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  • Public defence: 2018-08-29 10:00 Hörsal E, Humanisthuset, Umeå
    Anchev, Stefan
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Business Administration.
    Information and financial markets2018Doctoral thesis, comprehensive summary (Other academic)
    Abstract [en]

    The results in this thesis are consistent with the hypotheses that: 1) the incomplete dissemination of information across investors helps in explaining the occurrence and the persistence of cross-sectional stock return anomalies, 2) the properties of the investor base of a stock have implications for the informativeness of the stock's price and 3) a greater quantity of firm disclosure places less sophisticated investors at an information disadvantage. Overall, the thesis provides new empirical evidence about the role of information in financial markets.

    Investor Base and Stock Return Anomalies

    After controlling for market capitalization, the predictability of future stock returns associated with each of the earnings-to-price ratio, the book-to-market ratio, the past return, the total volatility of returns and the return on assets is more pronounced among stocks with smaller total and/or institutional investor bases. These results appear even after controlling for several other stock characteristics and potential risk factors and they are both statistically and economically meaningful. Thus, they are consistent with the hypothesis that the incomplete dissemination of information across investors helps in explaining the occurrence and the persistence of cross-sectional stock return anomalies.

    Investor Base and Stock Price Informativeness

    The relative idiosyncratic volatility of future stock returns is: 1) negatively associated with the absolute size of the total and the institutional investor base, 2) positively associated with the institutional ownership, 3) negatively (positively) associated with the average stock portfolio size (Herfindahl index) of the investor base and 4) positively associated with the indirect (i.e., through nominees) ownership. These results appear after controlling for several other stock characteristics and they are both statistically and economically meaningful. Thus, they are consistent with the hypothesis that the properties of the investor base of a stock have implications for the informativeness of the stock's price.

    Individual Investors and Quantity of Firm Disclosure

    When the amount of information disclosed by a firm is greater (or increases), the stock portfolio weights that individual investors allocate (through trading) to that firm's stock are lower (or decrease) and suboptimal. The former result is less pronounced or nonexistent for more financially competent individuals and for positions in firms with a poorer information environment. When they do allocate greater portfolio weights to the stock of a firm that discloses more, individuals, regardless of their financial competence, earn lower returns. Overall, these results are consistent with the hypothesis that a greater quantity of firm disclosure places less sophisticated investors at an information disadvantage.

  • Public defence: 2018-09-07 13:00 UB333, Samhällsvetarhuset, Umeå
    Lapanan, Nicha
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Business Administration.
    Individual investors and socially responsible mutual funds2018Doctoral thesis, comprehensive summary (Other academic)
    Abstract [en]

    This thesis examines the behavior of individual investors towards socially responsible mutual funds. The results are reported in the four self-contained papers.

    Paper [I] profiles SR individual investors. An understanding of SR investors' characteristics is important for the development of hypotheses and for understanding the adoption of SR investing. We find evidence indicating, for example, that females, more educated, relatively older individuals, those with higher wealth and those living in municipalities with a higher proportion of SR investors are more likely to hold SR equity mutual funds.

    Paper [II] studies the relation between investments of adult children and their parents. The paper explores the importance of parent-child socialization in the formation of prosocial behavior. The study contributes to the understanding of when prosocial behavior is formed and how parent-child relationships influence it. We find evidence that there is a correlation between parents and children in the investment in SR mutual funds and that parental resources and parental experience are influential in the transmission of this prosocial behavior.

    Paper [III] documents individual investors' trading behavior in relation to SR equity mutual funds. Results indicate that SR investors are less likely to sell SR than conventional fund as past negative returns decrease. Nonetheless, fund flows of SR and conventional funds are similarly sensitive to past returns. There is, however, evidence that sticky SR investors' fund flows are more sensitive to past positive returns and are less sensitive to past negative returns on their SR than on their conventional funds. Despite sticky SR investors showing behavior in line with values-driven motives, they also appear to be less likely to reinvest in SR than in conventional funds.

    Paper [IV] examines whether SR investors are willing to forgo higher returns to invest responsibly.  Based on administrative data on individual investors' equity mutual fund portfolios, it is found that socially responsible (SR) investors forgo return by investing in a socially responsible manner. In comparison with similar conventional investors (in terms of characteristics), SR investors have an equal performance on their non-SR part of their total portfolio, but an inferior performance on their SR part. Analysis of individuals' money flows to funds further indicate that fund flows of SR investors who invest in only SR funds are less sensitive to past returns. Given that investors who value non-financial fund attributes, e.g., ethical or social, may be presumed to care less about the financial performance, the results lend support to an investment behavior, at least partly, driven by prosocial concerns. Taken together, the findings favor the interpretation that some individuals willingly forgo higher financial returns to invest in accordance with their social preferences.

  • Public defence: 2018-09-07 13:15 Naturvetarhuset, N430, Umeå
    Zhang, Hanqing
    Umeå University, Faculty of Science and Technology, Department of Physics.
    Digital holography and image processing methods for applications in biophysics2018Doctoral thesis, comprehensive summary (Other academic)
    Abstract [en]

    Understanding dynamic mechanisms, morphology and behavior of bacteria are important to develop new therapeutics to cure diseases. For example, bacterial adhesion mechanisms are prerequisites for initiation of infections and for several bacterial strains this adhesion process is mediated by adhesive surface organelles, also known as fimbriae. Escherichia coli (E. coli) is a bacterium expressing fimbriae of which pathogenic strains can cause severe diseases in fluidic environments such as the urinary tract and intestine. To better understand how E. coli cells attach and remain attached to surfaces when exposed to a fluid flow using their fimbriae, experiments using microfluidic channels are important; and to assess quantitative information of the adhesion process and cellular information of morphology, location and orientation, the imaging capability of the experimental technique is vital.

    In-line digital holographic microscopy (DHM) is a powerful imaging technique that can be realized around a conventional light microscope. It is a non-invasive technique without the need of staining or sectioning of the sample to be observed in vitro. DHM provides holograms containing three-dimensional (3D) intensity and phase information of cells under study with high temporal and spatial resolution. By applying image processing algorithms to the holograms, quantitative measurements can provide information of position, shape, orientation, optical thickness of the cell, as well as dynamic cell properties such as speed, growing rate, etc.

    In this thesis, we aim to improve the DHM technique and develop image processing methods to track and assess cellular properties in microfluidic channels to shed light on bacterial adhesion and cell morphology. To achieve this, we implemented a DHM technique and developed image processing algorithms to provide for a robust and quantitative analysis of holograms. We improved the cell detection accuracy and efficiency in DHM holograms by developing an algorithm for detection of cell diffraction patterns. To improve the 3D detection accuracy using in-line digital holography, we developed a novel iterative algorithm that use multiple-wavelengths. We verified our algorithms using synthetic, colloidal and cell data and applied the algorithms for detecting, tracking and analysis. We demonstrated the performance when tracking bacteria with sub-micrometer accuracy and kHz temporal resolution, as well as how DHM can be used to profile a microfluidic flow using a large number of colloidal particles. We also demonstrated how the results of cell shape analysis based on image segmentation can be used to estimate the hydrodynamic force on tethered capsule-shaped cells in micro-fluidic flows near a surface.