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Socially Responsible Investing and Style Investing
Title
Socially Responsible Investing and Style Investing
Creator
He, Di
Date
2020
Description
This study focuses on two popular investment strategies. The first one is a combination of socially responsible investing and factor investing...
Show moreThis study focuses on two popular investment strategies. The first one is a combination of socially responsible investing and factor investing (SRIF), it is therefore a comparison between factor investing portfolios and their corresponding ESG screened factor investing portfolios, aiming at indicating whether there is an opportunity costs or benefits of being responsible in factor investing. Opportunity cost is regarded if the ESG screened factor investing portfolios have lower raw return, Sharpe ratio, and risk-adjusted return than their respective factor investing portfolios. In addition to simply comparison, I also build an empirical SRI strategy, achieving real outperformance of SRI. For the second strategy, investing in R&D intensity (high technology) stocks results in significant positive alpha over 40 years. However, the alphas decrease significantly after the “Tech Bubble”, because investors nowadays prefer those technology firms who can produce true profits. I provide empirical evidence to investor sentiment, proving both risk bearing and investor sentiment play important roles in the positive association between R&D-intensive and excess return.In the first SRIF strategy, five widely-accepted factors in academic: value, size, profit, investment, and momentum are used to construct original single factor investing portfolio as benchmarks, which can naturally solve the benchmark bias, factor bias in previous literature at some extent. In addition to fulfill empirical industry’s generalities and constraints, this study also covers multi-factor framework and constructs different long-short positions for investment processing. Following considerations of ESG measurement (ESG_net and ESG_Industry, the latter one for calibration of industry bias), sample period (whole period and sub period), portfolio weighting methods (equally weighted and capitalization weighted), and after excluding undiversified portfolio, there are total 192 comparisons between factor investing portfolios and ESG screened factor investing portfolios for each measures of performance. Results suggest that most investors (80% - 90%) have to bear non-statistically significant opportunity costs if they want to be socially responsible in factor investing. In addition, the opportunity costs in sub period (2004-2017) is remarkably less in scale than those in whole period (1992-2017), indicating an obvious “time effect” that investors will have less opportunity costs recently with more and more ESG information is disclosed. For empirical consideration of industry, I build a double sorting factor portfolio on profit and value, and its ESG screened portfolio outperform the single factor portfolio.For the second research, R&D expense is a key component of investment. There is long history literature claim that there is a positive relationship between R&D and stock returns. There are two main explanations of the positive association, which are mispricing and risk bearing. This study separates whole sample into two periods: before “Tech Bubble” and after “Tech Bubble”, indicating that the mispricing is weaker after “Tech Bubble” than that in before “Tech Bubble”, while risk bearing is persistent. In addition, this study finds that the excess returns are relatively high for those highly subjective and difficult to arbitrage technology securities, which are small stocks, high volatility stocks, unprofitable stocks, non-dividend-paying stocks before the “Tech Bubble”, but almost vanish after the “Tech Bubble”. Therefore, investor sentiment does exist. While for those true earning technology securities, their excess returns are persistent, indicating compensation of risk bearing.
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EFFECTS OF VORINOSTAT AND 17-AAG ON THE ANDROGEN RECEPTOR AND ANDROGEN-INDEPENDENT PROSTATE CANCER CELL SURVIVAL
Title
EFFECTS OF VORINOSTAT AND 17-AAG ON THE ANDROGEN RECEPTOR AND ANDROGEN-INDEPENDENT PROSTATE CANCER CELL SURVIVAL
Creator
He, Di
Date
2012-10-10, 2012-12
Description
Prostate cancer is one of the leading causes of cancer-related deaths. The AR is known to play an important role in cell proliferation and...
Show moreProstate cancer is one of the leading causes of cancer-related deaths. The AR is known to play an important role in cell proliferation and cell survival during the development of prostate tumors. Chemical and physical removal of androgens is therefore commonly used to treat prostate cancer. AR regulatory drugs, such as Vorinostat and 17-AAG, are FDA-approved drugs designed to down-regulate AR expression and suppress tumor growth. However, the function of the AR in post-castration tumors is not clear. Recently, our laboratory and others have shown that the AR also has a pro-death function, especially in androgen-independent prostate cancer cells. To determine the function of Vorinostat and 17-AAG on AR expression levels and cell survival in androgen-independent prostate cancer cells, we treated 104-R1 cells, an androgen-independent prostate cancer cell sub-line, with either Vorinostat or 17-AAG. We found that both drugs down-regulated AR protein levels, although Vorinostat was more potent than 17-AAG. Neither drug independently caused significant cell death; however, at certain doses, both drugs induced cell morphological changes that correlated with AR expression levels. Interestingly, Vorinostat synergized with Adriamycin, a commonly used chemotherapeutic drug, to induce cell death, while 17-AAG suppressed Adriamycin-induced apoptosis in 104-R1 cells. These data suggest that the drugs that are effective for androgen-dependent prostate cancer might not be suitable for androgen-independent prostate cancer.
M.S. in Biology, December 2012
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