Unraveling Dimensions

__Abstract__ An inspiring and intriguing book on dimensions is “Flatland - A Romancy of Many Dimensions” by Edwin A. Abbott. In this satirical novel, Abbott describes different dimensional worlds from the point of view of A. Square, who is living in the two-dimensionalworld called Flatland. The Square dreams about a visit to a one-dimensional world (Lineland) inhabited by Points. He attempts to convince them of the existence of a second dimension, but is unable to do so. When A. Square is visited by a Sphere (from Spaceland), he cannot comprehend this third dimension until he sees Spaceland for himself. After the Square’s mind is opened to new dimensions, he tries to convince the Sphere of the theoretical possibility of the existence of a fourth (and fifth, and sixth, . . .) spatial dimension, but the Sphere returns his student to Flatland in disgrace. The Square recognizes the identity of the ignorance of the inhabitants of Pointland and Lineland with his own (and the Sphere’s) previous ignorance of the existence of higher dimensions. The link between Flatland and this thesis is the concept of dimensions. Many dimensions exist in the world of financial markets, much more than we can comprehend as inhabitants of our three-dimensional world. As I will outline below, many dimensions in financial markets remain uninvestigated. The two that have the main focus in this thesis are the dimensions of liquidity in the equities market and the term-structure dimension in the commodities market. Both are not yet explored to their full extent. Besides this direct link there is another link between the book, Flatland, and this thesis. The essential message of the book is that we should “open our mind to new ideas”, which is very similar to the journey of a PhD student. We should explore fields that we have not done before and we should be receptive to things that baffle us at first thought. The goal of this thesis is to present frameworks that shed more light on the mentioned dimensions and to use the new findings and insights in ways that are relevant from both an academic and practical point of view. The thesis consists of two parts. In the first part liquidity is at the center stage, while in the second part we focus on the term structure dimension in commodity futures

Economic Valuation of Liquidity Timing

__Abstract__ This paper conducts a horse-race of different liquidity proxies using dynamic asset allocation strategies to evaluate the short-horizon predictive ability of liquidity on monthly stock returns. We assess the economic value of the out-of-sample power of empirical models based on different liquidity measures and find three key results: liquidity timing leads to tangible economic gains; a risk-averse investor will pay a high performance fee to switch from a dynamic portfolio strategy based on various liquidity measures to one that conditions on the Zeros measure (Lesmond, Ogden, and Trzcinka, 1999); the Zeros measure outperforms other liquidity measures because of its robustness in extreme market conditions. These findings are stable over time and robust to controlling for existing market return predictors or considering risk-adjusted returns

Turkish female immigrants intentions to participate in preconception carrier screening for hemoglobinopathies in the Netherlands: an empirical study.

Background: Preconception carrier screening for hemoglobinopathies (HbPs) is debated in the Netherlands. Objectives: Intentions to participate in preconception carrier screening for HbPs as well as informed reproductive options were assessed in 109 Turkish female immigrants. Method: Participants completed a structured questionnaire. Results: 83.5% of 109 Turkish female immigrants intended to participate in preconception carrier screening. Intention to participate was related to the desire to reduce uncertainty about having offspring affected by HbPs, but not with socio-demographic variables, risk-estimation and worrying. If the tests concerning carrier status for HbPs were confirmative for both partners, 36.3% (n = 33) of the women with the intention of preconception carrier screening would refrain from getting children of their own, including 14.3% (n = 13) opting for adoption, 37.4% (n = 34) would decide to become pregnant and to opt for prenatal testing on HbPs. Finally, among 37.4% of the women opting for prenatal testing, 30.3% (n = 10) would terminate an affected pregnancy, 18.2% (n = 6) not and 51.5% (n = 17) could not decide (1 missing value). Conclusion: A large majority of Turkish female immigrants would participate in preconception carrier screening for HbPs. Copyrigh