Bringing the Visible Universe into Focus with Robo-AO

The angular resolution of ground-based optical telescopes is limited by the degrading effects of the turbulent atmosphere. In the absence of an atmosphere, the angular resolution of a typical telescope is limited only by diffraction, i.e., the wavelength of interest, λ, divided by the size of its primary mirror's aperture, D. For example, the Hubble Space Telescope (HST), with a 2.4-m primary mirror, has an angular resolution at visible wavelengths of ~0.04 arc seconds. The atmosphere is composed of air at slightly different temperatures, and therefore different indices of refraction, constantly mixing. Light waves are bent as they pass through the inhomogeneous atmosphere. When a telescope on the ground focuses these light waves, instantaneous images appear fragmented, changing as a function of time. As a result, long-exposure images acquired using ground-based telescopes - even telescopes with four times the diameter of HST - appear blurry and have an angular resolution of roughly 0.5 to 1.5 arc seconds at best. Astronomical adaptive-optics systems compensate for the effects of atmospheric turbulence. First, the shape of the incoming non-planar wave is determined using measurements of a nearby bright star by a wavefront sensor. Next, an element in the optical system, such as a deformable mirror, is commanded to correct the shape of the incoming light wave. Additional corrections are made at a rate sufficient to keep up with the dynamically changing atmosphere through which the telescope looks, ultimately producing diffraction-limited images. The fidelity of the wavefront sensor measurement is based upon how well the incoming light is spatially and temporally sampled. Finer sampling requires brighter reference objects. While the brightest stars can serve as reference objects for imaging targets from several to tens of arc seconds away in the best conditions, most interesting astronomical targets do not have sufficiently bright stars nearby. One solution is to focus a high-power laser beam in the direction of the astronomical target to create an artificial reference of known shape, also known as a 'laser guide star'. The Robo-AO laser adaptive optics system employs a 10-W ultraviolet laser focused at a distance of 10 km to generate a laser guide star. Wavefront sensor measurements of the laser guide star drive the adaptive optics correction resulting in diffraction-limited images that have an angular resolution of ~0.1 arc seconds on a 1.5-m telescope

Multiple agency perspective, family control, and private information abuse in an emerging economy

Using a comprehensive sample of listed companies in Hong Kong this paper investigates how family control affects private information abuses and firm performance in emerging economies. We combine research on stock market microstructure with more recent studies of multiple agency perspectives and argue that family ownership and control over the board increases the risk of private information abuse. This, in turn, has a negative impact on stock market performance. Family control is associated with an incentive to distort information disclosure to minority shareholders and obtain private benefits of control. However, the multiple agency roles of controlling families may have different governance properties in terms of investors’ perceptions of private information abuse. These findings contribute to our understanding of the conflicting evidence on the governance role of family control within a multiple agency perspectiv

Information diffusion in the U.S. real estate investment trust market

This study examines the information diffusion process in the U.S. Real Estate Investment Trust (REIT) market with a focus on the impacts of changing market environments, information supply, and information demand on the lead-lag effect. The results suggest that a significant lead-lag relationship exists between the lagged returns of big REITs and the current returns of small REITs. This relationship has slightly decreased along with policy and environment changes that occurred in the U.S. REIT market during the study period from 1986 to 2012, while still remaining significant in the most recent REIT market. The process of information diffusion is becoming unstable in recent years and the reverse lead-lag effect from small REITs to big REITs is observed especially when REIT market liquidity and return volatility are high. The lead-lag effect among REITs is driven largely by slow adjustment to negative information, which is magnified by a lack of information supply, especially as demand for such information increases. Finally, information flow from REITs with more media coverage to those with less media coverage becomes even more sluggish than the information flow from big REITs to small REITs

Monetary Policy and its Impact on Stock Market Liquidity: Evidence from the Euro Zone

The recent financial crisis has been characterized by unprecedented monetary policy interventions of central banks with the intention to stabilize financial markets and the real economy. This paper sheds light on the actual impact of monetary policy on stock liquidity and thereby addresses its role as a determinant of commonality in liquidity. To capture effects both at the micro and macro level of stock markets, we apply panel estimations and vector autoregressive models. Our results suggest that an expansionary monetary policy of the European Central Bank leads to an increase of stock market liquidity in the German, French and Italian markets. These findings are robust for seven proxies of liquidity and two measures of monetary policy

Momentum meets value investing in a small European market

In this paper, we investigate two prominent market anomalies documented in the finance literature – the momentum effect and value-growth effect. We conduct an out- of-sample test to the link between these two anomalies recurring to a sample of Portuguese stocks during the period 1988–2015. We find that the momentum of value and growth stocks is significantly different: growth stocks exhibit a much larger momentum than value stocks. A combined value and momentum strategy can generate statistically significant excess annual returns of 10.8%. These findings persist across several holding periods up to a year. Moreover, we show that macroeconomic variables fail to explain value and momentum of individual and combined returns. Collectively, our results contradict market efficiency at the weak form and pose a challenge to existing asset pricing theories.info:eu-repo/semantics/publishedVersio

Transaction Costs, Liquidity and Expected Returns at the Berlin Stock Exchange, 1892-1913

We estimate effective spreads and round-trip transaction costs at the Berlin Stock Exchange for the period 1892-1913 using daily stock market returns for a sample of 27 stocks. Our results show that transaction costs at the main stock exchange in a bank-based financial system at the turn of the 20th century were quite low and about comparable to transaction costs in modern markets. Nonetheless, transaction costs varied substantially over time and across securities, whereby the cross-sectional variation could be substantially explained by firm size and time variation by crises. Furthermore, we find surprising evidence that transaction costs decrease the expected excess returns. Thereby size and momentum premia are of expected signs while market beta has no significant influence on the cross-sectional return variation