The impact of news on measures of undiversifiable risk: evidence from the UK stock market

Using UK equity index data, this paper considers the impact of news on time varying measures of beta, the usual measure of undiversifiable risk. The empirical model implies that beta depends on news about the market and news about the sector. The asymmetric response of beta to news about the market is consistent across all sectors considered. Recent research is divided as to whether abnormalities in equity returns arise from changes in expected returns in an efficient market or over-reactions to new information. The evidence suggests that such abnormalities may be due to changes in expected returns caused by time-variation and asymmetry in beta.

Predicting the impact of the EU common agricultural policy reform in England: micro and macroeconomic aspects

In this article we investigate the effects of the European CAP reform on a selection of arable crops in England, both at a regional and national level. The results show that the CAP reform will push farmers to adjust to the new market conditions, which will cause a further restructuring of the English agricultural business sector. Our results show that, under the new market conditions, economically-small farms will increase their output by allocating more land to cereals, whereas economically-large farms will need to decrease land allocated to cereals to reduce production costs and achieve better returns.

Chess endgame news

This article reviews the KQPKQP endgame of the ROOKIE-BARON game of the World Computer Chess Championship, 2011. It also reviews the decisive KRNPKBP endgame in the second Anand-Gelfand rapid game of the World Chess Championship 2012. There is a review of parts 2-3 of the Bourzutschky-Konoval 7-man endgame series in EG, of the new endgame software tool FinalGen, and of the 'Lomonosov' endgame table generation programme in Moscow.

House price dynamics and their reaction to macroeconomic changes

This article applies a three-regime Markov switching model to investigate the impact of the macroeconomy on the dynamics of the residential real estate market in the US. Focusing on the period between 1960 and 2011, the methodology implemented allows for a clearer understanding of the drivers of the real estate market in “boom”, “steady-state” and “crash” regimes. Our results show that the sensitivity of the real estate market to economic changes is regime-dependent. The paper then proceeds to examine whether policymakers are able to influence a regime switch away from the crash regime. We find that a decrease in interest rate spreads could be an effective catalyst to precipitate such a change of state.

Chess Endgame News

This review starts with a demonstration of the power of FinalGen and the new Lomonosov 7-man endgame tables, each giving an alternative 'bionic' ending to the 'five Queens' Hao-Carlsen (Tata Chess 2013) game. The completion of the Lomonosov 7-man DTM EGTs is announced. The final two parts of the Bourzutschky-Konoval 7-man-chess series in EG are summarised.

Co3(SO4)3(OH)2[enH2]: a newS= 3/2 Kagome-type layered sulfate with a unique connectivity

The Kagome lattice, comprising a two-dimensional array of corner-sharing equilateral triangles, is central to the exploration of magnetic frustration. In such a lattice, antiferromagnetic coupling between ions in triangular plaquettes prevents all of the exchange interactions being simultaneously satisfied and a variety of novel magnetic ground states may result at low temperature. Experimental realization of a Kagome lattice remains difficult. The jarosite family of materials of nominal composition AM3(SO4)2(OH)6 (A = monovalent cation; M= Fe3+, Cr3+), offers perhaps one of the most promising manifestations of the phenomenon of magnetic frustration in two dimensions. The magnetic properties of jarosites are however extremely sensitive to the degree of coverage of magnetic sites. Consequently, there is considerable interest in the use of soft chemical techniques for the design and synthesis of novel materials in which to explore the effects of spin, degree of site coverage and connectivity on magnetic frustration.

Chess Endgame News

Three topics are discussed. First, an issue in the epistemology of computer simulation - that of the chess endgame 'becoming' what computer-generated data says it is. Secondly, the endgames of the longest known games are discussed, and the concept of a Bionic Game is defined. Lastly, the set of record-depth positions published by Bourzutschky and Konoval are evaluated by the new MVL tables in Moscow - alongside the deepest known mate of 549 moves.

Macroeconomic forecasting with mixed-frequency data: forecasting output growth in the United States

Many macroeconomic series, such as U.S. real output growth, are sampled quarterly, although potentially useful predictors are often observed at a higher frequency. We look at whether a mixed data-frequency sampling (MIDAS) approach can improve forecasts of output growth. The MIDAS specification used in the comparison uses a novel way of including an autoregressive term. We find that the use of monthly data on the current quarter leads to significant improvement in forecasting current and next quarter output growth, and that MIDAS is an effective way to exploit monthly data compared with alternative methods.

Chess endgame news

This note defines what it means by the 'chess endgame' and looks at the frequency of sub-n-man and 'FinalGen' positions in games and studies and in the FIDE 2013 World Cup. It includes the exposition of the DTM-minimaxing line from one of the three DTM-deepest known (KQPKRBN) positions. It refines the definitions of 'longest game' and 'bionic game'. The games of the FIDE 2013 World Cup and the longest known decisive game are available here.

Are investors guided by the news disclosed by companies or by journalists?

Most previous studies demonstrating the influential role of the textual information released by the media on stock market performance have concentrated on earnings-related disclosures. By contrast, this paper focuses on disposal announcements, so that the impacts of listed companies’ announcements and journalists’ stories can be compared concerning the same events. Consistent with previous findings, negative words, rather than those expressing other types of sentiment, statistically significantly affect adjusted returns and detrended trading volumes. However, extending previous studies, the results of this paper indicate that shareholders’ decisions are mainly guided by the negative sentiment in listed companies’ announcements rather than that in journalists’ stories. Furthermore, this effect is restricted to the announcement day. The average market reaction–measured by adjusted returns–is inversely related only when the announcements are ignored by the media, but the dispersion of market reaction–measured by detrended trading volume–is positively affected only when announcements are followed up by journalists.

Chess Endgame News

This note includes some endgame reflections on the last World Chess Championship, an update on the search for the longest decisive games between computers, and a brief mention of the sets of endgame table (EGT) statistics recently received from Yakov Konoval (2013) and from Victor Zakharov (2013) for the Lomonosov team.

A comparative analysis of the accuracy and uncertainty in real estate and macroeconomic forecasts

We compare and contrast the accuracy and uncertainty in forecasts of rents with those for a variety of macroeconomic series. The results show that in general forecasters tend to be marginally more accurate in the case of macro-economic series than with rents. In common across all of the series, forecasts tend to be smoothed with forecasters under-estimating performance during economic booms, and vice-versa in recessions We find that property forecasts are affected by economic uncertainty, as measured by disagreement across the macro-forecasters. Increased uncertainty leads to increased dispersion in the rental forecasts and a reduction in forecast accuracy.