Evolución de la capacidad explicativa de los modelos de valoración de activos basados en factores en la determinación del coste de capital

[EN] The recent research on asset pricing shows that the higher liquidity that results from the globalization of financial markets has significantly reduced the returns tied to many market anomaly-based strategies. However, in general, that research does not evaluate the effects that the mitigation of market anomalies may imply on the performance of the classic asset pricing models. On this basis, in this paper we study to what extent the lower returns provided by market anomaly-based strategies imply better performance of those models. Hence, the main purpose of our study is to compare the performance over time of some of the most prominent asset pricing models, namely, the CAPM and the Fama and French three- and five-factor models, on the European and US equity markets, using return series that cover more than 30 years. Our results show that, although the CAPM is the model with the worst performance in explaining excess returns in all periods both in Europe and US, the model has increased its explanatory power in the recent years principally due to the attenuation of classic market anomalies, such as the size effect or the value effect. Furthermore, our results show that the CAPM correctly prices the three classic Fama and French factors for the years 2006-2021, which explains the best performance of the model for that time interval. Our results have impor[ES] Dentro del ámbito de la valoración de activos, investigaciones recientes ponen de manifiesto cómo el incremento de la liquidez de los mercados financieros por razón de la globalización se está traduciendo en una paulatina reducción de los diferenciales de rentabilidad proporcionados por diferentes estrategias basadas en anomalías del mercado. No obstante, tales investigaciones no analizan en general el impacto que dicha reducción tiene sobre el funcionamiento de los modelos clásicos de valoración de activos. Sobre esta base, este trabajo se desarrolla al objeto de analizar en qué medida el proceso de atenuación de las anomalías de mercado se traduce en un incremento de la capacidad explicativa de dichos modelos. Así, el principal propósito de este estudio es realizar una comparativa en el tiempo entre los principales modelos de valoración de activos, concretamente el CAPM y los modelos de tres y cinco factores de Fama y French, en los mercados de acciones europeo y estadounidense, haciendo uso de series de rendimientos de más de 30 años. Los resultados obtenidos muestran que, a pesar de que tanto a nivel europeo como estadounidense y en todos los periodos estudiados, el CAPM es el modelo con un peor comportamiento a la hora de explicar los excesos de rentabilidad, el modelo ve incrementada su capacidad explicativa en los años más recientes debido a la atenuación de anomalías clásicas del mercado, como son el efecto tamaño o el efecto valor. Más aún, nuestros resultados confirman que el CAPM es capaz de valorar correctamente los tres factores clásicos de Fama y French para los años 2006-2021, lo que explica el mejor funcionamiento del modelo para ese intervalo de tiempo. Nuestros resultados tienen importantes implicaciones para la gestión y análisis de inversiones bursátiles, así como para la determinación del coste de capital de las empresas.We gratefully acknowledge the funding granted by the European Social Fund and the Education and Research Service of the Madrid regional government, through grant PEJ16/SOC/AI162

Tunneling edges at strong disorder

Scattering between edge states that bound one-dimensional domains of opposite potential or flux is studied, in the presence of strong potential or flux disorder. A mobility edge is found as a function of disorder and energy, and we have characterized the extended phase. "paper_FINAL.tex" 439 lines, 20366 characters In the presence of flux and/or potential disorder, the localization length scales exponentially with the width of the barrier. We discuss implications for the random-flux problem.Comment: RevTeX, 4 page

Ultra-broadband photon pair preparation by spontaneous four wave mixing in dispersion-engineered optical fiber

We present a study of the spectral properties of photon pairs generated through the process of spontaneous four wave mixing (SFWM) in single mode fiber. Our analysis assumes narrowband pumps, which are allowed to be frequency-degenerate or non-degenerate. Based on this analysis, we derive conditions on the pump frequencies and on the fiber dispersion parameters which guarantee the generation of ultra-broadband photon pairs. Such photon pairs are characterized by: i) a very large degree of entanglement, and ii) a very high degree of temporal synchronization between the signal and idler photons. Through a numerical exercise, we find that the use of photonic crystal fiber (PCF) facilitates the fulfilment of the conditions for ultra-broadband photon pair generation; in particular, the spectral region in which emission occurs can be adjusted to particular needs through an appropriate choice of the PCF parameters. In addition, we present a novel quantum interference effect, resulting from indistinguishable pathways to the same outcome, which can occur when pumping a SFWM source with multiple spectral lines.Comment: 15 pages, 10 figures. To be published in Phys. Rev.

Implementation of an extended ZINB model in the study of low levels of natural gastrointestinal nematode infections in adult sheep

Background: In this study, two traits related with resistance to gastrointestinal nematodes (GIN) were measured in 529 adult sheep: faecal egg count (FEC) and activity of immunoglobulin A in plasma (IgA). In dry years, FEC can be very low in semi-extensive systems, such as the one studied here, which makes identifying animals that are resistant or susceptible to infection a difficult task. A zero inflated negative binomial model (ZINB) model was used to calculate the extent of zero inflation for FEC; the model was extended to include information from the IgA responses. Results: In this dataset, 64 % of animals had zero FEC while the ZINB model suggested that 38 % of sheep had not been recently infected with GIN. Therefore 26 % of sheep were predicted to be infected animals with egg counts that were zero or below the detection limit and likely to be relatively resistant to nematode infection. IgA activities of all animals were then used to decide which of the sheep with zero egg counts had been exposed and which sheep had not been recently exposed. Animals with zero FEC and high IgA activity were considered resistant while animals with zero FEC and low IgA activity were considered as not recently infected. For the animals considered as exposed to the infection, the correlations among the studied traits were estimated, and the influence of these traits on the discrimination between unexposed and infected animals was assessed. Conclusions: The model presented here improved the detection of infected animals with zero FEC. The correlations calculated here will be useful in the development of a reliable index of GIN resistance that could be of assistance for the study of host resistance in studies based on natural infection, especially in adult sheep, and also the design of breeding programs aimed at increasing resistance to parasites

New constraints on the formation and settling of dust in the atmospheres of young M and L dwarfs

We obtained medium-resolution near-infrared spectra of seven young M9.5-L3 dwarfs classified in the optical. We aim to confirm the low surface gravity of the objects in the NIR. We also test whether atmospheric models correctly represent the formation and the settling of dust clouds in the atmosphere of young late-M and L dwarfs. We used ISAAC at VLT to obtain the spectra of the targets. We compared them to those of mature and young BD, and young late-type companions to nearby stars with known ages, in order to identify and study gravity-sensitive features. We computed spectral indices weakly sensitive to the surface gravity to derive near-infrared spectral types. Finally, we found the best fit between each spectrum and synthetic spectra from the BT-Settl 2010 and 2013 models. Using the best fit, we derived the atmospheric parameters of the objects and identify which spectral characteristics the models do not reproduce. We confirmed that our objects are young BD and we found NIR spectral types in agreement with the ones determined at optical wavelengths. The spectrum of the L2-gamma dwarf 2MASSJ2322-6151 reproduces well the spectrum of the planetary mass companion 1RXS J1609-2105b. BT-Settl models fit the spectra and the 1-5 $\mu$m SED of the L0-L3 dwarfs for temperatures between 1600-2000 K. But the models fail to reproduce the shape of the H band, and the NIR slope of some of our targets. This fact, and the best fit solutions found with super-solar metallicity are indicative of a lack of dust, in particular at high altitude, in the cloud models. The modeling of the vertical mixing and of the grain growth will be revised in the next version of the BT-Settl models. These revisions may suppress the remaining non-reproducibilities.Comment: Accepted in A&A, February 6, 201

Damage Evolution in Quasi-Brittle Materials: Experimental Analysis by AE and Numerical Simulation

This work investigates the extension of a total-collapse prediction method to include local failures in quasi-brittle materials as they undergo damage processes. The analysis is experimentally conducted with acoustic emission data from a basalt specimen under a prescribed displacement loading test. The proposed failure index is compared with the well-established b-value to evaluate its usefulness; the simulation results are also used to further investigations. In particular, the simulations show that the parameter calculation can be carried out by indirectly estimating the elastic energy released within the system throughout the damage process, which cannot be measured directly. It is concluded that the proposed method is valid, consistently outperforming the b-value as a failure precursor throughout the experimental studies

On the temperature dependence of ballistic Coulomb drag in nanowires

We have investigated within the theory of Fermi liquid dependence of Coulomb drag current in a passive quantum wire on the applied voltage $V$ across an active wire and on the temperature $T$ for any values of $eV/k_BT$. We assume that the bottoms of the 1D minibands in both wires almost coincide with the Fermi level. We come to conclusions that 1) within a certain temperature interval the drag current can be a descending function of the temperature $T$; 2) the experimentally observed temperature dependence $T^{-0.77}$ of the drag current can be interpreted within the framework of Fermi liquid theory; 3) at relatively high applied voltages the drag current as a function of the applied voltage saturates; 4) the screening of the electron potential by metallic gate electrodes can be of importance.Comment: 7 pages, 1 figur