Risk and seasonal effects: International evidence

Various explanations have been investigated to the January effect in existent literature, but no conclusive explanation has been given to distinguish particular explanation from others. A time-series GARCH-M model with the conditional variance as proxies for market systematic risk is applied in this paper to investigate the seasonal effects in the USA, the UK, China and Australia with different tax system and tax year end. Empirical evidence showed January effect in the USA, January and April effect in the UK, July effect in Australia and no significant seasonal effect in China. The pattern consistently links to tax year end and tax system in the sample countries. But no clear evidence has been found to support the proposition that market risk is higher or priced highly only in certain calendar month with seasonal effect. However, with an interactive dummy variable to reflect the seasonal effect added into the time-series GARCH-M model, the seasonal effects are explained away. The results in the sampled countries support the proposition that market volatility increases when it is close to the date of financial statement performance due to the uncertainty of the financial information

Momentum, Disposition, and tax-loss selling: the UK evidence

In this paper we explore the seasonality of UK momentum returns. We find evidence of very high momentum returns during March followed by negative returns during April. This seasonality is driven by substantial swings in performance for the Loser portfolio, with loser stocks performing very poorly during March before bouncing back in April. This pattern is what we would expect to result from tax-loss selling by individual investors and as such supports the Grinblatt and Han’s (2004) explanation for momentum that is based on disposition trading. Poor January momentum returns are not so easily explained

The impact of mandatory IFRS adoption on accrual anomaly and earning conservatism

This paper investigates the impact of mandatory IFRS adoption on earning management and accounting conservatism by European countries. Using firm-level data of nine European countries within G20 who mandatorily adopted IFRS in 2005, we found that IFRS either increase or decrease accounting conservatism within the sample countries. With Mishkin test to market efficiency at valuation with disaggregated earning components, the results show that the accrual anomaly is not a generalized phenomenon within Europe, especially the Common Law countries. The market seems to be less able to distinguish abnormal accrual from normal accrual estimated by Jones model, which in term cause the mis-valuation of the future earnings forecast. Cross country characteristics examination, including law enforcement, protection of shareholder and accounting structure, etc. suggests that the change of accounting standard itself cannot solely improve the valuation information environment. Relevant commercial law should change to support IFRS to make accounting information informative and comparable

Did the market overreact to the mandatory switch to IFRS in Europe?

Despite studies which indicate that mandatory adoption of International Financial Reporting Standards (IFRS) reduced the cost of capital for adopting firms and improved analysts’ forecasts, the evidence supporting any improvement in accounting quality is mixed. In a European wide country study, we calculate a broadly based measure of earnings management defined as accruals which are unrelated to current activity or past-current-future cash flows. At the individual country level we find that accounting quality improved only in France, Germany and Netherland, which are categories as ‘legal origin countries’. Moreover, based on an equity valuation model adjusted for earnings quality, we find that, in most European countries, the market overreacted to the impact of mandatory IFRS adoption. Further test shows that investors do not seem to understand the exact components of the financial statements that IFRS will have impact on

Chiral geometry and rotational structure for 130^{130}Cs in the projected shell model

The projected shell model with configuration mixing for nuclear chirality is developed and applied to the observed rotational bands in the chiral nucleus $^{130}$Cs. For the chiral bands, the energy spectra and electromagnetic transition probabilities are well reproduced. The chiral geometry illustrated in the $K~plot$ and the $azithumal~plot$ is confirmed to be stable against the configuration mixing. The other rotational bands are also described in the same framework

Incremental multiple objective genetic algorithms

This paper presents a new genetic algorithm approach to multi-objective optimization problemsIncremental Multiple Objective Genetic Algorithms (IMOGA). Different from conventional MOGA methods, it takes each objective into consideration incrementally. The whole evolution is divided into as many phases as the number of objectives, and one more objective is considered in each phase. Each phase is composed of two stages: first, an independent population is evolved to optimize one specific objective; second, the better-performing individuals from the evolved single-objective population and the multi-objective population evolved in the last phase are joined together by the operation of integration. The resulting population then becomes an initial multi-objective population, to which a multi-objective evolution based on the incremented objective set is applied. The experiment results show that, in most problems, the performance of IMOGA is better than that of three other MOGAs, NSGA-II, SPEA and PAES. IMOGA can find more solutions during the same time span, and the quality of solutions is better

Hyperbolic ends with particles and grafting on singular surfaces

We prove that any 3-dimensional hyperbolic end with particles (cone singularities along infinite curves of anglesless than \pi) admits a unique foliation by constant Gauss curvature surfaces. Using a form of duality between hyperbolic ends with particles and convex globally hyperbolic maximal (GHM) de Sitter spacetime with particles, it follows that any convex GHM de Sitter spacetime with particles also admits a unique foliation by constant Gauss curvature surfaces. We prove that the grafting map from the product of Teichmüller space with the space of measured laminations to the space of complex projective structures is a homeomorphism for surfaces with cone singularities of angles less than \pi, as well as an analogue when grafting is replaced by “smooth grafting”

Game Theory Meets Network Security: A Tutorial at ACM CCS

The increasingly pervasive connectivity of today's information systems brings up new challenges to security. Traditional security has accomplished a long way toward protecting well-defined goals such as confidentiality, integrity, availability, and authenticity. However, with the growing sophistication of the attacks and the complexity of the system, the protection using traditional methods could be cost-prohibitive. A new perspective and a new theoretical foundation are needed to understand security from a strategic and decision-making perspective. Game theory provides a natural framework to capture the adversarial and defensive interactions between an attacker and a defender. It provides a quantitative assessment of security, prediction of security outcomes, and a mechanism design tool that can enable security-by-design and reverse the attacker's advantage. This tutorial provides an overview of diverse methodologies from game theory that includes games of incomplete information, dynamic games, mechanism design theory to offer a modern theoretic underpinning of a science of cybersecurity. The tutorial will also discuss open problems and research challenges that the CCS community can address and contribute with an objective to build a multidisciplinary bridge between cybersecurity, economics, game and decision theory