Short-Horizon Asymmetric Mean-Reversion and Overreactions: Evidence from the Nordic Stock Markets

This paper examines the asymmetric behavior of conditional mean and variance. Short-horizon mean-reversion behavior in mean is modeled with an asymmetric nonlinear autoregressive model, and the variance is modeled with an Exponential GARCH in Mean model. The results of the empirical investigation of the Nordic stock markets indicates that negative returns revert faster to positive returns when positive returns generally persist longer. Asymmetry in both mean and variance can be seen on all included markets and are fairly similar. Volatility rises following negative returns more than following positive returns which is an indication of overreactions. Negative returns lead to increased variance and positive returns leads even to decreased variance.

Cobreaking of Stock Prices and Contagion

Financial crises have shown that dramatic movements in one financial market can have a powerful impact on other markets. The paper proposes to use cobreaking to model comovements between financial markets during crises and to test for conta-gion. It finds evidence of cobreaking between stock returns in developed markets. Finding cobreaking has implications for the diversification of international investments. For emerging mar-ket stock returns the evidence of cobreaking is mainly due to the non-financial event of the 9/11 terrorist attacks in 2001. Fi-nancial crises originating in one emerging market do not spread to other markets, i.e., no contagion.

The impact of stock option incentives on investment and firm value

This paper analyzes the relations among firm-level stock option portfolio incentives, investment, and firm value based on a sample of Finnish firms during the time period 1987 – 2000. Utilizing exact and complete information regarding stock option portfolio characteristics, we find some evidence that firm investment is increasing in the incentives to increase stock price (delta) and risk (vega). Furthermore, we find strong evidence of a positive relation between both incentive effects and firm value (Tobin’s Q). In contrast, when we allow for stock option incentives, investment, and firm value to be simultaneously determined, we find no evidence that investment is increasing in incentives. However, even after controlling for endogeneity, we find that both incentive effects arising from stock option compensation display a positive and significant effect on firm value. Finally, in contradiction to earlier findings, we observe that neither Tobin’s Q nor investment drives incentives.

Reversible cation/anion extraction from K2La2Ti3O10: Formation of new layered titanates, KLa2Ti3O9.5 and La2Ti3O9

A new soft-chemical transformation of layered perovskite oxides is described wherein K2O is sequentially extracted from the Ruddlesden-Popper (R-P) phase, K2La2Ti3O10 (I), yielding novel anion-deficient KLa2Ti3O9.5 (II) and La2Ti3O9 (III). The transformation occurs in topochemical reactions of the R-P phase I with PPh4Br and PBu4Br (Ph = phenyl; Bu = n-butyl). The mechanism involves the elimination of KBr accompanied by decomposition of PR4+ (R = phenyl or n-butyl) that extracts oxygen from the titanate. Analysis of the organic products of decomposition reveals formation of Ph3PO, Ph3P, and Ph-Ph for R = phenyl, and Bu3PO, Bu3P along with butane, butene, and octane for R = butyl. The inorganic oxides II and III crystallize in tetragonal structures (II: P4/mmm, a = 3.8335(1) angstrom, c = 14.334(1) angstrom; III: /4/ mmm, a = 3.8565(2) angstrom, c = 24.645(2) angstrom) that are related to the parent R-P phase. II is isotypic with the Dion-Jacobson phase, RbSr2Nb3O10, while III is a unique layered oxide consisting of charge-neutral La2Ti3O9 anion-deficient perovskite sheets stacked one over the other without interlayer cations. Interestingly, both II and III convert back to the parent R-P phase in a reaction with KNO3. While transformations of the R-P phases to other related layered/three-dimensional perovskite oxides in ion-exchange/metathesis/dehydration/reduction reactions are known, the simultaneous and reversible extraction of both cations and anions in the conversions K2La2Ti3O10 reversible arrow KLa2Ti3O9.5 reversible arrow La2Ti3O9 is reported here for the first time.

Magnetotransport of Dirac fermions on the surface of a topological insulator

We study the properties of Dirac fermions on the surface of a topological insulator in the presence of crossed electric and magnetic fields. We provide an exact solution to this problem and demonstrate that, in contrast to their counterparts in graphene, these Dirac fermions allow relative tuning of the orbital and Zeeman effects of an applied magnetic field by a crossed electric field along the surface. We also elaborate and extend our earlier results on normal-metal-magnetic film-normal metal (NMN) and normal-metal-barrier-magnetic film (NBM) junctions of topological insulators [S. Mondal, D. Sen, K. Sengupta, and R. Shankar, Phys. Rev. Lett. 104, 046403 (2010)]. For NMN junctions, we show that for Dirac fermions with Fermi velocity vF, the transport can be controlled using the exchange field J of a ferromagnetic film over a region of width d. The conductance of such a junction changes from oscillatory to a monotonically decreasing function of d beyond a critical J which leads to the possible realization of magnetic switches using these junctions. For NBM junctions with a potential barrier of width d and potential V-0, we find that beyond a critical J, the criteria of conductance maxima changes from chi=eV(0)d/h upsilon(F)=n pi to chi=(n+1/2)pi for integer n. Finally, we compute the subgap tunneling conductance of a normal-metal-magnetic film-superconductor junctions on the surface of a topological insulator and show that the position of the peaks of the zero-bias tunneling conductance can be tuned using the magnetization of the ferromagnetic film. We point out that these phenomena have no analogs in either conventional two-dimensional materials or Dirac electrons in graphene and suggest experiments to test our theory.

Evidence of ferromagnetic domains in the La0.67Ca0.33Mn0.9Fe0.1O3 perovskite

The nature of the low-temperature magnetic state of polycrystalline La0.67Ca0.33Mn0.9Fe0.1O3 has been studied by magnetization, neutron diffraction, and neutron depolarization measurements. Neutron depolarization measurements indicate the existence of ferromagnetic domains with low net magnetic moments below 108 K. The substitution of Mn3+ by Fe3+ reduces the number of available hopping sites for the Mn e(g) (up) electron and suppresses the double exchange, resulting in the reduction of ferromagnetic exchange. The competition between the ferromagnetic double-exchange interactions and the coexisting antiferromagnetic superexchange interactions and its randomness due to random substitutions of Mn3+ with Fe3+ drive the system into a randomly canted ferromagnetic state at low temperatures.

Asynchronous behaviour in some three-atom linear concerted radical-exchange reactions

A few simple three-atom thermoneutral radical exchange reactions (i.e. A + BC --> AB + C) are examined by ab initio SCF methods. Emphasis is laid on the detailed analysis of density matrices rather than on energetics. Results reveal that the sum of the bond orders of the breaking and forming bonds is not conserved to unity, due to development of free valence on the migrating atom 'B' in the transition state. Bond orders, free valence and spin densities on the atoms are calculated. The present analysis shows that the bond-cleavage process is always more advanced than the bond-formation process in the transition state. Further analysis shows a development of the negative spin density on the migrating atom 'B' in the transition state. The depletion of the alpha-spin density on the radical site "A" in the reactant during the reaction lags behind the growth of the alpha-spin density on the terminal atom "C" of the reactant bond, 'B-C' in the transition state. But all these processes are completed simultaneously at the end of the reaction. Hence, the reactions are asynchronous but kinetically concerted in most cases.