Essays in Asset Pricing.

This work consists of three essays that investigate the effect of investor behavior on asset prices. In the first essay, titled “Transaction Costs and Investment Decisions of Individual Investors,” I study the liquidity decisions of 66,000 households from a large discount brokerage. My paper provides an empirical link between investors’ optimal trading decisions and the liquidity premium observed in the market. In particular, I show that transaction costs are an important determinant of investors’ holding periods which determine how transaction costs are amortized and priced in asset returns. I also show that there is correlation in the demand for liquid assets across households, and consistent with the notion of flight to liquidity, this demand increases during times of low market liquidity. The second essay, “Is there a Distress Risk Anomaly? Bond Spreads as a Proxy for Default Risk,” investigates the pricing of default risk in stock returns. The results show that credit spreads predict corporate defaults better than previously used measures, such as, bond ratings, accounting variables and structural model parameters. Contrary to previous findings, using corporate credit spreads to proxy for default risk, this study finds no significant pricing of default risk in the cross-section of equity returns. The final essay, “Affect in a Behavioral Asset Pricing Model”, investigates the role of psychological heuristic Affect in asset pricing. The paper outlines a behavioral asset pricing model where expected returns are high when objective risk is high and also when subjective risk is high. High subjective risk comes with negative affect. Investors prefer stocks with positive affect and their preference boosts the prices of such stocks and depresses their returns. Empirical support for the model is provided by studying the preferences of investors as reflected in surveys conducted by Fortune magazine during 1983- 2006. The returns of admired stocks, those highly rated by the Fortune respondents, were lower than the returns of despised stocks, those rated low. This is consistent with the hypothesis that stocks with negative affect have high subjective risk and their extra returns compensate for that risk.Ph.D.Business AdministrationUniversity of Michigan, Horace H. Rackham School of Graduate Studieshttp://deepblue.lib.umich.edu/bitstream/2027.42/75892/1/danginer_1.pd

Università della Svizzera italiana Faculty of Informatics Adaptive Routing in Ad Hoc Wireless Multi-hop Networks

by the Future & Emerging Technologies unit of the European Commission through project “BISON: Biology-Inspired techniques for Self Organization in dynamic Networks ” (IST-2001-38923) an

Post-Cracking Characteristics of High Performance Fiber Reinforced Cementitious Composites.

The application of high performance fiber reinforced cement composites (HPFRCC) in structural systems depends primarily on the material’s tensile response, which is a direct function of fiber and matrix characteristics, the bond between them, and the fiber content or volume fraction. The objective of this dissertation is to evaluate and model the post-cracking behavior of HPFRCC. In particular, it focused on the influential parameters controlling tensile behavior and the variability associated with them. The key parameters considered include: the stress and strain at first cracking, the stress and strain at maximum post-cracking, the shape of the stress-strain or stress-elongation response, the multiple cracking process, the shape of the resistance curve after crack localization, the energy associated with the multiple cracking process, and the stress versus crack opening response of a single crack. Both steel fibers and polymeric fibers, perceived to have the greatest potential for current commercial applications, are considered. The main variables covered include fiber type (Torex, Hooked, PVA, and Spectra) and fiber volume fraction (ranging from 0.75% to 2.0%). An extensive experimental program is carried out using direct tensile tests and stress-versus crack opening displacement tests on notched tensile prisms. The key experimental results were analysed and modeled using simple prediction equations which, combined with a composite mechanics approach, allowed for predicting schematic simplified stress-strain and stress-displacement response curves for use in structural modeling. The experimental data show that specimens reinforced with Torex fibers performs best, follows by Hooked and Spectra fibers, then PVA fibers. Significant variability in key parameters was observed througout suggesting that variability must be studied further.. The new information obtained can be used as input for material models for finite element analysis and can provide greater confidence in using the HPFRC composites in structural applications. It also provides a good foundation to integrate these composites in conventional structural analysis and design.Ph.D.Civil EngineeringUniversity of Michigan, Horace H. Rackham School of Graduate Studieshttp://deepblue.lib.umich.edu/bitstream/2027.42/62327/1/supatws_1.pd

Research Excellence Framework (REF) 2021 enhanced submissions dataset

An enhanced version of the public REF 2021 submissions dataset, produced by Jisc, which contains metadata for all outputs submitted to the exercise. Metadata has been cleaned and new fields have been added to increase the potential for analytical purposes, e.g. by identifying where the publisher exists as an imprint of a larger parent company. For its own analytical purposes, Jisc focused on long-form output types (books and parts of books), but cleaning measures were performed on the entire dataset, uploaded here

Research Excellence Framework (REF) 2021 enhanced submissions dataset

An enhanced version of the public REF 2021 submissions dataset, produced by Jisc, which contains metadata for all outputs submitted to the exercise. Metadata has been cleaned and new fields have been added to increase the potential for analytical purposes, e.g. by identifying where the publisher exists as an imprint of a larger parent company. For its own analytical purposes, Jisc focused on long-form output types (books and parts of books), but cleaning measures were performed on the entire dataset, uploaded here