ESSAYS ON MISSPECIFICATION IN HIGH DIMENSIONAL ECONOMETRICS AND ASSET PRICING

This dissertation examines misspecification issues in two contexts: (i) signal (or equivalently factor) detection in high-dimensional factor models and (ii) the identification of the physical probability distribution of stock returns in the asset pricing literature. The first essay revisits the panel information criteria (IC) proposed by Bai and Ng (2002), which is a popular estimator for the number of factors in high-dimensional factor models, and studies its over-detection risk in finite samples. First, we analyze the finite sample performance of IC by computing the over-detection probability bound. In particular, we specify the asymptotic over-detection condition of IC in terms of eigenvalues coming from pure noise and then derive the computable formula for a non-asymptotic upper bound on the overestimation probability by adopting random matrix theory. We show that unless the sample size is sufficiently large, the overestimation probability is not negligible even for the case in which factors have strong explanatory power. Second, we show that for small sample sizes the over-detection risk of IC is significantly reduced by the degrees of freedom adjustment in the penalty of the original criteria. Finally, we propose modified information criteria (MIC) as a practical guide to improving the finite sample performance of IC. Simulations show that our MIC outperforms IC for the case with weakly serially or cross-sectionally correlated errors as well as i.i.d. errors. The second essay examines the misdetection risk of the panel information criteria (IC) proposed by Bai and Ng (2002) for detecting the number of factors in high-dimensional factor models and examines the optimal penalty to minimize an upper bound on the misdetection probability of the IC estimator in finite samples. This study extends the first chapter, which analyzed the finite sample performance of the IC estimator regarding its over-detection risk, to the comprehensive misdetection risk considering under-detection risk as well. We derive the computable formula for a non-asymptotic upper bound on the misdetection probability by employing recent results from random matrix theory. Using the formula, we analyze the misdetection risk of the IC estimator and achieve the minimum upper bound of the misdetection probability by finding the optimal weight for the penalty function. Our numerical examples suggest that modified criteria with the optimized penalization improve the finite sample performance of the original IC estimator. In my third essay, we revisit the Recovery theorem on the identification of the physical probability distribution of stock returns, proposed by Ross (2015). First, its applicability in fixed-income markets is considered. We suggest a new procedure for applying the Recovery theorem to the Gaussian affine term structure. As a result, we can recover a particular probability distribution and decompose forward rates into the investors\u27 short-rate expectations and term premia under this recovered probability measure. Next, the reliability of the Recovery theorem is examined. In particular, we study its misspecification issue in line with the claim of misspecified recovery by Borovička, Hansen, and Scheinkman (2015). Our empirical result verifies that what Ross really recovers is not the physical probability but the long-term risk-neutral probability which absorbs compensation for exposure to permanent shocks. In consequence, we can decompose forward term premia into nearly constant short-term risk premia associated with transitory shocks and highly volatile long-term risk premia corresponding to permanent shocks. Finally, we find that a secular decline in forward rates is mostly attributed to investors\u27 short-rate expectations under the long-term risk-neutral probability measure, and all important variations in term premia can be captured by long-term risk premia. Concisely, long-term risk matters for asset pricing

Algorithmic Trading and Directors’ Learning from Stock Prices: Evidence from CEO Turnover Decisions

We examine the effect of algorithmic trading (AT) on directors’ learning from stock prices. We find that the sensitivity of forced CEO turnover to stock returns decreases with AT. We mitigate correlated omitted variable bias by using the 2016 Tick Size Pilot Program as an exogenous shock to AT. In cross-sectional analyses, we document that the negative effect of AT is more pronounced for growth firms, firms with greater exposure to macroeconomic factors, and firms with a geographically dispersed investor base, where the information that AT crowds out is more likely to be new to directors. We also find that the effect is stronger when directors’ expertise likely allows them to extract decision-relevant information from prices and when the directors’ own information set is poor. Overall, our findings suggest that stock prices aggregate information about CEO performance and CEO-firm match, which is otherwise unavailable to directors, and that directors incorporate this information into their CEO turnover decisions

Guidewire insertion into the vertebral vein during right internal jugular vein central venous catheterization -A rare case report-

Background Internal jugular veins are the most frequently accessed site for central venous catheterization in patient management, whereas complications involving vertebral veins are a rare occurrence. Case A 73-year-old male suspected to have a urothelial carcinoma was scheduled for elective left nephroureterectomy. During central venous catheterization using the anatomic landmark technique to target the internal jugular vein, a guidewire is inadvertently inserted into the suspected vertebral vein. Following the correction of the catheterization, a radiologist reviewed the preoperative enhanced computed tomography and confirmed that the initially punctured vessel was the vertebral vein. On the third day after surgery, the central venous catheter was removed, and the patient did not exhibit any complications, such as bleeding, swelling, and neurological symptoms. Conclusions The use of ultrasonography during central venous catheterization is recommended to evaluate the anatomy of the puncture site and prevent misinsertion of the catheter, which can lead to several complications

Effects of driving style and bedding in pigs transported to slaughterhouse in different temperatures

Animal welfare during transport became an largely issue because of increasing demand for improved animal welfare standards. Most studies on the animal welfare during transportation have concentrated on the atmosphere and the temperature of the truck compartments. Thus, the objective of study was to collect and quantify three axis acceleration and determine the effect of bedding for transporting pigs from farm to slaughterhouse. A total of 2,840 crossbred fattening pigs with a live weight of approximately 115 kg were used. They were raised in the same commercial farms and transported to the same commercial slaughterhouse. A 3×2×2 completely randomized factorial design was used to investigate effects of rubber type bedding (bedding or non-bedding) and two levels of driving style (aggressive or normal) in three different time periods with different outside temperatures. Air temperature treatments were as follow: high temperature ([HT] higher than 24°C); low temperature ([LT] lower than 10°C); normal temperature ([NT] 10°C to 24°C). In our experiment, pigs transported under aggressive driving style showed lower (p < 0.05) pH and water holding capacity (WHC) than those transported under normal driving style. Pigs transported under normal driving style showed a lower percentage of drip loss (DL) (p < 0.05) than those transported with an aggressive driving style. Also, transported with bedding showed higher (p < 0.05) lying behavior but lower (p < 0.05) sitting behavior than those transported without bedding. Pigs transported under normal driving style showed lower (p < 0.05) cortisol level than those transported under aggressive driving style. In conclusion, aggressive driving style cause acute stress in pigs, while bedding helps alleviate acute stress in pigs during transportation in LT

Quantum teleportation via a W state

We investigate two schemes of the quantum teleportation with a $W$ state, which belongs to a different class from a Greenberger-Horne-Zeilinger class. In the first scheme, the $W$ state is shared by three parties one of whom, called a sender, performs a Bell measurement. It is shown that quantum information of an unknown state is split between two parties and recovered with a certain probability. In the second scheme, a sender takes two particles of the $W$ state and performs positive operator valued measurements in two ways. For two schemes, we calculate the success probability and the average fidelity. We show that the average fidelity of the second scheme cannot exceed that of the first one.Comment: 7 pages, 1 figur

Development of a Cost-Effective 20K Hydrogen BET Measurement for Nanoporous Materials

With the matters of climate change, energy security and resource depletion, a growing pressure exists to search for replacements for fossil fuels. Among various sustainable energy sources, hydrogen is thought of as a clean energy, and thus efficient hydrogen storage is a major issue. In order to realize efficient and safe hydrogen storage, various porous materials are being explored as solid-states materials for hydrogen storage. For those purposes, it is a prerequisite to characterize a material's textural properties to evaluate its hydrogen storage performance. In general, the textural properties of porous materials are analyzed by the Brunauer-Emmett-Teller (BET) measurement using nitrogen gas as a probe molecule. However, nitrogen BET analysis is sometimes not suitable for materials possessing small pores and surfaces with high curvatures like MOFs because the nitrogen molecule may sometimes be too large to reach the entire porous framework, resulting in an erroneous value. Hence, a smaller probe molecule for BET measurements (such as hydrogen) may be required. In this study, we describe a cost-effective novel cryostat for BET measurement that can reach temperatures below the liquefaction of hydrogen gas. Temperature and cold volume of the cryostat are corrected, and all measurements are validated using a commercial device. In this way, direct observation of the hydrogen adsorption properties is possible, which can translate directly into the determination of textural properties. ?? Materials Research Society of Korea

Automated cold volume calibration of temperature variation in cryogenic hydrogen isotope sorption isotherm

The gas adsorption isotherm requires accurate measurement for the analysis of porous materials which is used as an index of surface area, pore distribution, adsorption amount of gas. Basically, adsorption isotherms of porous materials were measured conventionally at 77K and 87K using liquid nitrogen and liquid argon. The cold volume calibration in such conventional way was simply done by splitting into two zone (cold and worm volume) through controlling level sensor in Dewar filled with liquid nitrogen or argon. As a result, the BET measurement for textural properties is mainly limited to the N2 or Ar gas. In order to investigate the other gases at various temperature independently, a novel temperature control system for sample cell is required, and consequently the cold volume calibration at various temperature become more important. In this study, the cryocooler system is newly installed in commercial BET device for controlling the sample cell temperature, the automated cold volume calibration of temperature variation for various gases (e.g. hydrogen isotopes) is introduced. This developed calibration method presents reliability and reproducibility of the cryogenic measurements of hydrogen isotope separation in porous materials, and also provide the large flexibility for performing various other gases with temperature

Facile tool for green synthesis of graphene sheets and their smart free-standing UV protective film

Green, cost-effective and scalable method was developed for synthesis of graphene sheets from sugar beet leaves. Considerable graphene sheets were synthesized through drying, and carbonization of sugar beet leaves then, exfoliation from the obtained graphite flakes using ultrasonication in presence of polyvinyl alcohol (PVA). High quality less defected and large dimensions graphene sheets of 50% yield were obtained. The mass ratios of PVA and their effect on exfoliation were studied. Free-standing transparent graphene sheets thin film was developed of an average thickness of 136 mu m. The transparent free-standing graphene sheets thin film transparent to visible rays and blocked harmful UV rays by similar to 70% which is among the highest reported value for UV protective thin film. To the best of our knowledge this the first time of free-standing transparent graphene sheets film prepared from renewable source and used as UV filter. This work will open new avenues for using renewable and costeffective UV protective materials and filters

Exploitation of surface heterogeneity and textural properties in nanoporous carbon fabrics for efficient iodine capture

With rising concerns of the nuclear waste, there has been a quest to find an adsorbent material capable of separating and storing radioactive iodine originated from the nuclear power plant. Herein, we are reporting the nitrogen-enriched nanoporous carbon fabric synthesized by consecutive carbonization and chemical activation methods for the iodine adsorption and storage under nuclear fuel processing condition. The specific surface area of synthesized nanoporous carbon fabric was estimated to be 29 m(2) g(-1) , and after chemical activation it increased to 1911 m(2) g(-1). This increase in specific surface area led to high iodine adsorption capacity of 240 wt.% for chemically activated nanoporous carbon fabric while prior to chemical activation its iodine capture capacity was 102 wt.% at 75 degrees C and atmospheric pressure (nuclear fuel processing condition). The pore size and surface functionality played dominant role in iodine adsorption along with the surface area. The appreciable iodine uptake for the sample without chemical activation may be mainly attributed to its higher nitrogen content

Chemical affinity-assisted H-2 isotope separation using Ca-rich onion-peel-derived nanoporous carbon composite

Stable isotopes of hydrogen are a prerequisite for many industrial and scientific applications and require their ready supply on a large scale. Herein, we explore the chemical affinity-assisted separation of D-2 from a hydrogen isotopic mixture using calcium-rich porous carbon derived from onion peel. A sustainable physical activation using CO2 of onion-peel-derived carbon led to nanoporous carbon formation with a specific surface area of 433 m(2) g(-1) and a total pore volume of 0.27 cm(3) g(-1) along with a calcium composition of 17 wt% without using any calcium precursor. Calcium increases the chemical affinity of synthesized materials towards D-2, evidenced by the observation of a higher uptake for D-2 than H-2 in gas sorption and thermal desorption spectroscopy studies. Additionally, a promising D-2/H-2 selectivity of 5.6 at 40 K and a desorption energy difference of 2.31 kJ mol(-1) further support the higher binding strength for D-2, which endows its separation from the isotopic mixture. Hence, the current approach of using biowaste provides an environmentally friendly alternative for biowaste management in addition to a promising isotope separation candidate