Parsimoneous Modeling of Yield Curves for U.S. Treasury Bills

A new model is proposed for representinq the term to maturity structure of interest rates at a point in time.The model produces humped, monotonic and S-shaped yield curves using four parameters. Conditional on a time decay parameter, estimates of the other three are obtained by least squares. Yield curves for thirty-seven sets of U.S. Treasury bill yields with maturities up to one year are presented. The median standard deviation of fit is just over seven basis points and the corresponding median R-squared is .96. Study of residuals suggests the existence of specific maturity effects not previously identified. Using the models to predict the price of a long term bond provides a diagnostic check and suggests directions for further research.

An Empirical Analysis of the Strategic Use of Corporate Social Responsibility

Recent theories of the strategic use of corporate social responsibility (CSR) emphasize the role of information asymmetry and how CSR is likely to be matrixed into a firm's differentiation strategy. A key empirical implication of these theories is that firms selling experience or credence goods are more likely to be socially responsible than firms selling search goods. Using firm-level data, we report evidence that is consistent with this hypothesis.

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.

Supersymmetric Yang-Mills-Chern-Simons theory

We prove that three-dimensional N=1 supersymmetric Yang-Mills-Chern-Simons theory is finite to all loops. This leaves open the possibility that different regularization methods give different finite effective actions. We show that for this model dimensional regularization and regularization by dimensional reduction yield the same effective action.Comment: 6 pages, 1 figure, latex, espcrc2. Contribution to the Proceedings of the 30th Ahrenshoop Symposium on the Theory of Elementary Particles, edited by D. Lust, H.-J. Otto and G. Weigt, to appear in Nuclear Physics B, Proceedings Supplemen

Verification of MPI-based Computations

The Message Passing Interface is a widely-used parallel programming model and is the effective standard for high-performance scientific computing. It has also been used in parallel model checkers, such as DiVinE. In this talk we discuss the verification problem for MPI-based programs. The MPI is quite large and the semantics complex. Nevertheless, by restricting to a certain subset of MPI, the verification problem becomes tractable. Certain constructs outside of this subset (such as wildcard receives) can lead to a rapid blowup in the number of states, but MPI-specific reduction techniques have led to progress in combating this state explosion. Specifying correctness is another challenge. One approach is to use a trusted sequential version of the program as the specification, and use model checking and symbolic execution techniques to establish the functional equivalence of the sequential and parallel versions. This approach is supported in extsc{Mpi-Spin}, an extension to the model checker extsc{Spin} for verifying MPI-based programs

Subcritical Superstrings

We introduce the Liouville mode into the Green-Schwarz superstring. Like massive supersymmetry without central charges, there is no kappa symmetry. However, the second-class constraints (and corresponding Wess-Zumino term) remain, and can be solved by (twisted) chiral superspace in dimensions D=4 and 6. The matter conformal anomaly is c = 4-D < 1. It thus can be canceled for physical dimensions by the usual Liouville methods, unlike the bosonic string (for which the consistency condition is c = D <= 1).Comment: 9 pg., compressed postscript file (.ps.Z), other formats (.dvi, .ps, .ps.Z, 8-bit .tex) available at http://insti.physics.sunysb.edu/~siegel/preprints/ or at ftp://max.physics.sunysb.edu/preprints/siege

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.

Potential of a New Technique for Remote Sensing of Hydrocarbon Accumulations and Blind Uranium Deposits: Buried Lif Thermoluminescence Dosimeters

Buried thermoluminescence dosimeters may be useful in remote sensing of petroleum and natural gas accumulations and blind uranium deposits. They act as integrating detectors that smooth out the effects of environmental variations that affect other measuring systems and result in irregularities and poor repeatability in measurements made during gas and radiometric surveys