The value premium and time-varying volatility

Numerous studies have documented the failure of the static and conditional capital asset pricing models to explain the difference in returns between value and growth stocks. This paper examines the post-1963 value premium by employing a model that captures the time-varying total risk of the value-minus-growth portfolios. Our results show that the time-series of value premia is strongly and positively correlated with its volatility. This conclusion is robust to the criterion used to sort stocks into value and growth portfolios and to the country under review (the US and the UK). Our paper is consistent with evidence on the possible role of idiosyncratic risk in explaining equity returns, and also with a separate strand of literature concerning the relative lack of reversibility of value firms' investment decisions.

Visual surveillance for moving vehicles

An overview is given of a vision system for locating, recognising and tracking multiple vehicles, using an image sequence taken by a single camera mounted on a moving vehicle. The camera motion is estimated by matching features on the ground plane from one image to the next. Vehicle detection and hypothesis generation are performed using template correlation and a 3D wire frame model of the vehicle is fitted to the image. Once detected and identified, vehicles are tracked using dynamic filtering. A separate batch mode filter obtains the 3D trajectories of nearby vehicles over an extended time. Results are shown for a motorway image sequence.

Driving saccade to pursuit using image motion

Within the context of active vision, scant attention has been paid to the execution of motion saccades—rapid re-adjustments of the direction of gaze to attend to moving objects. In this paper we first develop a methodology for, and give real-time demonstrations of, the use of motion detection and segmentation processes to initiate capture saccades towards a moving object. The saccade is driven by both position and velocity of the moving target under the assumption of constant target velocity, using prediction to overcome the delay introduced by visual processing. We next demonstrate the use of a first order approximation to the segmented motion field to compute bounds on the time-to-contact in the presence of looming motion. If the bound falls below a safe limit, a panic saccade is fired, moving the camera away from the approaching object. We then describe the use of image motion to realize smooth pursuit, tracking using velocity information alone, where the camera is moved so as to null a single constant image motion fitted within a central image region. Finally, we glue together capture saccades with smooth pursuit, thus effecting changes in both what is being attended to and how it is being attended to. To couple the different visual activities of waiting, saccading, pursuing and panicking, we use a finite state machine which provides inherent robustness outside of visual processing and provides a means of making repeated exploration. We demonstrate in repeated trials that the transition from saccadic motion to tracking is more likely to succeed using position and velocity control, than when using position alone.

Bronze Age barrows on the heathlands of southern England: construction, forms and interpretations

The Bronze Age barrows on the downs of southern England have been investigated and discussed for nearly 200 years, but much less attention has been paid to similar structures in the areas of heathland beyond the chalk and river gravels. They were built in a phase of expansion towards the end of the Early Bronze Age, and more were constructed during the Middle Bronze Age. They have a number of distinctive characteristics. This paper considers the interpretation of these monuments and their wider significance in relation to the pattern of settlement. It also discusses the origins of field systems in lowland England.

The long-term price-earnings ratio

price-earnings ratio;value premium;arbitrage trading rule;UK stock returns;contrarian investment Abstract:  The price-earnings effect has been thoroughly documented and is the subject of numerous academic studies. However, in existing research it has almost exclusively been calculated on the basis of the previous year's earnings. We show that the power of the effect has until now been seriously underestimated due to taking too short-term a view of earnings. Looking at all UK companies since 1975, using the traditional P/E ratio we find the difference in average annual returns between the value and glamour deciles to be 6%. This is similar to other authors' findings. We are able to almost double the value premium by calculating the P/E ratio using earnings averaged over the previous eight years.

A three-regime model of speculative behaviour: modelling the evolution of the S&P 500 composite index

We examine whether a three-regime model that allows for dormant, explosive and collapsing speculative behaviour can explain the dynamics of the S&P 500. We extend existing models of speculative behaviour by including a third regime that allows a bubble to grow at a steady rate, and propose abnormal volume as an indicator of the probable time of bubble collapse. We also examine the financial usefulness of the three-regime model by studying a trading rule formed using inferences from it, whose use leads to higher Sharpe ratios and end of period wealth than from employing existing models or a buy-and-hold strategy.