Does cross-sectional variances of Fama-French factors improve predictability of stock returns? : a research report submitted in partial fulfillment of the requirements for the degree of Master of Finance at Massey University

This research report aims to lend a better understanding of the predictability of Fama-French factors (book-to-market ratio, price-earning ratio and size) to stock returns over a wider dimension by taking into consideration the influence from the cross-sectional variances of each factor. Unlike previous studies, which have been largely based on the joint effect of these factors in testing stock average returns, this study emphasizes how each factor's cross-sectional variance can improve predictability of stock returns in the US market over the period from 1988 to 2005. It is believed that the larger the cross-sectional volatility of a factor, the stronger its explanatory power. This research reveals that, of the three Fama-French factors, the book-to-market factor and the size factor show significant improvement in the explanatory power of stock returns by integrating their cross-sectional variance in the regressions, while the results show little evidence of this with regard to the price-earning factor. Moreover, the findings also reveal that the positive relationship of the book-to-market factor to stock return is no longer unswervingly positive. This study finds evidence that the book-to-market ratio had a significant positive relationship with stock returns during the period from 1988 to 1996, while it had a significantly negative relationship to stock returns from 1997 to 2005, due to value stocks and growth stocks reacting differently across these different business cycles

Heavy and light flavor jet quenching at RHIC and LHC energies

The Linear Boltzmann Transport (LBT) model coupled to hydrodynamical background is extended to include transport of both light partons and heavy quarks through the quark-gluon plasma (QGP) in high-energy heavy-ion collisions. The LBT model includes both elastic and inelastic medium-interaction of both primary jet shower partons and thermal recoil partons within perturbative QCD (pQCD). It is shown to simultaneously describe the experimental data on heavy and light flavor hadron suppression in high-energy heavy-ion collisions for different centralities at RHIC and LHC energies. More detailed investigations within the LBT model illustrate the importance of both initial parton spectra and the shapes of fragmentation functions on the difference between the nuclear modifications of light and heavy flavor hadrons. The dependence of the jet quenching parameter $\hat{q}$ on medium temperature and jet flavor is quantitatively extracted.Comment: 6 pages, 6 figure

Effects of jet-induced medium excitation in γ\gamma-hadron correlation in A+A collisions

Coupled Linear Boltzmann Transport and hydrodynamics (CoLBT-hydro) is developed for co-current and event-by-event simulations of jet transport and jet-induced medium excitation (j.i.m.e.) in high-energy heavy-ion collisions. This is made possible by a GPU parallelized (3+1)D hydrodynamics that has a source term from the energy-momentum deposition by propagating jet shower partons and provides real time update of the bulk medium evolution for subsequent jet transport. Hadron spectra in $\gamma$-jet events of A+A collisions at RHIC and LHC are calculated for the first time that include hadrons from both the modified jet and j.i.m.e.. CoLBT-hydro describes well experimental data at RHIC on the suppression of leading hadrons due to parton energy loss. It also predicts the enhancement of soft hadrons from j.i.m.e. The onset of soft hadron enhancement occurs at a constant transverse momentum due to the thermal nature of soft hadrons from j.i.m.e. which also have a significantly broadened azimuthal distribution relative to the jet direction. Soft hadrons in the $\gamma$ direction are, on the other hand, depleted due to a diffusion wake behind the jet.Comment: 4 pages, 4 figures in LaTeX, final version published in PL

Candida albicans and host interaction: the many faces of the Candida Pra1 protein

C. albicans is an opportunistic human pathogen that causes superficial, as well as lifethreatening infections in immuno-compromised patients. In order to establish an infection, C. albicans has developed multiple mechanisms to avoid host immune recognition and cross host tissue barriers. The aim of the work was to identify proteins from C. albicans that mediate immune evasion and to characterize these proteins on a molecular level. In this project, I identified C. albicans Pra1 as a multifunctional virulence factor which mediates C. albicans for immune evasion and tissue invasion at different locations: (i) as a surface protein, Pra1 binds human complement regulators Factor H, FHL-1, C4BP, as well as plasminogen. The attached human regulators mediate complement evasion and degradation of extra-cellular matrices, and consequently favoring C. albicans invasion; (ii) as a secreted protein, Pra1 complexes C3 in solution, blocks C3 cleavage by C3 convertases, thereby inhibiting further complement amplification and progression, and downstream complement effector functions; and (iii) binding to the surface of host cells. Upon binding, surface Pra1 functions as an invasin to mediate C. albicans for adhesion and invasion into host endothelial cells, secreted Pra1 blocks CR3 mediated recognition of pneumococcus by PMNs by binding to CR3. In addition, I identified Pra1 surface expression and sequence variation in clinical isolates derived from Candida infected patients. Pra1 is expressed at all tested clinical isolates surface. Sequence analyses of PRA1 identify a relevant nucleotide exchange (A73G) which also affects the amino acid (Asn25Asp) in all test isolates with homozygousity. Thus, Pra1 is a multifunctional virulence factor that favors fungal survival at distinct sites. A detailed understanding of these multiple roles of Pra1 may allow defining new strategies to interfere with and fight against C. albicans infection

Consumers and Their Brand Love Relationships

This thesis contributes to the concept of consumer brand love relationship building. This thesis frames the consumer-brand love relationships in two forms: Firstly, the brand love relationship is similar to a close interpersonal relationship. Love is featured as closeness with brand love relationships, and this closeness is analogous to the closeness they experience in their close interpersonal relationships.Secondly, there is a correlation or a parallel that can be drawn between the brand love relationships and the spiritual relationship. Love is featured as spirituality in brand love relationships, and this corresponds with the features of spirituality in spiritual relationships. Consumers’ love of a brand is a desire and an emotional yearning for a special and unique brand relationship, which can help consumers expand themselves by including their brands in themselves. Consumers develop and maintain relationships with their loved brands by expanding their sense of self in conjunction with their loved brands’ functions, and also by expanding their cognitive abilities, their social identities and personal identities, and their awareness of their life purpose and the meaning of their life. In the meantime, culture is one of the influential factors in consumer brand love relationships, and it is considered in this thesis

Identifying Causal Effects Using Instrumental Variables from the Auxiliary Population

Instrumental variable approaches have gained popularity for estimating causal effects in the presence of unmeasured confounding. However, the availability of instrumental variables in the primary population is often challenged due to stringent and untestable assumptions. This paper presents a novel method to identify and estimate causal effects in the primary population by utilizing instrumental variables from the auxiliary population, incorporating a structural equation model, even in scenarios with nonlinear treatment effects. Our approach involves using two datasets: one from the primary population with joint observations of treatment and outcome, and another from the auxiliary population providing information about the instrument and treatment. Our strategy differs from most existing methods by not depending on the simultaneous measurements of instrument and outcome. The central idea for identifying causal effects is to establish a valid substitute through the auxiliary population, addressing unmeasured confounding. This is achieved by developing a control function and projecting it onto the function space spanned by the treatment variable. We then propose a three-step estimator for estimating causal effects and derive its asymptotic results. We illustrate the proposed estimator through simulation studies, and the results demonstrate favorable performance. We also conduct a real data analysis to evaluate the causal effect between vitamin D status and BMI.Comment: 19 page

Small molecules as inhibitors of PCSK9: current status and future challenges

Proprotein convertase subtilisin/kexin type 9 (PCSK9) plays an important role in regulating lipoprotein metabolism by binding to low-density lipoprotein receptors (LDLRs), leading to their degradation. LDL cholesterol (LDL-C) lowering drugs that operate through the inhibition of PCSK9 are being pursued for the management of hypercholesterolemia and reducing its associated atherosclerotic cardiovascular disease (CVD) risk. Two PCSK9-blocking monoclonal antibodies (mAbs), alirocumab and evolocumab, were approved in 2015. However, the high costs of PCSK9 antibody drugs impede their prior authorization practices and reduce their long-term adherence. Given the potential of small-molecule drugs, the development of small-molecule PCSK9 inhibitors has attracted considerable attention. This article provides an overview of the recent development of small-molecule PCSK9 inhibitors disclosed in the literature and patent applications, and different approaches that have been pursued to modulate the functional activity of PCSK9 using small molecules are described. Challenges and potential strategies in developing small-molecule PCSK9 inhibitors are also discussed

Multiple jets and γ\gamma-jet correlation in high-energy heavy-ion collisions

$\gamma$-jet production is considered one of the best probes of the hot quark-gluon plasma in high-energy heavy-ion collisions since the direct $\gamma$ can be used to gauge the initial energy and momentum of the associated jet. This is investigated within the Linear Boltzmann Transport (LBT) model for jet propagation and jet-induced medium excitation. With both parton energy loss and medium response from jet-medium interaction included, LBT can describe experimental data well on $\gamma$-jet correlation in Pb+Pb collisions at the Large Hadron Collider. Multiple jets associated with direct $\gamma$ production are found to contribute significantly to $\gamma$-jet correlation at small $p_T^{\rm jet}<p_T^\gamma$ and large azimuthal angle relative to the opposite direction of $\gamma$. Jet medium interaction not only suppresses the leading jet at large $p_T^{\rm jet}$ but also sub-leading jets at large azimuthal angle. This effectively leads to the narrowing of $\gamma$-jet correlation in azimuthal angle instead of broadening due to jet-medium interaction. The $\gamma$-jet profile on the other hand will be broadened due to jet-medium interaction and jet-induced medium response. Energy flow measurements relative to the direct photon is illustrated to reflect well the broadening and jet-induced medium response.Comment: 11 pages with 12 figures, revised version includes discussions on the background subtraction and different definitions of jet profil