The Role of ETFs in Asset Pricing, Mutual Fund Performance, and Market Prediction

This thesis investigates the various roles that the information provided by Exchange Traded Funds (ETFs) could play in asset pricing and market prediction. The empirical analysis contains three parts: The first part extracts information from the US ETFs market and constructs explanatory returns to price the Fama-French portfolios. It aims to provide a parsimonious model (the ETF-factor model) that is able to compete with the five-factor model of Fama and French (2015) and the q-factor model of Hou, Xue, and Zhang (2015). The second part applies the ETF-factor model, along with other conventional pricing models, to measure US equity fund performance. In addition, it attempts to develop relative pricing models as passive benchmarks for measuring US fixed-income fund performance by using information from bond ETFs. The purpose of the third part is to develop a new measure of Chinese investor behaviour that has predictive power for the Chinese market by using the information provided by respective ETFs. The results suggest that ETFs deserve more attention in academic research. In line with conventional financial theory, ETFs’ market dramatically increases the investment universe and securitizes illiquid assets. It comes as no surprise that the risk factors developed from ETFs have explanatory power for a cross-section of stock returns. In addition, a proxy for the bond market can be developed from bond ETFs. This avoids the subjective selection of the bond index as a passive benchmark and can provide a unique pricing model for bonds. Furthermore, research on ETFs contributes to the behavioural finance literature. Investor sentiment is a very important concept in behavioural finance. This thesis finds evidence that the investor behaviour that uses information from ETFs explains and predicts the Chinese market. In addition, it could lead to a profitable high-frequency trading strategy in actual trading. Overall, this thesis researches ETFs from a new perspective. It does not view the ETFs as an investment vehicle but consider ETFs as a type of fundamental asset in the economy. The findings of this thesis contribute to the literature of asset pricing, behavioral finance, and market prediction, and identifies new areas for future research

Analysis of the Effect of Chinese Printing Communication on the Belt and Road Culture

The spread and development of Chinese printing has experienced three stages of spreading around China, Central Asia, West Asia and Europe, which has played an important role in promoting the development of the land and Maritime Silk Road. In fact, the spread of Chinese typography not only promoted the cultural prosperity of the Chinese cultural circle, but also made the Central Asian and Western Asian cultural circles become the hub of cultural exchange between China and the West, and promoted the development of Western modern history represented by the Renaissance. It provides important technical support for the formation of the “Belt and Road” cultural circle

Techno-economic analysis of levoglucosan production via fast pyrolysis of cotton straw in China

Pyrolysis of cotton straw is a promising technology because of the large variety of chemical species that can be produced. A more promising chemical-levoglucosan, is the subject of this study. The techno-economic feasibility of producing levoglucosan via fast pyrolysis and extraction was evaluated by modeling a 200,000 dry ton cotton straw/year facility. Experimental and modeling data were gathered from recent publications and used for analysis. For the modeled feedstock handling capacity, the results indicated that levoglucosan production could reach around 18,000 ton/year. The estimated levoglucosan production cost, including byproduct credits, was $3.3 per kg. Additionally, sensitivity analysis was performed to determine the effect of variability in different system parameters on the levoglucosan production cost