Looking for intrinsic charm in the forward region at BNL RHIC and CERN LHC

The complete understanding of the basic constituents of hadrons and the hadronic dynamics at high energies are two of the main challenges for the theory of strong interactions. In particular, the existence of intrinsic heavy quark components in the hadron wave function must be confirmed (or disproved). In this paper we propose a new mechanism for the production of D-mesons at forward rapidities based on the Color Glass Condensate (CGC) formalism and demonstrate that the resulting transverse momentum spectra are strongly dependent on the behavior of the charm distribution at large Bjorken x. Our results show clearly that the hypothesis of intrinsic charm can be tested in pp and p(d)A collisions at RHIC and LHC. (C) 2010 Elsevier B.V. All rights reserved.

Center of mass energy and system-size dependence of photon production at forward rapidity at RHIC

We present the multiplicity and pseudorapidity distributions of photons produced in Au + Au and Cu + Cu collisions at root(s)NN = 62.4 and 200 GeV. The photons are measured in the region -3.7 < eta < -2.3 using the photon Multiplicity detector in the STAR experiment at RHIC. The number of photons produced per average number of participating nucleon pairs increases with the beam energy and is independent of (lie collision centrality. For collisions with similar average numbers of participating nucleons the photon multiplicities are observed to be similar for An + Au and Cu + Cu collisions at a given beam energy. The ratios of the number of charged particles to photons in the measured pseudorapidity range are found to be 1.4 +/- 0.1 and 1.2 +/- 0.1 for root(s)NN = 62.4 and 200 GeV, respectively. The energy dependence of this ratio could reflect varying contributions from baryons to charged particles, while mesons are the dominant contributors to photon production in the given kinematic region. The photon pseudorapidity distributions normalized by average number of participating nucleon pairs, when plotted as a function of eta-Y(beam), are found to follow a longitudinal scaling independent of centrality and colliding ion species at both beam energies. (C) 2009 Elsevier B.V. All rights reserved.

The forward- and the equity-premium puzzles: two symptoms of the same illness?

In this paper we revisit the relationship between the equity and the forward premium puzzles. We construct return-based stochastic discount factors under very mild assumptions and check whether they price correctly the equity and the foreign currency risk premia. We avoid log-linearizations by using moments restrictions associated with euler equations to test the capacity of our return-based stochastic discount factors to price returns on the relevant assets. Our main finding is that a pricing kernel constructed only using information on American domestic assets accounts for both domestic and international stylized facts that escape consumption based models. In particular, we fail to reject the null hypothesis that the foreign currency risk premium has zero price when the instrument is the own current value of the forward premium.

Essays on the relationship between the equity and the forward premium puzzles

Our research agenda consists in showing this strong relation between these puzzles based on evidences that both empirical failures are related to the incapacity of the canonical CCAPM to provide a high volatile intertemporal marginal rate of substitution with reasonable values for the preferences parameters.

The forward- and the equity-premium puzzles: two symptoms of the same illness?

We build a pricing kernel using only US domestic assets data and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our stochastic discount factor as the projection of a pricing kernel from a fully specified model in the space of returns, our results indicate that a model that accounts for the behavior of domestic assets goes a long way toward accounting for the behavior of foreign assets. We address predictability issues associated with the forward premium puzzle by: i) using instruments that are known to forecast excess returns in the moments restrictions associated with Euler equations, and; ii) by pricing Lustig and Verdelhan (2007)'s foreign currency portfolios. Our results indicate that the relevant state variables that explain foreign-currency market asset prices are also the driving forces behind U.S. domestic assets behavior.

The forward- and the equity-premium puzzles: two symptoms of the same illness?

Using information on US domestic financial data only, we build a stochastic discount factor—SDF— and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our SDF as the projection of a pricing kernel from a fully specified model in the space of returns, our results indicate that a model that accounts for the behavior of domestic assets goes a long way toward accounting for the behavior of foreign assets prices. We address predictability issues associated with the forward premium puzzle by: i) using instruments that are known to forecast excess returns in the moments restrictions associated with Euler equations, and; ii) by pricing Lustig and Verdelhan (2007)’s foreign currency portfolios. Our results indicate that the relevant state variables that explain foreign-currency market asset prices are also the driving forces behind U.S. domestic assets behavior.

The forward- and the equity-premium puzzles: two symptoms of the same illness?

Using information on US domestic financial data only, we build a stochastic discount factor—SDF— and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our SDF as the projection of a pricing kernel from a fully specified model in the space of returns, our results indicate that a model that accounts for the behavior of domestic assets goes a long way toward accounting for the behavior of foreign assets prices. We address predictability issues associated with the forward premium puzzle by: i) using instruments that are known to forecast excess returns in the moments restrictions associated with Euler equations, and; ii) by comparing this out-of-sample results with the one obtained performing an in-sample exercise, where the return-based SDF captures sources of risk of a representative set of developed and emerging economies government bonds. Our results indicate that the relevant state variables that explain foreign-currency market asset prices are also the driving forces behind U.S. domestic assets behavior.

The forward and the equity-premium puzzles: a straightforward test of whether they are two symptoms of the same illness

We build a stochastic discount factor—SDF— using information on US domestic financial data only, and provide evidence that it accounts for foreign markets stylized facts that escape SDF’s generated by consumption based models. By interpreting our SDF as the projection of the pricing kernel from a fully specified model in the space of returns, our results indicate that a model that accounts for the behavior of domestic assets goes a long way toward accounting for the behavior of foreign assets prices. In our tests, we address predictability, a defining feature of the Forward Premium Puzzle—FPP— by using instruments that are known to forecast excess returns in the moments restrictions associated with Euler equations both in the equity and the foreign markets.

A note on the forward and the equity-premium puzzles: two symptoms of the same illness?

We build a stochastic discount factor—SDF— using information on US domestic financial data only, and provide evidence that it accounts for foreign markets stylized facts that escape SDF’s generated by consumption based models. By interpreting our SDF as the projection of the pricing kernel from a fully specified model in the space of returns, our results indicate that a model that accounts for the behavior of domestic assets goes a long way toward accounting for the behavior of foreign assets prices. In our tests, we address predictability, a defining feature of the Forward Premium Puzzle—FPP— by using instruments that are known to forecast excess returns in the moments restrictions associated with Euler equations both in the equity and the foreign markets.

The forward and the equity premium puzzles: two symptoms of the same illness?

The Forward Premium Puzzle (FPP) is how the empirical observation of a negative relation between future changes in the spot rates and the forward premium is known. Modeling this forward bias as a risk premium and under weak assumptions on the behavior of the pricing kernel, we characterize the potential bias that is present in the regressions where the FPP is observed and we identify the necessary and sufficient conditions that the pricing kernel has to satisfy to account for the predictability of exchange rate movements. Next, we estimate the pricing kernel applying two methods: i) one, du.e to Araújo et aI. (2005), that exploits the fact that the pricing kernel is a serial correlation common feature of asset prices, and ii) a traditional principal component analysis used as a procedure 1;0 generate a statistical factor modeI. Then, using on the sample and out of the sample exercises, we are able to show that the same kernel that explains the Equity Premi um Puzzle (EPP) accounts for the FPP in all our data sets. This suggests that the quest for an economic mo deI that generates a pricing kernel which solves the EPP may double its prize by simultaneously accounting for the FPP.

gamma p and gamma gamma scattering from (p)over-bar-p, pp forward amplitudes in a QCD eikonal model with a dynamical gluon mass

We examine the gamma p photoproduction and the hadronic gamma gamma total cross sections by means of a QCD eikonal model with a dynamical infrared mass scale. In this model, where the dynamical gluon mass is the natural regulator for the tree level gluon-gluon scattering, the gamma p and gamma gamma total cross sections are derived from the pp and (p) over barp forward scattering amplitudes assuming vector meson dominance and the additive quark model. We show that the validity of the cross section factorization relation sigma(pp)/sigma(gamma p)=sigma(gamma p)/sigma(gamma gamma) is fulfilled depending on the Monte Carlo model used to unfold the hadronic gamma gamma cross section data, and we discuss in detail the case of sigma(gamma gamma -> hadrons) data with W-gamma gamma> 10 GeV unfolded by the Monte Carlo generators PYTHIA and PHOJET. The data seems to favor a mild dependence with the energy of the probability (P-had) that the photon interacts as a hadron.

Measurement of the Forward-Backward Charge Asymmetry and Extraction of sin(2)theta(eff)(W) in pp -> Z/gamma(*)+X -> e(+)e(-)+X Events Produced at s=1.96 TeV

We present a measurement of the forward-backward charge asymmetry (A(FB)) in pp -> Z/gamma(*)+X -> e(+)e(-)+X events at a center-of-mass energy of 1.96 TeV using 1.1 fb(-1) of data collected with the D0 detector at the Fermilab Tevatron collider. A(FB) is measured as a function of the invariant mass of the electron-positron pair, and found to be consistent with the standard model prediction. We use the A(FB) measurement to extract the effective weak mixing angle sin(2)theta(eff)(W)=0.2326 +/- 0.0018(stat)+/- 0.0006(syst).

Measurement of sin(2)theta(l)(eff) and Z-light quark couplings using the forward-backward charge asymmetry in p(p)over-bar -> Z/gamma* -> e(+)e(-) events with L=5.0 fb(-1) at root s=1.96 TeV

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Forward energy flow, central charged-particle multiplicities, and pseudorapidity gaps in W and Z boson events from pp collisions at root s=7 TeV

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)