Tests of International CAPM with Time-Varying Covariances

We perform maximum likelihood estimation of a model of international asset pricing based on CAPM. We test the restrictions imposed by CAPM against a more general asset pricing model. The "betas" in our CAPM vary over time from two sources -- the supplies of the assets (government obligations of France, Germany, Italy, Japan, the U.K. and the U.S.) change over time, and so do the conditional covariances of returns on these assets. We let the covariances change over time as a function of macroeconomic data. We also estimate the model when the covariances follow a multivariate ARCH process. When the covariance of forecast errors are time-varying, we can identify a modified CAFM model with measurement error -- which we also estimate. We find that the model in which the CAPM restrictions are imposed (which involve cross-equation constraints between coefficients and the variances of the residuals) perform much better when variances are not constant over time. Nonetheless, the CAPM model is rejected in favor of the less restricted model of asset pricing.

Financial implications of the U.S. external deficit

Debts, External ; Dollar, American ; Deficit financing ; Investments, Foreign - United States

A Test of International CAPM

We propose and implement a Wald test of the international capital asset pricing model. Ex post asset returns are regressed on asset supplies. CAPM requires that the matrix of coefficients from a regression of n rates of return on n asset supply shares be proportional to the covariance matrix of the residuals from those regressions. We test this restriction in the context of a model that aggregates all outside financial assets for each of ten countries. We do not find strong support for the restrictions of CAPM.

Organic amendment increases arbuscular mycorrhizal fungal diversity in primary coastal dunes

Plastic pots were inserted beneath seedlings of a shallow-rooted C4 grass species, Ischaemum indicum, with and without a root-impenetrable nylon sachet filled with organic matter (OM) amendment, at seven stations along an interrupted belt transect in which plant community and soil chemistry had been previously surveyed. The transect was perpendicular to mean high-water mark (MH-WM) across a primary coastal dune system in Goa, India, where summer monsoon is the predominant weather feature. The Quadrat survey of plant frequency was made in stations when the above-ground biomass was estimated to be highest. Arbuscular mycorrhiza fungal (AMF) spore density and diversity were determined morphologically in amended and control pots soils, and in OM sachet residues, after host-plant desiccation when monsoon rains had ceased. Twenty-seven AM fungal spore morphotypes were isolated from the pots containing OM amended rhizosphere soils, 19 from controls and 14 from OM residues in the sachets. Gigaspora margarita proved to be the dominant spore in all treatments. Eight morphotypes recovered from amended pots were not recovered from the controls. There was an increasing trend in species diversity in amended pots away from MH-WM. Spore recovery from the three regimes showed variable distribution that indicated differing AMF species strategies

Conditional Mean-Variance Efficiency of the U.S. Stock Market

We apply the method of constrained asset share estimation (CASE) to test the mean-variance efficiency (MVE) of the stock market. This method allows conditional expected returns to vary in unrestricted ways, given investor preferences. We also allow conditional variances to follow an ARCH process. The data estimate reasonably the coefficient of relative risk aversion, though are unable to reject investor risk neutrality. We reject the restrictions implied by MVE, although changing conditional variances improve statistically upon measured market efficiency. We find that unrestricted asset-share and ARCH models help forecast excess returns. Once MVE is imposed, however, this forecasting ability disappears.

Relación entre cognición y personalidad en enfermos con alzheimer

Creemos que existen diferencias significativas en la relación entre cognición y personalidad que son capaces de construir un referente mental que nos ayude a entender la inadaptación de enfermos de Alzheimer a su entorno. El objetivo de esta investigación fue verificar dicha existencia de diferencias entre mayores con Alzheimer y mayores en estado de envejecimiento normal. Participaron en esta investigación 231 mayores, divididos por 2 grupos lo más homogéneamente posible. El grupo (GE) con 103 mayores con diagnóstico clínico de Alzheimer, y (GC) con 128 mayores en fase de envejecimiento normal. Ambos grupos fueron subdivididos por 2 subgrupos, con y sin frecuencia en centro de día, es decir, con y sin estimulación cognitiva. Los participantes fueron evaluados a través de la aplicación del test MME y del inventario NEO-FFI. Los resultados presentaron diferencias estadísticamente significativas donde la memoria inmediata explica el 6,6% del neuroticismo, el 1,9% de la apertura y el 3,4% de la amabilidad. La atención y cálculo explican el 3,4% del neuroticismo.We believe the existence of significant differences in the relation about cognition and personality, capable of building a mental reference, which can help us in the in adaptation of patients with Alzheimer’s disease at the environment. The aim of this work was to verify the existence of these differences between patients with Alzheimer’s disease and patients in normal aging. The sample consisted on 231 participants and was dived into two groups, (EG) with 103 participants with Alzheimer’s disease and with a clinical diagnostic, (CG) with 128 participants of normal aging people. Both groups were subdividing in two subgroups with and without frequency in a day care, rather, with our without cognitive stimulation. The participants were underwent a quantitative assessment based on the application of the premorbid cognitive test MME and the personality inventory NEO-FFI. The results showed significant differences witch the immediate memory explain 6,6% about the neuroticism, 1,9% about openness and 3,4% about the agreeableness. The attention and arithmetic explain 3.4% about the neuroticism

Pleistocene Walrus (Odobenus Rosmarus) from Forteau, Labrador

A partial skeleton of an adult male walrus (Odobenus rosmarus) was excavated from a raised beach on the Labrador coast, near the present community of Forteau. Bone collagen from the specimen has been radiocarbon dated at about 11 500 yr BP. Fossil pollen, dinoflagellates, diatoms, sponges, echinoderms, barnacles, foraminifers and ostracodes from sandy clay surrounding the specimen are considered in terms of their paleoenvironmental implications. Presuming the bone date is correct, palynological and molluscan data suggest that the walrus skeleton was reworked and redeposited by a receding sea some 10 300 to 10 400 years ago, when sparse tundra vegetation evidently bordered on a glaciomarine environment.Le squelette partiel d'un morse adulte mâle a été exhumé d'une plage soulevée sur la côte du Labrador, près de l'habitat de la communauté actuelle. Le collagène des os du spécimen a été daté au radiocarbone à 11 500 BP. Le pollen fossile, les dinoflagellés, les diatomées, les éponges, les échinodermes, les balanes, les foraminifères et les ostracodes prélevés dans l'argile sableuse des environs ont été étudiés en fonction des implications paléo-environnementales. En supposant que la date de l'os est juste, les données sur le pollen et les mollusques semblent indiquer que le squelette du morse a été dérangé et redéposé par une mer en recul il y a 10 300-10 400 ans, alors qu'une végétation clairsemée de toundra occupait les abords d'un milieu glacio-marin