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TWO ESSAYS ON INSTITUTIONAL INVESTORS
Title
TWO ESSAYS ON INSTITUTIONAL INVESTORS.
Creator
Nguyen, Hoang, Chen, Honghui, University of Central Florida
Abstract / Description
This dissertation consists of two essays investigating the trading by institutions and its impact on the stock market. In the first essay, I investigate why changes in institutional breadth predict return. I first show that changes in breadth are positively associated with abnormal returns over the following four quarters. I then demonstrate that this return predictability can be attributed to the information about the firms' future operating performance. When I examine different types of...
Show moreThis dissertation consists of two essays investigating the trading by institutions and its impact on the stock market. In the first essay, I investigate why changes in institutional breadth predict return. I first show that changes in breadth are positively associated with abnormal returns over the following four quarters. I then demonstrate that this return predictability can be attributed to the information about the firms' future operating performance. When I examine different types of institutions independently, I find that the predictive power varies across the population of institutions. More specifically, institutions that follow active management style are better able to predict future returns than the passive institutions, and their predictive power appears to be associated with information about future earnings growth. These findings are consistent with the information hypothesis that changes in breadth of institutional ownership can predict return because they contain information about the fundamental value of firms. In the second essay, I examine institutional herding behavior and its impact on stock prices. I document that herds by institutions usually last for more than one quarter and that herds occur more frequently for small and medium size stocks. I find that after herds end, there are reversals in stocks returns for up to four quarters. The magnitude of reversals is positively related to the duration of herding, and negatively related to the price impact of current herding activity. This pattern in returns prevails for all sub-periods examined and is concentrated in small and medium size stocks. My findings suggest that institutional herding may destabilize stock prices.
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Date Issued
2007
Identifier
CFE0001731, ucf:47304
Format
Document (PDF)
PURL
http://purl.flvc.org/ucf/fd/CFE0001731
A Hybrid Constitutive Model For Creep, Fatigue, And Creep-Fatigue Damage
Title
A Hybrid Constitutive Model For Creep, Fatigue, And Creep-Fatigue Damage.
Creator
Stewart, Calvin, Gordon, Ali, Nicholson, David, Moslehy, Faissal, University of Central Florida
Abstract / Description
In the combustion zone of industrial- and aero- gas turbines, thermomechanical fatigue (TMF) is the dominant damage mechanism. Thermomechanical fatigue is a coupling of independent creep, fatigue, and oxidation damage mechanisms that interact and accelerate microstructural degradation. A mixture of intergranular cracking due to creep, transgranular cracking due to fatigue, and surface embrittlement due to oxidation is often observed in gas turbine components removed from service. The current...
Show moreIn the combustion zone of industrial- and aero- gas turbines, thermomechanical fatigue (TMF) is the dominant damage mechanism. Thermomechanical fatigue is a coupling of independent creep, fatigue, and oxidation damage mechanisms that interact and accelerate microstructural degradation. A mixture of intergranular cracking due to creep, transgranular cracking due to fatigue, and surface embrittlement due to oxidation is often observed in gas turbine components removed from service. The current maintenance scheme for gas turbines is to remove components from service when any criteria (elongation, stress-rupture, crack length, etc.) exceed the designed maximum allowable. Experimental, theoretical, and numerical analyses are performed to determine the state of the component as it relates to each criterion (a time consuming process). While calculating these metrics individually has been successful in the past, a better approach would be to develop a unified mechanical modeling that incorporates the constitutive response, microstructural degradation, and rupture of the subject material via a damage variable used to predict the cumulative (")damage state(") within a component. This would allow for a priori predictions of microstructural degradation, crack propagation/arrest, and component-level lifing. In this study, a unified mechanical model for creep-fatigue (deformation, cracking, and rupture) is proposed. It is hypothesized that damage quantification techniques can be used to develop accurate creep, fatigue, and plastic/ductile cumulative- nonlinear- damage laws within the continuum damage mechanics principle. These damage laws when coupled with appropriate constitutive equations and a degrading stiffness tensor can be used to predict the mechanical state of a component. A series of monotonic, creep, fatigue, and tensile-hold creep-fatigue tests are obtained from literature for 304 stainless steel at 600(&)deg;C (1112(&)deg;F) in an air. Cumulative- nonlinear- creep, fatigue, and a coupled creep-fatigue damage laws are developed. The individual damage variables are incorporated as an internal state variable within a novel unified viscoplasticity constitutive model (zero yield surface) and degrading stiffness tensor. These equations are implemented as a custom material model within a custom FORTRAN one-dimensional finite element code. The radial return mapping technique is used with the updated stress vector solved by Newton-Raphson iteration. A consistent tangent stiffness matrix is derived based on the inelastic strain increment. All available experimental data is compared to finite element results to determine the ability of the unified mechanical model to predict deformation, damage evolution, crack growth, and rupture under a creep-fatigue environment.
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Date Issued
2013
Identifier
CFE0005061, ucf:49985
Format
Document (PDF)
PURL
http://purl.flvc.org/ucf/fd/CFE0005061