Idiosyncratic volatility and the pricing of poorly-diversified portfolios

This article examines the role of idiosyncratic volatility in explaining the cross-sectional variation of size- and value-sorted portfolio returns. We show that the premium for bearing idiosyncratic volatility varies inversely with the number of stocks included in the portfolios. This conclusion is robust within various multifactor models based on size, value, past performance, liquidity and total volatility and also holds within an ICAPM specification of the risk–return relationship. Our findings thus indicate that investors demand an additional return for bearing the idiosyncratic volatility of poorly-diversified portfolios.

NK1 receptor antagonism and the neural processing of emotional information in healthy volunteers

The neuropeptide substance P and its receptor NK1 have been implicated in emotion, anxiety and stress in preclinical studies. However, the role of NK1 receptors in human brain function is less clear and there have been inconsistent reports of the value of NK1 receptor antagonists in the treatment of clinical depression. The present study therefore aimed to investigate effects of NK1 antagonism on the neural processing of emotional information in healthy volunteers. Twenty-four participants were randomized to receive a single dose of aprepitant (125 mg) or placebo. Approximately 4 h later, neural responses during facial expression processing and an emotional counting Stroop word task were assessed using fMRI. Mood and subjective experience were also measured using self-report scales. As expected a single dose of aprepitant did not affect mood and subjective state in the healthy volunteers. However, NK1 antagonism increased responses specifically during the presentation of happy facial expressions in both the rostral anterior cingulate and the right amygdala. In the emotional counting Stroop task the aprepitant group had increased activation in both the medial orbitofrontal cortex and the precuneus cortex to positive vs. neutral words. These results suggest consistent effects of NK1 antagonism on neural responses to positive affective information in two different paradigms. Such findings confirm animal studies which support a role for NK1 receptors in emotion. Such an approach may be useful in understanding the effects of novel drug treatments prior to full-scale clinical trials.

A stated preference valuation of the non-market benefits of pollination services in the UK

Using a choice experiment survey this study examines the UK public's willingness to pay to conserve insect pollinators in relation to the levels of two pollination service benefits: maintaining local produce supplies and the aesthetic benefits of diverse wildflower assemblages. Willingness to pay was estimated using a Bayesian mixed logit with two contrasting controls for attribute non-attendance, exclusion and shrinkage. The results suggest that the UK public have an extremely strong preference to avoid a status quo scenario where pollinator populations and pollination services decline. Total willingness to pay was high and did not significantly vary between the two pollination service outputs, producing a conservative total of £379M over a sample of the tax-paying population of the UK, equivalent to £13.4 per UK taxpayer. Using a basic production function approach, the marginal value of pollination services to these attributes is also extrapolated. The study discusses the implications of these findings and directions for related future research into the non-market value of pollination and other ecosystem services.

Task relevance of emotional information affects anxiety-linked attention bias in visual search

Task relevance affects emotional attention in healthy individuals. Here, we investigate whether the association between anxiety and attention bias is affected by the task relevance of emotion during an attention task. Participants completed two visual search tasks. In the emotion-irrelevant task, participants were asked to indicate whether a discrepant face in a crowd of neutral, middle-aged faces was old or young. Irrelevant to the task, target faces displayed angry, happy, or neutral expressions. In the emotion-relevant task, participants were asked to indicate whether a discrepant face in a crowd of middle-aged neutral faces was happy or angry (target faces also varied in age). Trait anxiety was not associated with attention in the emotion-relevant task. However, in the emotion-irrelevant task, trait anxiety was associated with a bias for angry over happy faces. These findings demonstrate that the task relevance of emotional information affects conclusions about the presence of an anxiety-linked attention bias.

The housing market channel of monetary policy transmission in the Euro area

Purpose – The purpose of this paper is to explore the role of the housing market in the monetary policy transmission to consumption among euro area member states. It has been argued that the housing market in one country is then important when its mortgage market is well developed. The countries in the euro area follow unitary monetary policy, however, their housing and mortgage markets show some heterogeneity, which may lead to different policy effects on aggregate consumption through the housing market. Design/methodology/approach – The housing market can act as a channel of monetary policy shocks to household consumption through changes in house prices and residential investment – the housing market channel. We estimate vector autoregressive models for each country and conduct a counterfactual analysis in order to disentangle the housing market channel and assess its importance across the euro area member states. Findings – We find little evidence for heterogeneity of the monetary policy transmission through house prices across the euro area countries. Housing market variations in the euro area seem to be better captured by changes in residential investment rather than by changes in house prices. As a result we do not find significantly large house price channels. For some of the countries however, we observe a monetary policy channel through residential investment. The existence of a housing channel may depend on institutional features of both the labour market or with institutional factors capturing the degree of household debt as is the LTV ratio. Originality/value – The study contributes to the existing literature by assessing whether a unitary monetary policy has a different impact on consumption across the euro area countries through their housing and mortgage markets. We disentangle monetary-policy-induced effects on consumption associated with variations on the housing markets due to either house price variations or residential investment changes. We show that the housing market can play a role in the monetary transmission mechanism even in countries with less developed mortgage markets through variations in residential investment.

The macroeconomic effects of infrequent information with adjustment costs

We extend the macroeconomic literature on Sstype rules by introducing infrequent information in a kinked ad justment cost model. We first show that optimal individual decision rules are both state-and -time dependent. We then develop an aggregation framework to study the macroeconomic implications of such optimal individual decision rules. In our model, a vast number of agents act together, and more so when uncertainty is large.The average effect of an aggregate shock is inversely related to its size and to aggregate uncertainty. These results are in contrast with those obtained with full information ad justment cost models.

Entry mode choice and market selection of born globals in developing countries: a multiple-case study of the ecuadorian software sector

O fenômeno "Born global" refere-se a empresas que consideram o mercado global como seu contexto natural e que iniciam seu processo de internacionalização muito cedo após sua criação. As teorias tradicionais como o modelo de Uppsala não conseguem explicar este processo. Portanto, outras teorias têm surgido, como a perspectiva de redes. Existem alguns estudos relacionados a esta área, principalmente realizados em países desenvolvidos com pequenos mercados e economias abertas. No entanto, poucos estudos têm sido feitos em economias em desenvolvimento. Além disso, o número de pesquisas quanto à escolha do modo de entrada e seleção de mercados das empresas “born global” é bastante limitado. Consequentemente, este estudo pretende descrever os principais fatores que influenciam a escolha do modo de entrada e seleção de mercados das empresas, de economias em desenvolvimento, nascidas globais. O foco da pesquisa é a indústria de software e um estudo de casos múltiplo foi realizado com três empresas no Equador. A metodologia incluiu entrevistas com fundadores, bem como a coleta de dados secundários. Com base na evidência empírica, verificou-se que os principais fatores que influenciam a escolha do modo de entrada são as restrições financeiras, as receitas esperadas, a velocidade de internacionalização, mercados nicho e a experiência empresarial anterior dos fundadores. Por outro lado, a seleção de mercado é influenciada por semelhanças de língua e cultura, mercados nicho e relações em rede.

Influence of visual information on optimal obstacle crossing

Human motion seems to be guided by some optimal principles. In general, it is assumed that human walking is generated with minimal energy consumption. However, in the presence of disturbances during gait, there is a trade-off between stability (avoiding a fall) and energy-consumption. This work analyses the obstacle-crossing with the leading foot. It was hypothesized that energy-saving mechanisms during obstacle-crossing are modulated by the requirement to avoid a fall using the available sensory information, particularly, by vision. A total of fourteen subjects, seven with no visual impairment and seven blind, walked along a 5 meter flat pathway with an obstacle of 0.26 m height located at 3 m from the starting point. The seven subjects with normal vision crossed the obstacle successfully 30 times in two conditions: blindfolded and with normal vision. The seven blind subjects did the same 30 times. The motion of the leading limb was recorded by video at 60 Hz. There were markers placed on the subject's hip, knee, ankle, rear foot, and forefoot. The motion data were filtered with a fourth order Butterworth filter with a cut-off frequency of 4 Hz. The following variables were calculated: horizontal distance between the leading foot and the obstacle at toe-off prior to (DHPO) and after (DHOP) crossing, minimal vertical height from the foot to the obstacle (DVPO), average step velocity (VELOm). The segmental energies were also calculated and the work consumed by the leading limb during the crossing obstacle was computed for each trial. A statistical analysis repeated-measures ANOVA was conducted on these dependent variables revealing significant differences between the vision and non-vision conditions in healthy subjects. In addition, there were no significant differences between the blind and people with vision blindfolded. These results indicate that vision is crucial to determine the optimal trade-off between energy consumption and avoiding a trip during obstacle crossing.

Chemical transfer of warning information in non-injured fish

In this study we describe pacus, Piaractus mesopotamicus, detecting the presence of a predator by conspecific alerting pheromone. Moreover, we investigate whether this chemical information indicates the presence of a specific predator, or whether it indicates general disturbance. We exposed groups of pacus to the view of a predator fish (trahira, Hoplias malabaricus), a non-predator fish (piracanjuba, Brycon orbignyanus) or an aquarium without any fish (control), and then we transferred their water to isolated conspecifics. We set up six trials of each condition in which we analysed the dispersion and the distance from the visual stimulus in water-donor fish and the distance from the chemical stimulus in water-receiver pacus. This study showed that pacus visually identified the presence of another fish and recognised it as predator or non-predator. This is interpreted as an innate response. Such heterospecific detection affects the behaviour of pacus, which release chemicals that induce conspecifics to adopt a similar behavioural response. At least two chemicals might be involved, one of them possibly an alerting pheromone.

The use of somatosensory information during the acquisition of independent upright stance

This study investigated developmental changes in the use of a contact surface during the acquisition of upright posture. Standing infants were longitudinally examined at four developmental epochs: pulling to stand (PS); standing alone (SA); walking onset (WO); and 1.5 months post-walking (PW). The results revealed that as standing experience increased the force applied to the contact surface by the hand and the body sway decreased. Applied force and body sway were consistently related in the anterior-posterior direction (r approximate to 0.65). Temporally, body sway led applied force (approximate to 45 ms) at the PS, SA, and WO developmental periods. However, at PW, the temporal relationship reversed and applied force led body sway (approximate to 140 ms). These results indicate that initially infants use surface contact for mechanical purposes but later for orientation information that affords prospective control of posture.

Monitoring of the Plan of Action eLAC2010: Advances and challenges of the information society in Latin America and the Caribbean

Includes bibliography