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Open Access Publications from the University of California

Scholarly Works (11 results)

  • Thesis
  • Peer Reviewed
UC Irvine Electronic Theses and Dissertations (2014)

This study examines whether the standard compensation contract in the hedge fund industry aligns managers' incentives with the interests of investors. We demonstrate empirically that managers' compensation increases when fund assets grow, even when there are diseconomies of scale in fund performance. Under the current fee structure, managers' compensation is maximized at a much larger size than is optimal for fund performance. Therefore, hedge fund managers have strong incentives to increase their assets under management. However, to avoid capital outflows and retain fund assets, managers are also motivated to restrict fund growth to maintain style-average performance, which explains why funds sometimes close themselves to new investment.

    Cover page: The Optimal Size of Hedge Funds: Conflict between Investors and Fund Managers
    • Thesis
    • Peer Reviewed
    UC Irvine Electronic Theses and Dissertations (2016)

    In this dissertation we investigate the effect of monetary policy and regulatory changes on asset pricing and investor behavior. In the first chapter, using unique data on over-the-counter bank stock prices and balance sheet information from 1940 to 1968, we find that the largest commercial bank stocks, ranked by market value or gross deposits, have significant lower risk-adjusted annual returns than do small sized bank stocks even after controlling for standard risk factors including size. This return difference can be attributed to the Banking Act of 1935. Failures of larger institutions tended to be resolved by purchase and assumption, which is preferred because it preserves the value of the going concern, while failures of smaller institutions tended to be resolved by payoff and liquidation. This policy is interpreted as an implicit bailout by the government for large banks and we find it is one of the first instances of preferential treatment for large banks. When examined during the period of 1926 to 1939, when there are no such guarantees, we do not find any significant risk-adjusted returns differences between banks of different sizes.

    In the second chapter we examine the relationship between deposit insurance and its effect on depositor behavior. Using two classes of depositors we ask how introduction of deposit insurance influenced depositor behavior using treatment-and-control estimation strategy. New York’s commercial banks accepted two classes of deposits, preferred and regular deposits. If a bank failed, preferred depositors received complete repayment before regular depositors received any repayment. The preferred depositors would serve as the control group because they would be minimally affected by deposit insurance. Before deposit insurance, regular depositors reacted to news about banks’ balance sheets much more than preferred depositors did. After deposit insurance, the behavior difference between regular and preferred depositors was reduced. This difference in differences indicates that deposit insurance reduced depositor monitoring.

      Cover page: Regulatory Changes in Depository Institutions
      • Thesis
      • Peer Reviewed
      UC Irvine Electronic Theses and Dissertations (2021)

      Motivated by the increasing importance of passive investment, we first compare index funds with actively managed funds and study the trading performance of index funds. Then we explore the implication of mutual fund trading on stock price efficiency. Finally, we investigate the risk disclosure of mutual funds. We document the overlap and differences between actively managed funds and index funds and show that index funds could be active. Index fund trades lose money in general, specifically, stocks bought by index funds on average underperform stocks sold by index funds in subsequent periods. We also find that stocks traded by both actively managed funds and index funds experience efficiency improvement in the subsequent quarter, but in different ways. Stocks traded by actively managed funds exhibit more random walk patterns than those traded by index funds, while trades by index funds improve liquidity and the incorporation of market information. Finally, we show that most disclosed risks by mutual funds in their summary prospectus can be linked to meaningful and well-known academic risk factors. Our findings suggest that disclosed risks in general reflect a large proportion of funds’ investment risks but with substantial cross-fund heterogeneity.

        Cover page: Essays on Index Funds and Actively Managed Funds
        • Article
        • Peer Reviewed
        UC Irvine Previously Published Works (2005)
          Cover page: On the Industry Concentration of Actively Managed Equity Mutual FundsCreative Commons 'BY' version 4.0 license
          • Article
          • Peer Reviewed
          UC Irvine Previously Published Works (2006)
            Cover page: Are investors moonstruck? Lunar phases and stock returnsCreative Commons 'BY' version 4.0 license
            • Article
            • Peer Reviewed
            UC Irvine Previously Published Works (2007)
            The article presents a study about the relationship between industry concentration and the performance of actively managed U.S. mutual funds from 1984 to 2003. It develops a new measure of industry concentration to quantify the amount of portfolio concentration in several industries. The results of the study show that controlling the risk and style differences using factor-based performance measures lead to a better performance of the most concentrated funds. This suggests that investment ability is more evident among managers with portfolios concentrated in a few industries.
              Cover page: Industry Concentration and Mutual Fund PerformanceCreative Commons 'BY' version 4.0 license
              • Article
              • Peer Reviewed
              UC Berkeley Previously Published Works (2017)
              This paper presents a case history of the 205 m high intake slope at the Huangjinping (HJP) hydropower station on the Dadu River. Deformation and cracks developed on the cut slope during excavation, and the deformation extended onto the natural slope above the cut, giving rise to serious safety concerns. Research was conducted to study the engineering geological conditions and the deformation characteristics of the slope during excavation. In situ monitoring data and possible causes of cracking were analyzed. The results show that the zone of loosened rock mass extended much deeper into the rock mass than it did at other sites in the region because of the tectonic history of the site and cutting. The empirically designed cable anchors with lengths of 40 m or 45 m were insufficient to stabilize the slope, while the remedial cable anchors as long as 100 m successfully stabilized the slope. The analytic method and procedure used in this paper could be useful to similar projects.
                Cover page: Stability investigation and stabilization of a heavily fractured and loosened rock slope during construction of a strategic hydropower station in China
                • Article
                • Peer Reviewed
                UC San Francisco Previously Published Works (2014)

                Background

                Abnormal levels of CD8 T-cell activation persist in HIV-1-infected patients on suppressive antiretroviral therapy (ART) and may be deleterious.

                Methods

                CD8 T-cell activation (% coexpressing CD38/HLA-DR) was analyzed on blood specimens from 833 HIV-1-infected patients on ART for ≥96 weeks with concurrent plasma HIV RNA (vRNA) ≤200 copies per milliliter. Factors associated with CD8 T-cell activation were assessed using generalized estimating equations to incorporate longitudinal measurements (median 4/participant).

                Results

                Participants were 84% men, 47% white, 28% black, and 22% Hispanic, with median pre-ART age 38 years and median ART exposure 144 weeks. CD8 T-cell activation was higher at timepoints when vRNA was 51-200 versus ≤50 copies per milliliter [mean CD8 T-cell activation 23.4% vs. 19.7%; adjusted difference: 1.7% (95% confidence interval: 0.1 to 3.4), P = 0.042]. Restricting to vRNA ≤50 copies per milliliter, multivariable models showed the following factors associated with higher CD8 T-cell activation: older age [≥45 vs. ≤30 years: 3.6% (1.4 to 5.7), P = 0.004], hepatitis C virus antibody positivity [3.6% (0.9 to 6.2), P = 0.032], Hispanic vs. white [7.2% (5.3 to 9.0), P < 0.001], lower concurrent CD4 count [≤200 vs. >500 cells/mm: 2.2% (0.7 to 3.7), P < 0.001], lower concurrent CD4/CD8 ratio [-2.6% (-3.7 to -1.5) per 0.5 unit increase, P < 0.001], and higher pre-ART CD8 T-cell activation [2.0% (1.6 to 2.5) per 10% higher, P < 0.001].

                Conclusions

                In participants included in our analysis, residual low-level viremia between 51 and 200 copies per milliliter during ART was shown to be associated with greater CD8 T-cell activation than full suppression to <50 copies per milliliter. Older age, hepatitis C virus antibody positivity, race/ethnicity, higher pre-ART CD8 T-cell activation, and lower concurrent CD4/CD8 ratio and CD4 T-cell count also contribute to greater CD8 T-cell activation during suppressive ART.
                  Cover page: Factors Associated With CD8+ T-Cell Activation in HIV-1–Infected Patients on Long-term Antiretroviral Therapy
                  • Article
                  • Peer Reviewed
                  UC Irvine Previously Published Works (2017)

                  Background

                  Anterior and posterior circulation atherosclerosis differ in vascular risk factors and stroke mechanisms. However, few studies have compared the pathological features between these lesions. Using a series of intracranial artery specimens, we characterized the intracranial atherosclerotic lesions and compared pathological features among different arteries of the intracranial vasculature.

                  Methods

                  Intracranial large arteries of 32 consecutively recruited autopsy cases of Chinese adults aged 45 years or older were examined pathologically using routine histology and immunostaining, to characterize the pathological features of the atherosclerotic lesions. We analyzed middle cerebral arteries (MCAs) (both left and right), vertebral arteries (VAs) (side more affected), and basilar arteries (BAs).

                  Results

                  Progressive atherosclerotic lesions were present in 91(71%) of the 128 arteries examined. Features of complicated plaques were infrequently detected: plaque hemorrhage was encountered in 12%, neovasculature in 12%, lumen thrombi in 13%, macrophage infiltration in 20%, and calcification in 25% of arteries. Luminal narrowing of MCA was the most severe, followed by VA; the BA least stenotic (37 ± 25 vs. 30 ± 24 vs. 20 ± 20%, all p < 0.05). MCA had more eccentric (vs. concentric) plaques than VA (69 vs. 25%, p = 0.003) and BA (69 vs. 38%; p = 0.03). Lumen thrombi were more frequent in BA, and calcification most commonly occurred in VA atherosclerotic lesions.

                  Conclusion

                  Intracranial atherosclerotic plaques were commonly present in this sample, but the lesions generally lacked features of complicated plaques. MCA lesions had demonstrable differences compared with VA and BA lesions. Further studies are needed to determine whether these characteristics indicate a distinctive atherosclerotic phenotype for the intracranial vasculature.
                    Cover page: Histological Characteristics of Intracranial Atherosclerosis in a Chinese Population: A Postmortem StudyCreative Commons 'BY' version 4.0 license
                    • Article
                    • Peer Reviewed
                    UC Riverside Previously Published Works (2018)
                    The major histocompatibility complex (MHC) is most closely associated with nasopharyngeal carcinoma (NPC), but the complexity of its genome structure has proven challenging for the discovery of causal MHC loci or genes. We conducted a targeted MHC sequencing in 40 Cantonese NPC patients followed by a two-stage replication in 1065 NPC cases and 2137 controls of Southern Chinese descendent. Quantitative RT-PCR analysis (qRT-PCR) was used to detect gene expression status in 108 NPC and 43 noncancerous nasopharyngeal (NP) samples. Luciferase reporter assay and chromatin immunoprecipitation (ChIP) were used to assess the transcription factor binding site. We discovered that a novel SNP rs117565607_A at TRIM26 displayed the strongest association (OR = 1.909, Pcombined = 2.750 × 10-19 ). We also observed that TRIM26 was significantly downregulated in NPC tissue samples with genotype AA/AT than TT. Immunohistochemistry (IHC) test also found the TRIM26 protein expression in NPC tissue samples with the genotype AA/AT was lower than TT. According to computational prediction, rs117565607 locus was a binding site for the transcription factor Yin Yang 1 (YY1). We observed that the luciferase activity of YY1 which is binding to the A allele of rs117565607 was suppressed. ChIP data showed that YY1 was binding with T not A allele. Significance analysis of microarray suggested that TRIM26 downregulation was related to low immune response in NPC. We have identified a novel gene TRIM26 and a novel SNP rs117565607_A associated with NPC risk by regulating transcriptional process and established a new functional link between TRIM26 downregulation and low immune response in NPC.
                      Cover page: A regulatory mutant on TRIM26 conferring the risk of nasopharyngeal carcinoma by inducing low immune response
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