Proxying for Expected Returns with Price Earnings Ratios

Long-run regression models using the trailing earnings over price ratio to predict future returns suggested by Campbell and Shiller (1988, 2001) work quite well. However, in this note we show that this variable might result in a downward biased proxy for expected future returns. Instead we suggest using a moving average of the log of 1 plus the earnings price ratio when forecasting long-run returns. The empirical results for the S&P 500 show the superiority of our approach to existing ones.Earnings yield, Stock Return, Forecasting

Cycles of Quadratic Polynomials and Rational Points on a Genus-Two Curve

It has been conjectured that for $N$ sufficiently large, there are no quadratic polynomials in $\bold Q[z]$ with rational periodic points of period $N$. Morton proved there were none with $N=4$, by showing that the genus~$2$ algebraic curve that classifies periodic points of period~4 is birational to $X_1(16)$, whose rational points had been previously computed. We prove there are none with $N=5$. Here the relevant curve has genus~$14$, but it has a genus~$2$ quotient, whose rational points we compute by performing a~$2$-descent on its Jacobian and applying a refinement of the method of Chabauty and Coleman. We hope that our computation will serve as a model for others who need to compute rational points on hyperelliptic curves. We also describe the three possible Gal$_{\bold Q}$-stable $5$-cycles, and show that there exist Gal$_{\bold Q}$-stable $N$-cycles for infinitely many $N$. Furthermore, we answer a question of Morton by showing that the genus~$14$ curve and its quotient are not modular. Finally, we mention some partial results for $N=6$

Long-Run Regressions: Theory and Application to US Asset Markets

The question of long-run predictability in the aggregate US stock market is still unsettled. This is due to the lack of a robust method to judge the statistical significance of long-run regressions under the maintained hypothesis. By developing a spectral theory of long-run regressions with both long-run dependent and independent variables, we demonstrate a version of Engle's (1974) conjecture that asymptotically correct standard errors can be computed by multiplying the ordinary least squares standard errors by the square root of 2/3 times the length of the forecast horizon. We generalize Stambaugh's (1999) bias formula to the long-run regression model proposed in this paper. In addition, we find, that for persistent predictive variables, the OLS estimator in our regression model is more efficient than the estimator in the predictive regressions suggested by Campbell and Shiller (1988) and Hodrick (1992). Application of our method shows thatthe long-run earnings yield significantly predicts up to 69% of the variation in the 10-year S&P 500 real return, and up to 49% of long-run bond returns.Forecasting, stock returns, spectral analysis, Hansen-Hodrick standard errors

Evaluation of geophysical methods to characterize alluvial soils in the arid environment

Non-intrusive geophysical investigations, both seismic and electrical, were performed at several locations on the Las Vegas Springs Preserve in Las Vegas, Nevada, along with intrusive drilling. These investigations were conducted to determine whether it is possible use geophysical methods to detect piping-induced cavities and shallow inclusions such as calcific nodules and horizons known as caliche in dry, desert soil, while at the same time characterizing the mechanical structure of the soil and distribution of soil moisture for engineering purposes. The geophysical methods used were the Spectral-Analysis-of-Surface-Waves (SASW) method, surface-based seismic cavity detection, multi-electrode electrical resistivity, and electromagnetic conductivity. The results of the geophysical measurements across the site were compared to each other, and to the ground truth obtained through intrusive drilling. The seismic and electrical signature of a known air-filled fissure was also established, and was used for comparison to the results obtained throughout the Preserve. The SASW method was successful in characterizing the complex layered geometry of the soil. The electrical resistivity method successfully distinguished between dry soils at shallow depths, and moist and wet soils beneath. The surface-based seismic cavity detection and the electrical resistivity methods were also used successfully for cavity detection, and it is concluded that voids of engineering significance would have been detected if they had been present. The electromagnetic conductivity method was not successful in detecting voids, but proved to be a valuable preliminary reconnaissance tool

Observation of PT phase transition in a simple mechanical system

If a Hamiltonian is PT symmetric, there are two possibilities: Either the eigenvalues are entirely real, in which case the Hamiltonian is said to be in an unbroken-PT-symmetric phase, or else the eigenvalues are partly real and partly complex, in which case the Hamiltonian is said to be in a broken-PT-symmetric phase. As one varies the parameters of the Hamiltonian, one can pass through the phase transition that separates the unbroken and broken phases. This transition has recently been observed in a variety of laboratory experiments. This paper explains the phase transition in a simple and intuitive fashion and then describes an extremely elementary experiment in which the phase transition is easily observed.Comment: 9 pages, 9 figure

PCM telemetry data compression study, phase II Quarterly report, 25 Nov. 1965 - 25 Feb. 1966

Model analyses and computer simulations used in data compression study for improved pulse code modulation telemetry link

Grid-enabling FIRST: Speeding up simulation applications using WinGrid

The vision of grid computing is to make computational power, storage capacity, data and applications available to users as readily as electricity and other utilities. Grid infrastructures and applications have traditionally been geared towards dedicated, centralized, high performance clusters running on UNIX flavour operating systems (commonly referred to as cluster-based grid computing). This can be contrasted with desktop-based grid computing which refers to the aggregation of non-dedicated, de-centralized, commodity PCs connected through a network and running (mostly) the Microsoft Windowstrade operating system. Large scale adoption of such Windowstrade-based grid infrastructure may be facilitated via grid-enabling existing Windows applications. This paper presents the WinGridtrade approach to grid enabling existing Windowstrade based commercial-off-the-shelf (COTS) simulation packages (CSPs). Through the use of a case study developed in conjunction with Ford Motor Company, the paper demonstrates how experimentation with the CSP Witnesstrade and FIRST can achieve a linear speedup when WinGridtrade is used to harness idle PC computing resources. This, combined with the lessons learned from the case study, has encouraged us to develop the Web service extensions to WinGridtrade. It is hoped that this would facilitate wider acceptance of WinGridtrade among enterprises having stringent security policies in place