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Essays in empirical finance
No full textWe are all aware of the recent world health crisis, namely COVID-19. Every single person experiences the direct impact of this pandemic on their personal life and day-to-day activities. For the first time in our lives, we see government intervention at a global scale with nationwide lockdowns and other preventive measures that may change people’s habits and behaviors. As never before, we feel the immense role of government in our lives that impacts our future. Therefore, the topic of state ownership and political connectedness found throughout this thesis is worthwhile for investigation to embrace the role of national government and its relationship to company performance through share prices, firm-level innovation for future growth and sustainability, liquidity and survival opportunities.
From an economic perspective, we see many small businesses collapsing without government support, and we have witnessed the historic price crash on the futures contract for WTI crude oil to as low as -$37.63 per barrel on April 21, 2020 due to travel bans. We have also experienced share prices plummeting due to worldwide instability. Differences in the countries’ policies have resulted in different outcomes for each nation. Surprisingly enough, neither Europe nor the US is dealing with the crisis better than smaller countries that have prompt support from government (for example, New Zealand) or Asian countries (e.g., Vietnam) with its records of strong involvement into company operations. In this sense, the current reality has proven that there is something to learn from smaller countries that deserve attention from academics as a prospective viable economic model where the government has significant influence on businesses. Vietnam is a good example of a small resilient country, going through multiple financial crises with minimal impacts and fast post-crisis recovery. China is chosen for its significant influence on the world’s economic map. Both countries feature prominent government involvement into company operations and represent an emerging market in Asia with impressive economic growth in recent years.
This thesis comprises three empirical essays that explore asset pricing models (Chapters 2 and 3) and firms’ value in the emerging markets of Asia where the state is involved actively in financial market development and capital allocation (Chapter 4). Starting from Chapter 2 with different factor models and state ownership, this thesis further explores asset pricing models with time-varying factor loading in Chapter 3 and extends the understanding of state ownership to political connectedness in Chapter 4.
Chapter 2 investigates the applicability of different Fama-French (FF) factor models in Vietnam, examines the value factor redundancy and explores the choice of the profitability factor. Empirical evidence shows that the FF five-factor model has more explanatory power than the FF three-factor model. The value factor remains important after inclusion of profitability and investment factors. Operating profitability performs better than cash and ROE profitability as a proxy for the profitability factor in the FF factor modeling. The value (HML) factor and operating profitability have the biggest marginal contribution to a maximum squared Sharpe ratio for the five-factor model’s factors, highlighting HML non-redundancy in describing the stock returns in Vietnam.
Chapter 3 studies factor models using both the time-series factors of the Fama and French (2015) approach and cross-sectional factors from the Fama-Macbeth (1973) methodology. The work provides evidence that the cross-sectional factor models have less explanatory power than the time-series factor models with time-varying factor loadings. The superiority of the time series models with time-varying loadings is still prevalent for the Vietnamese market regardless of the profitability factor choice. Chapter 2 is further supported by Chapter 3, as the latter shows that operating profitability still performs better than cash and ROE profitability as a proxy for the profitability factor in the models with time-series and cross-sectional factors.
Chapter 4 extends the understanding of state ownership by exploring state impact on company performance and value. Using innovation value-added growth (IVAG), this chapter studies how political connectedness affects firm’s efficiency of capital allocation. By differentiating different forms of political connectedness, the study shows that companies with strong informal political ties take less financial leverage than firms with weak connections, but it is the formal political connection that determines the survivability of a company. By designing a comprehensive innovation index for innovation activities this study provides evidence that informal political interference has stronger influence on corporate innovation activities than formal political ties. By exploring the differences between internally driven innovation activities and market-led innovation performance, this study documents the stronger effects of political connectedness on innovation activities than on innovation performance. This chapter also sheds light on capital allocation by providing evidence that Chinese firms without government-appointed CEOs appear to allocate capital more efficiently than the firms with government-appointed CEOs
Examining the role of cohesin subunit Rad21 in malignancy and development
No full textThe cohesin complex is essential for cell survival, owing to its well-established roles in cell division, DNA repair and gene expression. Malignancy and developmental disorders termed the cohesinopathies can result when mutations are present in cohesin subunits, or in proteins that interact within cohesin.
In this thesis, I describe experiments using the rad21nz171 zebrafish mutant line, which carries a null allele for cohesin subunit Rad21, to address cohesin’s role in driving malignancy and normal development. The thesis is in two sections.
The first section examines the functionality of a germline RAD21 variant that may be responsible for the development of myelodysplastic syndrome in a cohort of patients. RAD21 functionality can be determined through the use of a zebrafish runx1 in situ hybridisation bioassay, and this research found that the familial variant produces a functional cohesin subunit. A novel RAD21 variant was designed and assayed alongside the familial variant, and found to be non-functional.
The second section focuses on the role of cohesin in regulating normal embryogenesis. High-throughput RNA-sequencing was performed on the elongating tailbuds of rad21nz171 zebrafish embryos compared to wildtype siblings, to elucidate which genes and biological pathways cohesin is fundamental in regulating during zebrafish embryogenesis. The tailbud was chosen for examination as the posterior of the zebrafish develops from a bipotent stem cell population in this structure, and a lack of cohesin-regulated gene expression is predicted to affect cell fate decisions of the stem cells. An abundance of metadata was generated from the RNA-sequencing analyses, providing numerous avenues for further exploration. The spatial expression of four genes identified in these analyses were examined via in situ hybridisation, providing a broader picture of cohesin-deficient development.
We discovered that in the absence of cohesin-regulation, the fate of bipotent stem cells in the developing zebrafish tailbud skews towards neural ectoderm over mesodermal progenitors, and theorise that this shift is due to dysregulation of wnt3a, a key regulator of zebrafish axial elongation. A role for cohesin in regulating ribosome biogenesis, and thus protein translation, was identified in these analyses. The involvement of cohesin in assisting in protein translation implicates cohesin as regulating gene expression not only at the gene, but protein level also – a role which has not been well explored in the literature to date
Essays in corporate finance
No full textThis thesis studies the effects of CEO succession gaps (differences in personal traits between the predecessor and successor) on subsequent firm performance (Chapter 2), and firm future risk-taking (Chapter 3). Market reactions to the revelation of CEO succession gaps among S&P 500 firms spanning the period 1992 to 2016 are finally presented in Chapter 4.
In Chapter 2, I examine the effect of succession-induced gaps in CEO characteristics on subsequent firm performance. Findings in this chapter show that a gap index constructed using differences in CEO attributes resulting from the succession process leads to deteriorating subsequent firm performance when the succession event itself is characterized as disruptive. However, under non-forced succession and when pre- succession performance has been good, a change in characteristics contributes positively to enhancing subsequent firm performance. Analysis of the channels through which value changes are affected suggest that radically different CEOs are more likely to bring with them a higher proportion of co-opted directors, make downsizing and business divesting decisions, and lead firms characterized by higher levels of post-succession strategic instability when there is a mandate for change. Overall, my findings demonstrate that tapping successors who bring in a new set of attributes that are markedly different from those of their predecessors may not always lead to value-enhancement.
In Chapter 3, I investigate the relationship between succession-induced gaps in CEO risk-taking attributes and subsequent firm risks. Findings in this chapter show that the risk-taking gap index constructed using several CEO personal attributes is positively related to subsequent firm risk, especially under forced removal, poor pre-succession firm performance, and external succession. Furthermore, I find that under the aforementioned three circumstances, CEOs with risk-taking gaps increase firm risk through implementing riskier financing policies (higher financial leverage), operating policies (higher operating leverage), investment policies (higher R&D intensity and/ or lower capital expenditure) and diversification strategies (higher Herfindahl-Hirschman Index and/ or less business segments within which the firm operates). Overall, findings in this chapter suggest that CEOs’ personal risk-taking attributes in non-economic contexts have serious implications for firms’ risk-taking policies and overall risk profile.
Finally, in Chapter 4, I examine the price effect of succession-induced gaps in CEO characteristics. Results show that under forced removals and when pre-succession firm performance has been poor, market participants react favorably to successors with relatively high levels of succession gaps. The magnitude of CARs is 2.64% (4.35%) for the High Gap group under forced succession (poor pre-performance) over the [-5,+5] event window. For firms tapping successors with relatively low levels of succession gaps under forced removals or successions following poor performance, however, the cumulative abnormal returns are neither economically nor statistically significant during the 11-day event window. This is because instead of affecting effective changes, tapping a successor sharing similar personal traits with his/ her predecessor will simply indicate organizational inertia and may fail to signal management quality improvements. Consistent with my hypothesis, for firms under non-forced successions or when pre- succession performance has been good, the cumulative abnormal returns following the revelation of CEO succession gaps is not statistically different from zero during the [-5,+5] event period for both incoming CEOs with high and low succession gaps, due to the fact that the event itself implies a continuation of firm policy and does not convey any new information to investors
SSE 50 ETF options
No full textI have four chapters in this thesis, chapter one is the introduction of the paper.
The abstract for chapter 2: Using Bakshi, Cao and Chen (2000), and Bakshi and Kapadia’s (2003) methodology, this paper study the Chinese equity index options market that has been developing since 2015. Empirical evidence shows that the market price of call (put) option is generally lower (higher) than the Black-Scholes prices with historical volatility. The prices of the options do not support the one dimensional diffusion model properties. The delta-hedged gains in call (put) options are 61.79% (63.25%) negative. The non-zero delta-hedged gain suggests that the investors are mainly trading on additional volatility risk in the option market in China.
The abstract for chapter 3: This paper analyzes the empirical dynamics of the implied volatility (IV) curves of SSE 50 ETF options, the only equity options market in China. We adopt Zhang and Xiang’s (2008) methodology to quantify the IV curve and find it exhibits a right skewed smirk slope, which is different to the left skewed IV smirk shape commonly exhibited in US and international equity option markets. The IV curve becomes more right skewed during the GFC in 2015 and clams to symmetry after-hand. We show that the variation in the SSE 50 ETF options is explained by investors’ sentiments.
The abstract for chapter 4: We introduce and evaluate the China Volatility Index (CNVIX), a model free volatility index for the Chinese equity market based on the ETF options in China. We extend the Chicago Board Options Exhcnage's methodology for the Volatility Index (VIX) by interpolating-extrapolating the option dataset in the newly established options market in China. We also evaluate the CNVIX's leverage effect and its return forecastability. We find a strong negative asymmetric leverage effect in the CNVIX and a positive mean volatility risk premium (VRP), which can predict the underlying ETF's daily, weekly and two-weekly returns
doctor Ovid: teaching what to whom in Tristia 2?
No full textThis study undertakes a close reading of Ovid’s poem Tristia 2, which was composed in AD 9 when the poet was in exile. I argue that although the poem, explicitly addressed to Augustus, takes the form of an earnest plea for mercy, it incorporates various criticisms of the autocrat, while also presenting a vigorous defence of the Ars Amatoria, the poem that contributed significantly to his banishment.
The tension between plea and criticism points to a subversive line of interpretation that has been mooted by several studies, including Ingleheart’s recent commentary. It forces readers to take a position on Tristia 2’s political stance.
By examining Ovid’s artistic techniques, I argue that he undercuts his plea by denigrating Augustus and the position he took in the case. Through this and in a pitch for acquittal in the eyes of his literary public, he defends both the Ars Amatoria and himself and exposes the injustice of his conviction and punishment.
I contend that while Ovid hoped that this approach might result in an improvement in his circumstances of exile (or end it), his most important goal was to rescue and redeem his reputation so that his name could live on through people reading his works
Effects of interspecific interactions on individual specialisation
No full textIn many species, some individuals are specialist users of a subset of the total resources available to their population, a phenomenon known as individual specialisation. This intraspecific variation has long been suspected of shaping population dynamics and has potentially large effects at the ecosystem level. Variation in the degree of individual specialisation can be driven by ecological interactions.
The common bully Gobiomorphus cotidianus, a New Zealand native fish, displays a generalised diet at the population level, with moderate levels of individual specialisation. Juvenile perch Perca fluviatilis compete for the same food resources, while larger perch are potential predators. These antagonistic biological interactions may have an impact on the trophic niche and the degree of individual specialisation in bullies.
I used surveys of fish communities and cross-sectional diet data to assess individual specialisation in wetland bully populations in relation to ecological factors. Then, in two series of controlled manipulative experiments, I asked how individual specialisation in bullies responded to intraspecific competition, interspecific competition and predation risk from perch. I hypothesised that ecological niches at the population and individual levels would vary according to the composition of the fish community. Finally, I led a collaborative comparative phylogenetic analysis of the literature which compiled indices of individual specialisation in diet across ecosystems and taxa and tested whether individual specialisation was predicted by cumulative measures of human impacts. I anticipated that due to global resource and habitat disruptions, human impacts on individual specialisation would generally be negative.
Consistent with the niche variation hypothesis, I found that intraspecific competition led to overall higher intraspecific diet diversity, while interspecific competition led to lower degrees of individual specialisation. Predation risk had a positive effect on dietary, and a negative effect on habitat individual specialisation. However, the direction of these effects changed when interspecific competition occurred along predation risk. At the population level, I recorded niche shifts due to interspecific competition both in habitat use and in diet.
Finally, I found negative effects of human activities on individual specialisation in terrestrial and freshwater ecosystems. There was however no evidence of a similar negative relationship in marine ecosystems. This discrepancy in results might be linked to differences in the types of drivers that impact individual specialisation between each ecosystem type.
This work underscores the importance of integrating individual variation when evaluating a population’s response to antagonistic biological interactions
Negotiating intimate relationships: A study of black African women in New Zealand
No full textWomen of Black African descent are often depicted as powerless and unable to negotiate for what they want in intimate relationships. Their constraint has been attributed to deeply ingrained cultural beliefs that disadvantage African women. Recent scholarly studies on diaspora African women focus on their adjustments to western environments and suggest there is some shift in women’s adherence to African cultural norms. However, the norms that frame African women’s lived experiences of negotiations of gender and sexuality practices and their impact on gender inequality and HIV prevention have not been made explicit for interrogation of their agency in intimate relationships.
I used in-depth interviews with 22 Black African women in three cities in New Zealand to generate research data. I conducted a constructionist narrative analysis of the data using relevant literature and Bourdieu’s theoretical concepts of practice as interpretive tools, while I retained an Afrocentric worldview. The analysis focused on the participants’ dispositions towards gendered norms and their negotiations of intimate relationships.
The study revealed that there was a reliance on male-privileging gender ideologies, an acknowledgement that prevailing relationship norms were burdensome for women, and a desire for change, without becoming “unAfrican”. Gendered assumptions of roles and expectations of African women continued to retain pre-eminence as the frame of reference for participants’ relationship practices, although the lived expressions of an African identity constructed by them was not linear or simplistic. Despite what seemed like rigid role boundaries, shifting understandings of gender roles gave rise to stress emanating from the tension between the way the women negotiated norms of their places of origin and those of their Western host country.
The women employed pragmatism, marginal resistance, and dissidence as empowerment tools in complex negotiations of traditional norms in their response to the cultural power of men. While the use of pragmatism and marginal resistance involved a contesting accommodation of cultural norms without transgressing them, the use of dissidence entailed an outright refusal of aspects of African gendered norms, representing opposition to cultural competence required of women. The participants’ handicap from being ‘woman’ were reduced with their sophistry at using their internalized cultural socialization of relationships, and amassed capital, to achieve agency. What the women lacked in ascribed cultural power, they looked to social (relational) capital to gain. Participants’ cultural norms, practices and socialization were, therefore, sites of contestation. The negotiation of the conflicts fostered ambivalence towards African culture and the adoption of a third space of culture, along with its multiplicity of identities.
I argue that the past that the women in this study carry in their habitus mediates their behaviors in definitive ways, and that a quest to improve the women’s agency in health and related matters requires the recognition of their early cultural socialization to privilege male partners. Notwithstanding a habitus from original socialization, it is in the New Zealand Western space context that questions of cultural identities, belongingness, and perspectives on risk to identity, relationship and disease were mediated. The women’s perception of vulnerability to risk with respect to sexual health was mediated by their perception of New Zealand as “safe”, and as a “small pond” for relationship opportunities. The women’s approaches to negotiating the norms also impacted on their perspectives of men. The thesis brings into focus the complexities of negotiating safe and pleasurable sex, which discourses on the intersection of gender, race, age, and class tend to oversimplify for women of African descent.
The findings of this study suggest that perspectives and reception of African traditional gendered norms of intimate relationships are changing in the practices of Black African women in New Zealand, notwithstanding deeply held beliefs about the norms. Yet, the change is hindered by a focus on an “African woman identity ideal”, and its associated societal expectations as canonical principles in negotiating intimate relationships, which creates a dissonance between their beliefs and practices in the diaspora.
I argue that change is possible in the long term and should be facilitated through talks and workshops where women share their stories, because women as socialized agents, unwittingly anchor the system that maintains male hegemony. I recommend expanded choice for women in HIV prevention through developing effective flexible administration of pre-exposure prophylaxis (PrEP) and investment in developing multipurpose technologies (MPTs) that combine contraception and HIV prevention strategies in one offering.
Overall, the thesis contributes theoretical and empirical boost to the body of literature on the agentic responses of African women in the diaspora to the constraints of gender inequality within the context of heteronormativity. The thesis challenges accounts of a stable African identity as an over-emphasis, arguing that significant boundary erosions enable fluid identities and agential responses to the cultural power of men. Arguing in a Bourdieusian approach, the thesis establishes that the pursuit of personal interest provides the impetus to transcend regulating norms for agentic behavior without necessarily transgressing the norms as would be expected in socialization theory
Impact of pre-treatment and heat treatment (sublethal injury) on the survival of Streptococcus salivarius K12 cells in a model food product
No full textThe objective of this study was to investigate the impact of a processing step involving heat (61ºC for 24 minutes or 66ºC for 2.4 minutes) on the survival of S. salivarius K12 dried cells in model cereal bars held at 25oC for up to 49 days. The result showed the survival of K12 after heat treated had the D value was 22 days compared of 38 days for unheated. The further study investigated that the impact of a pre-heating step (50ºC for 24 hours or 56ºC for 24 hours) on the subsequent survival of unheated or heated (61ºC for 24 minutes) S. salivarius K12 dried cells after their addition to model cereal bars. The result showed K12 after pre-heated at 50ºC then heated had D value of 28 days and pre-heated at 56ºC had D value 31 days
Assessing the potential public health impacts of the intensification of dairy farming in New Zealand
No full textGlobal, national, and local pressures have shaped the New Zealand dairy industry and have led to the intensification of dairy farming. There are a number of potential health impacts, both positive and negative, associated with dairy farming. This thesis aims to identify and describe causal pathways linking dairy farming and public health, and to quantify selected impacts associated with the intensification of dairy farming in New Zealand.
Review of the literature identified zoonotic diseases; occupational hazards; direct and indirect environmental health impacts; antimicrobial resistance; foodborne hazards; diet-related health harms and benefits; and indirect economic, social, and cultural effects as potential health impacts associated with dairy production and consumption. However, there are considerable difficulties involved in quantifying the effects of the intensification of dairy farming on human health, particularly with regard to complex and indirect causal pathways, such as climate change and diet. Health impact assessment, the environmental burden of disease approach, and integrated assessment modeling were identified as appropriate methodologies for a comprehensive and transdisciplinary assessment of the potential health impacts associated with the intensification of the dairy sector. While these approaches were deemed too resource-intensive to complete as a part of this thesis, components of this thesis could provide useful input into such an assessment in the future.
Dairy cattle numbers have increased substantially in New Zealand in recent decades. High dairy cattle density represents a significant potential exposure to zoonotic pathogens. This thesis primarily focused on bovine enteric zoonoses, due to the historically high enteric infection rates in humans in New Zealand. Specifically, the influence of dairy density on campylobacteriosis, cryptosporidiosis, giardiasis, salmonellosis, and Shiga toxin-producing Escherichia coli (STEC) infection was investigated.
Environmental exposure to bovine zoonotic pathogens is of particular concern in rural and peri-urban areas. Descriptive analyses indicated that there may be higher risk of infection in areas where dairy cattle were newly introduced than in longstanding dairy farming regions. In particular, campylobacteriosis and cryptosporidiosis notification rates in New Zealand display strong seasonality and distinct patterns between urban and rural areas. For both diseases, increases in rural cases often preceded increases in urban cases, suggesting that rural exposures drive some of the burden of disease in urban areas. Detection of space-time clusters also demonstrated differences in disease risk between urban and rural areas.
Classification and regression tree analysis indicated that estimated river E. coli concentration was an important predictor for campylobacteriosis and cryptosporidiosis clusters. Therefore, waterborne transmission may play an important role in the development of some disease clusters. Livestock densities were important predictors for both clusters and seasonal notification rates of both diseases. Additionally, Poisson generalized linear models indicated that cattle are an important source of disease for young children in rural areas.
There may be human health benefits to limiting dairy cattle numbers in areas where environmental factors facilitate pathogen transport to waterways. However, the relationship between dairy cattle density and enteric disease rates is complex and pathogen specific. Importantly, local and larger scale environmental characteristics and social factors appear to strongly modulate disease risk
Is elastography type technology useful for quantifying the characteristics of fascia tissues, who uses diagnostic ultrasound in a musculoskeletal setting, and what are the beliefs of users and non-users?
No full textDetection of stiffness in muscle and fascia tissues through the application of subjective palpation helps guide the musculoskeletal practitioner to a working diagnosis. Elastography represents a new technology that measures the stiffness of these tissues quantitatively. Interest in fascia tissues has grown over the last two decades and its role in body movement and other physiological functions has seen a rapid growth in research during this time. This paper aims to investigate the potential of utilising elastography to quantitatively measure fascia tissue stiffness in a musculoskeletal setting. A mixed method approach was followed using a systematic narrative review and survey. The target population of the survey involved rheumatologists, musculoskeletal/sports doctors, chiropractors, physiotherapists, and osteopaths. Most musculoskeletal practitioners are not aware of elastography, hence diagnostic ultrasound was considered an appropriate substitution to gain the beliefs and attitudes of both users and non-users. No studies were found in the literature that utilised elastography to measure stiffness in fascia tissues other than in tendons. However, studies of tendons identified in the review illustrated very good to excellent sensitivity and specificity to detect pathological from non-pathological tissues. Additionally, preferred protocols to enhance elastography scanning were identified. The most likely users of diagnostic ultrasound are currently rheumatologists and musculoskeletal/sports doctors with the most common reason given by non-users being a lack of training/education. All professions mostly agree (>70%) that diagnostic ultrasound is able to produce reliable images of pathologic and non-pathologic tissues, should only be taken by trained professionals, can aid a clinician with good palpation skills, and may be useful to quantify diagnostic findings.
This paper concludes that elastography may be useful to quantify tissue stiffness, however more research is required for elastography to be reliably utilised in a musculoskeletal setting