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.

The road not taken: observing a process of issue selection and model conceptualization

This article describes a case study involving information technology managers and their new programmer recruitment policy, but the primary interest is methodological. The processes of issue generation and selection and model conceptualization are described. Early use of “magnetic hexagons” allowed the generation of a range of issues, most of which would not have emerged if system dynamics elicitation techniques had been employed. With the selection of a specific issue, flow diagraming was used to conceptualize a model, computer implementation and scenario generation following naturally. Observations are made on the processes of system dynamics modeling, particularly on the need to employ general techniques of knowledge elicitation in the early stages of interventions. It is proposed that flexible approaches should be used to generate, select, and study the issues, since these reduce any biasing of the elicitation toward system dynamics problems and also allow the participants to take up the most appropriate problem- structuring approach.

Novel probiotics and prebiotics : road to the market

Novel probiotics and prebiotics designed to manipulate the gut microbiota for improving health outcomes are in demand as the importance of the gut microbiota in human health is revealed. The regulations governing introduction of novel probiotics and prebiotics vary by geographical region. Novel foods and foods with health claims fall under specific regulations in several countries. The paper reviews the main requirements of the regulations in the EU, USA, Canada and Japan. We propose a number of areas that need to be addressed in any safety assessment of novel probiotics and prebiotics. These include publication of the genomic sequence, antibiotic resistance profiling, selection of appropriate in vivo model, toxicological studies (including toxin production) and definition of target population.

Social housing in Latin America: Red Road flats of tomorrow?

The article revises latest social housing developments in Brazil and Chile and questions their ability to deliver liveable places.

The application of social marketing in reducing road traffic accidents amoung young male drivers: an investigation using physical fear threat appeals

There were 338 road fatalities on Irish roads in 2007. Research in 2007 by the Road Safety Authority in Ireland states that young male drivers (17 – 25 years) are seven times more likely to be killed on Irish roads than other road users. The car driver fatality rate was found to be approximately 10 times higher for young male drivers than for female drivers in 2000. Young male drivers in particular demonstrate a high proclivity for risky driving behaviours. These risky behaviours include drink driving, speeding, rug-driving and engaging in aggressive driving. Speed is the single largest contributing factor to road deaths in Ireland. Approximately 40% of fatal accidents are caused by excessive or inappropriate speed. This study focuses on how dangerous driving behaviours may be addressed through social marketing. This study analyses the appropriate level of fear that needs to be induced in order to change young male driving behaviour.

Margin squeeze: an above cost predatory pricing approach

We provide a new legal perspective for the antitrust analysis of margin squeeze conducts. Building on recent economic analysis, we explain why margin squeeze conducts should solely be evaluated under adjusted predatory pricing standards. The adjustment corresponds to an increase in the cost benchmark used in the predatory pricing test by including opportunity costs due to missed upstream sales. This can reduce both the risks of false-positives and false-negatives in margin squeeze cases. We justify this approach by explaining why classic arguments against above-cost predatory pricing typically do not hold in vertical structures where margin squeezes take place and by presenting case law evidence supporting this adjustment. Our approach can help to reconcile the divergent US and EU antitrust stances on margin squeeze.

Electricity derivatives pricing with forward-looking information

In order to increase overall transparency on key operational information, power transmission system operators publish an increasing amount of fundamental data, including forecasts of electricity demand and available capacity. We employ a fundamental model for electricity prices which lends itself well to integrating such forecasts, while retaining ease of implementation and tractability to allow for analytic derivatives pricing formulae. In an extensive futures pricing study, the pricing performance of our model is shown to further improve based on the inclusion of electricity demand and capacity forecasts, thus confirming the general importance of forward-looking information for electricity derivatives pricing. However, we also find that the usefulness of integrating forecast data into the pricing approach is primarily limited to those periods during which electricity prices are highly sensitive to demand or available capacity, whereas the impact is less visible when fuel prices are the primary underlying driver to prices instead.

Ungulate behavioral responses to the heterogeneous road-network of a touristic protected area in Africa

Understanding how wildlife responds to road and traffic is essential for effective conservation. Yet, not many studies have evaluated how roads influence wildlife in protected areas, particularly within the large iconic African National Parks where tourism is mainly based on sightings from motorized vehicles with the consequent development and intense use of roads. To reduce this knowledge gap, we studied the behavioral response and local spatial distribution of impala Aepyceros melampus along the heterogeneous (with variation in road surface type and traffic intensity) road-network of Kruger National Park (KNP, South Africa). We surveyed different types of roads (paved and unpaved) recording the occurrence of flight responses among sighted impala and describing their local spatial distribution (in relation to the roads). We observed relatively few flight responses (19.5% of 118 observations), suggesting impalas could be partly habituated to vehicles in KNP. In addition, impala local distribution is apparently unaffected by unpaved roads, yet animals seem to avoid the close proximity of paved roads. Overall, our results suggest a negative, albeit small, effect of traffic intensity, and of presence of pavement on roads on the behavior of impala at KNP. Future studies would be necessary to understand how roads influence other species, but our results show that even within a protected area that has been well-visited for a long time, wildlife can still be affected by roads and traffic. This result has ecological (e.g., changes in spatial distribution of fauna) and management implications (e.g., challenges of facilitating wildlife sightings while minimizing disturbance) for protected areas where touristic activities are largely based on driving.

A Romano-British settlement with ovens and field system at Theobalds Road, Wivelsfield, East Sussex

Excavation west of Wivelsfield, East Sussex, revealed part of an early Romano-British settlement. One of the round-houses may have had a non-domestic, possibly ritual, function. The settlement appears to have been subsequently incorporated within a rectilinear arrangement of field/enclosure ditches. Along the edge of one of these ditches were built a series of features interpreted as ovens, of varying form and likely use, from which charred waste from cereal processing and charcoal from coppiced woodland were recovered.

Vehicular particulate matter emissions in road tunnels in Sao Paulo, Brazil

In the metropolitan area of Sao Paulo, Brazil, ozone and particulate matter ( PM) are the air pollutants that pose the greatest threat to air quality, since the PM and the ozone precursors ( nitrogen oxides and volatile organic compounds) are the main source of air pollution from vehicular emissions. Vehicular emissions can be measured inside road tunnels, and those measurements can provide information about emission factors of in-use vehicles. Emission factors are used to estimate vehicular emissions and are described as the amount of species emitted per vehicle distance driven or per volume of fuel consumed. This study presents emission factor data for fine particles, coarse particles, inhalable particulate matter and black carbon, as well as size distribution data for inhalable particulate matter, as measured in March and May of 2004, respectively, in the Janio Quadros and Maria Maluf road tunnels, both located in Sao Paulo. The Janio Quadros tunnel carries mainly light-duty vehicles, whereas the Maria Maluf tunnel carries light-duty and heavy-duty vehicles. In the Janio Quadros tunnel, the estimated light-duty vehicle emission factors for the trace elements copper and bromine were 261 and 220 mu g km(-1), respectively, and 16, 197, 127 and 92 mg km(-1), respectively, for black carbon, inhalable particulate matter, coarse particles and fine particles. The mean contribution of heavy-duty vehicles to the emissions of black carbon, inhalable particulate matter, coarse particles and fine particles was, respectively 29, 4, 6 and 6 times higher than that of light-duty vehicles. The inhalable particulate matter emission factor for heavy-duty vehicles was 1.2 times higher than that found during dynamometer testing. In general, the particle emissions in Sao Paulo tunnels are higher than those found in other cities of the world.

A Road Following Approach Using Artificial Neural Networks Combinations

Navigation is a broad topic that has been receiving considerable attention from the mobile robotic community over the years. In order to execute autonomous driving in outdoor urban environments it is necessary to identify parts of the terrain that can be traversed and parts that should be avoided. This paper describes an analyses of terrain identification based on different visual information using a MLP artificial neural network and combining responses of many classifiers. Experimental tests using a vehicle and a video camera have been conducted in real scenarios to evaluate the proposed approach.