Idiosyncratic volatility around information release date

Several papers document idiosyncratic volatility is time-varying and many attempts have been made to reveal whether idiosyncratic risk is priced. This research studies behavior of idiosyncratic volatility around information release dates and also its relation with return after public announcement. The results indicate that when a company discloses specific information to the market, firm’s specific volatility level shifts and short-horizon event-induced volatility vary significantly however, the category to which the announcement belongs is not important in magnitude of change. This event-induced volatility is not small in size and should not be downplayed in event studies. Moreover, this study shows stocks with higher contemporaneous realized idiosyncratic volatility earn lower return after public announcement consistent with “divergence of opinion hypothesis”. While no significant relation is found between EGARCH estimated idiosyncratic volatility and return and also between one-month lagged idiosyncratic volatility and return presumably due to significant jump around public announcement both may provide some signals regarding future idiosyncratic volatility through their correlations with contemporaneous realized idiosyncratic volatility. Finally, the study show that positive relation between return and idiosyncratic volatility based on under-diversification is inadequate to explain all different scenarios and this negative relation after public announcement may provide a useful trading rule.

A genetic algorithm for the resource constrained multi-project scheduling problem

This paper presents a genetic algorithm for the resource constrained multi-project scheduling problem. The chromosome representation of the problem is based on random keys. The schedules are constructed using a heuristic that builds parameterized active schedules based on priorities, delay times, and release dates defined by the genetic algorithm. The approach is tested on a set of randomly generated problems. The computational results validate the effectiveness of the proposed algorithm.

Solving two production scheduling problems with sequence-dependent set-up times

In today’s competitive markets, the importance of goodscheduling strategies in manufacturing companies lead to theneed of developing efficient methods to solve complexscheduling problems.In this paper, we studied two production scheduling problemswith sequence-dependent setups times. The setup times areone of the most common complications in scheduling problems,and are usually associated with cleaning operations andchanging tools and shapes in machines.The first problem considered is a single-machine schedulingwith release dates, sequence-dependent setup times anddelivery times. The performance measure is the maximumlateness.The second problem is a job-shop scheduling problem withsequence-dependent setup times where the objective is tominimize the makespan.We present several priority dispatching rules for bothproblems, followed by a study of their performance. Finally,conclusions and directions of future research are presented.

Distribution of β-amylase I haplotypes among European cultivated barleys

The barley β-amylase I (Bmy1) locus encodes a starch breakdown enzyme whose kinetic properties and thermostability are critical during malt production. Studies of allelic variation at the Bmy1 locus have shown that the encoded enzyme can be commonly found in at least three distinct thermostability classes and demonstrated the nucleotide sequence variations responsible for such phenotypic differences. In order to explore the extent of sequence diversity at the Bmy1 locus in cultivated European barley, 464 varieties representing a cross-section of popular varieties grown in western Europe over the past 60 years, were genotyped for three single nucleotide polymorphisms chosen to tag the four common alleles found in the collection. One of these haplotypes, which has not been explicitly recognised in the literature as a distinct allele, was found in 95% of winter varieties in the sample. When release dates of the varieties were considered, the lowest thermostability allele (Bmy1-Sd2L) appeared to decrease in abundance over time, while the highest thermostability allele (Bmy1-Sd2H) was the rarest allele at 5.4% of the sample and was virtually confined to two-row spring varieties. Pedigree analysis was used to track transmission of particular alleles over time and highlighted issues of genetic stratification of the sample.

Heuristic methods for the single machine scheduling problem with different ready times and a common due date

The single machine scheduling problem with a common due date and non-identical ready times for the jobs is examined in this work. Performance is measured by the minimization of the weighted sum of earliness and tardiness penalties of the jobs. Since this problem is NP-hard, the application of constructive heuristics that exploit specific characteristics of the problem to improve their performance is investigated. The proposed approaches are examined through a computational comparative study on a set of 280 benchmark test problems with up to 1000 jobs.

Essays in Macro Finance

I study the link between capital markets and sources of macroeconomic risk. In chapter 1 I show that expected inflation risk is priced in the cross section of stock returns even after controlling for cash flow growth and volatility risks. Motivated by this evidence I study a long run risk model with a built-in inflation non-neutrality channel that allows me to decompose the real stochastic discount factor into news about current and expected cash flow growth, news about expected inflation and news about volatility. The model can successfully price a broad menu of assets and provides a setting for analyzing cross sectional variation in expected inflation risk premium. For industries like retail and durable goods inflation risk can account for nearly a third of the overall risk premium while the energy industry and a broad commodity index act like inflation hedges. Nominal bonds are exposed to expected inflation risk and have inflation premiums that increase with bond maturity. The price of expected inflation risk was very high during the 70's and 80's, but has come down a lot since being very close to zero over the past decade. On average, the expected inflation price of risk is negative, consistent with the view that periods of high inflation represent a "bad" state of the world and are associated with low economic growth and poor stock market performance. In chapter 2 I look at the way capital markets react to predetermined macroeconomic announcements. I document significantly higher excess returns on the US stock market on macro release dates as compared to days when no macroeconomic news hit the market. Almost the entire equity premium since 1997 is being realized on days when macroeconomic news are released. At high frequency, there is a pattern of returns increasing in the hours prior to the pre-determined announcement time, peaking around the time of the announcement and dropping thereafter.

Tidal-amplitude rhythms of larval release: variable departure from presumed optimal timing among populations of the mottled shore crab

It is widely assumed that optimal timing of larval release is of major importance to offspring survival, but the extent to which environmental factors entrain synchronous reproductive rhythms in natural populations is not well known. We sampled the broods of ovigerous females of the common shore crab Pachygrapsus transversus at both sheltered and exposed rocky shores interspersed along a so-km coastline, during four different periods, to better assess inter-population differences of larval release timing and to test for the effect of wave action. Shore-specific patterns were consistent through time. Maximum release fell within 1 day around syzygies on all shores, which matched dates of maximum tidal amplitude. Within this very narrow range, populations at exposed shores anticipated hatching compared to those at sheltered areas, possibly due to mechanical stimulation by wave action. Average departures from syzygial release ranged consistently among shores from 2.4 to 3.3 days, but in this case we found no evidence for the effect of wave exposure. Therefore, processes varying at the scale of a few kilometres affect the precision of semilunar timing and may produce differences in the survival of recently hatched larvae. Understanding the underlying mechanisms causing departures from presumed optimal release timing is thus important for a more comprehensive evaluation of reproductive success of invertebrate populations.

Investigation of different shellac grades and improvement of release from air suspension coated pellets

Shellac is the purified product of the natural polymer Lac. Shellac types, from different origins and with different ages, all purified by the solvent extraction process were compared in this study. Their physicochemical properties acid value, glass transition temperatures, color numbers and molecular sizes were determined. Metoprolol tartrate pellets were coated by air suspension coating with these different grades of shellac. Two coating levels 20% w/w and 25% w/w were applied and then subjected to in vitro dissolution testing. Enteric resistance was achieved for all tested brands for the two coating levels. At pH 6.8, 7.2 and 7.4, significant variations were obvious between the brands. rnMoreover the molecular size of shellac has a pronounced effect in that shellac types with larger molecular size show a higher and faster release than others, while the one with the smaller molecular size show the opposite effect on the release of metoprolol.rnIn this study commercially available ready for use aqueous shellac solutions (SSB AQUAGOLD), which are based on shellac SSB 57 (Dewaxed Orange Shellac, Bysakhi-Ber type refined in a solvent extraction process), with different manufacturing dates were used. rnTo improve the enteric coating properties of films from aqueous shellac solutions, different aqueous polymeric solutions of hydroxypropyl methylcellulose (HPMC), hydroxypropyl cellulose (HPC), carboyxmethyl cellulose (CMC), gum arabic and polysaccharides (Pullulan®) were used. These water soluble polymers will act as pore formers to enhance drug release from pellets coated with the combination of shellac and these polymers. The influence of these polymers on the gloss of the shellac films, mechanical properties of the films and drug release from metoprolol tartrate pellets were studied.rnThe potential of ethanol to alter the rate of drug release from shellac coated pellets was assessed by using a modified in vitro dose dumping in alcohol (DDA) method and the test concluded that shellac coated dosage forms can be co-administered with alcohol beverages containing ≤ 5% with no effect of alcohol on the shellac coat.rnPellets coated with shellac sodium salts, showed higher release rates than pellets coated with shellac as ammonium salt forms. rn

Peatland depths and radiocarbon dates, recent decades, North America

Peatland ecosystems store about 500-600 Pg of organic carbon, largely accumulated since the last glaciation. Whether they continue to sequester carbon or release it as greenhouse gases, perhaps in large amounts, is important in Earth's temperature dynamics. Given both ages and depths of numerous dated sample peatlands, their rate of carbon sequestration can be estimated throughout the Holocene. Here we use average values for carbon content per unit volume, the geographical extent of peatlands, and ecological models of peatland establishment and growth, to reconstruct the time-trajectory of peatland carbon sequestration in North America and project it into the future. Peatlands there contain ~163 Pg of carbon. Ignoring effects of climate change and other major anthropogenic disturbances, the rate of carbon accumulation is projected to decline slowly over millennia as reduced net carbon accumulation in existing peatlands is largely balanced by new peatland establishment. Peatlands are one of few long-term terrestrial carbon sinks, probably important for global carbon regulation in future generations. This study contributes to a better understanding of these ecosystems that will assist their inclusion in earth-system models, and therefore their management to maintain carbon storage during climate change.

Controlled release products for managing insect pests.

2016

Fluoride release profile of a nanofilled resin-modified glass ionomer cement

The present study aimed to compare the fluoride (F-) release pattern of a nanofilled resin-modified glass ionomer cement (GIC) (Ketac N100 - KN) with available GICs used in dental practice (resin-modified GIC - Vitremer - V; conventional GIC - Ketac Molar - KM) and a nanofilled resin composite (Filtek Supreme - RC). Discs of each material (n=6) were placed into 4 mL of deionized water in sealed polyethylene vials and shaken, for 15 days. F- release (μg F-/cm²) was measured each day using a fluoride-ion specific electrode. Cumulative F- release means were statistically analyzed by linear regression analysis. In order to analyze the differences among materials and the influence of time in the daily F- release, 2-way ANOVA test was performed (α=0.05). The linear fits between the cumulative F- release profiles of RC and KM and time were weak. KN and V presented a strong relationship between cumulative F- release and time. There were significant differences between the daily F- release overtime up to the third day only for GICs materials. The daily F- release means for RC were similar overtime. The results indicate that the F- release profile of the nanofilled resin-modified GIC is comparable to the resin-modified GIC.

Effect of different cleansers on the weight and ion release of removable partial denture: an in vitro study

OBJECTIVE: Removable partial dentures (RPD) require different hygiene care, and association of brushing and chemical cleansing is the most recommended to control biofilm formation. However, the effect of cleansers has not been evaluated in RPD metallic components. The aim of this study was to evaluate in vitro the effect of different denture cleansers on the weight and ion release of RPD. MATERIAL AND METHODS: Five specimens (12x3 mm metallic disc positioned in a 38x18x4 mm mould filled with resin), 7 cleanser agents [Periogard (PE), Cepacol (CE), Corega Tabs (CT), Medical Interporous (MI), Polident (PO), 0.05% sodium hypochlorite (NaOCl), and distilled water (DW) (control)] and 2 cobalt-chromium alloys [DeguDent (DD), and VeraPDI (VPDI)] were used for each experimental situation. One hundred and eighty immersions were performed and the weight was analyzed with a high precision analytic balance. Data were recorded before and after the immersions. The ion release was analyzed using mass spectrometry with inductively coupled plasma. Data were analyzed by two-way ANOVA and Tukey HSD post hoc test at 5% significance level. RESULTS: Statistical analysis showed that CT and MI had higher values of weight loss with higher change in VPDI alloy compared to DD. The solutions that caused more ion release were NaOCl and MI. CONCLUSIONS: It may be concluded that 0.05% NaOCl and Medical Interporous tablets are not suitable as auxiliary chemical solutions for RPD care.

An in vitro comparison of nickel and chromium release from brackets

This study aimed at comparing amounts of nickel (Ni) and chromium (Cr) released from brackets from different manufacturers in simulated oral environments. 280 brackets were equally divided into 7 groups according to manufacturer. 6 groups of brackets were stainless steel, and 1 group of brackets was made of a cobalt-chromium alloy with low Ni content (0.5%). International standard ISO 10271/2001 was applied to provide test methods. Each bracket was immersed in 0.5 ml of synthetic saliva (SS) or artificial plaque fluid (PF) over a period of 28 days at 37ºC. Solutions were replaced every 7 days, and were analyzed by spectrometry. The Kruskal-Wallis test was applied. Amounts of Ni release in SS (µg L-1 per week) varied between groups from "bellow detection limits" to 694, and from 49 to 5,948.5 in PF. The group of brackets made of cobalt-chromium alloy, with the least nickel content, did not release the least amounts of Ni. Amounts of Cr detected in SS and in PF (µg L-1 per week) were from 1 to 10.4 and from 50.5 to 8,225, respectively. It was therefore concluded that brackets from different manufacturers present different corrosion behavior. Further studies are necessary to determine clinical implications of the findings.

Metronidazole release using natural rubber latex as matrix

Natural Rubber Latex (NRL) can be used successfully in controlled release drug delivery due to their excellent matrix forming properties. Recently, NRL has shown to stimulate angiogenesis, cellular adhesion and the formation of extracellular matrix, promoting the replacement and regeneration of tissue. A dermatological delivery system comprising a topically acceptable, inert support impregnated with a metronidazole (MET) solution was developed. MET 2-(2- methyl- 5-nitro- 1H- imidazol- 1-yl) ethanol, has been widely used for the treatment of protozoa and anaerobic bacterial infections. MET is a nitroimidazole anti-infective medication used mainly in the treatment of infections caused by susceptible organisms, particularly anaerobic bacteria and protozoa. In a previous study, we have tested NRL as an occlusive membrane for GBR with promising results. One possible way to decrease the inflammatory process, it was incorporated the MET in NRL. MET was incorporated into the NRL, by mixing it in solution for in vitro protein delivery experiments. The solutions of latex and MET were polymerized at different temperatures, from -100 to 40 °C, in order to control the membrane morphology. SEM microscopy analysis showed that the number, size and distribution of pores in NRL membranes varied depending on polymerization temperature, as well as its overall morphology. Results demonstrated that the best drug-delivery system was the membrane polymerized at -100 °C, which does release 77,1% of its MET content for up 310 hours.