Predictability of stock returns using financial statement information: Evidence on semi-strong efficiency of emerging Greek stock market

This article examines the predictability of stock returns in the Athens Stock Exchange (ASE) during 1993 to 2006 by using accounting information. Using panel data analysis, this article concludes that the selected set of financial ratios contains significant information for predicting the cross-section of stock returns. Results indicate that portfolios selected on the basis of financial ratios produce higher than average returns, suggesting that the emerging Greek market does not fully incorporate accounting information into stock prices and hence it is not semi-strong efficient

Anisotropic fluxes and nonlocal interactions in MHD turbulence

We investigate the locality or nonlocality of the energy transfer and of the spectral interactions involved in the cascade for decaying magnetohydrodynamic (MHD) flows in the presence of a uniform magnetic field $\bf B$ at various intensities. The results are based on a detailed analysis of three-dimensional numerical flows at moderate Reynold numbers. The energy transfer functions, as well as the global and partial fluxes, are examined by means of different geometrical wavenumber shells. On the one hand, the transfer functions of the two conserved Els\"asser energies $E^+$ and $E^-$ are found local in both the directions parallel ($k_\|$-direction) and perpendicular ($k_\perp$-direction) to the magnetic guide-field, whatever the ${\bf B}$-strength. On the other hand, from the flux analysis, the interactions between the two counterpropagating Els\"asser waves become nonlocal. Indeed, as the ${\bf B}$-intensity is increased, local interactions are strongly decreased and the interactions with small $k_\|$ modes dominate the cascade. Most of the energy flux in the $k_\perp$-direction is due to modes in the plane at $k_\|=0$, while the weaker cascade in the $k_\|$-direction is due to the modes with $k_\|=1$. The stronger magnetized flows tends thus to get closer to the weak turbulence limit where the three-wave resonant interactions are dominating. Hence, the transition from the strong to the weak turbulence regime occurs by reducing the number of effective modes in the energy cascade.Comment: Submitted to PR

Anomalous exponents at the onset of an instability

Critical exponents are calculated exactly at the onset of an instability, using asymptotic expansiontechniques. When the unstable mode is subject to multiplicative noise whose spectrum at zero frequency vanishes, we show that the critical behavior can be anomalous, i.e. the mode amplitude X scales with departure from onset \mu as $~ \mu^\beta$ with an exponent $\beta$ different from its deterministic value. This behavior is observed in a direct numerical simulation of the dynamo instability and our results provide a possible explanation to recent experimental observations

Marginally unstable Holmboe modes

Marginally unstable Holmboe modes for smooth density and velocity profiles are studied. For a large family of flows and stratification that exhibit Holmboe instability, we show that the modes with phase velocity equal to the maximum or the minimum velocity of the shear are marginally unstable. This allows us to determine the critical value of the control parameter R (expressing the ratio of the velocity variation length scale to the density variation length scale) that Holmboe instability appears R=2. We then examine systems for which the parameter R is very close to this critical value. For this case we derive an analytical expression for the dispersion relation of the complex phase speed c(k) in the unstable region. The growth rate and the width of the region of unstable wave numbers has a very strong (exponential) dependence on the deviation of R from the critical value. Two specific examples are examined and the implications of the results are discussed.Comment: Submitted to Physics of Fluid

Nonlinear dynamos at infinite magnetic Prandtl number

The dynamo instability is investigated in the limit of infinite magnetic Prandtl number. In this limit the fluid is assumed to be very viscous so that the inertial terms can be neglected and the flow is slaved to the forcing. The forcing consist of an external forcing function that drives the dynamo flow and the resulting Lorentz force caused by the back reaction of the magnetic field. The flows under investigation are the Archontis flow, and the ABC flow forced at two different scales. The investigation covers roughly three orders of magnitude of the magnetic Reynolds number above onset. All flows show a weak increase of the averaged magnetic energy as the magnetic Reynolds number is increased. Most of the magnetic energy is concentrated in flat elongated structures that produce a Lorentz force with small solenoidal projection so that the resulting magnetic field configuration was almost force-free. Although the examined system has zero kinetic Reynolds number at sufficiently large magnetic Reynolds number the structures are unstable to small scale fluctuations that result in a chaotic temporal behavior

Rigidity of stationary black holes with small angular momentum on the horizon

We prove a black hole rigidity result for slowly rotating stationary solutions of the Einstein vacuum equations. More precisely, we prove that the domain of outer communications of a regular stationary vacuum is isometric to the domain of outer communications of a Kerr solution, provided that the stationary Killing vector-field \T is small on the bifurcation sphere.Comment: Minor corrections, submitted versio

Stratified shear flow instabilities at large Richardson numbers

Numerical simulations of stratified shear flow instabilities are performed in two dimensions in the Boussinesq limit. The density variation length scale is chosen to be four times smaller than the velocity variation length scale so that Holmboe or Kelvin-Helmholtz unstable modes are present depending on the choice of the global Richardson number Ri. Three different values of Ri were examined Ri =0.2, 2, 20. The flows for the three examined values are all unstable due to different modes namely: the Kelvin-Helmholtz mode for Ri=0.2, the first Holmboe mode for Ri=2, and the second Holmboe mode for Ri=20 that has been discovered recently and it is the first time that it is examined in the non-linear stage. It is found that the amplitude of the velocity perturbation of the second Holmboe mode at the non-linear stage is smaller but comparable to first Holmboe mode. The increase of the potential energy however due to the second Holmboe modes is greater than that of the first mode. The Kelvin-Helmholtz mode is larger by two orders of magnitude in kinetic energy than the Holmboe modes and about ten times larger in potential energy than the Holmboe modes. The results in this paper suggest that although mixing is suppressed at large Richardson numbers it is not negligible, and turbulent mixing processes in strongly stratified environments can not be excluded.Comment: Submitted to Physics of Fluid

Shell to shell energy transfer in MHD, Part I: steady state turbulence

We investigate the transfer of energy from large scales to small scales in fully developed forced three-dimensional MHD-turbulence by analyzing the results of direct numerical simulations in the absence of an externally imposed uniform magnetic field. Our results show that the transfer of kinetic energy from the large scales to kinetic energy at smaller scales, and the transfer of magnetic energy from the large scales to magnetic energy at smaller scales, are local, as is also found in the case of neutral fluids, and in a way that is compatible with Kolmogorov (1941) theory of turbulence. However, the transfer of energy from the velocity field to the magnetic field is a highly non-local process in Fourier space. Energy from the velocity field at large scales can be transfered directly into small scale magnetic fields without the participation of intermediate scales. Some implications of our results to MHD turbulence modeling are also discussed.Comment: Submitted to PR