Thesis (M. Phil.)--University of Hong Kong, 2002. / Includes bibliographical references (leaves 106-113).

Unilateral below-knee amputees commonly experience asymmetrical gait patterns and develop comorbidities in their intact (non-amputated) and residual (amputated) legs, with the mechanisms leading to these asymmetries and comorbidities being poorly understood. Prosthetic feet have been designed in an attempt to minimize walking asymmetries by utilizing elastic energy storage and return (ESAR) to help provide body support, forward propulsion and leg swing initiation. However, identifying the influence of walking speed and prosthetic foot stiffness on amputee gait mechanics is needed to develop evidence-based rationale for prosthetic foot selection and treatment of comorbidities. In this research, experimental and modeling studies were performed to identify the influence of walking speed and prosthetic foot stiffness on amputee walking mechanics. The results showed that when asymptomatic and relatively new amputees walk using clinically prescribed prosthetic feet across a wide range of speeds, loading asymmetries exist between the intact and residual knees. However, knee intersegmental joint force and moment quantities in both legs were not higher compared to non-amputees, suggesting that increased knee loads leading to joint disorders may develop in response to prolonged prosthesis usage or the onset of joint pathology over time. In addition, the results showed that decreasing ESAR foot stiffness can increase prosthesis range of motion, mid-stance energy storage, and late-stance energy return. However, the prosthetic foot contributions to forward propulsion and swing initiation were limited due to muscle compensations needed to provide body support and forward propulsion in the absence of residual leg ankle muscles. A study was also performed that integrated design optimization with forward dynamics simulations of amputee walking to identify the optimal prosthetic foot stiffness that minimized metabolic cost and intact knee joint forces. The optimal stiffness profile stiffened the toe and mid-foot while making the ankle less stiff, which decreased the intact knee joint force during mid-stance while reducing the overall metabolic cost of walking. These studies have provided new insight into the relationships between prosthetic foot stiffness and amputee walking mechanics, which provides biomechanics-based rationale for prosthetic foot prescription that can lead to improved amputee mobility and overall quality of life. / text

In the asset-pricing framework, idiosyncratic risk is the risk that is independent of systematic risk and peculiar to one specific asset or company, it is left with no role in expected returns according to the classic finance theory since it could be completely diversified away. However, in the case investors holding under-diversified portfolios, previous theoretical studies generally demonstrate a positive relationship between idiosyncratic risk and expected returns. However, negative empirical evidences regarding the idiosyncratic risk-return tradeoff have been reported recently in the stock market of the U.S. and China, as well as in several real estate literatures. To reconcile the conflict, this thesis is dedicated to investigate the role of idiosyncratic risk in the context of real estate investment. In the theoretical exploration, an asset-pricing model with short-sales restrictions in the market and heterogeneous beliefs among investors is established. Specifically, a simplified version with only three risky assets, in which two of them are direct and indirect real estate investments, demonstrates when investors endowed with incomplete information setting and under-diversified holdings, idiosyncratic risk would play an important role in the expected returns in equilibrium. Furthermore, the comparative static analysis reveals a positive cross-sectional relationship between idiosyncratic risk and expected returns. In the empirical study, this thesis employs the Fama and French (1992) three-factor model to estimate monthly idiosyncratic volatilities of the Listed Property Companies (LPCs) in the A-share market of China, based on the daily data from May 1999 to Aug 2011. Specifically, for each LPC in each month, its idiosyncratic risk is computed as the standard deviation of the three-factor model’s daily residuals. The estimation outputs show that idiosyncratic volatility dominates the LPCs’ overall volatility during the study period, and it is features with a distinct pattern when compared to that of the U.S. REITs: the LPCs’ idiosyncratic volatilities are significantly higher and more persistent; they are less irrelevant to the firm’s market capitalization and present an evident co-movement with the broad market. Hence, this scenario reveals a special interest to further study on the cross-sectional relationship between the LPCs’ idiosyncratic risk and their expected returns. In the cross-sectional test, conditional idiosyncratic volatility forecasted by the EGARCH-GED model is employed as the proxy for expected idiosyncratic risk, as the LPCs’ lagged idiosyncratic risk is shown to be not a good estimate. Over the study period, a firm positive cross-sectional relationship between idiosyncratic risk and expected returns is documented, after controlling for various pricing factors such as firm size and book-to-market equity ratio, indicators of liquidity and momentum as well as returns reversal effect. This evidence not only confirms the prediction of previous theoretical studies and the model in this thesis, it also suggests a profitable trading strategy based on the idiosyncratic risk of the LPCs. / published_or_final_version / Real Estate and Construction / Doctoral / Doctor of Philosophy

The investor’s expectation is instinctively to be linked to the asset’s return by the finance experts and analysts. However why and how it affects the return are poorly understood and explained. Can the investor’s expectation really move the market? How much the influence does it have? This study looks at this well-known puzzle between real estate returns and investors’ expectations on rental income growth of real estate assets. Based on the theoretical model in this study, the questions whether, why and how the investors’ expected rental income growth has effects on the real estate returns are answered. The study focuses on both private and public real estate (REITs) returns and examines whether they can be explained by the facts in Hong Kong. 　　The theoretical model is derived from the Gordon Growth Model. The novelty of the model is to define the term structure of interest rate on the expected rental income. Empirically, the linkage between the two markets is identified through the REIT’s dividend, which is specified to be distributed from 90% of the real estate asset’s income. Under this specification, strong evidence is found for expected rental income growth predictive power. In this study, the relationship between the monthly end-of-period REIT’s return and monthly expected rental income growth of corresponded real estate asset is tested by panel model, which does the superb job in fitting both cross-sectional and time-varied return patterns of REITs. As the REITs in Hong Kong had just launched since the end of year 2005, the sample period of this study is from November, 2005 to April, 2010. Unlike the standard asset pricing model, this study adds the investor’s expectation as one of the factors which determine the REIT’s return to adjust the out-performance tendency of certain asset. 　　The study also confirms the hypothesis in private real estate market by finding that investors’ expectation on rental growth imposes a positive and significant impact on the real estate return in Hong Kong. The quarterly data series of macro-economic factors, such as Gross Domestic Production, Inflation rate, Interest rate, Employment rate are tested to confirm their effects on the real estate return together with the investor’s expectations on both future rental income and inflation. All four real estate sectors, including residential, office, retail and industrial property sectors, are inclusively tested in this study. 　　 For both private and public real estate markets in Hong Kong, the investor’s expectation has positive effects on the corresponding asset’s return. The evidence in this study shows that the change of investor’s expectation would cause positive change of REIT’s return. It reveals that the investors’ expectation plays a vital role in the movement of both private and public real estate markets. When most investors expect a tendency of increasing earning, the real estate return tends to rise with controlling of other economic factors. 　　Though the conclusion of this study is well-known and frequently used to explain or predict the movement of real estate market, the theory behind it is commonly ignored. This study looks deeper into it by improving Gordon Growth Model to capture the investor’s expected rental income growth without econometric forecasting or questionnaire investigation. The series derived in this study is more reliable with clear logic and theory, and confirmed by the facts in Hong Kong real estate market. The derivation and application of the investor’s expected income growth of certain asset will be helpful to provide insightful implications on future asset pricing, finance prediction and analysis. / published_or_final_version / Real Estate and Construction / Doctoral / Doctor of Philosophy

published_or_final_version / abstract / toc / Business / Master / Master of Philosophy

published_or_final_version / Chinese / Master / Master of Philosophy

This dissertation consists of two essays in asset allocation. In the first essay, I measure the value of active money management. I explore this issue by comprehensively examining the parametric rule proposed by Brandt, Santa-Clara and Valkanov (2009) (the BSV rule) out-of-sample for portfolio selection among 3516 stocks in CRSP and comparing this rule to the mean-variance (MV) rule and the naïve 1/N rule recently advocated by DeMiguel, Garlappi and Uppal (2009). The BSV rule outperforms both the MV and 1/N rules and the outperformance is robust to investment horizons and stock market states. The BSV rule is effective for investors with different preferences or investment opportunities. The effectiveness of the BSV rule is robust to data screening criteria, estimation periods, portfolio performance evaluation models, the business cycle, and stock market states. In the second essay, I explore the question of whether macroeconomic state variables are able to predict cross-sectional stock returns from the perspective of asset allocation. I find that conditioning on macroeconomic state variables leads to optimal portfolios with a Carhart alpha that is 125 basis points per month higher than unconditional optimal portfolios out-of-sample. Unfortunately, conditioning on macroeconomic states is subject to an "overfitting" problem and can lead investors to experience unexpected huge losses. My results suggest that macroeconomic state variables mare able to predict cross-sectional stock returns but risk-averse investors need to combine other funds (e.g. market portfolio) to take advantage of this predictability.

Mental health problems have incapacitating effects on an individual’s capacity to hold and maintain employment. Over half a million Canadians are absent from work due to mental health problems every day, which costs Canadian companies an estimated 14% of their net annual profit. Individuals who miss work for mental health reasons often experience longer periods of absence, and return to work at a much lower rate than individuals absent for other reasons (e.g., physical injury). Regrettably, empirically based return to work interventions focused on mental health problems are lacking, likely the product of a lack of consensus surrounding salient predictors of return to work. The current study sought to add to current literature aimed at identifying factors that influence the likelihood of successful re-entry into the workforce. A review of patient files from a private psychological practice yielded the sample. Clients were selected based on their satisfaction of one central criterion: having experienced a workplace absence and suffered from a mood or anxiety disorder as classified by the DSM-IV-TR. Recruitment letters and consent forms were mailed to 74 eligible participants, for a response rate of 68% (n=50). The sample was predominantly female (n=38 or 76%). Of the 50 participants, 27 successfully reintegrated to the workforce (RTW=54%), following a mean absence of 13 months (SD=7.37). Emerging from the results are higher risk categories (e.g., physically injured workers, low educational requirements, disability providers) of reduced likelihood of successful return to work. The role of symptom severity and availability of social support is also discussed along with best practice implications for stakeholder/practitioners.

Statistically speaking, only between 4% and 6% individuals can afford to retire comfortably. When this fact is combined with changes such as a longer life expectancy, disintegration of family life and increasing pressure on public resources to deal with issues such as aids, the increasing need for personal financial planning for retirement becomes clear. Firstly, a framework was set of requirements which need to be met with regard to financial planning for retirement. This includes the need to diversify the portfolio (as a method to manage the acceptable risk level), as well as principles and techniques relating to diversification. The possibility of using the services of a financial planner to aid with the retirement planning, as well as aspects to be considered in this regard were discussed. It was also demonstrated that a variety of aspects should be considered when deciding on an investment, including market expectations, general economic conditions and the investor's own research, all within a long-term framework. The final aspect considered as part of the framework, was tax. Having set the framework for successful financial retirement planning in Chapter two, a number of pitfalls to be avoided were addressed in Chapter three. These included the investor's planned annual cost of living, since this is the single most important factor which will determine standard of living during retirement. The planned age at which the individual wishes to retire specifically also needs to be taken into account, seeing that this determines the amount of time he has to build up his investment. The planned rate of return on the investment has to be realistic, but also has to at least keep up with inflation. The effect of inflation could also for example mean that adequate present planning may fall short in 20 years' time. A final aspect to be considered is the importance of taking unforeseen events, such as a potential medical disability, into account. Having set the framework of factors to be taken into account, specific investment options were addressed in the main categories of equity, bonds, property and cash, as well as a pension find, provident fund and/or retirement annuity. Less traditional options such as collector's items, financial instruments or the option to start one's own business were also addressed in more detail. Finally, a questionnaire was addressed to professional people, as represented by auditors in the Northwest Province, with the view to determine the current level of retirement planning and whether or not their expectations matched the theoretic framework as discussed in the previous chapters. Suggestions were made as per the results of the questionnaire by linking the results of the questionnaire and the theoretical framework. Gaps were also highlighted, for instance that very few people as per the sample plan to fully retire, and this changing understanding of "retirement" is not fully captured by current literature. It also seems that professional persons, as per the questionnaire, have an over optimistic view regarding their retirement and funds needed during retirement. / Thesis (M.Com. (Business and Management Accounting))--North-West University, Potchefstroom Campus, 2007.

The present paper analyses the portfolios composed from the shares of some Lithuanian firms. The methods applied to compose and examine the portfolios were those used in foreign countries: the Makowitz model, the Sharpe model, and the randomly composed portfolio. The latter model is the one in which the weight of shares is chosen without reference to any theory. The purpose of the paper is to examine the usefulness of the models in composing the portfolios of investment in the market of Lithuania. Then, the portfolios composed on the basis of different models are compared, and observed in the real market. Consequently, appropriate conclusions are drawn. The shares of the observed firms are selected on the basis of three models, and, then, the portfolios are composed. The best portfolios were those composed from the shares, which were selected using the analysis of costs and the function of usefulness. After the application of the Makowitz model, Sharpe model and the randomly selected portfolio, the comparative analysis was done. It was observed that the portfolios composed on the basis of the Makowitz model have better change and risk characteristics than the portfolios made on the basis of other models. Also, in the respect of change and risk, all the composed portfolios are more effective than the index NSEL 30 used now. After the risk evaluation, it was observed that if the number of shares in the portfolio grows, the risk decreases. While observing the results of all... [to full text]