Sampling Interval and estimated Betas : Implications for the Presence of Transitory Components in Stock Prices

We provide a theoretical framework to explain the empirical finding that the estimated betas are sensitive to the sampling interval even when using continuously compounded returns. We suppose that stock prices have both permanent and transitory components. The permanent component is a standard geometric Brownian motion while the transitory component is a stationary Ornstein-Uhlenbeck process. The discrete time representation of the beta depends on the sampling interval and two components labelled \"permanent and transitory betas\". We show that if no transitory component is present in stock prices, then no sampling interval effect occurs. However, the presence of a transitory component implies that the beta is an increasing (decreasing) function of the sampling interval for more (less) risky assets. In our framework, assets are labelled risky if their \"permanent beta\" is greater than their \"transitory beta\" and vice versa for less risky assets. Simulations show that our theoretical results provide good approximations for the means and standard deviations of estimated betas in small samples. Our results can be perceived as indirect evidence for the presence of a transitory component in stock prices, as proposed by Fama and French (1988) and Poterba and Summers (1988).

Tests of Conditional Asset Pricing Models in the Brazilian Stock Market

In this paper, we test a version of the conditional CAPM with respect to a local market portfolio, proxied by the Brazilian stock index during the 1976-1992 period. We also test a conditional APT model by using the difference between the 30-day rate (Cdb) and the overnight rate as a second factor in addition to the market portfolio in order to capture the large inflation risk present during this period. the conditional CAPM and APT models are estimated by the Generalized Method of Moments (GMM) and tested on a set of size portfolios created from a total of 25 securities exchanged on the Brazilian markets. the inclusion of this second factor proves to be crucial for the appropriate pricing of the portfolios.

Can business & monetary conditions predict variations in expected stock returns?

Rapport de recherche

The Impact of Recycling on the Long-Run Stock of Trees

Interest in recycling of forest products has grown in recent years, one of the goals being to conserve the stock of trees or possibly increase it to compensate for positive externalities generated by the forest and neglected by the market. This paper explores the issue as to whether recycling is an appropriate measure to attain such a goal. We do this by considering the problem of the private owner of an area of land, who, acting as a price taker, decides how to allocate his land over time between forestry and some other use, and at what age to harvest the forest area chosen. Once the forest is cut, he makes a new land allocation decision and replants. He does so indefinitely, in a Faustmann-like framework. The wood from the harvest is transformed into a final product which is partly recycled into a substitute for the virgin wood, so that past output affects the current price. We show that in such a context, increasing the rate of recycling will result in less area being devoted to forestry. It will also have the effect of increasing the harvest age of the forest, as long as the planting cost is positive. The net effect on the flow of virgin wood being harvested to supply the market will as a result be ambiguous. The main point however is that recycling will result in a smaller, not a larger, stock of trees in the long run. It would therefore be best to resort to other means if the goal is to increase the stock of trees.

"Préservation du stock osseux acétabulaire lors de l'arthroplastie de la hanche : étude clinique randomisée et étude de modélisation par ordinateur "

Mémoire numérisé par la Division de la gestion de documents et des archives de l'Université de Montréal.

Fundamental Approach to Valuation of Securities -A Study with reference to Information Technology(IT) Sector Shares in Indian Stock Market

Department of Applied Economics,Cochin University of Science and Technology

Long term trends of seasonal and monthly rainfall in different intensity ranges over Indian subcontinent

In general Indian summer monsoon rainfall did not show any significant trend in all Indian summer monsoon rainfall series, however, it was reported that the ISMR is subjected to spatial trends. This paper made an attempt to bring out long term trends of different intensity classes of summer monsoon rainfall in different regions of Indian subcontinent. The long term trend of seasonal and monthly rainfall were also made using the India Meteorological Department gridded daily rainfall data with a spatial resolution of 1° × 1° latitude-longitude grid for the period from 1st January, 1901 to 31st December, 2003. The summer monsoon rainfall shows an increasing trend in southeast, northwest and northeast regions, whereas decreasing trend in the central and west coastal regions. In monthly scale, July rainfall shows decreasing trend over west coastal and central Indian regions and significant increasing trend over northeast region at 0.1% significant level. During the month August, decreasing trend is observed in the west coastal stations at 10% significant level. In most of the stations, mean daily rainfall shows an increasing trend for low and very high intense rainfall. For the moderate rainfall, the trend is different for different regions. In the central and southern regions the trend of moderate and moderately high classes show increasing trend. And for the high and very high intensity classes, the trend is decreasing significantly. In the northeastern regions, above 10 mm/day rainfall shows significantly increasing trend with 0.1% significant level.

Arbitrage Pricing Theory and Return Generating Process: A Macroeconomic Approach to Indian Stock Market

A study focusing on the identification of return generating factors and to the extent of their influence on share prices the outcome will be a tool for investment analysis in the hands of investors portfolio managers and mutual funds who are mostly concerned with changing share prices. Since the study takes into account the influence of macroeconomic variables on variations in share returns by using the outcome the government can frame out suitable policies on long term basis and that will help in nurturing a healthy economy and resultant stock market. As every company management tries to maximize the wealth of the share holders a clear idea about the return generating variables and their influence will help the management to frame various policies to maximize the wealth of the shareholders.

Uniformisierbarkeit in Familien von abelschen t-Moduln höheren Ranges

Diese Arbeit beschäftigt sich mit der Frage, wie sich in einer Familie von abelschen t-Moduln die Teilfamilie der uniformisierbaren t-Moduln beschreiben lässt. Abelsche t-Moduln sind höherdimensionale Verallgemeinerungen von Drinfeld-Moduln über algebraischen Funktionenkörpern. Bekanntermaßen lassen sich Drinfeld-Moduln in allgemeiner Charakteristik durch analytische Tori parametrisieren. Diese Tatsache überträgt sich allerdings nur auf manche t-Moduln, die man als uniformisierbar bezeichnet. Die Situation hat eine gewisse Analogie zur Theorie von elliptischen Kurven, Tori und abelschen Varietäten über den komplexen Zahlen. Um zu entscheiden, ob ein t-Modul in diesem Sinne uniformisierbar ist, wendet man ein Kriterium von Anderson an, das die rigide analytische Trivialität der zugehörigen t-Motive zum Inhalt hat. Wir wenden dieses Kriterium auf eine Familie von zweidimensionalen t-Moduln vom Rang vier an, die von Koeffizienten a,b,c,d abhängen, und gelangen dabei zur äquivalenten Fragestellung nach der Konvergenz von gewissen rekursiv definierten Folgen. Das Konvergenzverhalten dieser Folgen lässt sich mit Hilfe von Newtonpolygonen gut untersuchen. Schließlich erhält man durch dieses Vorgehen einfach formulierte Bedingungen an die Koeffizienten a,b,c,d, die einerseits die Uniformisierbarkeit garantieren oder andererseits diese ausschließen.

Modeling Stock Order Flows and Learning Market-Making from Data

Stock markets employ specialized traders, market-makers, designed to provide liquidity and volume to the market by constantly supplying both supply and demand. In this paper, we demonstrate a novel method for modeling the market as a dynamic system and a reinforcement learning algorithm that learns profitable market-making strategies when run on this model. The sequence of buys and sells for a particular stock, the order flow, we model as an Input-Output Hidden Markov Model fit to historical data. When combined with the dynamics of the order book, this creates a highly non-linear and difficult dynamic system. Our reinforcement learning algorithm, based on likelihood ratios, is run on this partially-observable environment. We demonstrate learning results for two separate real stocks.

The Complexity of Safety Stock Placement in General-Network Supply Chains

We consider the optimization problem of safety stock placement in a supply chain, as formulated in [1]. We prove that this problem is NP-Hard for supply chains modeled as general acyclic networks. Thus, we do not expect to find a polynomial-time algorithm for safety stock placement for a general-network supply chain.

A compositional statistical analysis of capital stock

Most of economic literature has presented its analysis under the assumption of homogeneous capital stock. However, capital composition differs across countries. What has been the pattern of capital composition associated with World economies? We make an exploratory statistical analysis based on compositional data transformed by Aitchinson logratio transformations and we use tools for visualizing and measuring statistical estimators of association among the components. The goal is to detect distinctive patterns in the composition. As initial findings could be cited that: 1. Sectorial components behaved in a correlated way, building industries on one side and , in a less clear view, equipment industries on the other. 2. Full sample estimation shows a negative correlation between durable goods component and other buildings component and between transportation and building industries components. 3. Countries with zeros in some components are mainly low income countries at the bottom of the income category and behaved in a extreme way distorting main results observed in the full sample. 4. After removing these extreme cases, conclusions seem not very sensitive to the presence of another isolated cases