Determinants of stock returns: Factors or systematic co-moments? Crisis versus non-crisis periods

In this paper we evaluate the intertemporal pricing performance of stock return determinants over the periods surrounding, and outside of, financial crises. The analysis focuses on the variables of size, book-to-market ratio, momentum, liquidity, and higher-order systematic co-moments. The evidence reveals that over non-crisis periods the market beta plays an important role in determining the cross-section of stock returns. Size, value, momentum, and liquidity also exhibit associations with the cross-section of stock returns. However, over crisis periods most of the variables we examined lose their explanatory power, suggesting that their usefulness is limited for investment purposes when financial markets experience crises. There is some evidence of coskewness pricing surrounding market crashes. Practitioners may consider coskewness over crisis periods.

Eye tracking the sublime in spectacular moments of science fiction film

In this chapter I will explore science fiction film spectacle as a particular type of endangering sensorial experience. Employing eye-tracking technology to assess where a small group of viewers look, I will contend that through its spectacular set pieces, science fiction film creates two distinct gazing regimes. First, such spectacular scenes create an experience of sublime contemplation where the viewer is (haptically) lost in the wondrous images liquefying before them. These moments of sublime contemplation create the condition where the viewer feels as if they have had an outer-body experience; one that has been cut free from the borders of the linguistic-led self of everyday life. Second, I will argue that certain scenes of science fiction spectacle work to commodify the viewing experience, creating a gazing pattern that is ‘driven’ by the mechanics of the event moment, by the theme park ride aesthetic and the logic of late capitalism. Set in this sensible, empirical context, the sublime dangers of science fiction film can be considered in two distinct ways. On the one hand, when the viewer is caught gazing in a moment of sublime contemplation there is embodied transgression and transcendence: here I will postulate that the viewer exists purely as a carnal being, or are newly if momentarily constituted as post-human, in the impossible present or possible future world that has been spectacularly imagined for them. On the other hand, when the viewer is presented with a spectacle that demands attention to the mechanics and drivers of the scene as it unfolds, a viewing position is created where the very rhythms of the theme park ride is created, where capitalist life is simply being re-engineered. Sublime and spectacular science fiction endangerment, then, liberates and destroys, and it is the encounter between these two vexing poles that is of central concern in this chapter. My focus will predominately be on the eyes, on vision. Undertaking a small-scale empirical study that uniquely utilizes eye tracking technology, this chapter will concentrate on what viewers attend to, gaze at and ‘contemplate’ when viewing two differently constituted ‘spectacle’ sequences: the sun explodes scene from Sunshine (Boyle, 2007) and the Godzilla enters Manhattan scene from Godzilla (Emmerich, 1998).

Do higher moments really matter in portfolio choice?

We present explicit formulas for evaluating the difference between Markowitz weights and those from optimal portfolios, with the same given return, considering either asymmetry or kurtosis. We prove that, whenever the higher moment constraint is not binding, the weights are never the same. If, due to special features of the first and second moments, the difference might be negligible, in quite many cases it will be very significant. An appealing illustration, when the designer wants to incorporate an asset with quite heavy tails, but wants to moderate this effect, further supports the argument.

A few more moments to finance theory: introducing higher moments in investment theory and econometrics

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Introducing higher moments in the CAPM: some basic ideas

We show how to include in the CAPM moments of any order, extending the mean-variance or mean-variance-skewness versions available until now. Then, we present a simple way to modify the formulae, in order to avoid the appearance of utility parameters. The results can be easily applied to practical portfolio design, with econometric inference and testing based on generalised method of moments procedures. An empirical application to the Brazilian stock market is discussed.

A CAPM with higher moments: theory and econometrics

We develop portfolio choice theory taking into consideration the first p~ moments of the underIying assets distribution. A rigorous characterization of the opportunity set and of the efficient portfolios frontier is given, as well as of the solutions to the problem with a general utility function and short sales allowed. The extension of c1assical meanvariance properties, like two-fund separation, is also investigated. A general CAPM is derived, based on the theoretical foundations built, and its empirical consequences and testing are discussed