Monetary Policy, Stock Price Misalignments and Macroeconomic Instability

Perhaps the most fundamental prediction of financial theory is that the expected returns on financial assets are determined by the amount of risk contained in their payoffs. Assets with a riskier payoff pattern should provide higher expected returns than assets that are otherwise similar but provide payoffs that contain less risk. Financial theory also predicts that not all types of risks should be compensated with higher expected returns. It is well-known that the asset-specific risk can be diversified away, whereas the systematic component of risk that affects all assets remains even in large portfolios. Thus, the asset-specific risk that the investor can easily get rid of by diversification should not lead to higher expected returns, and only the shared movement of individual asset returns – the sensitivity of these assets to a set of systematic risk factors – should matter for asset pricing. It is within this framework that this thesis is situated. The first essay proposes a new systematic risk factor, hypothesized to be correlated with changes in investor risk aversion, which manages to explain a large fraction of the return variation in the cross-section of stock returns. The second and third essays investigate the pricing of asset-specific risk, uncorrelated with commonly used risk factors, in the cross-section of stock returns. The three essays mentioned above use stock market data from the U.S. The fourth essay presents a new total return stock market index for the Finnish stock market beginning from the opening of the Helsinki Stock Exchange in 1912 and ending in 1969 when other total return indices become available. Because a total return stock market index for the period prior to 1970 has not been available before, academics and stock market participants have not known the historical return that stock market investors in Finland could have achieved on their investments. The new stock market index presented in essay 4 makes it possible, for the first time, to calculate the historical average return on the Finnish stock market and to conduct further studies that require long time-series of data.

Wave propagation analysis in carbon nanotube embedded composite using wavelet based spectral finite elements

In this paper, elastic wave propagation is studied in a nanocomposite reinforced with multiwall carbon nanotubes (CNTs). Analysis is performed on a representative volume element of square cross section. The frequency content of the exciting signal is at the terahertz level. Here, the composite is modeled as a higher order shear deformable beam using layerwise theory, to account for partial shear stress transfer between the CNTs and the matrix. The walls of the multiwall CNTs are considered to be connected throughout their length by distributed springs, whose stiffness is governed by the van der Waals force acting between the walls of nanotubes. The analyses in both the frequency and time domains are done using the wavelet-based spectral finite element method (WSFEM). The method uses the Daubechies wavelet basis approximation in time to reduce the governing PDE to a set of ODEs. These transformed ODEs are solved using a finite element (FE) technique by deriving an exact interpolating function in the transformed domain to obtain the exact dynamic stiffness matrix. Numerical analyses are performed to study the spectrum and dispersion relations for different matrix materials and also for different beam models. The effects of partial shear stress transfer between CNTs and matrix on the frequency response function (FRF) and the time response due to broadband impulse loading are investigated for different matrix materials. The simultaneous existence of four coupled propagating modes in a double-walled CNT-composite is also captured using modulated sinusoidal excitation.

Edge reinforced circular elastic inclusions in cylindrical shells

The effect of having an edge reinforcement around a circular elastic inclusion in a cylindrical shell is studied. The influence of various parameters of the reinforcement such as area of cross section and moment of inertia on the stress concentrations around the inclusion is investigated. It is found that for certain inclusion parameters it is possible to get an optimum reinforcement, which gives minimum stress concentration around the inclusion. The effect of moment of inertia of the reinforcement of SCF is found to be negligible. The results are plotted in a non-dimensional form and a comparison with flat plate results is made which show the curvature effect. In the limiting case of a rigid reinforcement the results tend to those of a rigid circular inclusion. Results are also presented for different values of μe the ratio of extensional rigidity of shell to that of the inclusion.

An experimental study of suddenly expanded rectangular jet flow field

Flow through a rectangular Passage which is expanded suddenly into another rectangular duct of larger Cross-sectional area has been studied experimentally with stagnation Pressures from 3.5 atmospheres to 1.25 atmospheres. The length to height ratio of the enlarged duct varied from 5.769 to 1.923 and three models with length to height ratios 5.769, 3.846, and 1.923 were studied. The influence of stagnation Pressures and length to height ratio of the enlarged duct on base pressure and flow field mean pressures in the enlarged duct is discussed. The results of the present investigation indicate that the oscillatory nature of the mean pressure flow field in the enlarged portion with rectangular cross-section is appreciably different from that for circular cross-section at similar flow conditions.

Study Of Fluid-Flow And Residence-Time Distribution In A Continuous Slab Casting Mold

The fluid-flow pattern and residence-time distribution (r.t.d.) of the fluid in a continuous casting mould have been studied using a water model. The two recirculating zones below the discharge ports have been found to be asymmetric. The effect of casting speed, discharge port diameter, shroud well depth and the immersion depth on r.t.d. have been investigated. The r.t.d. curve has been well represented by a model of two backmix cells of equal volume in series. The exist of the fluid has been found to be non-uniform across the cross-section of the mould. The fluid-flow pattern has been observed to change with time in a random fashion. Dead volume of upto 31.8% has been found with smaller discharge ports.

Study of forging design using slip-line fields

The main purpose of forging design is to ensure cavity filling with minimum material wastage, minimum die load and minimum deformation energy. Given the desired shape of the component and the material to be forged, this goal is achieved by optimising the initial volume of the billet, the geometrical parameters of the die and the process parameters. It is general industrial practise to fix the initial billet volume and the die parameters using empirical relationships derived from practical experience. In this paper a basis for optimising some of the parameters for simple closed-die forging is proposed. Slip-line field solutions are used to predict the flow, the load and the energy in a simple two-dimensional closed-die forging operation. The influence of the design parameters; flash-land width, excess initial workpiece area and forged cross-sectional size; on complete cavity filling and efficient cavity filling are investigated. Using the latter as necessary requirements for forging, the levels of permissable design parameters are determined, the variation of these levels with the size of the cross-section then being examined.

Photoconductivity in β-AgI

Excitation spectra and transient and steady-state photoconductivity have been studied in undoped and 0.8-mole% Cu-doped single-crystal β-AgI between 150 and 260°K. A single peak in the spectral response was found to occur in each case, at 2.88 eV for undoped and at 2.81 eV for copper-doped specimens at 260 K, the difference being due to a decrease in band gap. The anisotropy due to polarization of incident radiation parallel or perpendicular to the c direction, which is a measure of the energy difference between the Γ9 and Γ7 levels in the valence band, was found to be 0.010 eV. Transient-photoconductivity experiments showed that the hole lifetime was 6 μ sec at 300°K, an order of magnitude larger than the electron lifetime. The hole drift mobility was found to be 12±2 cm2/ V sec at 300°K and limited by traps at a depth of 0.51±0.01 eV with concentration (3-5)×109/cm3 and capture cross section 10-11 cm2. The study of photoconductivity decay versus temperature revealed the presence of shallow hole traps at 0.14±0.02 eV with concentration greater than 1016/cm3 and capture cross section 10-19 cm2. The steady-state photoconductivity was determined by the deep hole traps at 0.51 eV, and showed the presence of shallow electron traps at a depth of 0.28 eV. The trap distribution was found to be substantially the same in pure and copper-doped specimens, indicating the monovalent substitutional role of copper. The effects of iodine annealing, cadmium doping, and heating above the transition temperature were also studied. The possible nature of the traps is discussed.

Structure of Relativistic States

QCD factorization in the Bjorken limit allows to separate the long-distance physics from the hard subprocess. At leading twist, only one parton in each hadron is coherent with the hard subprocess. Higher twist effects increase as one of the active partons carries most of the longitudinal momentum of the hadron, x -> 1. In the Drell-Yan process \pi N -> \mu^- mu^+ + X, the polarization of the virtual photon is observed to change to longitudinal when the photon carries x_F > 0.6 of the pion. I define and study the Berger-Brodsky limit of Q^2 -> \infty with Q^2(1-x) fixed. A new kind of factorization holds in the Drell-Yan process in this limit, in which both pion valence quarks are coherent with the hard subprocess, the virtual photon is longitudinal rather than transverse, and the cross section is proportional to a multiparton distribution. Generalized parton distributions contain information on the longitudinal momentum and transverse position densities of partons in a hadron. Transverse charge densities are Fourier transforms of the electromagnetic form factors. I discuss the application of these methods to the QED electron, studying the form factors, charge densities and spin distributions of the leading order |e\gamma> Fock state in impact parameter and longitudinal momentum space. I show how the transverse shape of any virtual photon induced process, \gamma^*(q)+i -> f, may be measured. Qualitative arguments concerning the size of such transitions have been previously made in the literature, but without a precise analysis. Properly defined, the amplitudes and the cross section in impact parameter space provide information on the transverse shape of the transition process.

Search for the Higgs boson in the all-hadronic final state using the CDF II detector

We report on a search for the production of the Higgs boson decaying to two bottom quarks accompanied by two additional quarks. The data sample used corresponds to an integrated luminosity of approximately 4  fb-1 of pp̅ collisions at √s=1.96  TeV recorded by the CDF II experiment. This search includes twice the integrated luminosity of the previous published result, uses analysis techniques to distinguish jets originating from light flavor quarks and those from gluon radiation, and adds sensitivity to a Higgs boson produced by vector boson fusion. We find no evidence of the Higgs boson and place limits on the Higgs boson production cross section for Higgs boson masses between 100  GeV/c2 and 150  GeV/c2 at the 95% confidence level. For a Higgs boson mass of 120  GeV/c2, the observed (expected) limit is 10.5 (20.0) times the predicted standard model cross section.

Q-Band beam wave-guide

Consideration is given to a 25-foot long Q-band (8 mm) confocal, zoned dielectric lens beam waveguide. Numerical expressions for the axial and radial fields are presented. The experimental set-up consisted of uniformly spaced zoned dielectric lenses, a transmitting horn and a receiving horn. It was found that: (1) the wave beam is reiterated when confocal, zoned dielectric lenses act as phase transformers in place of smooth surfaced transformers in beam waveguides; (2) the axial field is oscillatory near the source and the oscillation persists for about 25 cm from the source; (3) the oscillation disappears after one lens is used; (4) higher order modes with higher attenuation rates die out faster than fundamental modes; (5) phase transformers do not alter beam modes; (6) without any lens the beam cross-section broadens significantly in the Z-direction; (7) with one lens the beam exhibits the reiteration phenomenon; and (8) inserting a second lens on the axial and cross-sectional field distribution shows further the reiteration principle.

Grad–Shafranov Reconstruction of Magnetic Clouds: Overview and Improvements

The Grad–Shafranov reconstruction is a method of estimating the orientation (invariant axis) and cross section of magnetic flux ropes using the data from a single spacecraft. It can be applied to various magnetic structures such as magnetic clouds (MCs) and flux ropes embedded in the magnetopause and in the solar wind. We develop a number of improvements of this technique and show some examples of the reconstruction procedure of interplanetary coronal mass ejections (ICMEs) observed at 1 AU by the STEREO, Wind, and ACE spacecraft during the minimum following Solar Cycle 23. The analysis is conducted not only for ideal localized ICME events but also for non-trivial cases of magnetic clouds in fast solar wind. The Grad–Shafranov reconstruction gives reasonable results for the sample events, although it possesses certain limitations, which need to be taken into account during the interpretation of the model results.

Detection of edges from projections

In a number of applications of computerized tomography, the ultimate goal is to detect and characterize objects within a cross section. Detection of edges of different contrast regions yields the required information. The problem of detecting edges from projection data is addressed. It is shown that the class of linear edge detection operators used on images can be used for detection of edges directly from projection data. This not only reduces the computational burden but also avoids the difficulties of postprocessing a reconstructed image. This is accomplished by a convolution backprojection operation. For example, with the Marr-Hildreth edge detection operator, the filtering function that is to be used on the projection data is the Radon transform of the Laplacian of the 2-D Gaussian function which is combined with the reconstruction filter. Simulation results showing the efficacy of the proposed method and a comparison with edges detected from the reconstructed image are presented

Study of Layering Procedures in Finite-Element Analysis of RC Flexural and Torsional Elements

A new postcracking formulation for concrete, along with both implicit and explicit layering procedures, is used in the analysis of reinforced-concrete (RC) flexural and torsional elements. The postcracking formulation accounts for tension stiffening in concrete along the rebar directions, compression softening in cracked concrete based on either stresses or strains, and aggregate interlock based on crack-confining normal stresses. Transverse shear stresses computed using the layering procedures are included in material model considerations that permit the development of inclined cracks through the RC cross section. Examples of a beam analyzed by both the layering techniques, a torsional element, and a column-slab connection region analyzed by the implicit layering procedure are presented here. The study highlights the primary advantages and disadvantages of each layering approach, identifying the class of problems where the application of either procedure is more suitable.

Resent radar observations of asteroid 1566 Icarus

We report Doppler-only radar observations of Icarus at Goldstone at a transmitter frequency of 8510 MHz (3.5 cm wavelength) during 8-10 June 1996, the first radar detection of the object since 1968. Optimally filtered and folded spectra achieve a maximum opposite-circular (OC) polarization signal-to-noise ratio of about 10 and help to constrain Icarus' physical properties. We obtain an OC radar cross section of 0.05 km(2) (with a 35% uncertainty), which is less than values estimated by Goldstein (1969) and by Pettengill et al. (1969), and a circular polarization (SC/OC) ratio of 0.5+/-0.2. We analyze the echo power spectrum with a model incorporating the echo bandwidth B and a spectral shape parameter it, yielding a coupled constraint between B and n. We adopt 25 Hz as the lower bound on B, which gives a lower bound on the maximum pole-on breadth of about 0.6 km and upper bounds on the radar and optical albedos that are consistent with Icarus' tentative QS classification. The observed circular polarization ratio indicates a very rough near-surface at spatial scales of the order of the radar wavelength. (C) 1999 Elsevier Science Ltd. All rights reserved.

Comparative study on flexural response of full and partial depth fiber-reinforced high-strength concrete

This study presents the results of an experimental and analytical comparison of the flexural behavior of a high-strength concrete specimen (no conventional reinforcement) with an average plain concrete cube strength of nearly 65 MPa and containing trough shape steel fibers. Trough shape steel fibers with a volume fraction ranging from 0 to 1.5% and having a constant aspect ratio of 80 have been used in this study. Increased toughness and a more ductile stress-strain response were observed with an increase in fiber content, when the fibers were distributed over the full/partial depth of the beam cross section. Based on the tests, a robust analytical procedure has been proposed to establish the required partial depth to contain fiber-reinforced concrete (FRC) so as to obtain the flexural capacity of a member with FRC over the full depth. It is expected that this procedure will help designers in properly estimating the required partial depth of fibers in composite sections for specific structural applications. Empirical and mechanistic relations have also been proposed in this study to establish the load-deflection behavior of high-strength FRC.