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- Creators: Debussy, Claude, 1862-1918
Description
One necessary condition for the two-pass risk premium estimator to be consistent and asymptotically normal is that the rank of the beta matrix in a proposed linear asset pricing model is full column. I first investigate the asymptotic properties of the risk premium estimators and the related t-test and Wald test statistics when the full rank condition fails. I show that the beta risk of useless factors or multiple proxy factors for a true factor are priced more often than they should be at the nominal size in the asset pricing models omitting some true factors. While under the null hypothesis that the risk premiums of the true factors are equal to zero, the beta risk of the true factors are priced less often than the nominal size. The simulation results are consistent with the theoretical findings. Hence, the factor selection in a proposed factor model should not be made solely based on their estimated risk premiums. In response to this problem, I propose an alternative estimation of the underlying factor structure. Specifically, I propose to use the linear combination of factors weighted by the eigenvectors of the inner product of estimated beta matrix. I further propose a new method to estimate the rank of the beta matrix in a factor model. For this method, the idiosyncratic components of asset returns are allowed to be correlated both over different cross-sectional units and over different time periods. The estimator I propose is easy to use because it is computed with the eigenvalues of the inner product of an estimated beta matrix. Simulation results show that the proposed method works well even in small samples. The analysis of US individual stock returns suggests that there are six common risk factors in US individual stock returns among the thirteen factor candidates used. The analysis of portfolio returns reveals that the estimated number of common factors changes depending on how the portfolios are constructed. The number of risk sources found from the analysis of portfolio returns is generally smaller than the number found in individual stock returns.
ContributorsWang, Na (Author) / Ahn, Seung C. (Thesis advisor) / Kallberg, Jarl G. (Committee member) / Liu, Crocker H. (Committee member) / Arizona State University (Publisher)
Created2011
Description
The moderating effects of five characteristics of peers--their effortful control, anger, sadness, aggression, and positive peer behavior--were investigated in two separate series of analyses of preschooler's social behavior: (a) the relation between children's own effortful control and social behavior, and (b) the relation between children's shyness and reticent behavior. Latent variable interactions were conducted in a structural equation framework. Peer context anger and effortful control, albeit with unexpected results, interacted with children's own characteristics to predict their behavior in both the EC and shy model series; these were the only significant interactions obtained for the EC model series. The relation between shyness and reticent behavior, however, showed the greatest impact of peer context and, conversely, the greatest susceptibility to environmental variations; significant interactions were obtained in all five models, despite the limited range of peer context sadness and aggression observed in this study.
ContributorsHuerta, Snježana (Author) / Eisenberg, Nancy (Thesis advisor) / Spinrad, Tracy (Committee member) / Pina, Armando (Committee member) / Geiser, Christian (Committee member) / Arizona State University (Publisher)
Created2012
ContributorsDebussy, Claude, 1862-1918 (Composer)
ContributorsDebussy, Claude, 1862-1918 (Composer)
ContributorsDebussy, Claude, 1862-1918 (Composer)
ContributorsDebussy, Claude, 1862-1918 (Composer)
ContributorsDebussy, Claude, 1862-1918 (Composer)
Description
This study examined whether changes in intervention related gains from the REACH for Personal and Academic Success program, an indicated anxiety prevention school-based protocol, vary as a function of participant youth's exposure to overprotective parenting. This study also examined if ethnicity/race (Caucasian vs. Hispanic/Latino) interacts with overprotective parenting to predict program response. A total of 98 children (M age = 9.70, SD = .07; 77.60% girls; 60.20% Hispanic/Latino) received 1 of 2 protocols (REACH or academic support) and responses were measured at post-treatment and 1-year follow-up. Findings showed that child self-regulation skills improved in the school program (REACH) for children of parents with low levels of overprotection, and child self-regulation skills improved in the control program (academic support) for children of parents with high levels of overprotection. These findings were significant in the Hispanic/Latino subsample, but not in Caucasian youth.
ContributorsBromich, Bobbi Lynn (Author) / Pina, Armando (Thesis director) / Presson, Clark (Committee member) / Hahs, Adam (Committee member) / Department of Psychology (Contributor) / School of International Letters and Cultures (Contributor) / Barrett, The Honors College (Contributor)
Created2016-05
Description
With the new independence of adulthood, college students are a group susceptible to adopting unsupported, if not harmful, health practices. A survey of Arizona State University undergraduate students (N=200) was conducted to evaluate supplement use, trust in information sources, and beliefs about supplement regulation. Of those who reported using supplements, college students most frequently received information from friends and family. STEM majors in fields unrelated to health who were taking a supplement were found to be less likely to receive information about the supplement from a medical practitioner than those in health fields or those in non-STEM majors (-26.9%, p=0.018). STEM majors in health-related fields were 15.0% more likely to treat colds and/or cold symptoms with research-supported methods identified from reliable sources, while non-health STEM and non-STEM majors were more likely to take unsupported cold treatments (p=0.010). Surveyed students, regardless of major, also stated they would trust a medical practitioner for supplement advice above other sources (88.0%), and the majority expressed a belief that dietary supplements are approved/regulated by the government (59.8%).
ContributorsPerez, Jacob Tanner (Author) / Hendrickson, Kirstin (Thesis director) / Lefler, Scott (Committee member) / College of Liberal Arts and Sciences (Contributor) / School of Molecular Sciences (Contributor) / Department of Physics (Contributor) / Barrett, The Honors College (Contributor)
Created2018-05
ContributorsChandler, N. Kayla (Author) / Neisewander, Janet (Thesis director) / Sanabria, Federico (Committee member) / Olive, M. Foster (Committee member) / Barrett, The Honors College (Contributor) / College of Liberal Arts and Sciences (Contributor)
Created2013-05