Essays in capital markets

Thesis (Ph.D.)--Massachusetts Institute of Technology, Sloan School of Management, 2002.Includes bibliographical references (p. 136-141).(cont.) Slow information diffusion can cause return momentum. Institutions are thought to be more informed than individuals, and should eliminate return predictability. However, higher institutional ownership is associated with more momentum. Therefore, institutions either herd on returns or can have information before individuals. I find evidence of the latter. However, the effects are economically small, suggesting that aggregate data obscures differences between institutions. I divide institutions by trading aggressiveness. Aggressive institutions are more responsive to recent returns, and a strategy mimicking their trades generates even better performance. This confirms that some investors are more informed than others, but do not eliminate return predictability.This thesis consists of three chapters, each about a separate aspect of how investors respond to information in equity markets. The first chapter concerns news and stock returns. Using a comprehensive database of headlines about individual companies, I examine monthly returns following public news. I compare them to stocks with similar returns, but no identifiable public news. There is a difference between the two sets. I find strong drift after bad news. Investors seem to react slowly to this information. I also find reversal after extreme price movements unaccompanied by public news. The separate patterns appear even after adjustments for risk exposure and other effects. They are, however, mainly seen in smaller, more illiquid stocks. These findings support some integrated theories of investor over- and underreaction. The second chapter is joint work with Richard Frankel and S. P. Kothari. Models based on psychology can explain momentum and reversal in stock returns, but may be overfitted to data. We examine a typical basis for these models, representativeness, in which individuals predict the future based on how closely past outcomes fit certain categories. We use accounting performance to mimic possible investor-defined categories for firm performance. We test the idea that investors predictably bias their expectations about future operations by using these categories. We find little evidence that the sequence or trend of past accounting performance is related to future returns, and is therefore unlikely to bias investor expectations. The third chapter concerns how informational advantage differs between institutional investors.by Wesley S. Chan.Ph.D

Cytokinesis in bloodstream stage Trypanosoma brucei requires a family of katanins and spastin

Microtubule severing enzymes regulate microtubule dynamics in a wide range of organisms and are implicated in important cell cycle processes such as mitotic spindle assembly and disassembly, chromosome movement and cytokinesis. Here we explore the function of several microtubule severing enzyme homologues, the katanins (KAT80, KAT60a, KAT60b and KAT60c), spastin (SPA) and fidgetin (FID) in the bloodstream stage of the African trypanosome parasite, Trypanosoma brucei. The trypanosome cytoskeleton is microtubule based and remains assembled throughout the cell cycle, necessitating its remodelling during cytokinesis. Using RNA interference to deplete individual proteins, we show that the trypanosome katanin and spastin homologues are non-redundant and essential for bloodstream form proliferation. Further, cell cycle analysis revealed that these proteins play essential but discrete roles in cytokinesis. The KAT60 proteins each appear to be important during the early stages of cytokinesis, while downregulation of KAT80 specifically inhibited furrow ingression and SPA depletion prevented completion of abscission. In contrast, RNA interference of FID did not result in any discernible effects. We propose that the stable microtubule cytoskeleton of T. brucei necessitates the coordinated action of a family of katanins and spastin to bring about the cytoskeletal remodelling necessary to complete cell divisio

The EPIC-Norfolk Eye Study: rationale, methods and a cross-sectional analysis of visual impairment in a population-based cohort.

To summarise the methods of the European Prospective Investigation of Cancer (EPIC)-Norfolk Eye Study, and to present data on the prevalence of visual impairment and associations with visual impairment in the participants

Applying refinement to the use of mice and rats in rheumatoid arthritis research

Rheumatoid arthritis (RA) is a painful, chronic disorder and there is currently an unmet need for effective therapies that will benefit a wide range of patients. The research and development process for therapies and treatments currently involves in vivo studies, which have the potential to cause discomfort, pain or distress. This Working Group report focuses on identifying causes of suffering within commonly used mouse and rat ‘models’ of RA, describing practical refinements to help reduce suffering and improve welfare without compromising the scientific objectives. The report also discusses other, relevant topics including identifying and minimising sources of variation within in vivo RA studies, the potential to provide pain relief including analgesia, welfare assessment, humane endpoints, reporting standards and the potential to replace animals in RA research

Concept design of low frequency telescope for CMB B-mode polarization satellite LiteBIRD

LiteBIRD has been selected as JAXA’s strategic large mission in the 2020s, to observe the cosmic microwave background (CMB) B-mode polarization over the full sky at large angular scales. The challenges of LiteBIRD are the wide field-of-view (FoV) and broadband capabilities of millimeter-wave polarization measurements, which are derived from the system requirements. The possible paths of stray light increase with a wider FoV and the far sidelobe knowledge of -56 dB is a challenging optical requirement. A crossed-Dragone configuration was chosen for the low frequency telescope (LFT : 34–161 GHz), one of LiteBIRD’s onboard telescopes. It has a wide field-of-view (18° x 9°) with an aperture of 400 mm in diameter, corresponding to an angular resolution of about 30 arcminutes around 100 GHz. The focal ratio f/3.0 and the crossing angle of the optical axes of 90◦ are chosen after an extensive study of the stray light. The primary and secondary reflectors have rectangular shapes with serrations to reduce the diffraction pattern from the edges of the mirrors. The reflectors and structure are made of aluminum to proportionally contract from warm down to the operating temperature at 5 K. A 1/4 scaled model of the LFT has been developed to validate the wide field-of-view design and to demonstrate the reduced far sidelobes. A polarization modulation unit (PMU), realized with a half-wave plate (HWP) is placed in front of the aperture stop, the entrance pupil of this system. A large focal plane with approximately 1000 AlMn TES detectors and frequency multiplexing SQUID amplifiers is cooled to 100 mK. The lens and sinuous antennas have broadband capability. Performance specifications of the LFT and an outline of the proposed verification plan are presented

LiteBIRD satellite: JAXA's new strategic L-class mission for all-sky surveys of cosmic microwave background polarization

LiteBIRD, the Lite (Light) satellite for the study of B-mode polarization and Inflation from cosmic background Radiation Detection, is a space mission for primordial cosmology and fundamental physics. JAXA selected LiteBIRD in May 2019 as a strategic large-class (L-class) mission, with its expected launch in the late 2020s using JAXA's H3 rocket. LiteBIRD plans to map the cosmic microwave background (CMB) polarization over the full sky with unprecedented precision. Its main scientific objective is to carry out a definitive search for the signal from cosmic inflation, either making a discovery or ruling out well-motivated inflationary models. The measurements of LiteBIRD will also provide us with an insight into the quantum nature of gravity and other new physics beyond the standard models of particle physics and cosmology. To this end, LiteBIRD will perform full-sky surveys for three years at the Sun-Earth Lagrangian point L2 for 15 frequency bands between 34 and 448 GHz with three telescopes, to achieve a total sensitivity of 2.16 μK-arcmin with a typical angular resolution of 0.5° at 100 GHz. We provide an overview of the LiteBIRD project, including scientific objectives, mission requirements, top-level system requirements, operation concept, and expected scientific outcomes