On wavelet-based testing for serial correlation of unknown form using Fan\u27s adaptive Neyman method

Test procedures for serial correlation of unknown form with wavelet methods are investigated in this dissertation. The new wavelet-based consistent test is motivated using Fan\u27s (1996) canonical multivariate normal hypothesis testing model. In our framework, the test statistic relies on empirical wavelet coefficients of a wavelet-based spectral density estimator. We advocate the choice of the simple Haar wavelet function, since evidence demonstrates that the choice of the wavelet function is not critical. Under the null hypothesis of no serial correlation, the asymptotic distribution of a vector of empirical wavelet coefficients is derived, which is the multivariate normal distribution in the limit. It is also shown that the wavelet coefficients are asymptotically uncorrelated. The proposed test statistic presents the serious advantage to be completely data-driven or adaptive, which avoids the need to select any smoothing parameters. Furthermore, under a suitable class of local alternatives, the wavelet-based method is consistent against serial correlation of unknown form. The test statistic is expected to exhibit better power than the current test statistics when the true spectral density displays significant spatial inhomogeneity, such as seasonal or cycle periodicities. However, the convergence of the test statistic toward its respective asymptotic distribution is expected to be relatively slow. Thus, Monte Carlo methods are investigated to determine the corresponding critical value. In a small simulation study, the new method is compared with several current test statistics, with respect to their empirical levels and powers

Berry phase modification to the energy spectrum of excitons

By quantizing the semiclassical motion of excitons, we show that the Berry curvature can cause an energy splitting between exciton states with opposite angular momentum. This splitting is determined by the Berry curvature flux through the $\bm k$-space area spanned by the relative motion of the electron-hole pair in the exciton wave function. Using the gapped two-dimensional Dirac equation as a model, we show that this splitting can be understood as an effective spin-orbit coupling effect. In addition, there is also an energy shift caused by other "relativistic" terms. Our result reveals the limitation of the venerable hydrogenic model of excitons, and highlights the importance of the Berry curvature in the effective mass approximation.Comment: 4.5 pages, 2 figures, reference updated and minor change

Use of financial planners and portfolio performance

Postprint.Using modern information economics as the conceptual framework and data from the 2013 Survey of Consumer Finances, this study adopts a decomposition technique to explore the relationship between the primary information source used by U.S. investors and their household investment portfolio performance. The sample includes households with investable assets and those whose primary information source is financial planner or self-directed sources. Households that received large amounts of inheritance or gifts within the past year are excluded from this study due to the necessity of additional planning and the associated time commitment to accomplish it. The findings reveal that investors who consult with financial planners have a higher probability of achieving better household investment portfolio performance than self-directed investors. Results also show that household income and investor's gender mediated the effect of information source on investment portfolio performance. This study is one of the first to provide empirical evidence of a positive relationship between the service that U.S. financial planners provide and their clients' financial outcome.Lei, S. (Department of Accounting, Economics and Finance, West Texas A and M University); Yao, R. (Department of Personal Financial Planning, University of Missouri)Includes bibliographical references

The Impact of financial planning on portfolio performance

Abstract of conference presentation make at the Association for Financial Counseling Planning and Education, 2014 Annual Research and Training Symposium.Abstract only. Nowadays, individuals and households are increasingly responsible for their own wealth accumulation and preservation while the financial market are growing with complexity (Ho, Palacios, and Stoll 2012). However, empirical studies have found that most of the individuals and households lack adequate financial knowledge and skills to make the appropriate saving and investment decisions facing complex of financial market (Lusardi and Mitchell, 2006; Lusardi and Mitchell,2008; Mitchell and Curto ,2010). Economic theory indicates that individuals and households are utility maximizers. They will make the trade-off between the costs and benefits to make the choice to help them realize this goal. Therefore, in concept, due to the opportunity cost, it may be more efficient for most individuals and households to get professional assistance in financial decision making. However, in reality, few individuals and households turned to the professional support. The 2009 National Consumer Survey conducted found two thirds of the respondents of the survey did not have the financial plan, among which only 38% involved the financial planning professionals in their financial planning (CFP Board, 2009). This situation seemed not to improve too much in the following years. According to the findings of 2012 Household Financial Planning Survey, only 31% respondents had their own or professional plans. The report also pointed out that the numbers actually did not change too much compared to 15 years ago (CFP Board, 2012). (Hanna,2011) found that there were only 22% households reported they used financial planners in the 1998-2007 Survey of Consumer Finances datasets, which was consistent with the results from previous surveys. Why people behave contradictorily to what the theory predicts? One of the possible reasons is that it may be challenging to precisely quantify the value of financial planning, thus making it difficult to reveal and analyze the benefit to the public (Hanna, 2010). Understanding the impact of financial planning on households' portfolio highlights the benefit of financial planning and the need for financial planning professionals. This study evaluates the impact of financial planning on households' portfolio performance. Using the data from the 2010 Survey of Consumer Finances, the findings lend empirical support to the belief that financial planning services delivered by professionals benefit the households in higher possibility of reaching better portfolio performance. The study also provides insights into other determinants of portfolio performance. It indicates that wealthy respondents with longer investment horizons were more likely to have better performed portfolios.Includes bibliographical references

Source of information and projected household investment portfolio performance

Postprint.Using modern information economics as the conceptual framework and data from the 2013 Survey of Consumer Finances, this study adopts a decomposition technique to explore the relationship between the primary information source used by U.S. investors and their household investment portfolio performance. The sample includes households with investable assets and those whose primary information source is financial planner or self-directed sources. Households that received large amounts of inheritance or gifts within the past year are excluded from this study due to the necessity of additional planning and the associated time commitment to accomplish it. The findings reveal that investors who consult with financial planners have a higher probability of achieving better household investment portfolio performance than self-directed investors. Results also show that household income and investor's gender mediated the effect of information source on investment portfolio performance. This study is one of the first to provide empirical evidence of a positive relationship between the service that U.S. financial planners provide and their clients' financial outcome.Includes bibliographical references