Using extreme value theory to value stock market returns

Extreme stock price movements are of great concern to both investors and the entire economy. For investors, a single negative return, or a combination of several smaller returns, can possible wipe out so much capital that the firm or portfolio becomes illiquid or insolvent. If enough investors experience this loss, it could shock the entire economy. An example of such a case is the stock market crash of 1987. Furthermore, there has been a lot of recent interest regarding the increasing volatility of stock prices. ^ This study presents an analysis of extreme stock price movements. The data utilized was the daily returns for the Standard and Poor's 500 index from January 3, 1978 to May 31, 2001. Research questions were analyzed using the statistical models provided by extreme value theory. One of the difficulties in examining stock price data is that there is no consensus regarding the correct shape of the distribution function generating the data. An advantage with extreme value theory is that no detailed knowledge of this distribution function is required to apply the asymptotic theory. We focus on the tail of the distribution. ^ Extreme value theory allows us to estimate a tail index, which we use to derive bounds on the returns for very low probabilities on an excess. Such information is useful in evaluating the volatility of stock prices. There are three possible limit laws for the maximum: Gumbel (thick-tailed), Fréchet (thin-tailed) or Weibull (no tail). Results indicated that extreme returns during the time period studied follow a Fréchet distribution. Thus, this study finds that extreme value analysis is a valuable tool for examining stock price movements and can be more efficient than the usual variance in measuring risk. ^

Use of conjoint analysis to examine beliefs related to the practice of early literacy instruction

The purpose of the study was to examine the relationship between teacher beliefs and actual classroom practice in early literacy instruction. Conjoint analysis was used to measure teachers' beliefs on four early literacy factors—phonological awareness, print awareness, graphophonic awareness, and structural awareness. A collective case study format was then used to measure the correspondence of teachers' beliefs with their actual classroom practice. ^ Ninety Project READS participants were given twelve cards in an orthogonal experimental design describing students that either met or did not meet criteria on the four early literacy factors. Conjoint measurements of whether the student is an efficient reader were taken. These measurements provided relative importance scores for each respondent. Based on the relative important scores, four teachers were chosen to participate in a collective case study. ^ The conjoint results enabled the clustering of teachers into four distinct groups, each aligned with one of the four early literacy factors. K-means cluster analysis of the relative importance measurements showed commonalities among the ninety respondents' beliefs. The collective case study results were mixed. Implications for researchers and practitioners include the use of conjoint analysis in measuring teacher beliefs on the four early literacy factors. Further, the understanding of teacher preferences on these beliefs may assist in the development of curriculum design and therefore increase educational effectiveness. Finally, comparisons between teachers' beliefs on the four early literacy factors and actual instructional practices may facilitate teacher self-reflection thus encouraging positive teacher change. ^

A comparative analysis of corporate finance in the United States and Japan from 1880 to 1930

This study explained the diversity of corporate financial practices in two nations. Existing studies have emphasized the reliance on equity finance in U.S. firms and bank loans in Japanese firms. In fact, patterns of corporate finance were much more complex. Financial institutions, which were created by national economic policy and regulation, affected corporate financial practices, but corporate financial practices often differed from what policymakers expected. Differences in corporate financial practices between nations also reflected differences in the mixture of industries in each nation. Many factors such as the amount of fixed capital, the process of production, the level of risk, the degree of innovation, and the importance of the industry in the national economy affected corporate financial practices. In addition, corporate financial practices within each nation differed from firm to firm due to managers’ considerations about stock ownership, which would affect their control power; corporate finance was closely related to control over management through ownership. To explain these complexities of corporate financial practices, the study linked corporate finance with the development of financial institutions in the United States and in Japan. While financial institutions affected corporate financial practices, the response of the firms to financial institutions and opportunities were diverse. The study also attempted to grasp variations in corporate financial practices by dealing with companies in three sectors: railroads, public utilities, and manufacturing. Finally, the study examined the structure of firm ownership. Contradictory to the widely held belief that U.S. firms distributed securities more widely to the public than did Japanese firms, many large American firms remained closely held, while some Japanese counterparts built publicly-held corporations.

Analysis of Housing Partnerships using the Balanced Scorecard framework

Housing Partnerships (HPs) are collaborative arrangements that assist communities in the delivery of affordable housing by combining the strengths of the public and private sectors. They emerged in several states, counties, and cities in the eighties as innovative solutions to the challenges in affordable housing resulting from changing dynamics of delivery and production. ^ My study examines HPs with particular emphasis upon the identification of those factors associated with the successful performance of their mission of affordable housing. I will use the Balanced Scorecard (BSC) framework in this study. The identification of performance factors facilitates a better understanding of how HPs can be successful in achieving their mission. The identification of performance factors is significant in the context of the current economic environment because HPs can be viewed as innovative institutional mechanisms in the provision of affordable housing. ^ The present study uses a mixed methods research approach, drawing on data from the IRS Form 990 tax returns, a survey of the chief executives of HPs, and other secondary sources. The data analysis is framed according to the four perspectives of BSC: the financial, customer, internal business, and learning and growth. Financially, revenue diversification affects the financial health of HPs and overall performance. Although HPs depend on private and government funding, they also depend on service fees to carry out their mission. From a customer perspective, the HPs mainly serve low and moderate income households, although some serve specific groups such as seniors, homeless, veterans, and victims of domestic violence. From an internal business perspective, HPs’ programs are oriented toward affordable housing needs, undertaking not only traditional activities such as construction, loan provision, etc., but also advocacy and educational programs. From an employee and learning growth perspective, the HPs are small in staff size, but undertake a range of activities with the help of volunteers. Every part of the HP is developed to maximize resources, knowledge, and skills in order to assist communities in the delivery of affordable housing and related needs. Overall, housing partnerships have played a key role in affordable housing despite the housing market downturn since 2006. Their expenses on affordable housing activities increased despite the decrease in their revenues.^

Fiscal decentralization and development: An analysis of city governments in Argentina and Mexico, 1980--2010

This dissertation examines local governments' efforts to promote economic development in Latin America. The research uses a mixed method to explore how cities make decisions to innovate, develop, and finance economic development programs. First, this study provides a comparative analysis of decentralization policies in Argentina and Mexico as a means to gain a better understanding of the degree of autonomy exercised by local governments. Then, it analyzes three local governments each within the province of Santa Fe, Argentina and the State of Guanajuato, Mexico. The principal hypothesis of this dissertation is that if local governments collect more own-source tax revenue, they are more likely to promote economic development and thus, in turn, promote growth for their region. ^ By examining six cities, three of which are in Santa Fe—Rosario, Santa Fe (capital) and Rafaela—and three in Guanajuato—Leon, Guanajuato (capital) and San Miguel de Allende, this dissertation provides a better understanding of public finances and tax collection efforts of local governments in Latin America. Specific attention is paid to each city's budget authority to raise new revenue and efforts to promote economic development. The research also includes a large statistical dataset of Mexico's 2,454 municipalities and a regression analysis that evaluates local tax efforts on economic growth, controlling for population, territorial size, and the professional development. In order to generalize these results, the research tests these discoveries by using statistical data gathered from a survey administered to Latin American municipal officials. ^ The dissertation demonstrates that cities, which experience greater fiscal autonomy measured by the collection of more own-source revenue, are better able to stimulate effective economic development programs, and ultimately, create jobs within their communities. The results are bolstered by a large number of interviews, which were conducted with over 100 finance specialists, municipal presidents, and local authorities. The dissertation also includes an in-depth literature review on fiscal federalism, decentralization, debt financing and local development. It concludes with a discussion of the findings of the study and applications for the practice of public administration.^

The relationship between socioeconomic status, course delivery method, and student success at a state college: A single institution analysis

In an effort to improve instruction and better accommodate the needs of students, community colleges are offering courses delivered in a variety of delivery formats that require students to have some level of technology fluency to be successful in the course. This study was conducted to investigate the relationship between student socioeconomic status (SES), course delivery method, and course type on enrollment, final course grades, course completion status, and course passing status at a state college. ^ A dataset for 20,456 students of low and not low SES enrolled in science, technology, engineering, and mathematics (STEM) course types delivered using traditional, online, blended, and web enhanced course delivery formats at Miami Dade College, a large open access 4-year state college located in Miami-Dade County, Florida, was analyzed. A factorial ANOVA using course type, course delivery method, and student SES found no significant differences in final course grades when used to determine if course delivery methods were equally effective for students of low and not low SES taking STEM course types. Additionally, three chi-square goodness-of-fit tests were used to investigate for differences in enrollment, course completion and course passing status by SES, course type, and course delivery method. The findings of the chi-square tests indicated that: (a) there were significant differences in enrollment by SES and course delivery methods for the Engineering/Technology, Math, and overall course types but not for the Natural Science course type and (b) there were no significant differences in course completion status and course passing status by SES and course types overall and SES and course delivery methods overall. However, there were statistically significant but weak relationships between course passing status, SES and the math course type as well as between course passing status, SES, and online and traditional course delivery methods. ^ The mixed findings in the study indicate that strides have been made in closing the theoretical gap in education and technology skills that may exist for students of different SES levels. MDC's course delivery and student support models may assist other institutions address student success in courses that necessitate students having some level of technology fluency. ^

A Comparative Analysis of Corporate Finance in the United States and Japan From 1880 to 1930

This study explained the diversity of corporate financial practices in two nations. Existing studies have emphasized the reliance on equity finance in U.S. firms and bank loans in Japanese firms. In fact, patterns of corporate finance were much more complex. Financial institutions, which were created by national economic policy and regulation, affected corporate financial practices, but corporate financial practices often differed from what policymakers expected. Differences in corporate financial practices between nations also reflected differences in the mixture of industries in each nation. Many factors such as the amount of fixed capital, the process of production, the level of risk, the degree of innovation, and the importance of the industry in the national economy affected corporate financial practices. In addition, corporate financial practices within each nation differed from firm to firm due to managers’ considerations about stock ownership, which would affect their control power; corporate finance was closely related to control over management through ownership. To explain these complexities of corporate financial practices, the study linked corporate finance with the development of financial institutions in the United States and in Japan. While financial institutions affected corporate financial practices, the response of the firms to financial institutions and opportunities were diverse. The study also attempted to grasp variations in corporate financial practices by dealing with companies in three sectors: railroads, public utilities, and manufacturing. Finally, the study examined the structure of firm ownership. Contradictory to the widely held belief that U.S. firms distributed securities more widely to the public than did Japanese firms, many large American firms remained closely held, while some Japanese counterparts built publicly-held corporations.

Spatially explicit estimates of stock size, structure and biomass of North Atlantic albacore tuna (Thunnus alalunga) in the North Atlantic for the period 1956-2010, compiled from the International Commission for the Conservation of Atlantic Tunas

The development of the ecosystem approach and models for the management of ocean marine resources requires easy access to standard validated datasets of historical catch data for the main exploited species. They are used to measure the impact of biomass removal by fisheries and to evaluate the models skills, while the use of standard dataset facilitates models inter-comparison. North Atlantic albacore tuna is exploited all year round by longline and in summer and autumn by surface fisheries and fishery statistics compiled by the International Commission for the Conservation of Atlantic Tunas (ICCAT). Catch and effort with geographical coordinates at monthly spatial resolution of 1° or 5° squares were extracted for this species with a careful definition of fisheries and data screening. In total, thirteen fisheries were defined for the period 1956-2010, with fishing gears longline, troll, mid-water trawl and bait fishing. However, the spatialized catch effort data available in ICCAT database represent a fraction of the entire total catch. Length frequencies of catch were also extracted according to the definition of fisheries above for the period 1956-2010 with a quarterly temporal resolution and spatial resolutions varying from 1°x 1° to 10°x 20°. The resolution used to measure the fish also varies with size-bins of 1, 2 or 5 cm (Fork Length). The screening of data allowed detecting inconsistencies with a relatively large number of samples larger than 150 cm while all studies on the growth of albacore suggest that fish rarely grow up over 130 cm. Therefore, a threshold value of 130 cm has been arbitrarily fixed and all length frequency data above this value removed from the original data set.

Biological factors affecting sea survival of Atlantic salmon Salmo salar L., in Western Arm Brook and an analysis of selection by the commercial fishery of nearby St. Barbe Bay, Newfoundland

The problems faced by scientists in charge of managing Atlantic salmon (Salmo salar) stocks are : i) how to maintain spawning runs consisting of repeat spawners and large multi-sea-winter (MSW) adults in the face of selective homewater and distant commercial fisheries and , ii) how to more accurately predict returns of adults. Using data from scales collected from maiden Atlantic salmon grilse from two locations on the Northern Peninsula of Newfoundland, St. Barbe Bay and Western Arm Brook, their length at smolting was back calculated. These data were then used to examine whether the St. Barbe commercial fishery is selective for salmon of particular smolt age and/or size. Analysis indicated that come commercial fishery selected larger, but not necessarily older adults that those escaping to Western Arm Brook over the period of this study, 1978-1987. It was determined that less than average size smolts survived better than above average size smolts. Slection for repeat spawners, large MSW salmon, and larger grilse has meant reductions in the proportions of these adults in the spawning runs on Western Arm Brook. This may impact the Western Arm Brook salmon stock by increasing the population instability. Sea survival was significantly correlated with selection by the commercial fishery. Characteristics of adults in Western Arm Brook during the period of study (1978-1987) did not help in explaining yearly variation in sea survival. The characteristics of smolts, however, when subjected to multiple regression analysis explained 57.2 percent of the yearly variation in sea survival.

X-ray diffraction analysis, binocular component analysis and radiocarbon dating of sediment cores from the NW Iberian shelf system

Based on a well-established stratigraphic framework and 47 AMS-14C dated sediment cores, the distribution of facies types on the NW Iberian margin is analysed in response to the last deglacial sea-level rise, thus providing a case study on the sedimentary evolution of a high-energy, low-accumulation shelf system. Altogether, four main types of sedimentary facies are defined. (1) A gravel-dominated facies occurs mostly as time-transgressive ravinement beds, which initially developed as shoreface and storm deposits in shallow waters on the outer shelf during the last sea-level lowstand; (2) A widespread, time-transgressive mixed siliceous/biogenic-carbonaceous sand facies indicates areas of moderate hydrodynamic regimes, high contribution of reworked shelf material, and fluvial supply to the shelf; (3) A glaucony-containing sand facies in a stationary position on the outer shelf formed mostly during the last-glacial sea-level rise by reworking of older deposits as well as authigenic mineral formation; and (4) A mud facies is mostly restricted to confined Holocene fine-grained depocentres, which are located in mid-shelf position. The observed spatial and temporal distribution of these facies types on the high-energy, low-accumulation NW Iberian shelf was essentially controlled by the local interplay of sediment supply, shelf morphology, and strength of the hydrodynamic system. These patterns are in contrast to high-accumulation systems where extensive sediment supply is the dominant factor on the facies distribution. This study emphasises the importance of large-scale erosion and material recycling on the sedimentary buildup during the deglacial drowning of the shelf. The presence of a homogenous and up to 15-m thick transgressive cover above a lag horizon contradicts the common assumption of sparse and laterally confined sediment accumulation on high-energy shelf systems during deglacial sea-level rise. In contrast to this extensive sand cover, laterally very confined and maximal 4-m thin mud depocentres developed during the Holocene sea-level highstand. This restricted formation of fine-grained depocentres was related to the combination of: (1) frequently occurring high-energy hydrodynamic conditions; (2) low overall terrigenous input by the adjacent rivers; and (3) the large distance of the Galicia Mud Belt to its main sediment supplier.

Breast pumps as an incentive for breastfeeding : a mixed methods study of acceptability

Funding acknowledgement This project was funded by the NIHR Health Technology Assessment Programme (10/31/02) and is published in full in Health Technology Assessment.. Further information available at: http://www.nets.nihr.ac.uk/projects/hta/103102 This paper presents independent research commissioned by the National Institute for Health Research (NIHR). The views and opinions expressed by authors in this publication are those of the authors and do not necessarily reflect those of the NHS, the NIHR, MRC, CCF, NETSCC, the HTA programme or the Department of Health. NIHR were not involved in the study design, collection, analysis and interpretation of data or in the writing of the articles for publication.

Breast pumps as an incentive for breastfeeding : a mixed methods study of acceptability

Funding acknowledgement This project was funded by the NIHR Health Technology Assessment Programme (10/31/02) and is published in full in Health Technology Assessment.. Further information available at: http://www.nets.nihr.ac.uk/projects/hta/103102 This paper presents independent research commissioned by the National Institute for Health Research (NIHR). The views and opinions expressed by authors in this publication are those of the authors and do not necessarily reflect those of the NHS, the NIHR, MRC, CCF, NETSCC, the HTA programme or the Department of Health. NIHR were not involved in the study design, collection, analysis and interpretation of data or in the writing of the articles for publication.

Synthesis & retention mechanisms of novel mixed mode stationary phase for detection of specific polar low molecular weight biological samples

The thesis primarily reports the synthesis, characterization and application of novel mixed mode stationary phases for Hydrophilic Interaction Liquid Chromatography (HILIC). HILIC is a rapidly emerging chromatographic mode that is finding great applicability in the analysis of polar organic molecules. In addition, there is a chapter on the analysis of Bisphenol A and related species using capillary electrophoresis (CE) coupled with boron-doped diamond electrodes for electrochemical detection. The synthesis and characterization of the novel mixed mode stationary phases prepared in this work is an important contribution to the field as the materials prepared exhibited better performance than similar materials obtained commercially. In addition a more thorough characterization of the materials (e.g.,thermogravimetric analysis, various NMR modes, elemental analysis, etc.) and resulting columns (e.g., H) than is typically encountered. The application of these new materials to the analysis of sugars using evaporative light scattering is also novel. In CE studies, electrochemical detection is sufficiently rare that the work is also novel.

An analysis of selected secretion systems of Pseudomonas species

Direct secretion systems which deliver molecules from one cell to another have huge significance in shaping bacterial communities or in determining the outcome of bacterial associations with eukaryotic organisms. This work examines the roles of the Type III Secretion System (T3SS) and the Type VI Secretion System (T6SS) systems of Pseudomonas, a widespread genus including clinical pathogens and biocontrol strains. Bioinformatic analysis of T6SS phylogeny and associated gene content within Pseudomonas identified several T6SS phylogenetic groups, and linked T6SS components VgrG and Hcp encoded outside of T6SS gene loci with their cognate T6SS phylogenetic groups. Remarkably, such “orphan” vgrG and hcp genes were found to occur in diverse, horizontally transferred, operons often containing putative T6SS accessory components and effectors. The prevalence of a widespread superfamily of T6SS lipase effectors (Tle) was assessed in metagenomes from various environments. The abundance of the Tle superfamily and individual families varied between niches, suggesting there is niche specific selection and specialisation of Tle. Experimental work also discovered that P. fluorescens F113 uses the SPI-1 T3SS to avoid amoeboid grazing in mixed populations. This finding may represent a significant aspect of F113 rhizocompetence, and the rhizocompetence of other Rhizobacteria.

Forces of agglomeration and dispersal in rural business networks: a social network analysis

Two concepts in rural economic development policy have been the focus of much research and policy action: the identification and support of clusters or networks of firms and the availability and adoption by rural businesses of Information and Communication Technologies (ICT). From a theoretical viewpoint these policies are based on two contrasting models, with clustering seen as a process of economic agglomeration, and ICT-mediated communication as a means of facilitating economic dispersion. The study’s conceptual framework is based on four interrelated elements: location, interaction, knowledge, and advantage, together with the concept of networks which is employed as an operationally and theoretically unifying concept. The research questions are developed in four successive categories: Policy, Theory, Networks, and Method. The questions are approached using a study of two contrasting groups of rural small businesses in West Cork, Ireland: (a) Speciality Foods, and (b) firms in Digital Products and Services. The study combines Social Network Analysis (SNA) with Qualitative Thematic Analysis, using data collected from semi-structured interviews with 58 owners or managers of these businesses. Data comprise relational network data on the firms’ connections to suppliers, customers, allies and competitors, together with linked qualitative data on how the firms established connections, and how tacit and codified knowledge was sourced and utilised. The research finds that the key characteristics identified in the cluster literature are evident in the sample of Speciality Food businesses, in relation to flows of tacit knowledge, social embedding, and the development of forms of social capital. In particular the research identified the presence of two distinct forms of collective social capital in this network, termed “community” and “reputation”. By contrast the sample of Digital Products and Services businesses does not have the form of a cluster, but matches more closely to dispersive models, or “chain” structures. Much of the economic and social structure of this set of firms is best explained in terms of “project organisation”, and by the operation of an individual rather than collective form of “reputation”. The rural setting in which these firms are located has resulted in their being service-centric, and consequently they rely on ICT-mediated communication in order to exchange tacit knowledge “at a distance”. It is this factor, rather than inputs of codified knowledge, that most strongly influences their operation and their need for availability and adoption of high quality communication technologies. Thus the findings have applicability in relation to theory in Economic Geography and to policy and practice in Rural Development. In addition the research contributes to methodological questions in SNA, and to methodological questions about the combination or mixing of quantitative and qualitative methods.