Mean reversion in the short horizon returns of UK portfolios

This paper will show that short horizon stock returns for UK portfolios are more predictable than suggested by sample autocorrelation co-efficients. Four capitalisation based portfolios are constructed for the period 1976–1991. It is shown that the first order autocorrelation coefficient of monthly returns can explain no more than 10% of the variation in monthly portfolio returns. Monthly autocorrelation coefficients assume that each weekly return of the previous month contains the same amount of information. However, this will not be the case if short horizon returns contain predictable components which dissipate rapidly. In this case, the return of the most recent week would say a lot more about the future monthly portfolio return than other weeks. This suggests that when predicting future monthly portfolio returns more weight should be given to the most recent weeks of the previous month, because, the most recent weekly returns provide the most information about the subsequent months' performance. We construct a model which exploits the mean reverting characteristics of monthly portfolio returns. Using this model we forecast future monthly portfolio returns. When compared to forecasts that utilise the autocorrelation statistic the model which exploits the mean reverting characteristics of monthlyportfolio returns can forecast future returns better than the autocorrelation statistic, both in and out of sample.

From icon to naturalised icon:a linguistic analysis of media representations of the BP Deepwater Horizon crisis

This research explores how news media reports construct representations of a business crisis through language. In an innovative approach to dealing with the vast pool of potentially relevant texts, media texts concerning the BP Deepwater Horizon oil spill are gathered from three different time points: immediately after the explosion in 2010, one year later in 2011 and again in 2012. The three sets of 'BP texts' are investigated using discourse analysis and semi-quantitative methods within a semiotic framework that gives an account of language at the semiotic levels of sign, code, mythical meaning and ideology. The research finds in the texts three discourses of representation concerning the crisis that show a movement from the ostensibly representational to the symbolic and conventional: a discourse of 'objective factuality', a discourse of 'positioning' and a discourse of 'redeployment'. This progression can be shown to have useful parallels with Peirce's sign classes of Icon, Index and Symbol, with their implied movement from a clear motivation by the Object (in this case the disaster events), to an arbitrary, socially-agreed connection. However, the naturalisation of signs, whereby ideologies are encoded in ways of speaking and writing that present them as 'taken for granted' is at its most complete when it is least discernible. The findings suggest that media coverage is likely to move on from symbolic representation to a new kind of iconicity, through a fourth discourse of 'naturalisation'. Here the representation turns back towards ostensible factuality or iconicity, to become the 'naturalised icon'. This work adds to the study of media representation a heuristic for understanding how the meaning-making of a news story progresses. It offers a detailed account of what the stages of this progression 'look like' linguistically, and suggests scope for future research into both language characteristics of phases and different news-reported phenomena.

Short-horizon excess returns and exchange rate and interest rate effects

stocks. We examine the effects of foreign exchange (FX) and interest rate changes on the excess returns of U.S. stocks, for short-horizons of 1-40 days. Our new evidence shows a tendency for the volatility of both excess returns and FX rate changes to be negatively related with FX rate and interest rate effects. Both the number of firms with significant FX rate and interest rate effects and the magnitude of their exposures increase with the length of the return horizon. Our finding seems inconsistent with the view that firms hedge effectively at short-return horizons.

Open Access to Publications and Research Data in Horizon 2020: What Are the Requirements and How Can Institutional Repositories and OpenAIRE Help to Meet Them?

In the last decade the principle of Open Access to publicly funded research has been getting a growing support from policy makers and funders across Europe, both at national level and within the European Union context. At European level some of the first relevant steps taken by the European Research Council (ERC) with a statement supporting Open Access (2006), shortly followed by guidelines for researchers funded by the ERC (2007) stating that all peer-reviewed publications from ERC funded projects should be made openly accessible shortly after their publication. Those guidelines were revised in October 2013, reinforcing the mandatory character of the requirements and expanding them to monographs.

The impact of CEO compensation and CEO horizon on a firm's discretionary research and development expenditures

Agency costs are said to arise as a result of the separation of ownership from control inherent in the corporate form of ownership. One such agency problem concerns the potential variance between the time horizons of principal shareholders and agent managers. Agency theory suggests that these costs can be alleviated or controlled through performance-based Chief Executive Officer (CEO) contracting. However, components of a CEO's compensation contract can exacerbate or mitigate agency-related problems (Antle and Smith, 1985). According to the horizon hypothesis, a self-serving CEO reduces discretionary research and development (R&D) expenditures to increase earnings and earnings-based bonus compensation. Agency theorists contend that a CEO's market-based compensation component can mitigate horizon problems. This study seeks to determine whether there is a relationship between CEO earnings- and market-based compensation components and R&D expenditures in the largest United States industrial firms from 1987 to 1993.^ Consistent with the horizon hypothesis, results provide evidence of a negative and statistically significant relationship between CEO cash compensation (i.e., salary and bonus) and the firm's R&D expenditures. Consistent with the expectations of agency theory, results provide evidence of a positive and statistically significant relationship between market-based CEO compensation and R&D.^ Further results of this study provide evidence of a positive and statistically significant relationship between CEO tenure and the firm's R&D expenditures. Although there is a negative relationship between CEO age and the firm's R&D, it was not statistically significant at the 0.5 level. ^

EFFECTS OF A VISUAL HORIZON ON DROSOPHILA MELANOGASTER OBJECT-TRACKING RESPONSES

To navigate effectively in three-dimensional space, flying insects must approximate distances to nearby objects. Humans are able to use an array of cues to guide depth perception in the visual world. However, some of these cues are not available to insects that are constrained by their rigid eyes and relatively small body size. Flying fruit flies can use motion parallax to gauge the distance of nearby objects, but using this cue becomes a less effective strategy as objects become more remote. Humans are able to infer depth across far distances by comparing the angular distance of an object to the horizon. This study tested if flying fruit flies, like humans, use the relative position of the horizon as a depth cue. Fruit flies in tethered flight were stimulated with a virtual environment that displayed vertical bars of varying elevation relative to a horizon, and their tracking responses were recorded. This study showed that tracking responses of the flies were strongly increased by reducing the apparent elevation of the bar against the horizon, indicating that fruit flies may be able to assess the distance of far off objects in the natural world by comparing them against a visual horizon.

Some near horizon studies onWeyl and Vaidya spacetimes

This thesis comprises some studies on the Weyl, Vaidya and Weyl distorted Schwarzschild (WDS) spacetimes. The main focal areas are : a) construction of near horizon metric(NHM) for WDS spacetime and subsequently a "stretched horizon" prescribed by the membrane formalism for black holes, b) application of membrane formalism and construction of stretched horizons for Vaidya spacetime and c) using the thin shell formalism to construct an asymptotically flat spacetime with a Weyl interior where the construction does not violate energy conditions. For a), a standard formalism developed in [1] has been used wherein the metric is expanded as a Taylor series in ingoing Gaussian null coordinates with the affine parameter as the expansion parameter. This expansion is used to construct a timelike "stretched horizon" just outside the true horizon to facilitate some membrane formalism studies, the theory for which was first introduced in [2]. b) applies the membrane formalism to Vaidya spacetime and also extends a part of the work done in [1] in which event horizon candidates were located perturbatively. Here, we locate stretched horizons in close proximity to every event horizon candidate located in [1]. c) is an attempt to induce Weyl distortions with a thin shell of matter in an asymptotically flat spacetime without violating energy conditions.

L'occupation Tanguche de l'Horizon Moyen du site El Castillo, vallée de Santa, côte nord du Pérou

Mémoire numérisé par la Direction des bibliothèques de l'Université de Montréal.

Influence des fractions hydrophobique et hydrophilique de la matière organique dissoute sur la sorption de Cd, Cu et Pb dans l'horizon B de Podzol

Mémoire numérisé par la Direction des bibliothèques de l'Université de Montréal.

L'occupation Tanguche de l'Horizon Moyen du site El Castillo, vallée de Santa, côte nord du Pérou

Mémoire numérisé par la Direction des bibliothèques de l'Université de Montréal.

Influence des fractions hydrophobique et hydrophilique de la matière organique dissoute sur la sorption de Cd, Cu et Pb dans l'horizon B de Podzol

Mémoire numérisé par la Direction des bibliothèques de l'Université de Montréal.

Can Compensation Committees Effectively Mitigate the CEO Horizon Problem? The Role of Co-opted Directors

Extant research finds inconclusive evidence about the CEO horizon problem. One possibility is that compensation committees design CEO compensation in a way that discourages retiring CEOs from opportunistic earnings management and R&D reduction. However, compensation committees dominated by co-opted directors may not be as effective as those with fewer co-opted directors in mitigating the CEO horizon problem, because directors co-opted by the CEO tend to bias their decisions in favor of the CEO. I find that compensation committees dominated by co-opted directors are associated with higher CEO compensation packages. I document R&D reduction and accruals management in firms with retiring CEOs and compensation committees dominated by co-opted directors, and find that R&D reduction and income-increasing accruals are less discouraged by compensation committees dominated by co-opted directors when deciding CEO compensation. I also examine the effect of boards of directors and compensation committee characteristics on CEO compensation and on mitigating the CEO horizon problem. I find that CEO compensation positively associates with CEO power, director independence, and the percentage of busy directors, and negatively associates with board of directors and committee size and director ownership. Moreover, I find that retiring CEOs are more likely to reduce R&D expenditures when CEOs have more power, and director tenure is longer; retiring CEOs in firms with large boards of directors and compensation committees are less likely to manage accruals.