This thesis analyzes the nature of foreign equity trades in relation to their effects on local markets. My goal is to contribute to the understanding of equity flows of foreign investors and their effect on the local markets. The thesis consists of two chapters, both of which employ a novel data set that is consisted of monthly equity flows by foreign investors at Istanbul Stock Exchange of Turkey. The first chapter, Foreign Ownership and World Market Integration, aims to explain the de facto financial market integration with global markets with foreign equity ownership using a novel data set of foreign portfolio flows at the individual stock level. The main result is the positive link between global nancial integration and past portfolio in flows by foreign investors on the cross-section of local stocks. The results have high economic significance: Across individual stocks a 1.4% increase in foreign portfolio inflows corresponds to up to 3.3% greater relative explanatory power of the global factor in explaining local stock returns in the following month. The results are indicative of a causal link: The lead-lag effect between foreign portfolio inflows and financial integration does not exist in the opposite direction. I show that stocks that experience an increase in foreign ownership are not more financially integrated in the past, i.e. the foreign portfolio flows are not a response to increased financial integration. The second chapter is titled as Uninformed Momentum Traders and it studies the relationship between momentum trading and information. I present evidence that supports the hypothesis that momentum trading is linked to a lack of information. I document significant momentum trading by foreign investors in stocks on which they potentially have more informational disadvantages. Small stocks, stocks with high volatility and low liquidity, stocks that are financially less integrated and have greater foreign exchange risk are subject to greater momentum trading. Moreover, stocks on which foreign trades indicate lower future profitability are subject to higher momentum trading. Additionally, I show that momentum trades by foreign investors exert contemporaneous price pressure and have no valuable longer-run information content. The contemporaneous price pressure of 2.30% per month is followed by a significant return reversal in the following two quarters. Finally, there is strong evidence that foreign investors do not possess local market speci c information. Momentum trading by foreign investors is triggered by the past profitability of the momentum factor in the local market. However, the negative pro tability of momentum makes momentum trading a sub-optimal trading strategy.

In the past few decades, several researchers have studied the effects of ASR induced expansion in concrete. Several models have been proposed to model the effects of ASR in concrete. While most of these models focus on plain concrete, there is limited amount of research to model the influence of ASR expansion in reinforced concrete. Additionally, the existing models are complex and difficult to implement for practicing engineers. In this study the shortcomings with the existing models are addressed. A minimalist semi-empirical model is developed to represent the degradation of reinforced concrete due to ASR expansion. The model is validated using historical experimental data. Only two key parameters are needed to represent the expansive behavior, specifically, the maximum unreinforced concrete strain due to ASR expansion and the rise time. Mechanical properties of the reinforced concrete are also needed. From the predicted expansions, it is then shown that it is possible to model the number and spacing of cracks of a partly restrained reinforced concrete beam affected by ASR gels. The model is validated with recent experimental results on large scale reinforced concrete specimens. Predictions agree well with the observed number of cracks.

This thesis is concerned with hypothesis testing in models where data exhibits time dependence. The focus is on two cases where the dependence of observations across time leads to non-standard hypothesis testing techniques. This thesis first considers models estimated by Generalized Method of Moments (GMM, Hansen (1982)) and the approach to inference. The main problem with standard tests are size distortions in the test statistics. An innovative resampling method, which we label Empirical Likelihood Block Bootstrapping, is proposed. The first-order asymptotic validity of the proposed procedure is proven, and a series of Monte Carlo experiments show it may improve test sizes over conventional block bootstrapping. Also staying in the context of GMM this thesis shows that the testcorrection given in Hall (2000) which improves power, can distort size with time dependent data. In this case it is of even greater importance to use a bootstrap that can have good size in finite samples. The empirical likelihood is applied to a multifactor model of U.S. bank risk estimated by GMM. The approach to inference is found to be important to the overall conclusion about bank risk. The results suggest U.S. bank stock returns are sensitive to movements in market and liquidity risk. In the context of panel data, this thesis is the first to my knowledge to consider the estimation of cost-functions as well as conduct inference taking into account the strong dependence of data across time. This thesis shows that standard approaches to estimating cost-functions for a set of Canadian banks lead to a downward bias in the estimated coefficients and therefore an upward bias in the measure of economies of scale. When non-stationary panel techniques are applied results suggest economies of scale of around 6 per cent in Canadian banking as well as cost-efficiency differences across banks that are correlated with size. / Thesis (Ph.D, Economics) -- Queen's University, 2007-09-24 17:25:22.212

This thesis analyzes the nature of foreign equity trades in relation to their effects on local markets. My goal is to contribute to the understanding of equity flows of foreign investors and their effect on the local markets. The thesis consists of two chapters, both of which employ a novel data set that is consisted of monthly equity flows by foreign investors at Istanbul Stock Exchange of Turkey. The first chapter, Foreign Ownership and World Market Integration, aims to explain the de facto financial market integration with global markets with foreign equity ownership using a novel data set of foreign portfolio flows at the individual stock level. The main result is the positive link between global nancial integration and past portfolio in flows by foreign investors on the cross-section of local stocks. The results have high economic significance: Across individual stocks a 1.4% increase in foreign portfolio inflows corresponds to up to 3.3% greater relative explanatory power of the global factor in explaining local stock returns in the following month. The results are indicative of a causal link: The lead-lag effect between foreign portfolio inflows and financial integration does not exist in the opposite direction. I show that stocks that experience an increase in foreign ownership are not more financially integrated in the past, i.e. the foreign portfolio flows are not a response to increased financial integration. The second chapter is titled as Uninformed Momentum Traders and it studies the relationship between momentum trading and information. I present evidence that supports the hypothesis that momentum trading is linked to a lack of information. I document significant momentum trading by foreign investors in stocks on which they potentially have more informational disadvantages. Small stocks, stocks with high volatility and low liquidity, stocks that are financially less integrated and have greater foreign exchange risk are subject to greater momentum trading. Moreover, stocks on which foreign trades indicate lower future profitability are subject to higher momentum trading. Additionally, I show that momentum trades by foreign investors exert contemporaneous price pressure and have no valuable longer-run information content. The contemporaneous price pressure of 2.30% per month is followed by a significant return reversal in the following two quarters. Finally, there is strong evidence that foreign investors do not possess local market speci c information. Momentum trading by foreign investors is triggered by the past profitability of the momentum factor in the local market. However, the negative pro tability of momentum makes momentum trading a sub-optimal trading strategy.

Skewness and kurtosis are measures used to describe shape characteristics of distributions. In this thesis, we examine the interval estimates about the skewness and kurtosis by using jackknife empirical likelihood (JEL), adjusted JEL, extended JEL, traditional bootstrap, percentile bootstrap, and BCa bootstrap methods. The limiting distribution of the JEL ratio is the standard chi-squared distribution. The simulation study of this thesis makes a comparison of different methods in terms of the coverage probabilities and interval lengths under the standard normal distribution and exponential distribution. The proposed adjusted JEL and extended JEL perform better than the other methods. Finally we illustrate the proposed JEL methods and different bootstrap methods with three real data sets.

A systematic sectoral empirical orthogonal function (EOF) analysis of Southern Hemisphere (SH) extratropical tropospheric zonal-mean geopotential height (GH) is conducted in order to determine how EOF shapes and shape ordering is affected by a decrease in the width of the sector. Previous work (Kushner and Lee 2007) using surface pressure found that the two lead EOFs exchange shape as the sector width decreases below seventy degrees. In the present work, the 500hPa GH field is found to exhibit a similar feature. By fitting a idealized kinematic model, in the form of a Gaussian error function, to daily 500 hPa GH for each sector, the kinematic features of the shape reordering observed in the lead EOFs is shown to arise from the covariance structure of the fluctuating model parameters. The correlations between model parameters which are shown to influence the EOF shapes are further shown to be strongly influenced by statistical properties of daily mass and angular momentum fluctuations. / Graduate

In chapter 1, I study how spillover effects from competitors' choices affect a firm's decision to open a store. Using panel data from the United Kingdom's fast food industry, I propose and estimate a game of entry under incomplete information that incorporates spillover effects between firms' entry decisions. A positive spillover is identified for Burger King - increasing the stock of existing McDonald's by 1 outlet increases Burger King's estimated equilibrium probability of opening a new store by approximately 18 percentage points. Chapter 2 advances our collective knowledge about the impact of learning from others in industry dynamics, and whether it can generate the clustering of rival retailers. Uncertainty about new markets provides an opportunity for learning from others, where one firm's past entry decisions signal to others the potential profitability of risky markets. The setting is Canada's hamburger fast food industry from its inception in 1970 to 2005, where I introduce a new estimable dynamic oligopoly model of entry/exit with unobserved heterogeneity, common uncertainty about demand, learning through entry, and learning from others. I find that the presence of uncertainty induces retailers to herd into markets that others have previously done well in. Finally, chapter 3 (joint with Feng Chi) studies the early adoption of Twitter in the 111th House of Representatives. Our main objective is to determine whether successes of past adopters have the tendency to speed up Twitter adoption, where past success is defined as the average followers per Tweet - a common measure of "Twitter success" - among all prior adopters. The data suggests that accelerated adoption can be associated with favorable past outcomes: increasing the average number of followers per Tweet among past adopters by a standard deviation (of 8 followers per Tweet) accelerates the adoption time by about 112 days.

In chapter 1, I study how spillover effects from competitors' choices affect a firm's decision to open a store. Using panel data from the United Kingdom's fast food industry, I propose and estimate a game of entry under incomplete information that incorporates spillover effects between firms' entry decisions. A positive spillover is identified for Burger King - increasing the stock of existing McDonald's by 1 outlet increases Burger King's estimated equilibrium probability of opening a new store by approximately 18 percentage points. Chapter 2 advances our collective knowledge about the impact of learning from others in industry dynamics, and whether it can generate the clustering of rival retailers. Uncertainty about new markets provides an opportunity for learning from others, where one firm's past entry decisions signal to others the potential profitability of risky markets. The setting is Canada's hamburger fast food industry from its inception in 1970 to 2005, where I introduce a new estimable dynamic oligopoly model of entry/exit with unobserved heterogeneity, common uncertainty about demand, learning through entry, and learning from others. I find that the presence of uncertainty induces retailers to herd into markets that others have previously done well in. Finally, chapter 3 (joint with Feng Chi) studies the early adoption of Twitter in the 111th House of Representatives. Our main objective is to determine whether successes of past adopters have the tendency to speed up Twitter adoption, where past success is defined as the average followers per Tweet - a common measure of "Twitter success" - among all prior adopters. The data suggests that accelerated adoption can be associated with favorable past outcomes: increasing the average number of followers per Tweet among past adopters by a standard deviation (of 8 followers per Tweet) accelerates the adoption time by about 112 days.

The aim of this master thesis is to examine the explanatory power of some popular company-specific factors for the cross-section of average stock returns in the Istanbul Stock Exchange (ISE) for a period from 1992 to 2001. Factors tested in this thesis are firm size (MVE), book-to-market value of equity (BMR), debt-to-equity ratio (DER), sales-to-price ratio (SPR), gross profit-price ratio (GPPR) and dividend yield (DY).

In decision theory the process of selecting the best option is called preferential choice. Many personal, business, and professional preferential choice decisions are made every day. In these situations, a decision maker must select the optimal option among multiple alternatives. In order to do this, she must be able to analyze a model of her preferences with respect to the objectives that are important to her. Prescriptive decision theory suggests several ways to effectively develop a decision model. However, these methods often end up too tedious and complicated to apply to complex decisions that involve many objectives and alternatives. In order to help people make better decisions, an easier, more intuitive way to develop interactive models for analysis of decision contexts is needed. The application of interactive visualization techniques to this problem is an opportune solution. A visualization tool to help in preferential choice must take into account important aspects from both fields of Information Visualization and Decision Theory. There exists some proposals that claim to aid preferential choice, but some key tasks and steps from at least one of these areas are often overlooked. An added missing element in these proposals is an adequate user evaluation. In fact, the concept of a good evaluation in the field of information visualization is a topic of debate, since the goals of such systems stretch beyond what can be concluded from traditional usability testing. In our research we investigate ways to overcome some of the challenges faced in the design and evaluation of visualization systems for preferential choice. In previous work, Carenini and Lloyd proposed ValueCharts, a set of visualizations and interactive techniques to support the inspection of linear models of preferences. We now identify the need to consider the decision process in its entirety, and to redesign ValueCharts in order to support all phases of preferential choice. We present our task-based approach to the redesign of ValueCharts grounded in recent findings from both Decision Analysis and Information Visualization. We propose a set of domain-independent tasks for the design and evaluation of interactive visualizations for preferential choice. We then use the resulting framework as a basis for an analytical evaluation of our tool and alternative approaches. Finally, we use an application of the task model in conjunction with a new blend of evaluation methods to assess the utility of ValueCharts.