced from T. aggressivum f. aggressivum. The sequence data showed significant homology with the corresponding genes from other fungi including Trichoderma species. The transcription levels of the three T. aggressivum cell wall degrading enzymes were studied during the in vitro co-cultivation with A. bisporus using R T -qPCR. The transcription levels of the three genes were significantly upregulated compared to the solitary culture levels but were upregulated to a lesser extent in co-cultivation with a resistant strain of A. bisporus than with a sensitive strain. An Agrobacterium tumefaciens transformation system was developed for T. aggressivum and was used to transform three silencing plasmids to construct three new T. aggressivum phenotypes, each with a silenced cell wall degrading enzyme. The silencing efficiency was determined by RT-qPCR during the individual in vitro cocultivation of each of the new phenotypes with A. bisporus. The results showed that the expression of the three enzymes was significantly decreased during the in vitro cocultivation when compared with the wild type. The phenotypes were co-cultivated with A. bisporus on compost with monitoring the green mould disease progression. The data indicated that prbi and ech42 genes is more important in disease progression than the p- 1,3 glucanase gene. Finally, the present study emphasises the role of the three cell wall degrading enzymes in green mould disease infection and may provide a promising tool for disease management.

Analysis of wall plasters and natural sediments from the Neolithic town of Çatalhöyük (Turkey) by a range of analytical techniques

Wall plaster sequences from the Neolithic town of Çatalhöyük have been analysed and compared to three types of natural sediment found in the vicinity of the site, using a range of analytical techniques. Block samples containing the plaster sequences were removed from the walls of several different buildings on the East Mound. Sub-samples were examined by IR spectroscopy, X-ray diffraction and X-ray fluorescence to determine the overall mineralogical and elemental composition, whilst thin sections were studied using optical polarising microscopy, IR Microscopy and Environmental Scanning Electron Microscopy with Energy Dispersive X-ray analysis. The results of this study have shown that there are two types of wall plaster found in the sequences and that the sediments used to produce these were obtained from at least two distinct sources. In particular, the presence of clay, calcite and magnesian calcite in the foundation plasters suggested that these were prepared predominantly from a marl source. On the other hand, the finishing plasters were found to contain dolomite with a small amount of clay and no calcite, revealing that softlime was used in their preparation. Whilst marl is located directly below and around Çatalhöyük, the nearest source of softlime is 6.5 km away, an indication that the latter was important to the Neolithic people, possibly due to the whiter colour (5Y 8/1) of this sediment. Furthermore, the same two plaster types were found on each wall of Building 49, the main building studied in this research, and in all five buildings investigated, suggesting that the use of these sources was an established practice for the inhabitants of several different households across the site.