Corporate social performance and stock returns: UK evidence from disaggregate measures

This study examines the relation between corporate social performance and stock returns in the UK. We closely evaluate the interactions between social and financial performance with a set of disaggregated social performance indicators for environment, employment, and community activities instead of using an aggregate measure. While scores on a composite social performance indicator are negatively related to stock returns, we find the poor financial reward offered by such firms is attributable to their good social performance on the environment and, to a lesser extent, the community aspects. Considerable abnormal returns are available from holding a portfolio of the socially least desirable stocks. These relationships between social and financial performance can be rationalized by multi-factor models for explaining the cross-sectional variation in returns, but not by industry effects.

Different risk measures: different portfolio compositions?

Traditionally, the measure of risk used in portfolio optimisation models is the variance. However, alternative measures of risk have many theoretical and practical advantages and it is peculiar therefore that they are not used more frequently. This may be because of the difficulty in deciding which measure of risk is best and any attempt to compare different risk measures may be a futile exercise until a common risk measure can be identified. To overcome this, another approach is considered, comparing the portfolio holdings produced by different risk measures, rather than the risk return trade-off. In this way we can see whether the risk measures used produce asset allocations that are essentially the same or very different. The results indicate that the portfolio compositions produced by different risk measures vary quite markedly from measure to measure. These findings have a practical consequence for the investor or fund manager because they suggest that the choice of model depends very much on the individual’s attitude to risk rather than any theoretical and/or practical advantages of one model over another.

The impact of news on measures of undiversifiable risk: evidence from the UK stock market

Using UK equity index data, this paper considers the impact of news on time varying measures of beta, the usual measure of undiversifiable risk. The empirical model implies that beta depends on news about the market and news about the sector. The asymmetric response of beta to news about the market is consistent across all sectors considered. Recent research is divided as to whether abnormalities in equity returns arise from changes in expected returns in an efficient market or over-reactions to new information. The evidence suggests that such abnormalities may be due to changes in expected returns caused by time-variation and asymmetry in beta.

Connectivity measures for internet topologies on the level of autonomous systems

Classical measures of network connectivity are the number of disjoint paths between a pair of nodes and the size of a minimum cut. For standard graphs, these measures can be computed efficiently using network flow techniques. However, in the Internet on the level of autonomous systems (ASs), referred to as AS-level Internet, routing policies impose restrictions on the paths that traffic can take in the network. These restrictions can be captured by the valley-free path model, which assumes a special directed graph model in which edge types represent relationships between ASs. We consider the adaptation of the classical connectivity measures to the valley-free path model, where it is -hard to compute them. Our first main contribution consists of presenting algorithms for the computation of disjoint paths, and minimum cuts, in the valley-free path model. These algorithms are useful for ASs that want to evaluate different options for selecting upstream providers to improve the robustness of their connection to the Internet. Our second main contribution is an experimental evaluation of our algorithms on four types of directed graph models of the AS-level Internet produced by different inference algorithms. Most importantly, the evaluation shows that our algorithms are able to compute optimal solutions to instances of realistic size of the connectivity problems in the valley-free path model in reasonable time. Furthermore, our experimental results provide information about the characteristics of the directed graph models of the AS-level Internet produced by different inference algorithms. It turns out that (i) we can quantify the difference between the undirected AS-level topology and the directed graph models with respect to fundamental connectivity measures, and (ii) the different inference algorithms yield topologies that are similar with respect to connectivity and are different with respect to the types of paths that exist between pairs of ASs.

Contributing understanding of mitigation options for phosphorus and sediment to a review of the efficacy of contemporary agricultural stewardship measures

Experiences from the Mitigation Options for Phosphorus and Sediment (MOPS) projects, which aim to determine the effectiveness of measures to reduce pollutant loading from agricultural land to surface waters, have been used to contribute to the findings of a recent paper (Kay et al., 2009, Agricultural Systems, 99, 67–75), which reviewed the efficacy of contemporary agricultural stewardship measures for ameliorating the water pollution problems of key concern to the UK water industry. MOPS1 is a recently completed 3-year research project on three different soil types in the UK, which focused on mitigation options for winter cereals. MOPS1 demonstrated that tramlines can be the major pathway for sediment and nutrient transfer from arable hillslopes, and that although minimum tillage, crop residue incorporation, contour cultivation, and beetle banks also have potential to be cost-effective mitigation options, tramline management is the one of the most promising treatments for mitigating diffuse pollution losses, as it was able to reduce sediment and nutrient losses by 72–99% in four out of five site years trialled. Using information from the MOPS projects, this paper builds on the findings of Kay et al. to provide an updated picture of the evidence available and the immediate needs for research in this area.

The use of cursor measures for motion-impaired computer users

“Point and click” interactions remain one of the key features of graphical user interfaces (GUIs). People with motion-impairments, however, can often have difficulty with accurate control of standard pointing devices. This paper discusses work that aims to reveal the nature of these difficulties through analyses that consider the cursor’s path of movement. A range of cursor measures was applied, and a number of them were found to be significant in capturing the differences between able-bodied users and motion-impaired users, as well as the differences between a haptic force feedback condition and a control condition. The cursor measures found in the literature, however, do not make up a comprehensive list, but provide a starting point for analysing cursor movements more completely. Six new cursor characteristics for motion-impaired users are introduced to capture aspects of cursor movement different from those already proposed.

Using cursor measures to determine appropriate computer input assistance for motion-impaired users

People with motion-impairments can often have difficulty with accurate control of standard pointing devices for computer input. The nature of the difficulties may vary, so to be most effective, methods of assisting cursor control must be suited to each user's needs. The work presented here involves a study of cursor trajectories as a means of assessing the requirements of motion-impaired computer users. A new cursor characteristic is proposed that attempts to capture difficulties with moving the cursor in a smooth trajectory. A study was conducted to see if haptic tunnels could improve performance in "point and click" tasks. Results indicate that the tunnels reduced times to target for those users identified by the new characteristic as having the most difficulty moving in a smooth trajectory. This suggests that cursor characteristics have potential applications in performing assessments of a user's cursor control capabilities which can then be used to determine appropriate methods of assistance.

Extreme value distribution for singular measures

In this paper we perform an analytical and numerical study of Extreme Value distributions in discrete dynamical systems that have a singular measure. Using the block maxima approach described in Faranda et al. [2011] we show that, numerically, the Extreme Value distribution for these maps can be associated to the Generalised Extreme Value family where the parameters scale with the information dimension. The numerical analysis are performed on a few low dimensional maps. For the middle third Cantor set and the Sierpinskij triangle obtained using Iterated Function Systems, experimental parameters show a very good agreement with the theoretical values. For strange attractors like Lozi and H\`enon maps a slower convergence to the Generalised Extreme Value distribution is observed. Even in presence of large statistics the observed convergence is slower if compared with the maps which have an absolute continuous invariant measure. Nevertheless and within the uncertainty computed range, the results are in good agreement with the theoretical estimates.

Measures of observation impact in non-Gaussian data assimilation

ABSTRACT Non-Gaussian/non-linear data assimilation is becoming an increasingly important area of research in the Geosciences as the resolution and non-linearity of models are increased and more and more non-linear observation operators are being used. In this study, we look at the effect of relaxing the assumption of a Gaussian prior on the impact of observations within the data assimilation system. Three different measures of observation impact are studied: the sensitivity of the posterior mean to the observations, mutual information and relative entropy. The sensitivity of the posterior mean is derived analytically when the prior is modelled by a simplified Gaussian mixture and the observation errors are Gaussian. It is found that the sensitivity is a strong function of the value of the observation and proportional to the posterior variance. Similarly, relative entropy is found to be a strong function of the value of the observation. However, the errors in estimating these two measures using a Gaussian approximation to the prior can differ significantly. This hampers conclusions about the effect of the non-Gaussian prior on observation impact. Mutual information does not depend on the value of the observation and is seen to be close to its Gaussian approximation. These findings are illustrated with the particle filter applied to the Lorenz ’63 system. This article is concluded with a discussion of the appropriateness of these measures of observation impact for different situations.