Comparing different explanations of the volatility trend

We analyze the puzzling behavior of the volatility of individual stock returns over the past few decades. The literature has provided many different explanations to the trend in volatility and this paper tests the viability of the different explanations. Virtually all current theoretical arguments that are provided for the trend in the average level of volatility over time lend themselves to explanations about the difference in volatility levels between firms in the cross-section. We therefore focus separately on the cross-sectional and time-series explanatory power of the different proxies. We fail to find a proxy that is able to explain both dimensions well. In particular, we find that Cao et al. [Cao, C., Simin, T.T., Zhao, J., 2008. Can growth options explain the trend in idiosyncratic risk? Review of Financial Studies 21, 2599–2633] market-to-book ratio tracks average volatility levels well, but has no cross-sectional explanatory power. On the other hand, the low-price proxy suggested by Brandt et al. [Brandt, M.W., Brav, A., Graham, J.R., Kumar, A., 2010. The idiosyncratic volatility puzzle: time trend or speculative episodes. Review of Financial Studies 23, 863–899] has much cross-sectional explanatory power, but has virtually no time-series explanatory power. We also find that the different proxies do not explain the trend in volatility in the period prior to 1995 (R-squared of virtually zero), but explain rather well the trend in volatility at the turn of the Millennium (1995–2005).

An analysis of risk management disclosures: Australian evidence

- Purpose Communication of risk management practices are a critical component of good corporate governance. Research to date has been of little benefit in informing regulators internationally. This paper seeks to contribute to the literature by investigating how listed Australian companies in a setting where disclosures are explicitly required by the ASX corporate governance framework, disclose risk management (RM) information in the corporate governance statements within annual reports. - Design/methodology/approach To address our study’s research questions and related hypotheses, we examine the top 300 ASX-listed companies by market capitalisation at 30 June 2010. For these firms, we identify, code and categorise RM disclosures made in the annual reports according to the disclosure categories specified in Australian Stock Exchange Corporate Governance Principles and Recommendations (ASX CGPR). The derived data is then examined using a comprehensive approach comprising thematic content analysis and regression analysis. - Findings The results indicate widespread divergence in disclosure practices and low conformance with the Principle 7 of the ASX CGPR. This result suggests that companies are not disclosing all ‘material business risks’ possibly due to ignorance at the board level, or due to the intentional withholding of sensitive information from financial statement users. The findings also show mixed results across the factors expected to influence disclosure behaviour. Notably, the presence of a risk committee (RC) (in particular, a standalone RC) and technology committee (TC) are found to be associated with improved levels of disclosure. we do not find evidence that company risk measures (as proxied by equity beta and the market-to-book ratio) are significantly associated with greater levels of RM disclosure. Also, contrary to common findings in the disclosure literature, factors such as board independence and expertise, audit committee independence, and the usage of a Big-4 auditor do not seem to impact the level of RM disclosure in the Australian context. - Research limitation/implications The study is limited by the sample and study period selection as the RM disclosures of only the largest (top 300) ASX firms are examined for the fiscal year 2010. Thus, the finding may not be generalisable to smaller firms, or earlier/later years. Also, the findings may have limited applicability in other jurisdictions with different regulatory environments. - Practical implications The study’s findings suggest that insufficient attention has been applied to RM disclosures by listed companies in Australia. These results suggest that the RM disclosures practices observed in the Australian setting may not be meeting the objectives of regulators and the needs of stakeholders. - Originality/value Despite the importance of risk management communication, it is unclear whether disclosures in annual financial reports achieve this communication. The Australian setting provides an ideal environment to examine the nature and extent of risk management communication as the Australian Securities Exchange (ASX) has recommended risk management disclosures follow Principle 7 of its principle-based governance rules since 2007.

Valor X crescimento : uma análise empírica da relação risco X retorno nas carteiras de ações da Bovespa

O trabalho mostra a relação existente entre o coeficiente Valor de Mercado / Valor Contábil e retorno para uma amostra de ações negociadas na BOVESPA no período 1989-1997. Os resultados indicam claramente que foi possível estabelecer uma estratégia baseada na construção de carteiras com ações com coeficientes altos resultando na obtenção de altos retornos sem elevação do risco do investimento.

Beam steering with high front-to-back ratio and high directivity on small platforms using decoupled antenna pairs

Beam steering with high front-to-back ratio and high directivity on a small platform is proposed. Two closely spaced antenna pairs with eigenmode port decoupling are used as the basic radiating elements. Two orthogonal radiation patterns are obtained for each antenna pair. High front-to-back ratio and high directivity are achieved by combining the two orthogonal radiation patterns. With an infinite groundplane, a front-to-back ratio of 21 dB with a directivity of 9.8 dB can be achieved. Beam steering, at the expense of a slight decrease in directivity, is achieved by placing the two antenna pairs 0.5λ apart. The simulated half power beamwidth is 58°. A prototype was designed and the 2-D radiation patterns were measured. The prototype supports three directions of beam steering. The half power beamwidth was measured as 46°, 48°, and 50° for the three respective beam directions. The measured front-to-back ratio in azimuth plane is 8.5 dB, 8.0 dB and 7.6 dB, respectively.

Effects of dietary phosphorus and calcium-to-phosphorus ratio on calcium and bone metabolism in healthy 20- to 43-year-old Finnish women

Dietary habits have changed during the past decades towards an increasing consumption of processed foods, which has notably increased not only total dietary phosphorus (P) intake, but also intake of P from phosphate additives. While the intake of calcium (Ca) in many Western countries remains below recommended levels (800 mg/d), the usual daily P intake in a typical Western diet exceeds by 2- to 3-fold the dietary guidelines (600 mg/d). The effects of high P intake in healthy humans have been investigated seldom. In this thesis healthy 20- to 43-year-old women were studied. In the first controlled study (n = 14), we examined the effects of P doses, and in a cross-sectional study (n = 147) the associations of habitual P intakes with Ca and bone metabolism. In this same cross-sectional study, we also investigated whether differences exist between dietary P originating from natural P sources and phosphate additives. The second controlled study (n = 12) investigated whether by increasing the Ca intake, the effects of a high P intake could be reduced. The associations of habitual dietary calcium-to-phosphorus ratios (Ca:P ratio) with Ca and bone metabolism were determined in a cross-sectional study design (n = 147). In the controlled study, the oral intake of P doses (495, 745, 1245 and 1995 mg/d) with a low Ca intake (250 mg/d) increased serum parathyroid hormone (S-PTH) concentration in a dose-dependent manner. In addition, the highest P dose decreased serum ionized calcium (S-iCa) concentration and bone formation and increased bone resorption. In the second controlled study with a dietary P intake of 1850 mg/d, by increasing the Ca intake from 480 mg/d to 1080 mg/d and then to 1680 mg/d, the S-PTH concentration decreased, the S-iCa concentration increased and bone resorption decreased dose-dependently. However, not even the highest Ca intake could counteract the effect of high dietary P on bone formation, as indicated by unchanged bone formation activity. In the cross-sectional studies, a higher habitual dietary P intake (>1650 mg/d) was associated with lower S-iCa and higher S-PTH concentrations. The consumption of phosphate additive-containing foods was associated with a higher S-PTH concentration. Moreover, habitual low dietary Ca:P ratios (≤0.50, molar ratio) were associated with higher S-PTH concentrations and 24-h urinary Ca excretions, suggesting that low dietary Ca:P ratios may interfere with homeostasis of Ca metabolism and increase bone resorption. In summary, excessive dietary P intake in healthy Finnish women seems to be detrimental to Ca and bone metabolism, especially when dietary Ca intake is low. The results indicate that by increasing dietary Ca intake to the recommended level, the negative effects of high P intake could be diminished, but not totally prevented. These findings imply that phosphate additives may be more harmful than natural P. Thus, reduction of an excessively high dietary P intake is also beneficial for healthy individuals.

Processing of Ultrasonic Signal for Transducer Characterization and for Improving Signal-To-Noise Ratio

This paper describes the work related to characterisation of an ultrasonic transducer fabricated in the laboratory. The response of the medium to the ultrasonic wave was obtained by converting the time domain signal to frequency domain, using the FFT algorithm. Cross-correlation technique was adopted to increase the S/N ratio in the raw time domain signal and subsequently, to determine the ultrasonic velocity in the medium.

Premixed flame response to equivalence ratio fluctuations: Comparison between reduced order modeling and detailed computations

Combustion instability events in lean premixed combustion systems can cause spatio-temporal variations in unburnt mixture fuel/air ratio. This provides a driving mechanism for heat-release oscillations when they interact with the flame. Several Reduced Order Modelling (ROM) approaches to predict the characteristics of these oscillations have been developed in the past. The present paper compares results for flame describing function characteristics determined from a ROM approach based on the level-set method, with corresponding results from detailed, fully compressible reacting flow computations for the same two dimensional slot flame configuration. The comparison between these results is seen to be sensitive to small geometric differences in the shape of the nominally steady flame used in the two computations. When the results are corrected to account for these differences, describing function magnitudes are well predicted for frequencies lesser than and greater than a lower and upper cutoff respectively due to amplification of flame surface wrinkling by the convective Darrieus-Landau (DL) instability. However, good agreement in describing function phase predictions is seen as the ROM captures the transit time of wrinkles through the flame correctly. Also, good agreement is seen for both magnitude and phase of the flame response, for large forcing amplitudes, at frequencies where the DL instability has a minimal influence. Thus, the present ROM can predict flame response as long as the DL instability, caused by gas expansion at the flame front, does not significantly alter flame front perturbation amplitudes as they traverse the flame. (C) 2012 The Combustion Institute. Published by Elsevier Inc. All rights reserved.

High-resolution restoration of 3D structures from widefield images with extreme low signal-to-noise-ratio

Four-dimensional fluorescence microscopy-which records 3D image information as a function of time-provides an unbiased way of tracking dynamic behavior of subcellular components in living samples and capturing key events in complex macromolecular processes. Unfortunately, the combination of phototoxicity and photobleaching can severely limit the density or duration of sampling, thereby limiting the biological information that can be obtained. Although widefield microscopy provides a very light-efficient way of imaging, obtaining high-quality reconstructions requires deconvolution to remove optical aberrations. Unfortunately, most deconvolution methods perform very poorly at low signal-to-noise ratios, thereby requiring moderate photon doses to obtain acceptable resolution. We present a unique deconvolution method that combines an entropy-based regularization function with kernels that can exploit general spatial characteristics of the fluorescence image to push the required dose to extreme low levels, resulting in an enabling technology for high-resolution in vivo biological imaging.

Influence of surface area to volume ratio of fuel particles on gasification process in a fixed bed

The paper addresses the effect of particle size on tar generation in a fixed bed gasification system. Pyrolysis, a diffusion limited process, depends on the heating rate and the surface area of the particle influencing the release of the volatile fraction leaving behind residual char. The flaming time has been estimated for different biomass samples. It is found that the flaming time for wood flakes is almost one fourth than that of coconut shells for same equivalent diameter fuel samples. The particle density of the coconut shell is more than twice that of wood spheres, and almost four times compared with wood flakes; having a significant influence on the flaming time. The ratio of the particle surface area to that of an equivalent diameter is nearly two times higher for flakes compared with wood pieces. Accounting for the density effect, on normalizing with density of the particle, the flaming rate is double in the case of wood flakes or coconut shells compared with the wood sphere for an equivalent diameter. This is due to increased surface area per unit volume of the particle. Experiments are conducted on estimation of tar content in the raw gas for wood flakes and standard wood pieces. It is observed that the tar level in the raw gas is about 80% higher in the case of wood flakes compared with wood pieces. The analysis suggests that the time for pyrolysis is lower with a higher surface area particle and is subjected to fast pyrolysis process resulting in higher tar fraction with low char yield. Increased residence time with staged air flow has a better control on residence time and lower tar in the raw gas. (C) 2014 International Energy Initiative. Published by Elsevier Inc. All rights reserved.

Hall viscosity to entropy ratio in higher derivative theories

In this paper based on the basic principles of gauge/gravity duality we compute the hall viscosity to entropy ratio in the presence of various higher derivative corrections to the dual gravitational description embedded in an asymptotically AdS(4) space time. As the first step of our analysis, considering the back reaction we impose higher derivative corrections to the abelian gauge sector of the theory where we notice that the ratio indeed gets corrected at the leading order in the coupling. Considering the probe limit as a special case we compute this leading order correction over the fixed background of the charged black brane solution. Finally we consider higher derivative (R-2) correction to the gravity sector of the theory where we notice that the above ratio might get corrected at the sixth derivative level.