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.

Securing Disunion: young people’s nationalism, identities and (in)securities in the campaign for an independent Scotland.

This paper explores ethnic and religious minority youth perspectives of security and nationalism in Scotland during the independence campaign in 2014.  We discuss how young people co-construct narratives of Scottish nationalism alongside minority ethnic and faith identities in order to feel secure. By critically combining literatures from feminist geopolitics, international relations (IR) and children’s emotional geographies, we employ the concept of ‘ontological security’. The paper departs from state-centric approaches to security to explore the relational entanglements between geopolitical discourses and the ontological security of young people living through a moment of political change. We examine how everyday encounters with difference can reflect broader geopolitical narratives of security and insecurity, which subsequently trouble notions of ‘multicultural nationalism’ in Scotland and demonstrate ways that youth ‘securitize the self’ (Kinnvall, 2004). The paper responds to calls for empirical analyses of youth perspectives on nationalism and security (Benwell, 2016) and on the nexus between security and emotional subjectivity in critical geopolitics (Pain, 2009; Shaw et al., 2014). Funded by the Arts and Humanities Research Council (AHRC), this paper draws on focus group and interview data from 382 ethnic and religious minority young people in Scotland collected over the 12-month period of the campaign. Keywords: nationalism, young people, race and ethnicity, ontological security, everyday geopolitics

Anti-Metastatic Properties of a Marine Bacterial Exopolysaccharide-Based Derivative Designed to Mimic Glycosaminoglycans

Osteosarcoma is the most frequent malignant primary bone tumor characterized by a high potency to form lung metastases. In this study, the effect of three oversulfated low molecular weight marine bacterial exopolysaccharides (OS-EPS) with different molecular weights (4, 8 and 15 kDa) were first evaluated in vitro on human and murine osteosarcoma cell lines. Different biological activities were studied: cell proliferation, cell adhesion and migration, matrix metalloproteinase expression. This in vitro study showed that only the OS-EPS 15 kDa derivative could inhibit the invasiveness of osteosarcoma cells with an inhibition rate close to 90%. Moreover, this derivative was potent to inhibit both migration and invasiveness of osteosarcoma cell lines; had no significant effect on their cell cycle; and increased slightly the expression of MMP-9, and more highly the expression of its physiological specific tissue inhibitor TIMP-1. Then, the in vivo experiments showed that the OS-EPS 15 kDa derivative had no effect on the primary osteosarcoma tumor induced by osteosarcoma cell lines but was very efficient to inhibit the establishment of lung metastases in vivo. These results can help to better understand the mechanisms of GAGs and GAG-like derivatives in the biology of the tumor cells and their interactions with the bone environment to develop new therapeutic strategies.

A Caputo fractional derivative of a function with respect to another function

In this paper we consider a Caputo type fractional derivative with respect to another function. Some properties, like the semigroup law, a relationship between the fractional derivative and the fractional integral, Taylor’s Theorem, Fermat’s Theorem, etc., are studied. Also, a numerical method to deal with such operators, consisting in approximating the fractional derivative by a sum that depends on the first-order derivative, is presented. Relying on examples, we show the efficiency and applicability of the method. Finally, an application of the fractional derivative, by considering a Population Growth Model, and showing that we can model more accurately the process using different kernels for the fractional operator is provided.

Fractional differential equations with dependence on the Caputo-Katugampola derivative

In this paper we present a new type of fractional operator, the Caputo–Katugampola derivative. The Caputo and the Caputo–Hadamard fractional derivatives are special cases of this new operator. An existence and uniqueness theorem for a fractional Cauchy type problem, with dependence on the Caputo–Katugampola derivative, is proven. A decomposition formula for the Caputo–Katugampola derivative is obtained. This formula allows us to provide a simple numerical procedure to solve the fractional differential equation.

Sensitivity Analysis in Convex Optimization through the Circatangent Derivative

The main goal of this paper is to analyse the sensitivity of a vector convex optimization problem according to variations in the right-hand side. We measure the quantitative behavior of a certain set of Pareto optimal points characterized to become minimum when the objective function is composed with a positive function. Its behavior is analysed quantitatively using the circatangent derivative for set-valued maps. Particularly, it is shown that the sensitivity is closely related to a Lagrange multiplier solution of a dual program.

Fiber scaffolds of poly (glycerol-dodecanedioate) and its derivative via electrospinning for neural tissue engineering

Peripheral nerves have demonstrated the ability to bridge gaps of up to 6 mm. Peripheral Nerve System injury sites beyond this range need autograft or allograft surgery. Central Nerve System cells do not allow spontaneous regeneration due to the intrinsic environmental inhibition. Although stem cell therapy seems to be a promising approach towards nerve repair, it is essential to use the distinct three-dimensional architecture of a cell scaffold with proper biomolecule embedding in order to ensure that the local environment can be controlled well enough for growth and survival. Many approaches have been developed for the fabrication of 3D scaffolds, and more recently, fiber-based scaffolds produced via the electrospinning have been garnering increasing interest, as it offers the opportunity for control over fiber composition, as well as fiber mesh porosity using a relatively simple experimental setup. All these attributes make electrospun fibers a new class of promising scaffolds for neural tissue engineering. Therefore, the purpose of this doctoral study is to investigate the use of the novel material PGD and its derivative PGDF for obtaining fiber scaffolds using the electrospinning. The performance of these scaffolds, combined with neural lineage cells derived from ESCs, was evaluated by the dissolvability test, Raman spectroscopy, cell viability assay, real time PCR, Immunocytochemistry, extracellular electrophysiology, etc. The newly designed collector makes it possible to easily obtain fibers with adequate length and integrity. The utilization of a solvent like ethanol and water for electrospinning of fibrous scaffolds provides a potentially less toxic and more biocompatible fabrication method. Cell viability testing demonstrated that the addition of gelatin leads to significant improvement of cell proliferation on the scaffolds. Both real time PCR and Immunocytochemistry analysis indicated that motor neuron differentiation was achieved through the high motor neuron gene expression using the metabolites approach. The addition of Fumaric acid into fiber scaffolds further promoted the differentiation. Based on the results, this newly fabricated electrospun fiber scaffold, combined with neural lineage cells, provides a potential alternate strategy for nerve injury repair.^

A bioengineered nisin derivative, M21A, in combination with food grade additives eradicates biofilms of Listeria monocytogenes

The burden of foodborne disease has large economic and social consequences worldwide. Despite strict regulations, a number of pathogens persist within the food environment, which is greatly contributed to by a build-up of resistance mechanisms and also through the formation of biofilms. Biofilms have been shown to be highly resistant to a number of antimicrobials and can be extremely difficult to remove once they are established. In parallel, the growing concern of consumers regarding the use of chemically derived antimicrobials within food has led to a drive toward more natural products. As a consequence, the use of naturally derived antimicrobials has become of particular interest. In this study we investigated the efficacy of nisin A and its bioengineered derivative M21A in combination with food grade additives to treat biofilms of a representative foodborne disease isolate of Listeria monocytogenes. Investigations revealed the enhanced antimicrobial effects, in liquid culture, of M21A in combination with citric acid or cinnamaldehyde over its wild type nisin A counterpart. Subsequently, an investigation was conducted into the effects of these combinations on an established biofilm of the same strain. Nisin M21A (0.1 μg/ml) alone or in combination with cinnamaldehyde (35 μg/ml) or citric acid (175 μg/ml) performed significantly better than combinations involving nisin A. All combinations of M21A with either citric acid or cinnamaldehyde eradicated the L. monocytogenes biofilm (in relation to a non-biofilm control). We conclude that M21A in combination with available food additives could further enhance the antimicrobial treatment of biofilms within the food industry, simply by substituting nisin A with M21A in current commercial products such as Nisaplin® (Danisco, DuPont).

The wealth effects of commercial bank securities issuances announcement

Banks are often excluded in corporate finance research mainly because of the regulatory concerns. Compares to non-bank firms, banks are heavily regulated due to its special economic role of money and the uncertainty. Heavy regulation on banks could reduce the information asymmetry between the managers and investor by limiting the behaviour of banks at the time of the Seasoned Equity Offering (SEO), and by increasing the incentive for banks to avoid excessive risk-taking. Therefore, the market may be less likely to assume that bank issued securities signal information that the bank is overvalued compared to their non-bank counterparts. The objective of this thesis is therefore to examine commercial banks issued securities announcement effect. Three interrelated research questions are addressed in this thesis: 1) What is the difference in convertible bond announcement effect between banks and non-banks firm? 2) What is the difference in SEO announcement effect between banks and non-banks? 3) How do the stringency levels of bank regulation impact on the announcement effects of bank issued SEO? By using the U.S. convertible bond and SEO data from 1982 to 2012, I find that the bank issued a convertible bond and SEO announcement experience higher cumulative abnormal return than non-bank. This is consistent with the view that bank regulation reveals positive information about banks. Since banks are heavily regulated, the market is less likely to assume that the issuance of the convertible bond and SEO by banks signals information that is overvalued. These results are robust after controlling for a number of firm-, issue-, and market-specific characteristics. These results are robust by considering the different categories of non-bank industries by undertaking tests in relation to the differences in the CARS upon convertible bond/ SEO across industries, as well as the unbalanced sample between banks and non-banks by using the matched sample analysis. However, the relation between the stringency level of bank regulation and bank issued securities announcement effect may be nonlinear. As hypothesised, I find that bank regulation has an inverted U-shaped relation with the announcement effect of bank SEO by using the SEO data across 21 countries from 2001 to 2012. Under a less bank regulation environment, the market reacts more positively to the bank SEO announcement for an increase in the level of bank regulation. However, the bank SEO announcement effects become more negative if the bank regulation becomes too stringent. This inverted U-shaped relationship is robust after I use the exogenous cross-country, cross-year variation in the timing of the Basel II adoption as the instrument to assess the causal impact of bank regulation on SEO announcement effects. However, the stringency of regulation does not have a significant impact on the announcement effects of involuntary bank equity issuance.

Detailed analysis of a conservative difference approximation for the time fractional diffusion equation

Diffusion equations that use time fractional derivatives are attractive because they describe a wealth of problems involving non-Markovian Random walks. The time fractional diffusion equation (TFDE) is obtained from the standard diffusion equation by replacing the first-order time derivative with a fractional derivative of order α ∈ (0, 1). Developing numerical methods for solving fractional partial differential equations is a new research field and the theoretical analysis of the numerical methods associated with them is not fully developed. In this paper an explicit conservative difference approximation (ECDA) for TFDE is proposed. We give a detailed analysis for this ECDA and generate discrete models of random walk suitable for simulating random variables whose spatial probability density evolves in time according to this fractional diffusion equation. The stability and convergence of the ECDA for TFDE in a bounded domain are discussed. Finally, some numerical examples are presented to show the application of the present technique.

Implicit difference approximation for the time fractional diffusion equation

In this paper, we consider a time fractional diffusion equation on a finite domain. The equation is obtained from the standard diffusion equation by replacing the first-order time derivative by a fractional derivative (of order $0<\alpha<1$ ). We propose a computationally effective implicit difference approximation to solve the time fractional diffusion equation. Stability and convergence of the method are discussed. We prove that the implicit difference approximation (IDA) is unconditionally stable, and the IDA is convergent with $O(\tau+h^2)$, where $\tau$ and $h$ are time and space steps, respectively. Some numerical examples are presented to show the application of the present technique.