VictorJuiz/thesis huggingface dataset:
Three Essays in Empirical Studies on Derivatives

This thesis is a collection of three essays in empirical studies on derivatives. In the first chapter, I investigate whether credit default swap spreads are affected by how the total risk is decomposed into the systematic risk and the idiosyncratic risk for a given level of the total risk. The risk composition is measured by the systematic risk proportion, defined as the proportion of the systematic variance in the total variance. I find that a firm’s systematic risk proportion has a negative and significant effect on its CDS spreads. Moreover, this empirical finding is robust to various alternative specifications and estimations. Therefore, the composition of the total risk is an important determinant of CDS spreads. In the second chapter, I estimate the illiquidity premium in the CDS spreads based on Jarrow’s illiquidity-modified Merton model using the transformed-data maximum likelihood estimation method. I find that the average model implied CDS illiquidity premium is about 15 basis points, accounting for 12% of the average level of the CDS spread. I further investigate how this parameter is affected by CDS liquidity measures such as the percentage bid-ask spread and the number of daily CDS spreads available in one month. I find that both liquidity measures are significant determinants of the model implied CDS illiquidity premium. In terms of relative importance, the bid-ask spread is more important than the number of daily CDS spreads statistically and economically. In the third chapter, I investigate the impact of the systematic risk on the volatility spread, i.e, the difference between the risk-neutral volatility and the physical volatility. I find that the systematic risk proportion of an underlying asset has a positive and significant impact on its volatility spread. The risk-neutral volatility in this study is measured with the increasingly popular approach known as the model-free risk-neutral volatility. The surprising positive systematic risk effect was first documented in Duan and Wei (2009) using the Black-Scholes implied volatility. I show that this effect is actually more prominent using the clearly better model-free risk-neutral volatility measure.

Keywords: credit default swaps
systematic risk
Advisor: Duan, Jin-Chuan
Disclosure, Analyst Forecast Bias, and the Cost of Equity Capital

This dissertation investigates the relation between firm disclosure, analyst forecast bias, and the cost of equity capital (COEC). Since analyst forecast bias is associated with both implied COEC estimates and disclosure, it is important to control for or remove it from COEC estimates when estimating the relation between disclosure and ex ante expected returns. I begin my analysis by predicting and removing systematic ex ante bias from analyst forecasts to produce de-biased analyst forecasts that better proxy for the market’s ex ante earnings expectations. I use these de-biased analyst forecasts to produce estimates of ex ante expected returns, both at the portfolio- and the firm-level. In addition, I develop a novel estimate of ex ante expected returns by applying Vuolteenaho’s (2002) return decomposition framework to ex post realized returns and accounting data. Finally, using several techniques to control for analyst forecast bias and self-selection bias, I find theoretically consistent evidence of a negative association between regular disclosure and ex ante expected returns. I predict and show that inferences can change when analyst forecast bias is controlled for.

Keywords: cost of capital
analyst forecasts
disclosure
cost of equity capital
Advisor: Callen, Jeffrey
Richardson, Gordon
Characterization and Utilization of Cement Kiln Dusts (CKDs) as Partial Replacements of Portland Cement

The characteristics of cement kiln dusts (CKDs) and their effects as partial replacement of Portland Cement (PC) were studied in this research program. The materials used in this study were two different types of PC (normal and moderate sulfate resistant) and seven CKDs. The CKDs used in this study were selected to provide a representation of those available in North America from the three major types of cement manufacturing processes: wet, long-dry, and preheater/precalciner. Two fillers (limestone powder and quartz powder) were also used to compare their effects to that of CKDs at an equivalent replacement of PC. It was found that CKDs can contain significant amounts of amorphous material (>30%) and clinker compounds (>20%) and small amounts of slag and/or flyash (<5%) and calcium langbeinite (<5%). The study found that CKDs from preheater/precalciner kilns have different effects on workability and heat evolution than CKDs from wet and long-dry kilns due to the presence of very reactive and high free lime contents (>20%). The blends with the two CKDs from preheater/precalciner plants had higher paste water demand, lower mortar flows, and higher heat generation during initial hydrolysis in comparison to all other CKD-PC blends and control cements. The hardened properties of CKD as a partial substitute of PC appear to be governed by the sulfate content of the CKD-PC blend (the form of the CKD sulfate is not significant). According to analysis of the ASTM expansion in limewater test results, the CKD-PC blend sulfate content should be less than ~0.40% above the optimum sulfate content of the PC. It was also found that the sulfate contribution of CKD behaves similar to gypsum. Therefore, CKD-PC blends could be optimized for sulfate content by using CKD as a partial substitute of gypsum during the grinding process to control the early hydration of C3A. The wet and long-dry kiln CKDs contain significant amounts of calcium carbonate (>20%) which could also be used as partial replacement of limestone filler in PC.

Keywords: cement kiln dust
ckd
hydration
durability
composition
expansion
sulfate
cement
Advisor: Hooton, Robert Douglas
Investor Attention, Earnings Management and Stock Mispricing

This thesis first examines the determinants of earnings management in an international setting using the Limited Investor Attention Model of Hirshleifer and Teoh (2003). The model predicts that investor attention reduces earnings management. I have four key findings. First, I document that financial analysts curb adjusted absolute abnormal accruals and absolute performance-matched abnormal accruals in global firms. Second, I document that institutional block-holdings curb adjusted absolute abnormal accruals across the world. Third, I document that analyst following is related to more reduction in earnings management in common law countries than in code-law countries. Fourth, I find that institutional block-holders are more effective monitors in common law countries than in code law countries. This thesis also examines the relation between investor attention and stock mispricing of abnormal accruals in an international setting using the Limited Investor Attention Model of Hirshleifer and Teoh (2003). Consistent with the model’s hypothesis that investor attention reduces stock mispricing, I document three key findings. First, I find a significant and negative correlation between stock mispricing and analyst following in global firms. Second, stock mispricing is negatively correlated with institutional ownership in U.S. firms. Stock mispricing is not significantly correlated with institutional block-holdings in global firms. Third, stock mispricing per dollar of abnormal accrual is decreasing in analyst following for sufficiently large abnormal accruals in U.S. and global firms.

Keywords: investor attention
earnings management
stock mispricing
Advisor: Richardson, Gordon
Wong, Franco
Optical and Material Properties of Colloidal Semiconductor Nanocrystals

This thesis presents an exploration of the photophysics of colloidal semiconductor nanocrystals using both linear and non-linear optical measurement techniques. These optical methodologies are used to follow population dynamics in both singly and multiply excited nanocrystal systems as well as determine material properties of the ensemble. Topics covered in the thesis include, the identification and characterization of bulk-like nanocrystals, study of the fine structure states of the lowest energy exciton, single and multiexciton population dynamics, acoustic phonon modes, elasticity and surface stress properties of a colloidal ensemble in solution.Through linear spectroscopy, the properties of both quantum confined and bulk-like colloidal semiconductor nanocrystals are compared. The identification of a model system of bulk-like nanocrystals with a non-standard absorption profile serves to resolve an ambiguity in literature concerning their characterization. The remainder of the thesis is focused on the size-dependent properties of quantum confined CdSe colloidal nanocrystals. The population dynamics and material properties of these systems are studied using a nonlinear optical technique called transient grating. A third order transient grating measurement with a cross-polarized configuration, which follows the relaxation within the fine structure levels of the lowest energy exciton state, is demonstrated and used to compare systems with different crystal field splittings. Transient grating experiments performed with specific polarization sequences allow for selective observation of the dynamics amongst nearly degenerate levels at room temperature. Cross-polarized transient grating is also used to observe a quantized acoustic phonon mode in a series of nanocrystal samples. The observation of this mode allows experimental determination of the elasticity and surface stress of the nanocrystal ensemble in solution. The anisotropic origin of the acoustic phonon is discussed using a combination of theoretical analysis, modelling and experimental data. In addition, third- and fifth-order transient grating experiments are used to study exciton and multiexciton population relaxation dynamics. The work presented here spans the optical and material properties of quantum confined and `bulk' nanocrystals. This thesis attempts to illustrate the broad scope of the observed behaviour of colloidal nanocrystal systems and to contribute to a greater understanding of their physical properties.

Keywords: semiconductor
nanocrystal
colloid
ultrafast
phonon
transient grating
polarization
CdSe
Bulk
EuS
third order
fifth order
elasticity
surface stress
anisotropy
fine structure
exciton
biexciton
Advisor: Scholes, Gregory D.
Cumulative Distribution Networks: Inference, Estimation and Applications of Graphical Models for Cumulative Distribution Functions

This thesis presents a class of graphical models for directly representing the joint cumulative distribution function (CDF) of many random variables, called cumulative distribution networks (CDNs). Unlike graphical models for probability density and mass functions, in a CDN, the marginal probabilities for any subset of variables are obtained by computing limits of functions in the model. We will show that the conditional independence properties in a CDN are distinct from the conditional independence properties of directed, undirected and factor graph models, but include the conditional independence properties of bidirected graphical models. As a result, CDNs are a parameterization for bidirected models that allows us to represent complex statistical dependence relationships between observable variables. We will provide a method for constructing a factor graph model with additional latent variables for which graph separation of variables in the corresponding CDN implies conditional independence of the separated variables in both the CDN and in the factor graph with the latent variables marginalized out. This will then allow us to construct multivariate extreme value distributions for which both a CDN and a corresponding factor graph representation exist. In order to perform inference in such graphs, we describe the `derivative-sum-product' (DSP) message-passing algorithm where messages correspond to derivatives of the joint cumulative distribution function. We will then apply CDNs to the problem of learning to rank, or estimating parametric models for ranking, where CDNs provide a natural means with which to model multivariate probabilities over ordinal variables such as pairwise preferences. We will show that many previous probability models for rank data, such as the Bradley-Terry and Plackett-Luce models, can be viewed as particular types of CDN. Applications of CDNs will be described for the problems of ranking players in multiplayer team-based games, document retrieval and discovering regulatory sequences in computational biology using the above methods for inference and estimation of CDNs.

Keywords: Graphical models
Cumulative distribution function
Inference
Message-passing
Learning to rank
Information retrieval
Computational biology
Bioinformatics
Genomics
Extreme value distribution
microRNA
Gene regulation
Copula
Advisor: Frey, Brendan J.
Smooth-morphology Ultrasensitive Solution-processed Photoconductors

Solution-processed optoelectronic materials offer a route to low cost photodetectors, large area solar cells, and integrated optical sources. While significant progress has been reported in organic and polymer spin-cast optoelectronics, colloidal quantum dots offer a distinct further advantage -- the convenient tuning of absorption onset via the quantum size effect. Electronic transport has recently been enhanced in size effect tuned colloidal quantum dot films using ligand exchange, resulting in ultrasensitive photodetectors in both visible and infrared wavelengths. Solid-film ligand exchange, however, generally results in rough film morphologies that are incompatible with high uniformity image sensors. Here, we report a new route to visible-wavelength spin-cast lead sulfide (PbS) nanocrystal photoconductive photodetectors with a sub 1% roughness, compared to the ~10% roughness obtained using previously reported approaches. The new procedure yields devices that exhibit 10 A/W responsivities and reveals an added significant advantage: when illumination conditions change, the photodetectors respond with a single time constant of 20 ms. This compares very favorably to the multi second and multi-time-constant response of previously reported PbS-nanocrystal photoconductive photodetectors.

Keywords: Quantum Dots
Photoconductor
Advisor: Sargent, Edward H.
Structural Breaks and Forecasting in Empirical Finance and Macroeconomics

This thesis consists of three essays in empirical finance and macroeconomics. The first essay proposes a new structural-break vector autoregressive model for predicting real output growth by the nominal yield curve. The model allows for the possibility of both in-sample and out-of-sample breaks in parameter values and uses information in historical regimes to make inference on out-of-sample breaks. A Bayesian estimation and forecasting procedure is developed which accounts for the uncertainty of both structural breaks and model parameters. I discuss dynamic consistency when forecasting recursively and provide a solution. Applied to monthly US data, I find strong evidence of breaks in the predictive relation between the yield curve and output growth. Incorporating the possibility of structural breaks improves out-of-sample forecasts of output growth. The second essay proposes a sequential Monte Carlo method for estimating GARCH models subject to an unknown number of structural breaks. We use particle filtering techniques that allow for fast and efficient updates of posterior quantities and forecasts in real-time. The method conveniently deals with the path dependence problem that arises in these type of models. The performance of the method is shown to work well using simulated data. Applied to daily NASDAQ returns, we find strong evidence of structural breaks in the long-run variance of returns. Models with flexible return distributions such as t-innovations or with jumps indicate fewer breaks than models with normal return innovations and are favored by the data. The third essay proposes a new tilt stochastic volatility model which extends the existing volatility models by modeling the asymmetric correlation between return and volatility innovations in a unified and flexible framework. The Efficient Importance Sampling (EIS) procedure is adapted to estimate the model. Simulation studies show that the Maximum Likelihood (ML)-EIS estimation of the model is accurate. The new model is applied to the CRSP daily returns. I find the extensions are significant and incorporating them improves the accuracy of volatility estimates.

Keywords: strucutral breaks
forecast
Advisor: Maheu, John
On Generalizations of Gowers Norms

Inspired by the definition of Gowers norms we study integrals of products of multivariate functions. The Lp norms, certain trace norms, and the Gowers norms are all defined by taking the proper root of one of these integrals. These integrals are important from a combinatorial point of view as inequalities between them are useful in understanding the relation between various subgraph densities. Lovász asked the following questions: (1) Which integrals correspond to norm functions? (2) What are the common properties of the corresponding normed spaces? We address these two questions. We show that such a formula is a norm if and only if it satisfies a Hölder type inequality. This condition turns out to be very useful: First we apply it to prove various necessary conditions on the structure of the integrals which correspond to norm functions. We also apply the condition to an important conjecture of Erdo&huml;s, Simonovits, and Sidorenko. Roughly speaking, the conjecture says that among all graphs with the same edge density, random graphs contain the least number of copies of every bipartite graph. This had been verified previously for trees, the 3-dimensional cube, and a few other families of bipartite graphs. The special case of the conjecture for paths, one of the simplest families of bipartite graphs, is equivalent to the Blakley-Roy theorem in linear algebra. Our results verify the conjecture for certain graphs including all hypercubes, one of the important classes of bipartite graphs, and thus generalize a result of Erdo&huml;s and Simonovits. In fact, for hypercubes we can prove statements that are surprisingly stronger than the assertion of the conjecture. To address the second question of Lovász we study these normed spaces from a geometric point of view, and determine their moduli of smoothness and convexity. These two parameters are among the most important invariants in Banach space theory. Our result in particular determines the moduli of smoothness and convexity of Gowers norms. In some cases we are able to prove the Hanner inequality, one of the strongest inequalities related to the concept of smoothness and convexity. We also prove a complex interpolation theorem for these normed spaces, and use this and the Hanner inequality to obtain various optimum results in terms of the constants involved in the definition of moduli of smoothness and convexity.

Keywords: combinatorics
Gowers norms
Advisor: Molloy, Michael
Face Routing with Guaranteed Message Delivery in Wireless Ad-hoc Networks

Face routing is a simple method for routing in wireless ad-hoc networks. It only uses location information about nodes to do routing and it provably guarantees message delivery in static connected plane graphs. However, a static connected plane graph is often difficult to obtain in a real wireless network. This thesis extends face routing to more realistic models of wireless ad-hoc networks. We present a new version of face routing that generalizes and simplifies previous face routing protocols and develop techniques to apply face routing directly on general, non-planar network graphs. We also develop techniques for face routing to deal with changes to the graph that occur during routing. Using these techniques, we create a collection of face routing protocols for a series of increasingly more general graph models and prove the correctness of these protocols.

Keywords: Wireless Ad-hoc Networks
Routing
Advisor: Ellen, Faith
Marbach, Peter
The Barbarian Past in Early Medieval Historical Narrative

This thesis presents a series of case studies of early medieval narratives about the non-Roman, non-biblical distant past. After an introduction that briefly outlines the context of Christian traditions of historiography in the same period, in chapter two, I examine the Gothic histories of Jordanes and Isidore, and show how they present different methods of reconciling notions of Gothic independence with the heritage of Rome. Chapter three looks at the Trojan origin narratives of the Franks in the Fredegar chronicle and the 'Liber historiae Francorum', and argues that this origin story, based on the model of the Roman foundation myth, was a means of making the Franks separate from Rome, but nevertheless comparable in the distinction of their origins. Chapter four studies Paul the Deacon’s 'Historia Langobardorum', and argues that although Paul drew more on oral sources than did the other histories examined, his text is equally not a record of ancient oral tradition, but presents a synthesis of a Roman, Christian, and of non-Roman and pagan or Arian heritages, and shows that there was actually little differentiation between them. Chapter five is an examination of 'Waltharius', a Latin epic drawing on Christian verse traditions, but also on oral vernacular traditions about the distant past; I suggest that it is evidence of the interpenetration between secular, oral, vernacular culture and ecclesiastical, written and Latin learning. 'Beowulf', the subject of chapter six, is similar evidence for such intercourse, though in this case to some extent in the other direction: while in 'Waltharius' Christian morality appears to have little of a role to play, in 'Beowulf' the distant past is explicitly problematised because it was pagan. In the final chapter, I examine the further evidence for oral vernacular secular historical traditions in the ninth and tenth centuries, and argue that the reason so little survives is because, when the distant past had no immediate political function—as origin narratives might—it was normally seen as suspect by the Church, which largely controlled the medium of writing.

Keywords: Early medieval history
Historiography
Old English
Heroic poetry
Latin literature
Germanic Languages and Literature
Advisor: Everett, Nicholas
Murray, Alexander
Orchard, Andy