Correlation Effects in a One-Dimensional Quarter-Filled Electron System with Repulsive Interactions

A one-dimensional electron system at quarter-filling has been examined by applying the renormalization group method to a bosonized model with on-site (U) and nearest-neighbor (V) repulsive interactions. By evaluating both normal scattering and Umklapp scattering perturbatively, we obtain a phase diagram in which a metallic state with a 2k_F spin density wave (k_F is the Fermi wave number) moves into an insulating state with charge disproportionation of a 4k_F charge density wave with an increase in both U and V. The effect of the next-nearest-neighbor repulsion is also discussed.Comment: 4 pages, 2 figures, to be published in J. Phys. Soc. Jpn. 69 (2000) No.

Essays on Asset Pricing under Market Frictions

PhDThis thesis comprises three studies on asset pricing under market frictions. In Chapter One, I derive a model-free formula to estimate the contribution of frictions to expected returns (CFER) within a formal asset pricing setting. I show that properly scaled deviations from put-call parity reliably estimate CFER. The estimated CFER is sizable, it predicts stock returns and it has superior properties than previously proposed measures of deviations from put-call parity. I nd that its predictive power stems from capturing the e ect of market frictions, rather than from omitted factors and informed option trading. My ndings suggest that market frictions, especially transaction costs, have a sizable e ect even on large optionable stocks. In Chapter Two, I study the e ect of CFER on the risk-neutral expected asset return and the return predictive ability of the risk-neutral skewness (RNS). I show that a non-zero CFER is equivalent to the violation of the martingale restriction (MR), that is, the deviation of the risk-neutral expected return from the risk-free rate. I theoretically and empirically show that Bakshi et al.'s (2003) formula for RNS incurs a bias when the underlying asset violates MR. I document that the ability of RNS to predict stock returns stems from its estimation bias due to the violation of MR, implying that its predictability is driven by the presence of market frictions. In Chapter Three, I examine the mean-variance portfolio strategy, which uses the estimated CFER as the mean stock return input. This CFER-based strategy outperforms various strategies including the equally-weighted portfolio, minimum variance portfolios and existing option-based portfolio strategies, especially when constraints on portfolio weights are imposed. My empirical results complement Jagannathan and Ma's (2002, 2003) theoretical nding that constraints on portfolio weights help to improve the performance of mean-variance portfolio by mitigating measurement errors in the expected stock returns.Bank of Japa

On the func­tion of the Megakaryocyte (Motility, Separation of the Platelet and Phagocytosis), Observations Both in Idiopathic Thrombo-cytopenic Purpura and in Normal Adult

The idiopathic thrombocytopenic purpura was described by Werlhof as an independent disease first in 1738. Kaznelson reported the excellent effect of splenectomy for its chronic type in 1915. For the genesis of its thrombocytopenia, there have been many theories to be concluded into the followings, 1) the development of an auto-immune mechanism resulting in platelet destruction, 2) increased platelet destruction in the spleen, 3) the inhibition of platelet production from the marrow megakaryocytes by a humoral factor produced in the spleen, 4) both increased destruction and decreased production of the platelet. Among the above four theories, the third one is the most popular in the chronic type.</p

Effects of Next-Nearest-Neighbor Repulsion on One-Dimensional Quarter-Filled Electron Systems

We examine effects of the next-nearest-neighbor repulsion on electronic states of a one-dimensional interacting electron system which consists of quarter-filled band and interactions of on-site and nearest-neighbor repulsion. We derive the effective Hamiltonian for the electrons around wave number \pm \kf (\kf: Fermi wave number) and apply the renormalization group method to the bosonized Hamiltonian. It is shown that the next-nearest-neighbor repulsion makes 4\kf-charge ordering unstable and suppresses the spin fluctuation. Further the excitation gaps and spin susceptibility are also evaluated.Comment: 19 pages, 8 figures, submitted to J. Phys. Soc. Jp

Coexisting orders in the quarter-filled Hubbard chain with elastic deformations

The electronic properties of the quarter-filled extended Peierls-Holstein-Hubbard model that includes lattice distortions and molecular deformations are investigated theoretically using the bosonization approach. We predict the existence of a wide variety of charge-elastic phases depending of the values of the Peierls and Holstein couplings. We include the effect of the Peierls deformation in the nearest-neighbor repulsion V, that may be present in real materials where Coulomb interactions depend strongly on the distance, and we show that the phase diagram changes substantially for large V when this term is taken into account.Comment: 6 pages, 3 figure