Size anomalies in EU bank stock returns

Mestrado em Finanças

Size effects in micro cup drawing

Experimental studies into the effect of blank thickness on the deep drawing response of the coarse-grained and ultrafine-grained copper demonstrated the occurrence of a size effect: the dependence of the maximum load and the limit drawing ratio on the blank thickness in sub-millimetre range. A dislocation based constitutive model taking into account the thickness effects was used for numerical simulations of the process. It was demonstrated that the occurrence of the blank thickness effect is governed by the ratio of the blank thickness t to the grain size D of the material. Critical values of the t/. D ratio below which the size effect comes to bearing were determined. The obtained results can be seen as a demonstration of more general suitability of the model developed for predicting microforming operations with full account of the specimen or work-piece dimensions.

Electrochemistry of Heteroleptic Tris(phthalocyaninato) Rare Earth(III) Complexes

The electrochemical characteristics of a series of heteroleptic tris(phthalocyaninato) complexes with identical rare earths or mixed rare earths (Pc)M(OOPc)M(OOPc) [M = Eu...Lu, Y; H2Pc = unsubstituted phthalocyanine, H2(OOPc) = 3,4,12,13,21,22,30,31-octakis(octyloxy)phthalocyanine] and (Pc)Eu(OOPc)Er(OOPc) have been recorded and studied comparatively by cyclic voltammetry (CV) and differential pulse voltammetry (DPV) in CH2Cl2 containing 0.1 M tetrabutylammonium perchlorate (TBAP). Up to five quasi-reversible one-electron oxidations and four one-electron reductions have been revealed. The half-wave potentials of the first, second and fifth oxidations depend on the size of the metal center, but the fifth changes in the opposite direction to that of the first two. Moreover, the difference in redox potentials of the first oxidation and first reduction for (Pc)M(OOPc)M(OOPc), 0.85−0.98 V, also decreases linearly along with decreasing rare earth ion radius, clearly showing the rare earth ion size effect and indicating enhanced π−π interactions in the triple-deckers connected by smaller lanthanides. This order follows the red-shift seen in the lowest energy band of triple-decker compounds. The electronic differences between the lanthanides and yttrium are more apparent for triple-decker sandwich complexes than for the analogous double-deckers. By comparing triple-decker, double-decker and mononuclear [ZnII] complexes containing the OOPc ligand, the HOMO−LUMO gap has been shown to contract approximately linearly with the number of stacked phthalocyanine ligands.

Wear mechanisms and scale effects in two-body abrasion

The ‘particle size effect’ and its manifestation in abrasion still attracts considerable debate as to its origins and the ranking of its likely causes. Experiments have been conducted to study the important contribution that the formation of wear debris can have on the progression of wear. The experiments consist of unlubricated (dry) pin-on-disk tests with silicon carbide coated paper of varying particle size, with different pin material, diameter and loads. It has been observed that the influence of debris formation on wear rate is more pronounced for fine abrasives and soft-wearing materials. Consequently, it is proposed that the particle size effect can be explained in terms of geometrical scaling and the evolution of third-body effects with diminishing particle diameter.

Deformation behaviours of coarse-grained and nanocrystalline Mg-5wt% Al alloys

Magnesium alloys have been of growing interest to various engineering applications, such as the automobile, aerospace, communication and computer industries due to their low density, high specific strength, good machineability and availability as compared with other structural materials. However, most Mg alloys suffer from poor plasticity due to their Hexagonal Close Packed structure. Grain refinement has been proved to be an effective method to enhance the strength and alter the ductility of the materials. Several methods have been proposed to produce materials with nanocrystalline grain structures. So far, most of the research work on nanocrystalline materials has been carried out on Face-Centered Cubic and Body-Centered Cubic metals. However, there has been little investigation of nanocrystalline Mg alloys. In this study, bulk coarse-grained and nanocrystalline Mg alloys were fabricated by a mechanical alloying method. The mixed powder of Mg chips and Al powder was mechanically milled under argon atmosphere for different durations of 0 hours (MA0), 10 hours (MA10), 20 hours (MA20), 30 hours (MA30) and 40 hours (MA40), followed by compaction and sintering. Then the sintered billets were hot-extruded into metallic rods with a 7 mm diameter. The obtained Mg alloys have a nominal composition of Mg–5wt% Al, with grain sizes ranging from 13 μm down to 50 nm, depending on the milling durations. The microstructure characterization and evolution after deformation were carried out by means of Optical microscopy, X-Ray Diffraction, Scanning Electron Microscopy, Transmission Electron Microscopy, Scanning Probe Microscopy and Neutron Diffraction techniques. Nanoindentaion, compression and micro-compression tests on micro-pillars were used to study the size effects on the mechanical behaviour of the Mg alloys. Two kinds of size effects on the mechanical behaviours and deformation mechanisms were investigated: grain size effect and sample size effect. The nanoindentation tests were composed of constant strain rate, constant loading rate and indentation creep tests. The normally reported indentation size effect in single crystal and coarse-grained crystals was observed in both the coarse-grained and nanocrystalline Mg alloys. Since the indentation size effect is correlated to the Geometrically Necessary Dislocations under the indenter to accommodate the plastic deformation, the good agreement between the experimental results and the Indentation Size Effect model indicated that, in the current nanocrystalline MA20 and MA30, the dislocation plasticity was still the dominant deformation mechanism. Significant hardness enhancement with decreasing grain size, down to 58 nm, was found in the nanocrystalline Mg alloys. Further reduction of grain size would lead to a drop in the hardness values. The failure of grain refinement strengthening with the relatively high strain rate sensitivity of nanocrystalline Mg alloys suggested a change in the deformation mechanism. Indentation creep tests showed that the stress exponent was dependent on the loading rate during the loading section of the indentation, which was related to the dislocation structures before the creep starts. The influence of grain size on the mechanical behaviour and strength of extruded coarse-grained and nanocrystalline Mg alloys were investigated using uniaxial compression tests. The macroscopic response of the Mg alloys transited from strain hardening to strain softening behaviour, with grain size reduced from 13 ìm to 50 nm. The strain hardening was related to the twinning induced hardening and dislocation hardening effect, while the strain softening was attributed to the localized deformation in the nanocrystalline grains. The tension–compression yield asymmetry was noticed in the nanocrystalline region, demonstrating the twinning effect in the ultra-fine-grained and nanocrystalline region. The relationship k tensions < k compression failed in the nanocrystalline Mg alloys; this was attributed to the twofold effect of grain size on twinning. The nanocrystalline Mg alloys were found to exhibit increased strain rate sensitivity with decreasing grain size, with strain rate ranging from 0.0001/s to 0.01/s. Strain rate sensitivity of coarse-grained MA0 was increased by more than 10 times in MA40. The Hall-Petch relationship broke down at a critical grain size in the nanocrystalline region. The breakdown of the Hall-Petch relationship and the increased strain rate sensitivity were due to the localized dislocation activities (generalization and annihilation at grain boundaries) and the more significant contribution from grain boundary mediated mechanisms. In the micro-compression tests, the sample size effects on the mechanical behaviours were studied on MA0, MA20 and MA40 micro-pillars. In contrast to the bulk samples under compression, the stress-strain curves of MA0 and MA20 micro-pillars were characterized with a number of discrete strain burst events separated by nearly elastic strain segments. Unlike MA0 and MA20, the stress-strain curves of MA40 micro-pillars were smooth, without obvious strain bursts. The deformation mechanisms of the MA0 and MA20 micro-pillars under micro-compression tests were considered to be initially dominated by deformation twinning, followed by dislocation mechanisms. For MA40 pillars, the deformation mechanisms were believed to be localized dislocation activities and grain boundary related mechanisms. The strain hardening behaviours of the micro-pillars suggested that the grain boundaries in the nanocrystalline micro-pillars would reduce the source (nucleation sources for twins/dislocations) starvation hardening effect. The power law relationship of the yield strength on pillar dimensions in MA0, MA20 supported the fact that the twinning mechanism was correlated to the pre-existing defects, which can promote the nucleation of the twins. Then, we provided a latitudinal comparison of the results and conclusions derived from the different techniques used for testing the coarse-grained and nanocrystalline Mg alloy; this helps to better understand the deformation mechanisms of the Mg alloys as a whole. At the end, we summarized the thesis and highlighted the conclusions, contributions, innovations and outcomes of the research. Finally, it outlined recommendations for future work.

Encapsulation of transition metal species into zeolites and molecular sieves as redox catalysts: Part I-preparation and characterisation of nanosized TiO2, CdO and ZnO semiconductor particles anchored in NaY zeolite

In this paper, we report the preparation and characterisation of nanometer-sized TiO2, CdO, and ZnO semiconductor particles trapped in zeolite NaY. Preparation of these particles was carried out via the traditional ion exchange method and subsequent calcination procedure. It was found that the smaller cations, i.e., Cd2+ and Zn2+ could be readily introduced into the SI′ and SII′ sites located in the sodalite cages, through ion exchange; while this is not the case for the larger Ti species, i.e., Ti monomer [TiO]2+ or dimer [Ti2O3]2+ which were predominantly dispersed on the external surface of zeolite NaY. The subsequent calcination procedure promoted these Ti species to migrate into the internal surface of the supercages. These semiconductor particles confined in NaY zeolite host exhibited a significant blue shift in the UV-VIS absorption spectra, in contrast to the respective bulk semiconductor materials, due to the quantum size effect (QSE). The particle sizes calculated from the UV-VIS optical absorption spectra using the effective mass approximation model are in good agreement with the atomic absorption data.

Effects of joint thickness, adhesion and web shells to the face shell bedded concrete masonry loaded in compression

The Australian masonry standard allows either prism tests or correction factors based on the block height and mortar thickness to evaluate masonry compressive strength. The correction factor helps the taller units with conventional 10 mm mortar being not disadvantaged due to size effect. In recent times, 2-4 mm thick, high-adhesive mortars and H blocks with only the mid-web shell are used in masonry construction. H blocks and thinner and higher adhesive mortars have renewed interest of the compression behaviour of hollow concrete masonry and hence is revisited in this paper. This paper presents an experimental study carried out to examine the effects of the thickness of mortar joints, the type of mortar adhesives and the presence of web shells in the hollow concrete masonry prisms under axial compression. A non-contact digital image correlation technique was used to measure the deformation of the prisms and was found adequate for the determination of strain fi eld of the loaded face shells subjected to axial compression. It is found that the absence of end web shells lowers the compressive strength and stiffness of the prisms and the thinner and higher adhesive mortars increase the compressive strength and stiffness, while lowering the Poisson's ratio. © Institution of Engineers Australia, 2013.

Investor sentiment as conditioning information in asset pricing

This paper assesses whether incorporating investor sentiment as conditioning information in asset-pricing models helps capture the impacts of the size, value, liquidity and momentum effects on risk-adjusted returns of individual stocks. We use survey sentiment measures and a composite index as proxies for investor sentiment. In our conditional framework, the size effect becomes less important in the conditional CAPM and is no longer significant in all the other models examined. Furthermore, the conditional models often capture the value, liquidity and momentum effects.

Aligning off-balance sheet risk, on-balance sheet risk and audit fees: a PLS path modelling analysis

This study focuses on using the partial least squares (PLS) path modelling technique in archival auditing research by replicating the data and research questions from prior bank audit fee studies. PLS path modelling allows for inter-correlations among audit fee determinants by establishing latent constructs and multiple relationship paths in one simultaneous PLS path model. Endogeneity concerns about auditor choice can also be addressed with PLS path modelling. With a sample of US bank holding companies for the period 2003-2009, we examine the associations among on-balance sheet financial risks, off-balance sheet risks and audit fees, and also address the pervasive client size effect, and the effect of the self-selection of auditors. The results endorse the dominating effect of size on audit fees, both directly and indirectly via its impacts on other audit fee determinants. By simultaneously considering the self-selection of auditors, we still find audit fee premiums on Big N auditors, which is the second important factor on audit fee determination. On-balance-sheet financial risk measures in terms of capital adequacy, loan composition, earnings and asset quality performance have positive impacts on audit fees. After allowing for the positive influence of on-balance sheet financial risks and entity size on off-balance sheet risk, the off-balance sheet risk measure, SECRISK, is still positively associated with bank audit fees, both before and after the onset of the financial crisis. The consistent results from this study compared with prior literature provide supporting evidence and enhance confidence on the application of this new research technique in archival accounting studies.

Aligning off-balance sheet risk, on-balance sheet risk and audit fees: a PLS path modelling analysis

This study focuses on using the partial least squares (PLS) path modelling methodology in archival auditing research by replicating the data and research questions from prior bank audit fee studies. PLS path modelling allows for inter-correlations among audit fee determinants by establishing latent constructs and multiple relationship paths in one simultaneous PLS path model. Endogeneity concerns about auditor choice can also be addressed with PLS path modelling. With a sample of US bank holding companies for the period 2003-2009, we examine the associations among on-balance sheet financial risks, off-balance sheet risks and audit fees, and also address the pervasive client size effect, and the effect of the self-selection of auditors. The results endorse the dominating effect of size on audit fees, both directly and indirectly via its impacts on other audit fee determinants. By simultaneously considering the self-selection of auditors, we still find audit fee premiums on Big N auditors, which is the second important factor on audit fee determination. On-balance-sheet financial risk measures in terms of capital adequacy, loan composition, earnings and asset quality performance have positive impacts on audit fees. After allowing for the positive influence of on-balance sheet financial risks and entity size on off-balance sheet risk, the off-balance sheet risk measure, SECRISK, is still positively associated with bank audit fees, both before and after the onset of the financial crisis. The consistent results from this study compared with prior literature provide supporting evidence and enhance confidence on the application of this new research technique in archival accounting studies.

Pressure transitions and electron transport behaviour of crystalline Se-Te alloys

Pressure transitions of Se-Te alloys have been studied over the entire range of compositions. Conductivities have also been measured as a function of temperature and alloy composition. Transition pressures, activation barriers and isothermal conductivities exhibit distinct changes of slope in their variation as a function of composition at about 8 at % of Te. Transition pressures change slope at not, vert, similar 35% Te also. An attempt has been made to explain these observations on the basis of the size effect of Te which, in turn, affects the electron energy dispersions in the band structure.

Mutations as molecular tools : The metabolic-rate dependent molecular clock and DNA barcoding of allied species

Mutation and recombination are the fundamental processes leading to genetic variation in natural populations. This variation forms the raw material for evolution through natural selection and drift. Therefore, studying mutation rates may reveal information about evolutionary histories as well as phylogenetic interrelationships of organisms. In this thesis two molecular tools, DNA barcoding and the molecular clock were examined. In the first part, the efficiency of mutations to delineate closely related species was tested and the implications for conservation practices were assessed. The second part investigated the proposition that a constant mutation rate exists within invertebrates, in form of a metabolic-rate dependent molecular clock, which can be applied to accurately date speciation events. DNA barcoding aspires to be an efficient technique to not only distinguish between species but also reveal population-level variation solely relying on mutations found on a short stretch of a single gene. In this thesis barcoding was applied to discriminate between Hylochares populations from Russian Karelia and new Hylochares findings from the greater Helsinki region in Finland. Although barcoding failed to delineate the two reproductively isolated groups, their distinct morphological features and differing life-history traits led to their classification as two closely related, although separate species. The lack of genetic differentiation appears to be due to a recent divergence event not yet reflected in the beetles molecular make-up. Thus, the Russian Hylochares was described as a new species. The Finnish species, previously considered as locally extinct, was recognized as endangered. Even if, due to their identical genetic make-up, the populations had been regarded as conspecific, conservation strategies based on prior knowledge from Russia would not have guaranteed the survival of the Finnish beetle. Therefore, new conservation actions based on detailed studies of the biology and life-history of the Finnish Hylochares were conducted to protect this endemic rarity in Finland. The idea behind the strict molecular clock is that mutation rates are constant over evolutionary time and may thus be used to infer species divergence dates. However, one of the most recent theories argues that a strict clock does not tick per unit of time but that it has a constant substitution rate per unit of mass-specific metabolic energy. Therefore, according to this hypothesis, molecular clocks have to be recalibrated taking body size and temperature into account. This thesis tested the temperature effect on mutation rates in equally sized invertebrates. For the first dataset (family Eucnemidae, Coleoptera) the phylogenetic interrelationships and evolutionary history of the genus Arrhipis had to be inferred before the influence of temperature on substitution rates could be studied. Further, a second, larger invertebrate dataset (family Syrphidae, Diptera) was employed. Several methodological approaches, a number of genes and multiple molecular clock models revealed that there was no consistent relationship between temperature and mutation rate for the taxa under study. Thus, the body size effect, observed in vertebrates but controversial for invertebrates, rather than temperature may be the underlying driving force behind the metabolic-rate dependent molecular clock. Therefore, the metabolic-rate dependent molecular clock does not hold for the here studied invertebrate groups. This thesis emphasizes that molecular techniques relying on mutation rates have to be applied with caution. Whereas they may work satisfactorily under certain conditions for specific taxa, they may fail for others. The molecular clock as well as DNA barcoding should incorporate all the information and data available to obtain comprehensive estimations of the existing biodiversity and its evolutionary history.

Prediction of fatigue strength in plain and reinforced concrete beams

A fatigue crack propagation model for concrete is proposed based on the concepts of fracture mechanics. This model takes into account the loading history, frequency of applied load, and size, effect parameters. Using this model, a method is described based on linear elastic fracture mechanics to assess the residual strength of cracked plain and reinforced concrete (RC) beams. This could be used to predict the residual strength (load carrying capacity) of cracked or damaged plain and reinforced concrete beams at a given level of damage. It has been seen that the fatigue crack propagation rate increases as. the size of plain concrete, beam increases indicating an increase in brittleness. In reinforced concrete (RC) beams, the fracture process becomes stable only when the beam is sufficiently reinforced.

Nonlinear fracture properties of concrete-concrete interfaces

The fracture properties of different concrete-concrete interfaces are determined using the Bazant's size effect model. The size effect on fracture properties are analyzed using the boundary effect model proposed by Wittmann and his co-workers. The interface properties at micro-level are analyzed through depth sensing micro-indentation and scanning electron microscopy. Geometrically similar beam specimens of different sizes having a transverse interface between two different strengths of concrete are tested under three-point bending in a closed loop servo-controlled machine with crack mouth opening displacement control. The fracture properties such as, fracture energy (G(f)), length of process zone (c(f)), brittleness number (beta), critical mode I stress intensity factor (K-ic), critical crack tip opening displacement CTODc (delta(c)), transitional ligament length to free boundary (a(j)), crack growth resistance curve and micro-hardness are determined. It is seen that the above fracture properties decrease as the difference between the compressive strength of concrete on either side of the interface increases. (C) 2010 Elsevier Ltd. All rights reserved.

Fatigue crack propagation model for plain concrete - An analogy with population growth

In this work, an analytical model is proposed for fatigue crack propagation in plain concrete based on population growth exponential law and in conjunction with principles of dimensional analysis and self-similarity. This model takes into account parameters such as loading history, fracture toughness, crack length, loading ratio and structural size. The predicted results are compared with experimental crack growth data for constant and variable amplitude loading and are found to capture the size effect apart from showing a good agreement. Using this model, a sensitivity analysis is carried out to study the effect of various parameters that influence fatigue failure. (C) 2010 Elsevier Ltd. All rights reserved.