Three Essays in Empirical Asset Pricing

The financial crisis of 2007-2008 led to extraordinary government intervention in firms and markets. The scope and depth of government action rivaled that of the Great Depression. Many traded markets experienced dramatic declines in liquidity leading to the existence of conditions normally assumed to be promptly removed via the actions of profit seeking arbitrageurs. These extreme events motivate the three essays in this work. The first essay seeks and fails to find evidence of investor behavior consistent with the broad 'Too Big To Fail' policies enacted during the crisis by government agents. Only in limited circumstances, where government guarantees such as deposit insurance or U.S. Treasury lending lines already existed, did investors impart a premium to the debt security prices of firms under stress. The second essay introduces the Inflation Indexed Swap Basis (IIS Basis) in examining the large differences between cash and derivative markets based upon future U.S. inflation as measured by the Consumer Price Index (CPI). It reports the consistent positive value of this measure as well as the very large positive values it reached in the fourth quarter of 2008 after Lehman Brothers went bankrupt. It concludes that the IIS Basis continues to exist due to limitations in market liquidity and hedging alternatives. The third essay explores the methodology of performing debt based event studies utilizing credit default swaps (CDS). It provides practical implementation advice to researchers to address limited source data and/or small target firm sample size.

From engaging to enabling : could an asset-based approach transform Indigenous affairs?

Essays in asset price bubbles

This thesis studies the field of asset price bubbles. It is comprised of three independent chapters. Each of these chapters either directly or indirectly analyse the existence or implications of asset price bubbles. The type of bubbles assumed in each of these chapters is consistent with rational expectations. Thus, the kind of price bubbles investigated here are known as rational bubbles in the literature. The following describes the three chapters. Chapter 1: This chapter attempts to explain the recent US housing price bubble by developing a heterogeneous agent endowment economy asset pricing model with risky housing, endogenous collateral and defaults. Investment in housing is subject to an idiosyncratic risk and some mortgages are defaulted in equilibrium. We analytically derive the leverage or the endogenous loan to value ratio. This variable comes from a limited participation constraint in a one period mortgage contract with monitoring costs. Our results show that low values of housing investment risk produces a credit easing effect encouraging excess leverage and generates credit driven rational price bubbles in the housing good. Conversely, high values of housing investment risk produces a credit crunch characterized by tight borrowing constraints, low leverage and low house prices. Furthermore, the leverage ratio was found to be procyclical and the rate of defaults countercyclical consistent with empirical evidence. Chapter 2: It is widely believed that financial assets have considerable persistence and are susceptible to bubbles. However, identification of this persistence and potential bubbles is not straightforward. This chapter tests for price bubbles in the United States housing market accounting for long memory and structural breaks. The intuition is that the presence of long memory negates price bubbles while the presence of breaks could artificially induce bubble behaviour. Hence, we use procedures namely semi-parametric Whittle and parametric ARFIMA procedures that are consistent for a variety of residual biases to estimate the value of the long memory parameter, d, of the log rent-price ratio. We find that the semi-parametric estimation procedures robust to non-normality and heteroskedasticity errors found far more bubble regions than parametric ones. A structural break was identified in the mean and trend of all the series which when accounted for removed bubble behaviour in a number of regions. Importantly, the United States housing market showed evidence for rational bubbles at both the aggregate and regional levels. In the third and final chapter, we attempt to answer the following question: To what extend should individuals participate in the stock market and hold risky assets over their lifecycle? We answer this question by employing a lifecycle consumption-portfolio choice model with housing, labour income and time varying predictable returns where the agents are constrained in the level of their borrowing. We first analytically characterize and then numerically solve for the optimal asset allocation on the risky asset comparing the return predictability case with that of IID returns. We successfully resolve the puzzles and find equity holding and participation rates close to the data. We also find that return predictability substantially alter both the level of risky portfolio allocation and the rate of stock market participation. High factor (dividend-price ratio) realization and high persistence of factor process indicative of stock market bubbles raise the amount of wealth invested in risky assets and the level of stock market participation, respectively. Conversely, rare disasters were found to bring down these rates, the change being severe for investors in the later years of the life-cycle. Furthermore, investors following time varying returns (return predictability) hedged background risks significantly better than the IID ones.

Surveillance in Cyberspace: Applying Natural and Place Manager Surveillance to System Trespassing

Research on the criminological side of system trespassing (i.e. unlawfully gaining access to a computer system) is relatively rare and has yet to examine the effect of the presence of other users on the system during the trespassing event (i.e. the time of communication between a trespasser’s system and the infiltrated system). This thesis seeks to analyze this relationship drawing on principles of Situational Crime Prevention, Routine Activities Theory, and restrictive deterrence. Data were collected from a randomized control trial of target computers deployed on the Internet network of a large U.S. university. This study examined whether the number (one or multiple) and type (administrative or non-administrative) of computer users present on a system reduced the seriousness and frequency of trespassing. Results indicated that the type of user (administrative) produced a restrictive deterrent effect and significantly reduced the frequency and duration of trespassing events.

Retail Food Establishments : Certified Food Protection Manager

This fact sheet cites SC Regulation 61-25 and lists accredited training programs for the Food Protection Manager Certification Program

Custom Analytics with Google Tag Manager: Assessing Usage Statistics on the MD-SOAR Platform

As usage metrics continue to attain an increasingly central role in library system assessment and analysis, librarians tasked with system selection, implementation, and support are driven to identify metric approaches that simultaneously require less technical complexity and greater levels of data granularity. Such approaches allow systems librarians to present evidence-based claims of platform usage behaviors while reducing the resources necessary to collect such information, thereby representing a novel approach to real-time user analysis as well as dual benefit in active and preventative cost reduction. As part of the DSpace implementation for the MD SOAR initiative, the Consortial Library Application Support (CLAS) division has begun test implementation of the Google Tag Manager analytic system in an attempt to collect custom analytical dimensions to track author- and university-specific download behaviors. Building on the work of Conrad , CLAS seeks to demonstrate that the GTM approach to custom analytics provides both granular metadata-based usage statistics in an approach that will prove extensible for additional statistical gathering in the future. This poster will discuss the methodology used to develop these custom tag approaches, the benefits of using the GTM model, and the risks and benefits associated with further implementation.

HW implementation of an execution manager for reconfigurable systems

Reconfigurable HW can be used to build a hardware multitasking system where tasks can be assigned to the reconfigurable HW at run-time according to the requirements of the running applications. Normally the execution in this kind of systems is controlled by an embedded processor. In these systems tasks are frequently represented as subtask graphs, where a subtask is the basic scheduling unit that can be assigned to a reconfigurable HW. In order to control the execution of these tasks, the processor must manage at run-time complex data structures, like graphs or linked list, which may generate significant execution-time penalties. In addition, HW/SW communications are frequently a system bottleneck. Hence, it is very interesting to find a way to reduce the run-time SW computations and the HW/SW communications. To this end we have developed a HW execution manager that controls the execution of subtask graphs over a set of reconfigurable units. This manager receives as input a subtask graph coupled to a subtask schedule, and guarantees its proper execution. In addition it includes support to reduce the execution-time overhead due to reconfigurations. With this HW support the execution of task graphs can be managed efficiently generating only very small run-time penalties.

A Task-Graph Execution Manager for Reconfigurable Multi-tasking Systems

Reconfigurable hardware can be used to build multi tasking systems that dynamically adapt themselves to the requirements of the running applications. This is especially useful in embedded systems, since the available resources are very limited and the reconfigurable hardware can be reused for different applications. In these systems computations are frequently represented as task graphs that are executed taking into account their internal dependencies and the task schedule. The management of the task graph execution is critical for the system performance. In this regard, we have developed two dif erent versions, a software module and a hardware architecture, of a generic task-graph execution manager for reconfigurable multi-tasking systems. The second version reduces the run-time management overheads by almost two orders of magnitude. Hence it is especially suitable for systems with exigent timing constraints. Both versions include specific support to optimize the reconfiguration process.

Is financial instability male-driven? Gender and cognitive skills in experimental asset markets

The hypothesis that price stability would reliably increase with the fraction of women operating in financial markets has been frequently suggested in policy discussions. To test this hypothesis we conducted 10 male-only, 10 female-only and 10 mixed-gender experimental asset markets, and compared the effects of gender composition, confidence, risk attitude and cognitive skills. Male and female markets have comparable volatility and deviations from fundamentals, whereas mixed-gender markets are substantially more stable. On the other hand, higher average cognitive skills of the group are associated with reduced market volatility. Individual-level analysis shows that subjects with higher cognitive skills trade at prices closer to fundamental values and earn significantly higher profits; similarly, mixed markets exhibit lower mispricing, particularly for traders with lower cognitive skills. Our results are demonstrated to hold in other experimental asset market studies, suggesting that a mixed-gender composition reduces mispricing across different types of asset markets.

El community manager y la comunicación de los valores de marca de destino a través de los medios sociales.

El objeto de esta comunicación trabajo es analizar la comunicación de los valores de marca de destinos que proyectan los principales destinos turísticos en España. Se parte de la hipótesis de que, hasta la fecha, los territorios no explotan lo suficiente sus valores de marca, ya que utilizan más los social media para comunicar atractivos, a pesar de que los usuarios prefieren compartir más las experiencias y lo emocional. Para ello, el trabajo se apoya en una encuesta a los responsables de la comunicación digital o community managers de diferentes destinos turísticos, así como en el análisis de contenido de los mensajes compartidos en las principales redes sociales (Twitter y Facebook). Como principales resultados, se observa que salvo excepciones, los destinos turísticos españoles optan por compartir más información sobre atributos tangibles frente a los valores de marca que en realidad, suelen ser señas de identidad que definen la personalidad de un destino, y que son en general más valorados por los viajeros en los medios sociales.

Liquidity, Governance and Adverse Selection in Asset Pricing

A plethora of recent literature on asset pricing provides plenty of empirical evidence on the importance of liquidity, governance and adverse selection of equity on pricing of assets together with more traditional factors such as market beta and the Fama-French factors. However, literature has usually stressed that these factors are priced individually. In this dissertation we argue that these factors may be related to each other, hence not only individual but also joint tests of their significance is called for. In the three related essays, we examine the liquidity premium in the context of the finer three-digit SIC industry classification, joint importance of liquidity and governance factors as well as governance and adverse selection. Recent studies by Core, Guay and Rusticus (2006) and Ben-Rephael, Kadan and Wohl (2010) find that governance and liquidity premiums are dwindling in the last few years. One reason could be that liquidity is very unevenly distributed across industries. This could affect the interpretation of prior liquidity studies. Thus, in the first chapter we analyze the relation of industry clustering and liquidity risk following a finer industry classification suggested by Johnson, Moorman and Sorescu (2009). In the second chapter, we examine the dwindling influence of the governance factor if taken simultaneously with liquidity. We argue that this happens since governance characteristics are potentially a proxy for information asymmetry that may be better captured by market liquidity of a company’s shares. Hence, we jointly examine both the factors, namely, governance and liquidity – in a series of standard asset pricing tests. Our results reconfirm the importance of governance and liquidity in explaining stock returns thus independently corroborating the findings of Amihud (2002) and Gompers, Ishii and Metrick (2003). Moreover, governance is not subsumed by liquidity. Lastly, we analyze the relation of governance and adverse selection, and again corroborate previous findings of a priced governance factor. Furthermore, we ascertain the importance of microstructure measures in asset pricing by employing Huang and Stoll’s (1997) method to extract an adverse selection variable and finding evidence for its explanatory power in four-factor regressions.

How can personal role engagement lead to increased engagement? The roles of meaningfulness and perceived line manager relations

There is an increasing need to understand the psychological processes that link personal development with employee engagement, particularly the boundary conditions at which these occur. The current study sought to meet this need by testing whether perceived opportunities for development are positively associated with job engagement indirectly through the experience of meaningfulness, and whether this indirect relationship is conditional on the level of perceived line manager relations. Questionnaire data was collected from 152 UK workers from a range of occupations and organizations. The results found support for all the hypotheses. In particular, the positive effects of perceived opportunities for development on job engagement (measured one month later) via meaningfulness were only significant for those who perceived that they had a good relationship with their line manager. Thus, there is a need for line managers to develop high quality relationships with their direct reports in order for development practices to translate into positive psychological outcomes. Engagement theory could be advanced by further understanding broaden-and-build and social exchange processes.

MARS (Media Asset Retrieval System): Puget Sound’s Digital Archive

The MARS (Media Asset Retrieval System) Project is the collaborative effort of public broadcasters,libraries and schools in the Puget Sound region to create a digital online resource that provides access to content produced by public broadcasters via the public libraries. Convergence ConsortiumThe Convergence Consortium is a model for community collaboration, including organizations such as public broadcasters, libraries, museums, and schools in the Puget Sound region to assess the needs of their constituents and pool resources to develop solutions to meet those needs. Specifically, the archives of public broadcasters have been identified as significant resources for the local communities and nationally. These resources can be accessed on the broadcasters websites, and through libraries and used by schools, and integrated with text and photographic archives from other partners.MARS’ goalCreate an online resource that provides effective access to the content produced locally by KCTS (Seattle PBS affiliate) and KUOW (Seattle NPR affiliate). The broadcasts will be made searchable using the CPB Metadata Element Set (under development) and controlled vocabularies (to be developed). This will ensure a user friendly search and navigation mechanism and user satisfaction.Furthermore, the resource can search the local public library’s catalog concurrently and provide the user with relevant TV material, radio material, and books on a given subject.The ultimate goal is to produce a model that can be used in cities around the country.The current phase of the project assesses the community’s need, analyzes the current operational systems, and makes recommendations for the design of the resource.Deliverables• Literature review of the issues surrounding the organization, description and representation of media assets• Needs assessment report of internal and external stakeholders• Profile of the systems in the area of managing and organizing media assetsfor public broadcasting nationwideActivities• Analysis of information seeking behavior• Analysis of collaboration within the respective organizations• Analysis of the scope and context of the proposed system• Examining the availability of information resources and exchangeof resources among users

Puget Sound’s MARS (Media Asset Retrieval System) Digital Library

The MARS (Media Asset Retrieval System) Project is a collaboration between public broadcasters, libraries and schools in the Puget Sound region to assess the needs of their constituents and pool resources to develop solutions to meet those needs. The Project’s ultimate goal is to create a digital online resource that will provide access to content produced by public broadcasters and libraries. The MARS Project is funded by a grant from the Corporation for Public Broadcasting (CPB) Television Future Fund. Convergence ConsortiumThe Convergence Consortium is a model for community collaboration, including representatives from public broadcasting, libraries and schools in the Puget Sound region. They meet regularly to consider collaborative efforts that will be mutually beneficial to their institutions and constituents. Specifically, the archives of public broadcasters have been identified as significant resources that can be accessed through libraries and used by schools, and integrated with text and photographic archives from other partners.Using the work-centered framework, we collected data through interviews with nine engineers and observation of their searching while they performed their regular, job-related searches on the Web. The framework was used to analyze the data on two levels: 1) the activities and organizational relationships and constrains of work domains, and 2) users’ cognitive and social activities and their subjective preferences during searching.