Market Frictions and the Efficiency of Capital Allocation

The following dissertation contains two unique empirical studies that contribute to the overall literature in the field of Financial Economics in the areas of mutual fund investing and financial intermediation and regulation. The first Chapter, entitled “The Impact of Macroeconomic Stress on the U.S. Financial Sector”, examines the relative impact of macroeconomic stress on financial and non-financial U.S. firms. Empirical results show that macroeconomic shocks appear to have a larger impact on financial firms. Additionally, the sensitivity of financial firms to macroeconomic events can be traced to the influence of non-depository institutions, or “shadow banks”, like finance and investment companies, which are less regulated than depository institutions. The results coincide with several trends in the financial sector including increased competition, complexity and interconnectedness and highlight the need for governance mechanisms that account for the risks associated with these factors. The second chapter, entitled “Partial Adjustment Towards Equilibrium Mutual Fund Allocations: Evidence from U.S.-based Equity Mutual Funds”, examines the relative efficiency of equity mutual funds in terms of speed of portfolio adjustment by applying a partial adjustment model. Empirical results show that mutual fund managers are able and willing to quickly adjust their portfolios when results have been sub-optimal, implying that the cost of persistent poor performance is perceived as being high. Managers can offset about 106 percent of the deviation within one period. Additionally, results show that funds that typically engage in the costly production of specialized information, like emerging market and sector funds have more efficient speeds of portfolio adjustment than more passive funds, like market index funds. The results imply that actively managed funds may have efficiency advantages that have been previously ignored in the empirical literature

Market Frictions and the Efficiency of Capital Allocation

The following dissertation contains two unique empirical studies that contribute to the overall literature in the field of Financial Economics in the areas of mutual fund investing and financial intermediation and regulation. The first Chapter, entitled “The Impact of Macroeconomic Stress on the U.S. Financial Sector”, examines the relative impact of macroeconomic stress on financial and non-financial U.S. firms. Empirical results show that macroeconomic shocks appear to have a larger impact on financial firms. Additionally, the sensitivity of financial firms to macroeconomic events can be traced to the influence of non-depository institutions, or “shadow banks”, like finance and investment companies, which are less regulated than depository institutions. The results coincide with several trends in the financial sector including increased competition, complexity and interconnectedness and highlight the need for governance mechanisms that account for the risks associated with these factors. The second chapter, entitled “Partial Adjustment Towards Equilibrium Mutual Fund Allocations: Evidence from U.S.-based Equity Mutual Funds”, examines the relative efficiency of equity mutual funds in terms of speed of portfolio adjustment by applying a partial adjustment model. Empirical results show that mutual fund managers are able and willing to quickly adjust their portfolios when results have been sub-optimal, implying that the cost of persistent poor performance is perceived as being high. Managers can offset about 106 percent of the deviation within one period. Additionally, results show that funds that typically engage in the costly production of specialized information, like emerging market and sector funds have more efficient speeds of portfolio adjustment than more passive funds, like market index funds. The results imply that actively managed funds may have efficiency advantages that have been previously ignored in the empirical literature

Atmospheric refractivity effects on mid-infrared ELT adaptive optics

We discuss the effect of atmospheric dispersion on the performance of a mid-infrared adaptive optics assisted instrument on an extremely large telescope (ELT). Dispersion and atmospheric chromaticity is generally considered to be negligible in this wavelength regime. It is shown here, however, that with the much-reduced diffraction limit size on an ELT and the need for diffraction-limited performance, refractivity phenomena should be carefully considered in the design and operation of such an instrument. We include an overview of the theory of refractivity, and the influence of infrared resonances caused by the presence of water vapour and other constituents in the atmosphere. `Traditional' atmospheric dispersion is likely to cause a loss of Strehl only at the shortest wavelengths (L-band). A more likely source of error is the difference in wavelengths at which the wavefront is sensed and corrected, leading to pointing offsets between wavefront sensor and science instrument that evolve with time over a long exposure. Infrared radiation is also subject to additional turbulence caused by the presence of water vapour in the atmosphere not seen by visible wavefront sensors, whose effect is poorly understood. We make use of information obtained at radio wavelengths to make a first-order estimate of its effect on the performance of a mid-IR ground-based instrument. The calculations in this paper are performed using parameters from two different sites, one `standard good site' and one `high and dry site' to illustrate the importance of the choice of site for an ELT.Comment: 11 pages, to be published in SPIE Proceedings vol. 7015, Adaptive Optics Systems, eds. N. Hubin, C.E. Max and P.L. Wizinowich, 200

PYRAMIR: Calibration and operation of a pyramid near-infrared wavefront sensor

The concept of pyramid wavefront sensors (PWFS) has been around about a decade by now. However, there is still a great lack of characterizing measurements that allow the best operation of such a system under real life conditions at an astronomical telescope. In this article we, therefore, investigate the behavior and robustness of the pyramid infrared wavefront sensor PYRAMIR mounted at the 3.5 m telescope at the Calar Alto Observatory under the influence of different error sources both intrinsic to the sensor, and arising in the preceding optical system. The intrinsic errors include diffraction effects on the pyramid edges and detector read out noise. The external imperfections consist of a Gaussian profile in the intensity distribution in the pupil plane during calibration, the effect of an optically resolved reference source, and noncommon-path aberrations. We investigated the effect of three differently sized reference sources on the calibration of the PWFS. For the noncommon-path aberrations the quality of the response of the system is quantified in terms of modal cross talk and aliasing. We investigate the special behavior of the system regarding tip-tilt control. From our measurements we derive the method to optimize the calibration procedure and the setup of a PWFS adaptive optics (AO) system. We also calculate the total wavefront error arising from aliasing, modal cross talk, measurement error, and fitting error in order to optimize the number of calibrated modes for on-sky operations. These measurements result in a prediction of on-sky performance for various conditions

Preferences of diabetes patients and physicians: A feasibility study to identify the key indicators for appraisal of health care values

<p>Abstract</p> <p>Background</p> <p>Evidence-based medicine, the Institute of Medicine (IOM) and the German Institute for Quality and Efficiency in Health Care (IQWiG), support the inclusion of patients' preferences in health care decisions. In fact there are not many trials which include an assessment of patient's preferences. The aim of this study is to demonstrate that preferences of physicians and of patients can be assessed and that this information may be helpful for medical decision making.</p> <p>Method</p> <p>One of the established methods for assessment of preferences is the conjoint analysis. Conjoint analysis, in combination with a computer assisted telephone interview (CATI), was used to collect data from 827 diabetes patients and 60 physicians, which describe the preferences expressed as levels of four factors in the management and outcome of the disease. The first factor described the main treatment effect (reduction of elevated Hb_A1c, improved well-being, absence of side effects, and no limitations of daily life). The second factor described the effect on the body weight (gain, no change, reduction). The third factor analyzed the mode of application (linked to meals or flexible application). The fourth factor addressed the type of product (original brand or generic product). Utility values were scaled and normalized in a way that the sum of utility points across all levels is equal to the number of attributes (factors) times 100.</p> <p>Results</p> <p>The preference weights confirm that the reduction of body weight is at least as important for patients - especially obese patients - and physicians as the reduction of an elevated Hb_A1c. Original products were preferred by patients while general practitioners preferred generic products.</p> <p>Conclusion</p> <p>Using the example of diabetes, the difference between patients' and physicians' preferences can be assessed. The use of a conjoint analysis in combination with CATI seems to be an effective approach for generation of data which are needed for policy and medical decision making in health care.</p

Atmosphere-like turbulence generation with surface-etched phase-screens

We built and characterized an optical system that emulates the optical characteristics of an 8m-class telescope like the Very Large Telescope. The system contains rotating glass phase-screens to generate realistic atmosphere-like optical turbulence, as needed for testing multi-conjugate adaptive optics systems. In this paper we present an investigation of the statistical properties of two phase-screens etched on glass-plate surfaces, obtained from Silios Technologies. Those etched screens are highly transmissive (above 85%) from 0.45 to 2.5 microns. From direct imaging, their Fried parameter r0 values (0.43+-0.04 mm and 0.81+-0.03 mm, respectively, at 0.633 microns) agree with the expectation to within 10%. This is also confirmed by a comparison of measured and expected Zernike coefficient variances. Overall, we find that those screens are quite reproducible, allowing sub-millimetre r0 values, which were difficult to achieve in the past. We conclude that the telescope emulator and phase-screens form a powerful atmospheric turbulence generator allowing systematic testing of different kinds of AO instrumentation.Comment: 10 pages, 8 figures, 3 mpeg movies. Submitted to Optics Expres

Evidence for enhanced desorption of hydrogen atoms from a Si 100 surface induced by slow highly charged ions

We report evidence for an enhanced desorption of hydrogen atoms from a Si 100 surface bombarded by 30 keV Xeq q 6?22 ions. The measured desorption yield amounts to 0.76 and 2.2 hydrogen atoms per incident Xe10 and Xe18 ion, respectively. For understanding the behaviour of hydrogen desorption from Si, another experiment was carried out to see the hydrogen signals as a function of time for about 140 min after deliberately introducing hydrogen into the target chamber and then shut off the valve. The results are discussed in the light of potential sputtering which essentially dominates for ions at higher charge states and the interpretation is supported by theoretical estimates

Psychological sources of response effects in self-administered and telephone surveys

The impact of mode of data collection (self-administered questionnaire vs. telephone interview) on the emergence of response effects and the accuracy of recall from memory was explored in a cross-cultural experiment, conducted in the U.S. and the Federal Republic of Germany. As predicted on the basis of psychological considerations, question order effects were obtained under telephone interview conditions but not under self-administered conditions, where question order is eliminated by the opportunity to browse back and forth through the questionnaire. On the other hand, the impact of the content of related questions was more pronounced under self-administered than under telephone interview conditions, independent of the order in which they were presented. This reflects respondents' differential opportunity to elaborate on related questions under both administration modes, as well as the necessity to rely on the content of presumably related questions in determining the meaning of ambiguous questions under self-administered conditions. Finally, respondents' recall of the date of public events was more accurate under self-administered than under telephone interview conditions, reflecting the beneficial effect of having sufficient time to work on the recall task