A Process Capability Index for Three-Dimensional Data with Circular or Ellipsoidal Tolerances.

We discuss the estimation of a process capability index for three-dimensional data. Initially, we focus on the case in which the engineering tolerance associated with the measurements is a sphere. Then, we extend the discussion to the more general case in which the engineering tolerance is ellipsoidal. In both cases, we develop summary measures for repeatability and reproducibility, to be used in the context of a process capability index. In the spherical tolerance case we define summary measures, where each measure is based on the diameter of a sphere that leads to a pre-specified capture rate (we will use here 99%). As a process capability index, we propose ratios, where each ratio is the diameter of such a sphere divided by the diameter of the tolerance sphere. In the ellipsoidal tolerance case, such summary measure will be based on the length of the major axes of the ellipsoid of identical shape and orientation to the tolerance ellipsoid providing a pre-specified capture rate (again, we will use here 99%). As a process capability index, we propose ratios, where each ratio is the major axis of such ellipsoid divided by the major axis of the tolerance ellipsoid. We present two algorithms in the language R aimed at facilitating the estimation of our summary measure of variability. The first algorithm evaluates the probability that a linear combination of three (or fewer) independent chi-square variables will be less than or equal to a given constant. The second algorithm estimates the value a linear combination of chisquare variables is less than or equal to, given a pre-specified probability. In addition, we offer an algorithm in the language R for computing the process capability index in the context of color metrics. We present applications to color measurements and to R&R analysis of color metrics. We show how the components of variance in these three-dimensional measurements can be easily compared to each other and to the tolerance region, using the single-dimensional summary measures of process capability

Are SWFs Welcome Now?

This perspective documents the change in attitudes of Western governments to foreign direct investment from sovereign wealth funds. The authors propose an analysis of sovereign wealth fund investments and their impact on target firms in order for recipient governments to formulate the proper regulatory response to sovereign direct investment

主权财富基金是否受欢迎？

本文记录了西方国家政府对外国直接投资中的主权财富基金态度的变化。作者分析了主权财富基金投资和其对目标公司的影响，使受援国政府能够为主权财富基金投资制订适当的监管

Fails-to-deliver, short selling, and market quality

We investigate the collective net impact on market liquidity and pricing efficiency of equity trades that result in fails to deliver (“FTDs”). Given the nature of the US electronic trade settlement system for stocks, such “FTD trades” should originate almost exclusively from short sales, and we confirm this empirically on the basis of a natural experiment arising from a regulatory event. For a sample of 1,492 NYSE common stocks over a 42-month period from 2005 to 2008, we find that such trades lead to the same beneficial impact on liquidity and pricing efficiency as short sales that result in timely delivery. We do not find evidence that such trades are causally related to subsequent price declines or distortions, or to the failure of financial firms during the 2008 financial crisis

Naked short selling: The emperor`s new clothes?

Regulatory and media concern has focused heavily on the potentially manipulative distortion of market prices associated with naked short selling. However, naked shorting can also have beneficial effects for liquidity and pricing efficiency. We empirically investigate the impact of naked short-selling on market quality, and find that naked shorting leads to significant reduction in positive pricing errors, the volatility of stock price returns, bid-ask spreads, and pricing error volatility. We study naked shorting surrounding the demise of financial institutions hardest hit by the financial crisis in 2008 and find no evidence that stock price declines were caused by naked shorting. We also find that naked short-selling intensifies after rather than before credit downgrade announcements during the 2008 financial crisis. In general, we find that naked short sellers respond to public news and intensify their activity after price declines rather than triggering these price declines. We study the impact of the SEC ban on naked short selling of financial securities during July and August 2008, and find that the ban did not slow the price decline of those securities and had a negative impact on liquidity and pricing efficiency. Finally, after examining the speeds of mean reversion of pricing errors and order imbalances, we infer that Regulation SHO was successful in curbing the impact of manipulative naked short selling, and this reduction in the impact of manipulative naked shorting has continued through the 2008 financial crisis. Overall, our empirical results are in sharp contrast with the extremely negative preconceptions that appear to exist among media commentators and market regulators in relation to naked shortselling. --Naked Short Selling,Short Selling,Pricing Efficiency

Essays on State Ownership

The aim of my dissertation is to provide insights into the rationale and impact of government investments. The first chapter introduces the topic, from a corporate finance perspective. The second chapter (Why Do Governments Lend?) focuses on the factors leading to the participation of state-owned lenders in the corporate loan market, both as providers of capital and as arrangers. The third chapter (Sovereign Wealth Fund Investment, Passivity, and the Value of the Firm) examines the impact of sovereign wealth fund ownership on the performance of listed companies, with a focus on governance. The fourth chapter (Government Ownership and the Cost of Debt: Evidence from Government Investments in Publicly Traded Firms) explores the impact of government ownership on the cost of debt of publicly traded firms, in particular as it relates to the creation of implicit debt guarantees

Sovereign Wealth Fund Investment Patterns and Performance

This study describes the newly created Monitor-FEEM Sovereign Wealth Fund Database and discusses the investment patterns and performance of 1,216 individual investments, worth over $357 billion, made by 35 sovereign wealth funds (SWFs) between January 1986 and September 2008. Approximately half of the investments we document occur after June 2005, reflecting a recent surge of SWF activity. We document large SWF investments in listed and unlisted equity, real estate, and private equity funds, with the bulk of investments being targeted in cross-border acquisitions of sizeable but non-controlling stakes in operating companies and commercial properties. The average (median) SWF investment is a$441 million ($55 million) acquisition of a 42.3$57billion on their holdings of listed stock investments alone through March 2009.Sovereign Wealth Funds, International Financial Markets, Government Policy and Regulation