Asset Management with Price Impact and Fair Treatment of Clients

In light of recent regulatory initiatives focusing on fair treatment of customers in financial markets, this paper examines the agency problem created by an asset manager with market impact, segregated accounts and preference-based contracts. It illustrates how aggregate client welfare and assets under management are affected by the order in which clients' accounts are sequentially traded and demonstrates that the manager is unlikely to have incentives for equal treatment of clients. Effectively, she may conduct limited invisible transfers of wealth among largely uninformed clients by granting preferential market access to some of them and this may be purely the result of her dollar-alpha maximization efforts rather than size/importance-based client discrimination. Increased transparency and/or effective regulation in this area seem socially desirable since the manager's incentives and client welfare generally appear to be misaligned

Liquidity Costs, Idiosyncratic Volatility and Expected Stock Returns

This paper considers liquidity as an explanation for the positive association between expected idiosyncratic volatility (IV) and expected stock returns. Liquidity costs may affect the stock returns, through bid-ask bounce and other microstructure-induced noise, which will affect the estimation of IV. We use a novel method (developed by Weaver, 1991) to eliminate microstructure influences from stock closing price-based returns and then estimate IV. We show that there is a premium for IV in value-weighted portfolios, but this premium is less strong after correcting returns for microstructure bias. We further show that this premium is driven by liquidity in the prior month after correcting returns for microstructure noise. The pricing results from equally-weighted portfolios indicate that IV does not predict returns either before or after controlling for liquidity costs. These findings are robust after controlling for common risk factors as well as analysing double-sorted portfolios based on IV and liquidity

Modelling Demand for ESG

Existing approaches have considered characteristics of Environmental, Social and Governance (ESG) focused investments from a return-oriented perspective, not paying due consideration to investors’ utility and how ESG features impact utility. We contribut

Supercurrent diode effect in thin film Nb tracks

We demonstrate nonreciprocal critical current in 65 nm thick polycrystalline and epitaxial Nb thin films patterned into tracks. The nonreciprocal behavior gives a supercurrent diode effect, where the current passed in one direction is a supercurrent and the other direction is a normal state (resistive) current. We study the variation of the diode effect with temperature and magnetic field, and find an unexpected dependence with the width of the Nb tracks from 2-10 $\mu$m. For both polycrystalline and epitaxial samples, we find that tracks of width 4 $\mu$m provides the largest supercurrent diode efficiency of up to $\approx30\%$, with the effect reducing or disappearing in the widest tracks of 10 $\mu$m. It is anticipated that the supercurrent diode will become a ubiquitous component of the superconducting computer.Comment: 15 pages, 4 figure

Numerical Simulation of Heat Transfer and Chemistry in the Wake Behind a Hypersonic Slender Body at Angle of Attack

The effect of thermal and chemical boundary conditions on the structure and chemical composition of the wake behind a 3D Mach 7 sphere-cone at an angle of attack of 5 degrees and an altitude of roughly 30,000 m is explored. A special emphasis is placed on determining the number density of chemical species which might lead to detection via the electromagnetic spectrum. The use of non-ablating cold-wall, adiabatic, and radiative equilibrium wall boundary conditions are used to simulate extremes in potential thermal protection system designs. Non-ablating, as well as an ablating boundary condition using the “steady-state ablation” assumption to compute a surface energy balance on the wall are used in order to determine the impacts of ablation on wake composition. On-body thermal boundary conditions downstream of an ablating nose are found to significantly affect wake temperature and composition, while the role of catalysis is found to change the composition only marginally except at very high temperatures on the cone’s surface for the flow regime considered. Ablation is found to drive the extensive production of detectable species otherwise unrelated to ablation, whereas if ablation is not present at all, air-species which would otherwise produce detectable spectra are minimal. Studies of afterbody cooling techniques, as well as shape, are recommended for further analysis

Optimal long term investment in a jump diffusion setting : a large deviation approach

In this study, we propose a new method based on the large deviations theory to select an optimal investment for a large portfolio such that the risk, which is defined as the probability that the portfolio return underperforms an investable benchmark, is minimal. As a particular case, we examine the effect of two types of asymmetric dependence; 1) asymmetry in a portfolio return distribution, and 2) asymmetric dependence between asset returns, on the optimal portfolio invested in two risky assets. Furthermore, since our analysis is based on a parametric framework, this allows us to formulate a close-form relationship between the measures of correlation and the optimal portfolio. Finally, we calibrate our method with equity data, namely S&P 500 and Bangkok SET. The empirical evidences confirm that there is a significant impact of asymmetric dependence on optimal portfolio and risk

Rapport‐building in multiple interviews of children

AbstractRapport‐building is key in child investigative interviews, however, recommendations of how to build rapport differ. Additionally, rapport in more complex situations: when a child is interviewed repeatedly or requires separate rapport building have not been studied. This research examined the UK's ‘Achieving Best Evidence’ guidelines for rapport‐building, which recommend conducting a neutral discussion, compared with a control condition and a separate rapport‐building session for first interviews on children's recall and well‐being (measured by state anxiety and rapport questionnaires). For second and third interviews, additional full rapport‐building sessions were compared to shortened or no rapport‐building conditions. No significant differences in children's (N = 107) recall or well‐being were found across rapport‐building conditions for all interviews. We conclude that for children who have experienced non‐traumatic events, the inclusion of a neutral discussion rapport‐building phase may not be any more beneficial for children than conducting a friendly interview