Essays in empirical asset pricing and portfolio construction

The key thread running through this thesis is predictability and how it relates to asset pricing and portfolio construction. Chapter 1, co-authored with Oliver Linton, tests for predictability in asset pricing model residuals to check model specification. We estimate three consumption-based asset pricing models and derive ex-ante expected stock market returns from them. For each model, a suite of tests rejects the null that the model residual, the difference between the ex-ante expected market return and the actual return, is a martingale difference sequence. The ability of these models to explain the own-history predictability of the market return is therefore rejected. Further tests show that lagged returns have too much predictive power over current returns to be consistent with the state variables which explain the market return being the same as the state variables which explain the market return in any of the three models. Chapter 2 focusses on a specific type of predictive information. I examine whether regulator-required public disclosures of large net short positions can be profitably used to build portfolios. These disclosures do not form the basis of a profitable trading strategy for UK stocks. Long-short portfolios based on these disclosures typically make a profit, but it is statistically insignificant. While certain long-only unit initial outlay portfolios can reliably significantly outperform the market, this outperformance is economically modest: about one percentage point a year in gross and risk-adjusted terms. Finally, Chapter 3 considers how best to use predictive information. Using predictive information unconditionally optimally produces better portfolios than using the predictive information conditionally optimally. Unconditionally optimal portfolios have higher Sharpe ratios and certainty equivalents, plus lower turnover, leverage, losses and drawdowns than conditionally optimal portfolios. Moreover, the unconditionally optimal portfolios tend to stochastically dominate the conditionally optimal portfolios once transaction costs are accounted for. However, whether unconditionally optimal portfolios are preferred to minimum variance or 1/N portfolios depends on the asset universe

Finger flexor strength and the effect of acute handgrip fatigue in advanced level boulderers

Bouldering is a discipline of rock climbing that involves short (~4m-high) typically overhanging problems without ropes. Bouldering places a high demand on the finger flexors and consists of ~8s isometric holds across 30-40s climbing problems, with ~115s rest between attempts (White and Olsen, 2010, Journal of Strength and Conditioning Research, 24, 1356–1360). Strength and endurance of the fingers appear to discriminate rock climbing ability (Marcolin et al. 2022, Journal of Strength and Conditioning Research, 36, 1099-1104), however this has not been tested in boulderers or outside a laboratory setting. The aim of this study was to investigate if climbing specific finger strength relates to ability in advanced boulderers, and to assess the effects of acute fatigue and recovery. With institutional ethical approval, 13 advanced boulderers (12 males, 1 female; age 22±3 years; height 172.5±8.2cm; mass 65.8±5.3kg; International Rock Climbing Research Association (IRCRA) scale 19-22) volunteered. At baseline, dominant arm finger flexion strength was measured using an open-hand crimp hold on a 20mm edge. Participants performed the test in a seated, cross-legged position on the floor (with a weighted vest if required) with the dynamometer height adjusted on an individual basis so that the arm was positioned directly above the head with no elbow flexion observed. Peak force was recorded at 80Hz using a climbing specific Tindeq Progressor 300 dynamometer (Trondheim, Norway), and reported in Newtons/ body mass (N.kg-1). Participants climbed a circuit on a training wall, and repeated until failure due to fatigue. Immediately after failure, participants repeated the open-hand crimp strength test. The strength test was repeated every 2 minutes until 20 minutes. At baseline, the peak force for the open hand crimp was 7.86±1.40 N.kg-1 and was significantly correlated with self-reported climbing grade (r=0.810, P <0.001). Peak force was significantly reduced immediately after the fatiguing protocol (6.24±1.03 N.kg-1; P <0.001) and remained significantly reduced at both 10 (6.73±0.95 N.kg-1; P <0.001) and 20 min (7.05±1.29 N.kg-1; P <0.001). However, the gradient of recovery for the first 10-minutes was steeper for the higher ability boulderers (IRCRA 22, m=0.059) than those graded IRCRA 21 (m=0.046) and 19-20 (m=0.038). The results indicate that boulderers climbing at higher grades demonstrate higher finger flexor strength and recover from a fatiguing effort at a faster rate. In addition, 2-minute rest periods between force measurements appears to impact force generation recovery, suggesting that advanced boulderers typically require longer rest between bouldering attempts

REDUCING TRANSPORTATION DAMAGE TO GRAPES AND STRAWBERRIES

In-transit vibration damage to grapes and strawberries results in reduced quality for the consumer and reduced profits for the produce industry. To solve this problem, the first step is to determine which vibrational frequencies are causing the damage. In various tests, grapes and strawberries were subjected to different frequencies at constant force levels. The effects of the vibration treatments were evaluated on the basis of grading, color analysis, firmness, respiration rate and ethylene production rate. The critical frequency was found to lie between 7.5 and 10 Hertz for both commodities. Color change and respiration rate were shown to be good indicators of damage in grapes. Strawberries did not show a significant effect due to color. Firmness was not affected by vibration in either commodity.Agribusiness,

Confederate requisition for the purchase of three horses from Peter Alkine, signed by officers Turner Ashby and William Miller. 1862.

A Confederate State\u27s Army requisition for the purchase of 5 horses for artillery purposes at $135 each from Peter Alkine. Signed by Turner Ashby and Captain and Quartermaster William Miller. Dated February 28th,1862.https://digitalcommons.wofford.edu/littlejohnmss/1229/thumbnail.jp

SIMULATED IN-TRANSIT VIBRATION DAMAGE TO FRESH MARKET RASPBERRIES

Agribusiness,

Leptomeningeal Metastases in High-Grade Adult Glioma: Development, Diagnosis, Management, and Outcomes in a Series of 34 Patients

Leptomeningeal metastases (LM) in the setting of glioma have often been thought to carry a particularly poor prognosis. We sought to better characterize this phenomenon through a review of patients with glioma seen in our institution over the preceding 10 years. We focus here on 34 cases with LM due to grade III or IV glioma. Over the period in question we estimate a prevalence of almost 4% in those affected by grade IV tumors. Leptomeningeal spread was present at the time of initial diagnosis in 4 patients. In the others, LM occurred at the time of first progression of disease in 17. The median time to development of LM (excluding those where it was present at initial diagnosis) was 16.4 months (95% confidence interval (CI) 8.2-43.9). The median time to further progression of disease following LM was 4.9 months (95% CI 3.1- 6.9). 25 patients were known to have died at the time of writing. Thus median overall survival (OS) was 10.2 months (95% CI 8.8-14.7) following LM. At the time of diagnosis of LM, some form of treatment (chemotherapy and/or radiation vs. no treatment) increased OS (median 11.7 vs. 3.3 months, p\u3c0.001 by log-rank test). Use of radiation therapy (vs. no radiation) also increased OS, although the effect was more modest (7.8 vs. 16.8 months, p=0.07). Higher Karnofsky Performance Status (KPS) at the time of diagnosis of LM was associated with OS (p=0.007, median OS for KPS ‰¥90 19 months vs. 7.8 for KPS \u3c90). In a two-variable model incorporating the use any treatment (vs. none) and KPS, KPS tended to be a more significant predictor of survival (p=0.22 vs. p=0.06 by likelihood-ratio test). This was also true for radiation (vs. none) and KPS (p=0.27 vs. p=0.02). No significant benefit could be demonstrated for the use of chemotherapy considered alone, either systemic or intrathecal. It should be noted that 4 of 9 patients receiving intrathecal chemotherapy had a ventriculoperitoneal shunt in place during these injections, which may have reduced its effectiveness

Biopsy vs. Extensive Resection for First Recurrence of Glioblastoma: Is a Prospective Clinical Trial Warranted?

Background: Glioblastoma is an aggressive and almost universally fatal tumor. The prognosis at the time of recurrence has generally been poor, with overall survival typically in the range of 4-40 weeks. The merits of surgical resection (vs. open biopsy, to confirm recurrence via histology) in addition to conventional adjuvant chemotherapy have been the subject of longstanding debate. We wondered whether it would possible to conduct a trial at our institution to settle this question definitively with Class I evidence. Results: Initially, we had hoped to conduct a randomized, unblinded prospective clinical trial. However on closer inspection it appeared that such an undertaking would pose significant practical challenges. Thus we present our protocol in draft form. In keeping with recommended outcomes for these tumors, the primary endpoint would be median progression free survival. Secondary end points would be: median overall survival (mOS, from time of recurrence) and change in Karnofsky Performance Status over time. Patients would be eligible at the time of first recurrence if they had received conventional treatment until that point and at least 1 month had elapsed since the time of radiation. All patients would be considered potentially eligible for enrollment (unless the decision regarding resection was already clear-cut in view of other factors). Using Cox\u27s proportional hazards model, we estimate that at least 456 patients would be necessary to demonstrate an increase in the hazard ratio to 1.3 for those undergoing biopsy alone. This magnitude of benefit is estimated based on a review of retrospective studies. Discussion: If restricted to our Institution alone, which sees approximately 100-150 new cases of glioblastoma each year, a trial of this nature would be likely to take around 10 years. Furthermore, there may be significant reluctance on the part of patients and physicians to participate. There is also the opportunity cost of excluding patients from other trials to consider. We recognize that the estimate of the magnitude of effect may be conservative. As things stand, we feel that multi-institutional collaboration would almost certainly be required for an undertaking of this kind