5,875 research outputs found
The Disposition Effect and Momentum
Prior experimental and empirical research documents that many investors have a lower propensity to sell those stocks on which they have a capital loss. This behavioral phenomenon, known as 'the disposition effect,' has implications for equilibrium prices. We investigate the temporal pattern of stock prices in an equilibrium that aggregates the demand functions of both rational and disposition investors. The disposition effect creates a spread between a stock's fundamental value -- the stock price that would exist in the absence of a disposition effect -- and its market price. Even when a stock's fundamental value follows a random walk, and thus is unpredictable, its equilibrium price will tend to underreact to information. Spread convergence, arising from the random evolution of fundamental values, generates predictable equilibrium prices. This convergence implies that stocks with large past price runups and stocks on which most investors experienced capital gains have higher expected returns that those that have experienced large declines and capital losses. The profitability of a momentum strategy, which makes use of this spread, depends on the path of past stock prices. Crosssectional empirical tests of the model find that stocks with large aggregate unrealized capital gains tend to have higher expected returns than stocks with large aggregate unrealized capital losses and that this capital gains 'overhang' appears to be the key variable that generates the profitability of a momentum strategy. When this capital gains variable is used as a regressor along with past returns and volume to predict future returns, the momentum effect disappears.
Detection of radioactive material entering national ports: A Bayesian approach to radiation portal data
Given the potential for illicit nuclear material being used for terrorism,
most ports now inspect a large number of goods entering national borders for
radioactive cargo. The U.S. Department of Homeland Security is moving toward
one hundred percent inspection of all containers entering the U.S. at various
ports of entry for nuclear material. We propose a Bayesian classification
approach for the real-time data collected by the inline Polyvinyl Toluene
radiation portal monitors. We study the computational and asymptotic properties
of the proposed method and demonstrate its efficacy in simulations. Given data
available to the authorities, it should be feasible to implement this approach
in practice.Comment: Published in at http://dx.doi.org/10.1214/10-AOAS334 the Annals of
Applied Statistics (http://www.imstat.org/aoas/) by the Institute of
Mathematical Statistics (http://www.imstat.org
Promotion Tournaments and Capital Rationing
We analyze capital allocation in a conglomerate where divisional managers with uncertain abilities compete for promotion to CEO. A manager can sometimes gain by unobservably adding variance to divisional performance. Capital rationing can limit this distortion, increase productive efficiency, and allow the owner to make more accurate promotion decisions. Firms for which CEO talent is more important for firm performance are more likely to ration capital. A rationed manager is more likely to be promoted even though all managers are identical ex ante. When the tournament payoff is relatively small, offering an incentive wage can be more efficient than rationing capital; however, when tournament incentives are paramount, rationing is more efficient.
Novel Strategies in the Treatment of COPD:Focus on oxidative stress and a-kinase anchoring proteins
Chronic obstructive pulmonary disease (COPD) is characterized by airflow limitation and airway inflammation. Since the current medications are not always effective and fail to reduce the progression of COPD, studies for novel strategies are necessary. The objective of this thesis was to investigate possible targets for the treatments of COPD, with a focus on the involvement of A-kinase anchoring proteins (AKAPs) and oxidative stress. AKAPs enable compartmentalized cAMP signaling, which plays an important role in regulation of processes that are involved in the pathophysiology of COPD, such as airway smooth muscle (ASM) contraction and ASM proliferation.By interrupting AKAP-PKA interactions, the peptide st-Ht31 increased ASM contraction. This is likely caused by the fact the st-Ht31 increased the expression of contractile proteins, such as α-SMA and calponin on a post-transcriptional level, in a complex that presumably also involves proteasomes. Moreover, st-Ht31 increased proliferative markers, presumably by lowering the expression of AKAP8 which is known to regulate the cell cycle. Overproduction of reactive oxygen species (ROS) can induce oxidative stress, which is believed to play a central role in the pathophysiology of COPD. By directly neutralizing ROS, we found that the novel compound Sul-121 reduced activation of NF-κB, thereby preventing IL-8 release and subsequent airway neutrophilia in lipopolysaccharide (LPS)-treated guinea pigs as an animal model for COPD. Moreover, Sul-121 prevented LPS-induced airway hyperresponsiveness in this guinea pig model of COPD, presumably by inhibiting the LPS-induced lung inflammation. The studies described in this thesis by Bing Han highlight new insights in the pathophysiology of COPD that may lead to novel treatments for COPD
DETECTING CANCER-RELATED GENES AND GENE-GENE INTERACTIONS BY MACHINE LEARNING METHODS
To understand the underlying molecular mechanisms of cancer and therefore to improve pathogenesis, prevention, diagnosis and treatment of cancer, it is necessary to explore the activities of cancer-related genes and the interactions among these genes. In this dissertation, I use machine learning and computational methods to identify differential gene relations and detect gene-gene interactions. To identify gene pairs that have different relationships in normal versus cancer tissues, I develop an integrative method based on the bootstrapping K-S test to evaluate a large number of microarray datasets. The experimental results demonstrate that my method can find meaningful alterations in gene relations. For gene-gene interaction detection, I propose to use two Bayesian Network based methods: DASSO-MB (Detection of ASSOciations using Markov Blanket) and EpiBN (Epistatic interaction detection using Bayesian Network model) to address the two critical challenges: searching and scoring. DASSO-MB is based on the concept of Markov Blanket in Bayesian Networks. In EpiBN, I develop a new scoring function, which can reflect higher-order gene-gene interactions and detect the true number of disease markers, and apply a fast Branch-and-Bound (B&B) algorithm to learn the structure of Bayesian Network. Both DASSO-MB and EpiBN outperform some other commonly-used methods and are scalable to genome-wide data
Second Repeating FRB 180814.J0422+73: Ten-year Fermi-LAT Upper Limits and Implications
The second repeating fast radio burst source, FRB 180814.J0422+73, was detected recently by the CHIME collaboration. We use the ten-year Fermi Large Area Telescope archival data to place a flux upper limit in the energy range of 100 MeV−10 GeV at the position of the source, which is ~1.1 × 10−11 erg cm−2 s−1 for a six-month time bin on average, and ~2.4 × 10−12 erg cm−2 s−1 for the entire ten-year time span. For the maximum redshift of z = 0.11, the ten-year upper limit of luminosity is ~7.3 × 1043 erg s−1. We utilize these upper limits to constrain the fast radio burst (FRB) progenitor and central engine. For the rotation-powered young magnetar model, the upper limits can pose constraints on the allowed parameter space for the initial rotational period and surface magnetic field of the magnetar. We also place significant constraints on the kinetic energy of a relativistic external shock wave, ruling out the possibility that there existed a gamma-ray burst (GRB) beaming toward Earth during the past ten years as the progenitor of the repeater. The case of an off-beam GRB is also constrained if the viewing angle is not much greater than the jet opening angle. All of these constraints are more stringent if FRB 180814.J0422+73 is at a closer distance
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