A Factor-Adjusted Multiple Testing Procedure with Application to Mutual Fund Selection

In this article, we propose a factor-adjusted multiple testing (FAT) procedure based on factor-adjusted p-values in a linear factor model involving some observable and unobservable factors, for the purpose of selecting skilled funds in empirical finance. The factor-adjusted p-values were obtained after extracting the latent common factors by the principal component method. Under some mild conditions, the false discovery proportion can be consistently estimated even if the idiosyncratic errors are allowed to be weakly correlated across units. Furthermore, by appropriately setting a sequence of threshold values approaching zero, the proposed FAT procedure enjoys model selection consistency. Extensive simulation studies and a real data analysis for selecting skilled funds in the U.S. financial market are presented to illustrate the practical utility of the proposed method. Supplementary materials for this article are available online

Comment la condition économique agit-elle sur la qualité de la fertilité?

Rapport de recherche présenté à la Faculté des arts et des sciences en vue de l'obtention du grade de Maîtrise en sciences économiques.L’état de santé des enfants à la naissance n’est pas tiré du hasard; il varie selon la condition économique au moment de la conception. Avec une évidence empirique aux États-Unis, on étudie la relation entre le taux de chômage au moment de la conception et l’état de santé des bébés à la naissance, selon les caractéristiques maternelles et les comportements de santé adoptés par les femmes enceintes au cours de leur grossesse. Pour la période étudiée (de 1999 à 2009), l’amélioration de l’état de santé des enfants conçus pendant la récession et le perfectionnement des comportements de santé au cours de la récession ne sont pas observés. Nos résultats contredisent ceux de plusieurs études empiriques basées sur les pays riches, lesquelles soulèvent la contre-cyclicité entre la fluctuation économique et l’état de santé des enfants. Cette contradiction tire potentiellement son origine de la nature et de la dimension de la dernière récession

A Statistical Study of GRB X-ray Flares: Evidence of Ubiquitous Bulk Acceleration in the Emission Region

When emission in a conical relativistic jet ceases abruptly (or decays sharply), the observed decay light curve is controlled by the high-latitude "curvature effect". Recently, Uhm & Zhang found that the decay slopes of three GRB X-ray flares are steeper than what the standard model predicts. This requires bulk acceleration of the emission region, which is consistent with a Poynting-flux-dominated outflow. In this paper, we systematically analyze a sample of 85 bright X-ray flares detected in 63 Swift GRBs, and investigate the relationship between the temporal decay index $\alpha$ and spectral index $\beta$ during the steep decay phase of these flares. The $\alpha$ value depends on the choice of the zero time point $t_0$. We adopt two methods. "Method I" takes $t_0^I$ as the first rising data point of each flare, and is the most conservative approach. We find that at 99.9% condifence level 56/85 flares have decay slopes steeper than the simplest curvature effect prediction, and therefore, are in the acceleration regime. "Method II" extrapolates the rising light curve of each flare backwards until the flux density is three orders of magnitude lower than the peak flux density, and defines the corresponding time as the time zero point (t_0^II). We find that 74/85 flares fall into the acceleration regime at 99.9% condifence level. This suggests that bulk acceleration is common, may be even ubiquitous among X-ray flares, pointing towards a Poynting-flux-dominated jet composition for these events.Comment: 68 pages, 6 figures, 2 tables, ApJS, in pres