Speculative bubbles and the cross-sectional variation in stock returns

Evidence suggests that rational, periodically collapsing speculative bubbles may be pervasive in stock markets globally, but there is no research that considers them at the individual stock level. In this study we develop and test an empirical asset pricing model that allows for speculative bubbles to affect stock returns. We show that stocks incorporating larger bubbles yield higher returns. The bubble deviation, at the stock level as opposed to the industry or market level, is a priced source of risk that is separate from the standard market risk, size and value factors. We demonstrate that much of the common variation in stock returns that can be attributable to market risk is due to the co-movement of bubbles rather than being driven by fundamentals.

Novel heating/cooling stage designed for fluid inclusion microthermometry of large stalagmite sections

Liquid–vapour homogenisation temperatures of fluid inclusions in stalagmites are used for quantitative temperature reconstructions in paleoclimate research. Specifically for this application, we have developed a novel heating/cooling stage that can be operated with large stalagmite sections of up to 17 × 35 mm2 to simplify and improve the chronological reconstruction of paleotemperature time-series. The stage is designed for use of an oil immersion objective and a high-NA condenser front lens to obtain high-resolution images for bubble radius measurements. The temperature accuracy of the stage is better than ± 0.1 °C with a precision (reproducibility) of ± 0.02 °C.

Optimizing mixing during the sponge cake manufacturing process

Sponge cakes have traditionally been manufactured using multistage mixing methods to enhance potential foam formation by the eggs. Today, use of all-in (single-stage) mixing methods is superseding multistage methods for large-scale batter preparation to reduce costs and production time. In this study, multistage and all-in mixing procedures and three final high-speed mixing times (3, 5, and 15 min) for sponge cake production were tested to optimize a mixing method for pilot-scale research. Mixing for 3 min produced batters with higher relative density values than did longer mixing times. These batters generated well-aerated cakes with high volume and low hardness. In contrast, after 5 and 15 min of high-speed mixing, batters with lower relative density and higher viscosity values were produced. Although higher bubble incorporation and retention were observed, longer mixing times produced better developed gluten networks, which stiffened the batters and inhibited bubble expansion during mixing. As a result, these batters did not expand properly and produced cakes with low volume, dense crumb, and high hardness values. Results for all-in mixing were similar to those for the multistage mixing procedure in terms of the physical properties of batters and cakes (i.e., relative density, elastic moduli, volume, total cell area, hardness, etc.). These results suggest the all-in mixing procedure with a final high-speed mixing time of 3 min is an appropriate mixing method for pilot-scale sponge cake production. The advantages of this method are reduced energy costs and production time.

Production of milk foams by steam injection: the effects of steam pressure and nozzle design

Foam properties depend on the physico-chemical characteristics of the continuous phase, the method of production and process conditions employed; however the preparation of barista-style milk foams in coffee shops by injection of steam uses milk as its main ingredient which limits the control of foam properties by changing the biochemical characteristics of the continuous phase. Therefore, the control of process conditions and nozzle design are the only ways available to produce foams with diverse properties. Milk foams were produced employing different steam pressures (100-280 kPa gauge) and nozzle designs (ejector, plunging-jet and confined-jet nozzles). The foamability of milk, and the stability, bubble size and texture of the foams were investigated. Variations in steam pressure and nozzle design changed the hydrodynamic conditions during foam production, resulting in foams having a range of properties. Steam pressure influenced foam characteristics, although the net effect depended on the nozzle design used. These results suggest that, in addition to the physicochemical determinants of milk, the foam properties can also be controlled by changing the steam pressure and nozzle design.

COMPARISONS OF THE INTERSTELLAR MAGNETIC FIELD DIRECTIONS OBTAINED FROM THE IBEX RIBBON AND INTERSTELLAR POLARIZATIONS

Variations in the spatial configuration of the interstellar magnetic field (ISMF) near the Sun can be constrained by comparing the ISMF direction at the heliosphere found from the Interstellar Boundary Explorer (IBEX) spacecraft observations of a ""Ribbon"" of energetic neutral atoms (ENAs), with the ISMF direction derived from optical polarization data for stars within similar to 40 pc. Using interstellar polarization observations toward similar to 30 nearby stars within similar to 90 degrees of the heliosphere nose, we find that the best fits to the polarization position angles are obtained for a magnetic pole directed toward ecliptic coordinates of lambda, beta similar to 263 degrees, 37 degrees (or galactic coordinates of l, b similar to 38 degrees, 23 degrees), with uncertainties of +/- 35 degrees based on the broad minimum of the best fits and the range of data quality. This magnetic pole is 33 degrees from the magnetic pole that is defined by the center of the arc of the ENA Ribbon. The IBEX ENA ribbon is seen in sight lines that are perpendicular to the ISMF as it drapes over the heliosphere. The similarity of the polarization and Ribbon directions for the local ISMF suggests that the local field is coherent over scale sizes of tens of parsecs. The ISMF vector direction is nearly perpendicular to the flow of local interstellar material (ISM) through the local standard of rest, supporting a possible local ISM origin related to an evolved expanding magnetized shell. The local ISMF direction is found to have a curious geometry with respect to the cosmic microwave background dipole moment.

An improved finite element space for discontinuous pressures

We consider incompressible Stokes flow with an internal interface at which the pressure is discontinuous, as happens for example in problems involving surface tension. We assume that the mesh does not follow the interface, which makes classical interpolation spaces to yield suboptimal convergence rates (typically, the interpolation error in the L(2)(Omega)-norm is of order h(1/2)). We propose a modification of the P(1)-conforming space that accommodates discontinuities at the interface without introducing additional degrees of freedom or modifying the sparsity pattern of the linear system. The unknowns are the pressure values at the vertices of the mesh and the basis functions are computed locally at each element, so that the implementation of the proposed space into existing codes is straightforward. With this modification, numerical tests show that the interpolation order improves to O(h(3/2)). The new pressure space is implemented for the stable P(1)(+)/P(1) mini-element discretization, and for the stabilized equal-order P(1)/P(1) discretization. Assessment is carried out for Poiseuille flow with a forcing surface and for a static bubble. In all cases the proposed pressure space leads to improved convergence orders and to more accurate results than the standard P(1) space. In addition, two Navier-Stokes simulations with moving interfaces (Rayleigh-Taylor instability and merging bubbles) are reported to show that the proposed space is robust enough to carry out realistic simulations. (c) 2009 Elsevier B.V. All rights reserved.

A Robust, Fully Adaptive Hybrid Level-Set/Front-Tracking Method for Two-Phase Flows with an Accurate Surface Tension Computation

We present a variable time step, fully adaptive in space, hybrid method for the accurate simulation of incompressible two-phase flows in the presence of surface tension in two dimensions. The method is based on the hybrid level set/front-tracking approach proposed in [H. D. Ceniceros and A. M. Roma, J. Comput. Phys., 205, 391400, 2005]. Geometric, interfacial quantities are computed from front-tracking via the immersed-boundary setting while the signed distance (level set) function, which is evaluated fast and to machine precision, is used as a fluid indicator. The surface tension force is obtained by employing the mixed Eulerian/Lagrangian representation introduced in [S. Shin, S. I. Abdel-Khalik, V. Daru and D. Juric, J. Comput. Phys., 203, 493-516, 2005] whose success for greatly reducing parasitic currents has been demonstrated. The use of our accurate fluid indicator together with effective Lagrangian marker control enhance this parasitic current reduction by several orders of magnitude. To resolve accurately and efficiently sharp gradients and salient flow features we employ dynamic, adaptive mesh refinements. This spatial adaption is used in concert with a dynamic control of the distribution of the Lagrangian nodes along the fluid interface and a variable time step, linearly implicit time integration scheme. We present numerical examples designed to test the capabilities and performance of the proposed approach as well as three applications: the long-time evolution of a fluid interface undergoing Rayleigh-Taylor instability, an example of bubble ascending dynamics, and a drop impacting on a free interface whose dynamics we compare with both existing numerical and experimental data.

Does Regulation matter? Institutional dimension of the 2008 financial crisis

Why did house prices fall in 2007‐2009? This is the fundamental question to most Americans, and to those who lent them money. Most homeowners did not care why residential real estate prices rose. They assumed prices always rose, and they should simply enjoy their good fortune. It was not until prices began to fall that people were left searching for answers. How much did regulation or lack thereof play in the role of the devastation? To what degree did greed and unrealistic consumer expectation have on the real estate bubble? Using existing literature as well as face to face interviews of experienced leaders within the real estate industry in California who experienced both the up and down of the real estate cycle, the overarching purpose of this study is to investigate the opinions and beliefs of the leaders and drivers within the real estate industry about the cause of the real estate bubble that occurred sharply in 2008 . Specifically, this project will focus on the opinions of real estate industry leaders who worked in the center of the subprime universe located in Irvine, California, during 2004‐2008. Comparing the mainstream beliefs with the interviewees it is fair to say that the main finding in the mainstream beliefs are reflected very well with the finding of the subject’s opinion. The thesis is divided into 6 chapters starting with “introduction”, followed by chapter 2 “Literature Review”. Chapter 3 is “Research Methodology” followed by chapter 4 “Data Presentation”. Finally, the results are discussed in chapter 5 “Analysis and Discussion” and conclusions in Chapter 6.

Trabalho móvel: em trânsito por aeroportos e aviões

Argumenta-se na contemporaneidade que o trabalho adquiriu a possibilidade de ser realizado “a qualquer hora e em qualquer lugar” e que, particularmente, pode ser realizado em movimento, enquanto a pessoa que trabalha desloca-se de um lugar a outro. Este estudo investiga esse último, o trabalho móvel; em especial, aquele que envolve o uso de tecnologias de informação e comunicação e realizado enquanto a pessoa que trabalha desloca-se por meio do sistema de transporte aéreo. Este projeto explora, especificamente, o desempenho de espaço-tempos de trabalho em terminais de aeroportos e em aviões. Para tanto, adota a abordagem teórico-metodológica Teoria Ator-Rede que considera o social um movimento de associações entre elementos heterogêneos e os espaço-tempos, incluindo aqueles de trabalho, efeitos de modos como humanos e não humanos relacionam-se entre si. A estratégia metodológica envolveu uma combinação de observação de campo, auto-observação e entrevistas com pessoas que vivem a experiência do trabalho móvel. A coleta de dados compreendeu: (a) horas de observação de pessoas e situações, em alguns terminais de aeroportos no Brasil e em voos entre a cidade de São Paulo e outras capitais do país, e (b) entrevistas semiestruturadas com pessoas que, com certa frequência, deslocam-se para trabalhar por meio do sistema de transporte aéreo. Como resultado, este estudo contribui para as análises sobre o fenômeno do trabalho móvel, realizado em aeroportos e aviões, e destaca: os atores envolvidos, bem como os agentes que levam esses atores a agir; a quantidade de objetos ativos na manifestação do fenômeno; e as controvérsias envolvidas com o tema. Além disso, aponta elementos empíricos (i) que revelam lugares em que os fenômenos de trabalho móvel se manifestam esporadicamente, de modo disperso, como “bolhas”, e (ii) que se contrapõem à ideia que é possível trabalhar “a qualquer hora e em qualquer lugar”. As contribuições deste estudo ecoam resultados de pesquisas desenvolvidas sobre trabalho móvel, assim como apresentam particularidades, como a metáfora da bolha, amplificações de aspectos pouco presentes nos textos sobre o tema e elementos peculiares do trabalho móvel investigado no espaço-tempo da pesquisa

A crise bancária irlandesa de 2008-2011

A Irlanda é um país que décadas anteriores chegou a ser chamado de “O Tigre Celta”, devido a seu crescimento econômico expressivo. Após a crise financeira mundial e a ruptura de uma bolha imobiliária, entrou em grande recessão, com um sistema bancário insolvente, a ponto da necessidade de intervenção de organizações financeiras mundiais. Este trabalho tem como objetivo analisar a crise do setor bancário irlandês de 2008 a 2011. A dissertação analisa a origem da crise, os métodos de solução e seu custo social.

Asset float and speculative bubbles

We model the relationship between ftoat (the tradeable shares of an asset) and stock price bubbles. Investors trade a stock that initiaUy has a limited ftoat because of insider lock-up restrictions but the tradeable shares of which increase over time as these restrictions expire. A speculative bubble arises because investors, with heterogeneous beliefs due to overconfidence and facing short-sales constraints, anticipate the option to reseU the stock to buyers with even higher valuations. With limited risk absorption capacity, this resale option depends on ftoat as investors anticipate the change in asset supply over time and speculate over the degree of insider selling. Our model yields implications consistent with the behavior of internet stock prices during the late nineties, such as the bubble, share turnover and volatility decreasing with ftoat and stock prices tending to drop on the lock-up expiration date though it is known to aU in advance.

The impact of the 2008 economic recession on three residential property type investments: a case study of five diverse zip codes in Washington DC, USA

There has been 47 recessions in the United States of America (US) since 1790. US recessions have increasingly affected economies of other countries in the world as nations become more and more interdependent on each other. The worst economic recession so far was the “Great Depression” – an economic recession that was caused by the 1929 crash of the stock market in the US. The 2008 economic recession in the US was a result of the burst of the “housing bubble” created by predatory lending. The economic recession resulted in increased unemployment (according to NBER 8.7 million jobs were lost from Feb. 2008 to Feb. 2010); decrease in GDP by 5.1%; increase in poverty level from 12.1% (2007) to 16.0% (2008) (NBER) This dissertation is an attempt to research the impact of the 2008 economic recession on different types of residential investments: a case study of five (5) diverse neighborhoods/zip codes in Washington DC, USA The main findings were that the effect of the 2008 economic depression on the different types of residential properties was dependent on the location of the property and the demographics/socio-economic factors associated with that location.

The certification role of venture capitalists, top underwriters and big-n auditors in ipos

Esta tese avalia o impacto dos principais atores recorrentes durante o processo de IPO, em particular, o venture capitalist, o underwriter, e o auditor, sobre as condições de comercialização das ações da empresa, capturado pelo bid-ask spread, a fração de investidores institucionais que investem na empresa, a dispersão de capital, entre outros. Além disso, este estudo também analisa alguns benefícios que os fundos de Venture Capital (VCs) fornecem às empresas que eles investem. Ele investiga o papel dos VCs em dificultar o gerenciamento de resultados em IPOs e quantifica o papel desempenhado por eles no desempenho operacional das empresas após sua oferta inicial de ações. No primeiro capítulo, os resultados indicam que as empresas inflam seus resultados principalmente nos períodos pré-IPO e do IPO. Quando nós controlamos para os quatro períodos diferentes do IPO, observamos que IPOs de empresas investidas por VCs apresentam significativamente menos gerenciamento de resultados no IPO e em períodos seguintes à orfeta inicial das ações, exatamente quando as empresas tendem a inflar mais seus lucros. Este resultado é robusto a diferentes métodos estatísticos e diferentes metodologias usadas para avaliar o gerenciamento de resultados. Além disso, ao dividir a amostra entre IPOs de empresas investidas e não investidas por VCs, observa-se que ambos os grupos apresentam gerenciamento de resultados. Ambas as subamostras apresentam níveis de gerenciamento de resultados de forma mais intensa em diferentes fases ao redor do IPO. Finalmente, observamos também que top underwriters apresentam menores níveis de gerenciamento de resultados na subamostra das empresas investidas por VCs. No segundo capítulo, verificou-se que a escolha do auditor, dos VCs, e underwriter pode indicar escolhas de longo prazo da empresa. Nós apresentamos evidências que as características do underwriter, auditor, e VC têm um impacto sobre as características das empresas e seu desempenho no mercado. Além disso, estes efeitos são persistentes por quase uma década. As empresas que têm um top underwriter e um auditor big-N no momento do IPO têm características de mercado que permanecem ao longo dos próximos 8 anos. Essas características são representadas por um número maior de analistas seguindo a empresa, uma grande dispersão da propriedade através de investidores institucionais, e maior liquidez através um bid-ask spread menor. Elas também são menos propensas a saírem do mercado, bem como mais propensas à emissão de uma orferta secundária. Finalmente, empresas investidas por VCs são positivamente afetadas, quando consideramos todas as medidas de liquidez de mercado, desde a abertura de capital até quase uma década depois. Tais efeitos não são devido ao viés de sobrevivência. Estes resultados não dependem da bolha dot-com, ou seja, os nossos resultados são qualitativamente similares, uma vez que excluímos o período da bolha de 1999-2000. No último capítulo foi evidenciado que empresas investidas por VCs incorrem em um nível mais elevado de saldo em tesouraria do que as empresas não investidas. Este efeito é persistente por pelo menos 8 anos após o IPO. Mostramos também que empresas investidas por VCs estão associadas a um nível menor de alavancagem e cobertura de juros ao longo dos primeiros oito anos após o IPO. Finalmente, não temos evidências estatisticamente significantes entre VCs e a razão dividendo lucro. Estes resultados também são robustos a diversos métodos estatísticos e diferentes metodologias.

Efeito da incorporação de diatomita na estabilidade e permeabilidade de compósitos cimentíceos espumados aplicados a poços de petróleo

Lightweight oilwell cement slurries have been recently studied as a mean to improve zonal isolation and sheath-porous formation adherence. Foamed slurries consisting of Portland cement and air-entraining admixtures have become an interesting option for this application. The loss in hydrostatic pressure as a consequence of cement hydration results in the expansion of the air bubbles entrapped in the cement matrix, thus improving the sheath-porous formation contact. Consequently, slurries are able to better retain their water to complete the hydration process. The main objective of the present study was to evaluate the effect of the addition of an air-entraining admixture on the density, stability and permeability of composite slurries containing Portland cement and diatomite as light mineral load. Successful formulations are potential cementing materials for low fracture gradient oilwells. The experimental procedures used for slurry preparation and characterization were based on the American Petroleum Institute and ABNT guidelines Slurries containing a pre-established concentration of the air-entraining admixture and different contents of diatomite were prepared aiming at final densities of 13 to 15 lb/gal. The results revealed that the reduction of 15 to 25% of the density of the slurries did not significantly affect their strength. The addition of both diatomite and the air-entraining admixture increased the viscosity of the slurry providing better air-bubble retention in the volume of the slurry. Stable slurries depicted bottom to top density variation of less than 1.0 lb/gal and length reduction of the stability sample of 5.86 mm. Finally, permeability coefficient values between 0.617 and 0.406 mD were obtained. Therefore, lightweight oilwell cement slurries depicting a satisfactory set of physicochemical and mechanical properties can be formulated using a combination of diatomite and air-entraining admixtures for low fracture gradient oilwells

Metodologia para avaliação de cinemática de partículas gasosas em fluidos de viscosidade variável com o tempo e sua aplicação na construção de poços de petróleo

Many challenges have been presented in petroleum industry. One of them is the preventing of fluids influx during drilling and cementing. Gas migration can occur as result of pressure imbalance inside the well when well pressure becomes lower than gas zone pressure and in cementing operation this occurs during cement slurry transition period (solid to fluid). In this work it was developed a methodology to evaluate gas migration during drilling and cementing operations. It was considered gel strength concept and through experimental tests determined gas migration initial time. A mechanistic model was developed to obtain equation that evaluates bubble displacement through the fluid while it gels. Being a time-dependant behavior, dynamic rheological measurements were made to evaluate viscosity along the time. For drilling fluids analyzed it was verified that it is desirable fast and non-progressive gelation in order to reduce gas migration without affect operational window (difference between pore and fracture pressure). For cement slurries analyzed, the most appropriate is that remains fluid for more time below critical gel strength, maintaining hydrostatic pressure above gas zone pressure, and after that gels quickly, reducing gas migration. The model developed simulates previously operational conditions and allow changes in operational and fluids design to obtain a safer condition for well construction