In Chapter 1, I investigate whether returns of strategies based on asset pricing anomalies exhibit time series persistence which can be attributed to flow-induced trading by mutual funds. I find persistence for thirteen characteristics, which is statistically significant for five including size, corporate investment, and bankruptcy likelihood. The persistence is not explained by individual stock momentum and is not limited to certain calendar months. The return predictability can be used to construct new trading strategies, which on average earn 4.5% annually. A price pressure measure of mutual fund flow-driven trading explains a substantial part of the strategy performance persistence. In Chapter 2, we propose a new approach for estimating expected returns on individual stocks from firm characteristics. We treat expected returns as latent variables and develop a procedure that filters them out using the characteristics as signals and imposing restrictions implied by a one factor asset pricing model. The estimates of expected returns obtained by applying our method to thirteen asset pricing anomalies generate a wide cross-sectional dispersion of realized returns. Our results provide evidence of strong commonality in the anomalies. The use of portfolios based on the filtered expectations as test assets increases the power of asset pricing tests. In Chapter 3, we examine the sensitivity of fourteen asset pricing anomalies to extreme observations using robust regression methods. We find that although all anomalies except size are strong and robust for stocks with presumably low returns, most of them are sensitive to individual influential observations for stocks with presumably high returns. For some anomalies, extreme observations distort regression results for all stocks and even portfolio returns. When the impact of such observations is mitigated, eight anomalies become positively related to expected returns for stocks with low characteristics meaning that these anomalies have an inverted J-shaped form. Chapter 4 concludes by summarizing the main contributions of three chapters and their implications. / text

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Hedge funds introduce considerable volatility into global financial markets. Given the volume of capital they mobilize, hedge funds are capable of precipitating 'herding'---the underlying dynamic behind the transmission of financial distress and the precursor to systemic crises. Greater regulatory oversight of hedge-fund activities could reduce these excesses without necessarily impinging on the self-correcting mechanism of the free market. Presently, there is no regime or monetary authority in place that would compel states to undertake efforts to enhance existing regulatory structures so as to mitigate the exigency of systemic risk. That coordination has not been achieved exposes both the obstacles facing monetary cooperation for establishing a more robust international financial order and the limitations of liberal theories of international cooperation. It also makes evident the importance of hegemonic participation in the construction of economic regimes in an era of accelerating financial globalization.

Title - “The Analysis of The Second Level of Pension Funds and Inspection in Lithuania”. Main definitions: pension, pension system, pension fund, welfare country, principles of law, acts of law, supervisory institution. In the summary there are mentioned all stages of this paper in short, which were used to reach the main paper’s goal: the introduction of the pension system in Lithuania, the analysis of principles of law and acts of law, the presentation of activity of supervisory institutions and the main ways of law regulation reaching to improve the activity of the second level of pension funds. The reform of pension system started a couple years ago in Lithuania. This reform is not a short process, but a long term influence to citizens, their income, capital market and state. Lithuania has three level pension system right now: I level – pensions are financed by current income and taxes (“Sodra”), II level – pension saving funds, III level – voluntary pension saving funds. The law analysis of the second level of pension funds was started with the principles of law, then was worked on the European Union acts of law and finally finished with the acts of law published by Seimas of Lithuania, Government and supervisory institutions. The analysis of acts of law published by supervisory institutions showed, that the same facts have been interpreting differently in Lithuania. That’s why reaching the effectiveness of pension funds, they should be improved. Lithuanian Securities... [to full text]

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Thesis (M.S.)--Auburn University, 2006. / Abstract. Vita. Includes bibliographic references (ℓ.46-47)

Thesis (Ed.D.)--University of Tulsa, 1972. / Bibliography: leaves 81-83.

Thesis (Ph.D.)--University of Texas at Dallas, 2008. / Includes vita. Includes bibliographical references (leaves 93-96)

Revised Thesis (Ph. D.)--University of Amsterdam, (2002). / Description based on print version record. Includes bibliographical references (p. 177-189) and index.

Thesis (Ed.D.)--Teachers College, Columbia University, 1975. / Typescript; issued also on microfilm. Includes tables. Sponsor: James A. Kelly. Dissertation Committee: Guilbert Hentschke. Includes bibliographical references (leaves 137-144).