Browsing by Author "Chen, Yong"

Now showing 1 - 4 of 4
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    Calibrating virtual population analysis for fisheries stock assessment
    Chen, Yong; Jiao, Yan; Sun, Chi-Lu; Chen, Xinjun (EDP SCIENCES, 2008-04)
    Virtual population analysis (VPA) is often used for assessing freshwater and marine fisheries resources. One important component in VPA is to calibrate abundance estimates with a time series of abundance indices. One of the commonly used calibration processes usually includes simultaneous estimation of cohort sizes across all ages and years. This reduces the flexibility of the model in accounting for age- and year-effects, in particular in the presence of an age- specific curvilinear relationship between abundance index and stock abundance. In this study, we compared this simultaneous method tuning approach with a stepwise approach which calibrates abundance age by age in tuning VPA. The simulation study suggests that the stepwise procedure tends to perform better with no obvious retrospective errors in the estimated stock biomass compared with the simultaneous method which tends to have large positive retrospective errors. In applying the stepwise procedure and simultaneous method to a cod fishery data set, we found large differences in the stock sizes estimated for the most recent year using these two methods, with the current stock size estimated using the stepwise method being substantially smaller than that estimated with the simultaneous method. Considering the likelihood of the presence of curvilinear relationship between abundance index and stock abundance, we conclude that the stepwise method yields more reliable results, and is less risk-prone in using VPA for fisheries stock assessment.
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    Two Essays on Asset Prices
    Celiker, Umut (Virginia Tech, 2012-07-18)
    This dissertation consists of two chapters. The first chapter examines the role of growth options on stock return continuation. Growth options are both difficult to value and risky. Daniel, Hirshleifer and Subrahmanyam (1998) argue that higher momentum profits earned by high market-to-book firms stem from investors' higher overconfidence due to the difficulty of valuing growth options. Johnson (2002) and Sagi and Seasholes (2007) offer an alternative rational explanation wherein growth options cause a wider spread in risk and expected returns between winners and losers. This paper suggests that firm-specific uncertainty helps disentangle these two different explanations. Specifically, the rational explanation is at work among firms with low firm specific uncertainty. However, the evidence is in favor of the behavioral explanation for firms with high firm specific uncertainty. This is consistent with the notion that investors are more prone to behavioral biases in the presence of firm-specific uncertainty and the resulting mispricings are less likely to be arbitraged away. The second chapter examines how investors capitalize differences of opinion when disagreements are common knowledge. We conduct an event study of the market's reaction to analysts' dispersed earnings forecast revisions. We find that investors take differences of opinion into account and do not exhibit an optimism bias. Our findings indicate that the overpricing of stocks with high forecast dispersion is not due to investors' tendency to overweight optimistic expectations, but rather due to investor credulity regarding analysts' incentives. Our findings support the notion that assets may become mispriced when rational investors face structural uncertainties as proposed by Brav and Heaton (2002).
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    Two Essays on Equity Mutual Funds
    Jaiprakash, Puneet (Virginia Tech, 2011-08-05)
    Previous research has shown that expected market returns vary over time and that this variation can be predicted by variables such as dividend yields and book-to-market ratios (Fama and French (1989); Campbell and Thompson (2008)). Further, macroeconomic variables affect asset returns (Flannery and Protopapadikas (2002)). We investigate whether the investment decisions of mutual fund investors incorporate information about future stock returns contained in predictive and macroeconomic variables. If investors incorporate this information, then variation in flows should be related to that in predictive variables and macroeconomic variables. Using quarterly flow data from 1951Q4 to 2007Q4, we find that both predictive and macroeconomic variables have a relatively small impact on flows. Our results suggest that fund investors, as a group, fail to adequately incorporate the information contained in these variables. Existing literature documents that (i) an asymmetric low-performance relationship creates an incentive for managers to extract rents from shareholders, and (ii) managers respond to such incentives by strategically altering portfolio risk. Using the semiparametric regression model proposed by Chevalier and Ellison (1997), we show that the flow-performance relationship has become linear in recent years (2000-2009) and fund managers no longer respond to such incentives. Fund managers, however, change portfolio risk in response to past performance; such changes have a positive impact on fund performance and are indicative of a better alignment of interests between managers and shareholders.
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    Ultimate Strength Analysis of Stiffened Panels Using a Beam-Column Method
    Chen, Yong (Virginia Tech, 2003-01-15)
    An efficient beam-column approach, using an improved step-by-step numerical method, is developed in the current research for studying the ultimate strength problems of stiffened panels with two load cases: 1) under longitudinal compression, and 2) under transverse compression. Chapter 2 presents an improved step-by-step numerical integration procedure based on (Chen and Liu, 1987) to calculate the ultimate strength of a beam-column under axial compression, end moments, lateral loads, and combined loads. A special procedure for three-span beam-columns is also developed with a special attention to usability for stiffened panels. A software package, ULTBEAM, is developed as an implementation of this method. The comparison of ULTBEAM with the commercial finite element package ABAQUS shows very good agreement. The improved beam-column method is first applied for the ultimate strength analysis of stiffened panel under longitudinal compression. The fine mesh elasto-plastic finite element ultimate strength analyses are carried out with 107 three-bay stiffened panels, covering a wide range of panel length, plate thickness, and stiffener sizes and proportions. The FE results show that the three-bay simply supported model is sufficiently general to apply to any panel with three or more bays. The FE results are then used to obtain a simple formula that corrects the beam-column result and gives good agreement for panel ultimate strength for all of the 107 panels. The formula is extremely simple, involving only one parameter: the product λΠorth2. Chapter 4 compares the predictions of the new beam-column formula and the orthotropic-based methods with the FE solutions for all 107 panels. It shows that the orthotropic plate theory cannot model the "crossover" panels adequately, whereas the beam-column method can predict the ultimate strength well for all of the 107 panels, including the "crossover" panels. The beam-column method is then applied for the ultimate strength analysis of stiffened panel under transverse compression, with or without pressure. The method is based on a further extension of the nonlinear beam-column theory presented in Chapter 2, and application of it to a continuous plate strip model to calculate the ultimate strength of subpanels. This method is evaluated by comparing the results with those obtained using ABAQUS, for several typical ship panels under various pressures.