Essays on empirical asset pricing

My thesis consists of three papers on empirical asset pricing. The first two papers explore the ways through which mutual fund companies impact the market. The last one explores a strategic behavior of firms toward investors. In my first paper, I examine the price impact of portfolio balancing by professional investment managers. I find that asset managers tend to rebalance their portfolios seasonally, adjusting around the earnings announcement periods of the underlying, and in turn causing fluctuations in the cross section of assets beyond those documented in the literature. The asset management industry trades more with outside market participants during the earnings season than the rest of the quarter. Consequently, these trades have price impact and generate a seasonal variation in Momentum returns across the cross section of equities. The second paper explores the intermediation of profits by asset managers to investors. Asset managers distribute capital gains and dividends at fixed dates even though the accrual of gains and dividends occur throughout the year. I exploit this staggered nature of capital distribution in asset intermediation to study the influence of institutional money management on asset prices. These results indicate that institutional structures contribute to the daily variation of stock market returns and that manager preference has significant impact over the co-movement of his managed assets. My third paper is joint work with Dong Lou and Lauren Cohen. We explore a mechanism through which investors take correlated shortcuts, and present strong evidence that firm managers undertake actions in response to these shortcuts. Specifically, we exploit a regulatory provision governing firm classification into industries, wherein a firm’s primary industry is determined by the segment with the highest sales. We find that investors overly rely on this classification: Firms just above the industry classification cutoff have significantly higher betas with respect to that industry

EQUIVALENT THICKNESS COEFFICIENT OF COLD CENTRAL PLANT RECYCLING PAVEMENT STRUCTURE

        This research focuses on the equivalent relationship between cold central plant recycling mixture and hot mix asphalt. In this paper, the pavement surface condition index (PCI) was calculated by the road surface conditions investigating, which was used as the evaluation standard. The unreasonable data were removed by SPSS software. The existing decay equation of pavement performance was simplified by MATLAB, and optimized by the Marquardt and global optimization methods. The survey data were fitted nonlinearly by 1stOpt software. Ultimately, the multivariate nonlinear regression optimization equation of the equivalent thickness coefficient was established. The results show that the cold central plant recycling with the emulsified asphalt (CREA) pavement equivalent thickness coefficient is 0.587. The cold central plant recycling with the foamed asphalt (CRFA) pavement equivalent thickness coefficient is 0.632. In addition, the performance of 10 cm cold central plant recycling pavement is equivalent to 6 cm the traditional hot mix asphalt pavement. The dispersion of the CREA is greater than that of the CRFA significantly

Production, processing and assembly of carbon nanotubes

This dissertation reports the development of a method to achieve continuous production of carbon nanotubes. The as produced carbon nanotubes were purified and further processed to tune their properties. Then dielectrophoresis as a versatile technique was used to manipulate and assemble carbon nanotubes into functional structures. In the processing part, purified carbon nanotubes are treated with strong acid then annealed at different temperatures. Combined TEM and NMR studies show that tips of SWNTs in bulk quantities can be uniformly opened by oxidation and closed by vacuum annealing at a surprisingly low temperature. The results provide a guideline on how the SWNTs should be processed for potential energy storage applications. In the assembly part, first, the results of a systematic study on the interactions of CNTs suspended in media of various viscosities and ionic conductivities with an AC field of different frequencies were reported. Then the feasibility of utilizing the dielectrophoresis for controlled assembling of functional CNT structures was explored. Finally, the automated process of assembling CNT fibrils unto sharp probes was realized and a precise control over the process was especially studied

Experimental study on natural vibration frequency identification of hydraulic concrete structure using concrete piezoceramic smart module

The identification of structural modal parameter is an important link in the dynamics monitoring and diagnosis for the structural health. The passive monitoring mode of piezoceramic is used to solve the natural vibration frequency identification problem of hydraulic concrete structure. Based on self-made concrete piezoelectric smart module (CPSM), a system is developed to obtain the modal parameters of hydraulic concrete structure. The CPSM is regarded as a sensor to monitor passively the structural natural vibration frequency. The method and process are proposed to identify the natural vibration frequency of hydraulic concrete structure. Based on the physical model and numerical simulation model, the rationality and feasibility of the proposed method are verified

Heat and Mass Transfer in Outward Convex Corrugated Tube Heat Exchangers

Heat and mass transfer in outward convex corrugated tube heat exchangers is of significant importance for the optimization, fabrication, and application of outward convex corrugated tube heat exchangers. This chapter gives a deep investigation of the heat and mass transfer in outward convex corrugated tube heat exchangers. Based on the experimental setup developed, the performances of a novel outward convex corrugated tube heat exchanger are presented. Simulation methods are then used to detail the heat and mass transfer at tube side and shell side of the outward convex corrugated tube heat exchanger, and these include the flow structure, temperature distribution, and turbulence kinetic energy. Heat and mass transfer enhancements of the outward convex corrugated tube heat exchanger are also studied, and they are from tube side, shell side, and overall system aspects. Finally, multi-objective optimization of the outward convex corrugated tube heat exchanger is conducted to obtain the optimal performances through using Response Surface Methodology (RSM) and Non-dominated Sorting Genetic Algorithm (NSGA-II). Main conclusions and future outlook are then briefly stated and summarized. We firmly believe that the contents presented in this chapter can not only enrich the knowledge of heat exchangers but also develop methods for studying heat exchangers