Frictions, behavioral biases and active portfolio management

The three chapters of this thesis contribute to the following research questions: (i) What is the role of agency frictions for the performance of mutual funds? (ii) What is the role of market frictions for the performance of hedge funds? (iii) Do hedge funds profit from the behavioral biases of other market participants? The first chapter of this thesis comprises the article "Are Star Funds really Shining? Cross-trading and Performance Shifting in Mutual Fund Families", which is joint work with my colleagues Tamara Nefedova and Gianpaolo Parise. This article exploits institutional trade level data to study cross-trading activity inside mutual fund families and to answer the question whether cross-trades are used to smooth or to shift performance inside the fund family. The second chapter comprises the solo-authored article "Beta Arbitrage and Hedge Fund Returns". This article finds that a factor capturing the returns of strategies exploiting the low beta anomaly, i.e. a betting-against-beta factor (BAB), has significant explanatory power in the time-series and cross-section of hedge fund returns. The third chapter comprises the solo-authored article " Behavioral Factors in Risk Arbitrage". In the context of takeovers, the article examines the trading behavior of investors around a salient reference point, the 52-week high, and its effect on asset prices. Using a large sample of institutional trade-level data the article documents a 50% increase in institutional investor exit at the announcement date for offer prices exceeding the 52-week high. The increased selling pressure leads to significant stock price underreaction and explains a large part of the returns in risk arbitrage

Investigations into free tropospheric new particle formation in the central Canadian arctic during the winter/spring transition as part of TOPSE

In this paper, we investigate the role of in situ new particle production in the central Canadian sub-Arctic and Arctic as part of the TOPSE experiment. Airborne measurements conducted primarily in the free troposphere were made from 50° to 90°W longitude and 60° to 85°N latitude during the period from February to May 2000. Data pertinent to this paper include 3–4 nm diameter (Dp) particles, ultrafine condensation nuclei (Dp \u3e 3 nm), fine particles (0.2 \u3c Dp \u3c 3 μm), and the possible nucleation precursor, sulfuric acid, and its precursor, sulfur dioxide. For data averaged over this period, most species showed little evidence for a latitudinal trend. Fine aerosol number concentrations, however, showed a slight increase with latitude. The evolution of various species concentrations over the period of the study show that fine particles also had a consistent temporal trend, increasing at all altitudes from February to May, whereas sulfur dioxide at the surface tended to peak in late March. Ultrafine condensation nuclei and 3–4 nm particles showed no temporal trends. Little evidence for in situ new particle production was observed during the study, except for one atypical event where SO2concentrations were 3.5 ppbv, 2 orders of magnitude higher than typical levels. This paper cannot address the question of whether the observed condensation nuclei were produced in situ by a low particle production rate or transported from lower latitudes

Steady state free radical budgets and ozone photochemistry during TOPSE

A steady state model, constrained by a number of measured quantities, was used to derive peroxy radical levels for the conditions of the Tropospheric Ozone Production about the Spring Equinox (TOPSE) campaign. The analysis is made using data collected aboard the NCAR/NSF C-130 aircraft from February through May 2000 at latitudes from 40° to 85°N, and at altitudes from the surface to 7.6 km. HO2 + RO2 radical concentrations were measured during the experiment, which are compared with model results over the domain of the study showing good agreement on the average. Average measurement/model ratios are 1.04 (σ = 0.73) and 0.96 (σ = 0.52) for the MLB and HLB, respectively. Budgets of total peroxy radical levels as well as of individual free radical members were constructed, which reveal interesting differences compared to studies at lower latitudes. The midlatitude part of the study region is a significant net source of ozone, while the high latitudes constitute a small net sink leading to the hypothesis that transport from the middle latitudes can explain the observed increase in ozone in the high latitudes. Radical reservoir species concentrations are modeled and compared with the observations. For most conditions, the model does a good job of reproducing the formaldehyde observations, but the peroxide observations are significantly less than steady state for this study. Photostationary state (PSS) derived total peroxy radical levels and NO/NO2ratios are compared with the measurements and the model; PSS-derived results are higher than observations or the steady state model at low NO concentrations

Risk Factors for Malaria Infection and Seropositivity in the Elimination Area of Grand'Anse, Haiti: A Case-Control Study among Febrile Individuals Seeking Treatment at Public Health Facilities.

The island of Hispaniola aims to eliminate malaria by 2025; however, there are limited data to describe epidemiologic risk factors for malaria in this setting. A prospective case-control study was conducted at four health facilities in southwest Haiti, aiming to describe factors influencing the risk of current and past malaria infection. Cases were defined as individuals attending facilities with current or recent fever and positive malaria rapid diagnostic test (RDT), while controls were those with current or recent fever and RDT negative. Serological markers of recent and cumulative exposure to Plasmodium were assessed using the multiplex bead assay from dried blood spots and used for alternate case definitions. Kuldorff's spatial scan statistic was used to identify local clusters of infection or exposure. Logistic regression models were used to assess potential risk factors for RDT positivity and recent exposure markers, including age-group, gender, and recruiting health facility as group-matching variables. A total of 192 cases (RDT positive) and 915 controls (RDT negative) were recruited. Consistent spatial clusters were identified for all three infection and exposure metrics, indicating temporal stability of malaria transmission at these sites. Risk factors included remoteness from health facilities and household construction, furthermore, insecticide-treated net ownership or use was associated with reduced odds of RDT positivity. These findings indicate the malaria risk in Grand'Anse is driven primarily by location. Travel, occupation, and other behavioral factors were not associated with malaria. These data can support the National Malaria Program to refine and target their intervention approaches, and to move toward elimination

Trade-offs between security and inspection capacity - Policy options for land border ports of entry

Security 2006: Transportation Research Record, 1942: pp. 16-22.Observations of primary inspections at land border ports of entry between Ciudad Juarez, Mexico, and El Paso, Texas, indicate that the majority of inspections are of limited depth. 79% of primary inspections do not involve opening a vehicle compartment and 45% last 20 seconds or less. Slightly less than 2% of vehicles are referred to secondary inspections. Three policy options are considered for allowing more thorough primary inspections. The first would require all primary inspections to involve opening a vehicle compartment. This would increase average inspection times from 34 seconds to 70 seconds. The more thorough inspections would reduce the processing capacity of the ports of entry to roughly 50% of current peak hourly demand, creating congestion with the potential to propagate throughout the regional traffic network. The second option would limit the time in primary inspections to 63 seconds. Vehicles requiring more time to complete the inspection process would be referred to secondary inspections which would greatly increase the frequency of referrals to secondary inspections, but allow for the percentage of primary inspections that involve physical inspection of at least one vehicle compartment to be increased to 35%. The third option would increase the number of crossers in the SENTRI program, where pre-screened participants are subject to expedited inspections. Reducing the volume in the non-SENTRI lanes would allow more detailed inspections in these lanes. However, SENTRI participants currently constitute only a small portion of total border crossers. A doubling of the current SENTRI program would be required to raise the average non-SENTRI, primary inspection time from 34 to 40 seconds. This study concludes that none of these options, whether alone or in combination, have the potential to avoid conflicts between national security requirements that favor more detailed inspections and local traffic flow consideration that favor less detailed inspections. However, these strategies are amenable to incremental implementation, and such incremental implementation may increase the thoroughness of the inspection process without interfering with local traffic flows

High-throughput malaria serosurveillance using a one-step multiplex bead assay.

BACKGROUND: Serological data indicating the presence and level of antibodies against infectious disease antigens provides indicators of exposure and transmission patterns in a population. Laboratory testing for large-scale serosurveys is often hindered by time-consuming immunoassays that employ multiple tandem steps. Some nations have recently begun using malaria serosurveillance data to make inferences about the malaria exposure in their populations, and serosurveys have grown increasingly larger as more accurate estimates are desired. Presented here is a novel approach of antibody detection using bead-based immunoassay that involves incubating all assay reagents concurrently overnight. RESULTS: A serosurvey in was performed in Haiti in early 2017 with both sera (n = 712) and dried blood spots (DBS, n = 796) collected for the same participants. The Luminex® multiplex bead-based assay (MBA) was used to detect total IgG against 8 malaria antigens: PfMSP1, PvMSP1, PmMSP1, PfCSP, PfAMA1, PfLSA1, PfGLURP-R0, PfHRP2. All sera and DBS samples were assayed by MBA using a standard immunoassay protocol with multiple steps, as well a protocol where sample and all reagents were incubated together overnight-termed here the OneStep assay. When compared to a standard multi-step assay, this OneStep assay amplified the assay signal for IgG detection for all 8 malaria antigens. The greatest increases in assay signal were seen at the low- and mid-range IgG titers and were indicative of an enhancement in the analyte detection, not simply an increase in the background signal of the assay. Seroprevalence estimates were generally similar for this sample Haitian population for all antigens regardless of serum or DBS sample type or assay protocol used. CONCLUSIONS: When using the MBA for IgG detection, overnight incubation for the test sample and all assay reagents greatly minimized hands-on time for laboratory staff. Enhanced IgG signal was observed with the OneStep assay for all 8 malaria antigens employed in this study, and seroprevalence estimates for this sample population were similar regardless of assay protocol used. This overnight incubation protocol has the potential to be deployed for large-scale malaria serosurveys for the high-throughput and timely collection of antibody data, particularly for malaria seroprevalence estimates

Quality control of multiplex antibody detection in samples from large-scale surveys: the example of malaria in Haiti.

Measuring antimalarial antibodies can estimate transmission in a population. To compare outputs, standardized laboratory testing is required. Here we describe the in-country establishment and quality control (QC) of a multiplex bead assay (MBA) for three sero-surveys in Haiti. Total IgG data against 21 antigens were collected for 32,758 participants. Titration curves of hyperimmune sera were included on assay plates, assay signals underwent 5-parameter regression, and inspection of the median and interquartile range (IQR) for the y-inflection point was used to determine assay precision. The medians and IQRs were similar for Surveys 1 and 2 for most antigens, while the IQRs increased for some antigens in Survey 3. Levey-Jennings charts for selected antigens provided a pass/fail criterion for each assay plate and, of 387 assay plates, 13 (3.4%) were repeated. Individual samples failed if IgG binding to the generic glutathione-S-transferase protein was observed, with 659 (2.0%) samples failing. An additional 455 (1.4%) observations failed due to low bead numbers (<20/analyte). The final dataset included 609,438 anti-malaria IgG data points from 32,099 participants; 96.6% of all potential data points if no QC failures had occurred. The MBA can be deployed with high-throughput data collection and low inter-plate variability while ensuring data quality

Selection of Antibody Responses Associated With Plasmodium falciparum Infections in the Context of Malaria Elimination.

In our aim to eliminate malaria, more sensitive tools to detect residual transmission are quickly becoming essential. Antimalarial antibody responses persist in the blood after a malaria infection and provide a wider window to detect exposure to infection compared to parasite detection metrics. Here, we aimed to select antibody responses associated with recent and cumulative exposure to malaria using cross-sectional survey data from Haiti, an elimination setting. Using a multiplex bead assay, we generated data for antibody responses (immunoglobulin G) to 23 Plasmodium falciparum targets in 29,481 participants across three surveys. This included one community-based survey in which participants were enrolled during household visits and two sentinel group surveys in which participants were enrolled at schools and health facilities. First, we correlated continuous antibody responses with age (Spearman) to determine which showed strong age-related associations indicating accumulation over time with limited loss. AMA-1 and MSP-119 antibody levels showed the strongest correlation with age (0.47 and 0.43, p < 0.001) in the community-based survey, which was most representative of the underlying age structure of the population, thus seropositivity to either of these antibodies was considered representative of cumulative exposure to malaria. Next, in the absence of a gold standard for recent exposure, we included antibody responses to the remaining targets to predict highly sensitive rapid diagnostic test (hsRDT) status using receiver operating characteristic curves. For this, only data from the survey with the highest hsRDT prevalence was used (7.2%; 348/4,849). The performance of the top two antigens in the training dataset (two-thirds of the dataset; n = 3,204)-Etramp 5 ag 1 and GLURP-R0 (area-under-the-curve, AUC, 0.892 and 0.825, respectively)-was confirmed in the test dataset (remaining one-third of the dataset; n = 1,652, AUC 0.903 and 0.848, respectively). As no further improvement was seen by combining seropositivity to GLURP-R0 and Etramp 5 ag 1 (p = 0.266), seropositivity to Etramp 5 ag 1 alone was selected as representative of current or recent exposure to malaria. The validation of antibody responses associated with these exposure histories simplifies analyses and interpretation of antibody data and facilitates the application of results to evaluate programs

The Immediate Effects of a Combined Mass Drug Administration and Indoor Residual Spraying Campaign to Accelerate Progress Toward Malaria Elimination in Grande-Anse, Haiti.

BACKGROUND: Haiti is planning targeted interventions to accelerate progress toward malaria elimination. In the most affected department (Grande-Anse), a combined mass drug administration (MDA) and indoor residual spraying (IRS) campaign was launched in October 2018. This study assessed the intervention's effectiveness in reducing Plasmodium falciparum prevalence. METHODS: An ecological quasi-experimental study was designed, using a pretest and posttest with a nonrandomized control group. Surveys were conducted in November 2017 in a panel of easy access groups (25 schools and 16 clinics) and were repeated 2-6 weeks after the campaign, in November 2018. Single-dose sulfadoxine-pyrimethamine and primaquine was used for MDA, and pirimiphos-methyl as insecticide for IRS. RESULTS: A total of 10 006 participants were recruited. Fifty-two percent of the population in the intervention area reported having received MDA. Prevalence diminished between 2017 and 2018 in both areas, but the reduction was significantly larger in the intervention area (ratio of adjusted risk ratios, 0.32 [95% confidence interval, .104-.998]). CONCLUSIONS: Despite a moderate coverage, the campaign was effective in reducing P. falciparum prevalence immediately after 1 round. Targeted MDA plus IRS is useful in preelimination settings to rapidly decrease the parasite reservoir, an encouraging step to accelerate progress toward malaria elimination

Rapid Screening for Non-falciparum Malaria in Elimination Settings Using Multiplex Antigen and Antibody Detection: Post Hoc Identification of Plasmodium malariae in an Infant in Haiti.

Haiti is targeting malaria elimination by 2025. The Grand'Anse department in southwestern Haiti experiences one-third to half of all nationally reported Plasmodium falciparum cases. Although there are historical reports of Plasmodium vivax and Plasmodium malariae, today, non-falciparum infections would remain undetected because of extensive use of falciparum-specific histidine-rich protein 2 (HRP2) rapid diagnostic tests (RDT) at health facilities. A recent case-control study was conducted in Grand'Anse to identify risk factors for P. falciparum infection using HRP2-based RDTs (n = 1,107). Post hoc multiplex Plasmodium antigenemia and antibody (IgG) detection by multiplex bead assay revealed one blood sample positive for pan-Plasmodium aldolase, negative for P. falciparum HRP2, and positive for IgG antibodies to P. malariae. Based on this finding, we selected 52 samples with possible P. malariae infection using IgG and antigenemia data and confirmed infection status by species-specific PCR. We confirmed one P. malariae infection in a 6-month-old infant without travel history. Congenital P. malariae could not be excluded. However, our finding-in combination with historical reports of P. malariae-warrants further investigation into the presence and possible extent of non-falciparum malaria in Haiti. Furthermore, we showed the use of multiplex Plasmodium antigen and IgG detection in selecting samples of interest for subsequent PCR analysis, thereby reducing costs as opposed to testing all available samples by PCR. This is of specific use in low-transmission or eliminating settings where infections are rare