Testing Portfolio Efficiency with Conditioning Information

We develop asset pricing models' implications for portfolio efficiency when there is conditioning information in the form of a set of lagged instruments. A model of expected returns identifies a portfolio that should be minimum variance efficient with respect to the conditioning information. Our tests refine previous tests of portfolio efficiency, using the conditioning information optimally. We reject the efficiency of all static or time-varying combinations of the three Fama-French (1996) factors with respect to the conditioning information and also the conditional efficiency of time-varying combinations of the factors, given standard lagged instruments.

Mimicking Portfolios with Conditioning Information

Mimicking portfolios have long been useful in asset pricing research. In most empirical applications, the portfolio weights are assumed to be fixed over time, while in theory they may be functions of the economic state. This paper derives and characterizes mimicking portfolios in the presence of predetermined state variables, or conditioning information. The results generalize and integrate multifactor minimum variance efficiency (Fama, 1996) with conditional and unconditional mean variance efficiency (Hansen and Richard (1987), Ferson and Siegel, 2001). Empirical examples illustrate the potential importance of time-varying mimicking portfolio weights and highlight challenges in their application.

Executive equity compensation and incentives: a survey

Stock and option compensation and the level of managerial equity incentives are aspects of corporate governance that are especially controversial to shareholders, institutional activists, and government regulators. Similar to much of the corporate finance and corporate governance literature, research on stock-based compensation and incentives has not only generated useful insights, but also produced many contradictory findings. Not surprisingly, many fundamental questions remain unanswered. In this study, the authors synthesize the broad literature on equity-based compensation and executive incentives and highlight topics that seem especially appropriate for future research.Executives ; Stockholders ; Corporate governance

SCUBA - A submillimetre camera operating on the James Clerk Maxwell Telescope

The Submillimetre Common-User Bolometer Array (SCUBA) is one of a new generation of cameras designed to operate in the submillimetre waveband. The instrument has a wide wavelength range covering all the atmospheric transmission windows between 300 and 2000 microns. In the heart of the instrument are two arrays of bolometers optimised for the short (350/450 microns) and long (750/850 microns) wavelength ends of the submillimetre spectrum. The two arrays can be used simultaneously, giving a unique dual-wavelength capability, and have a 2.3 arc-minute field of view on the sky. Background-limited performance is achieved by cooling the arrays to below 100 mK. SCUBA has now been in active service for over a year, and has already made substantial breakthroughs in many areas of astronomy. In this paper we present an overview of the performance of SCUBA during the commissioning phase on the James Clerk Maxwell Telescope (JCMT).Comment: 14 pages, 13 figures (1 JPEG), Proc SPIE vol 335

The Power of the Pen and Executive Compensation

We examine the press’ role in monitoring and influencing executive compensation practice using more than 11,000 press articles about CEO compensation from 1994 to 2002. Negative press coverage is more strongly related to excess annual pay than to raw annual pay, suggesting a sophisticated approach by the media in selecting CEOs to cover. However, negative coverage is also greater for CEOs with more option exercises, suggesting the press engages in some degree of “sensationalism.” We find little evidence that firms respond to negative press coverage by decreasing excess CEO compensation or increasing CEO turnover

Universal Thermal Radiation Drag on Neutral Objects

We compute the force on a small neutral polarizable object moving at velocity $\vec v$ relative to a photon gas equilibrated at a temperature $T$ We find a drag force linear in $\vec v$. Its physical basis is identical to that in recent formulations of the dissipative component of the Casimir force. We estimate the strength of this universal Casimir drag force for different dielectric response functions and comment on its relevance in various contexts.Comment: 7 pages, 2 figure

Non-magnetic semiconductor spin transistor

We propose a spin transistor using only non-magnetic materials that exploits the characteristics of bulk inversion asymmetry (BIA) in (110) symmetric quantum wells. We show that extremely large spin splittings due to BIA are possible in (110) InAs/GaSb/AlSb heterostructures, which together with the enhanced spin decay times in (110) quantum wells demonstrates the potential for exploitation of BIA effects in semiconductor spintronics devices. Spin injection and detection is achieved using spin-dependent resonant interband tunneling and spin transistor action is realized through control of the electron spin lifetime in an InAs lateral transport channel using an applied electric field (Rashba effect). This device may also be used as a spin valve, or a magnetic field sensor. The electronic structure and spin relaxation times for the spin transistor proposed here are calculated using a nonperturbative 14-band k.p nanostructure model.Comment: Accepted for publication in Applied Physics Letter