Underreaction to open market share repurchases

This article aims to investigate the long-term performance of a portfolio of firms that announced the repurchase of their own stocks in the Brazilian market from 2003 to 2014. Open market stock repurchase is a means to distribute cashflow to shareholders. Some of the reasons for a firm to buy back its own stocks are: to adjust its capital structure; to reduce excessive cash levels; as an alternative to dividends; and signaling to the market in order to reduce information asymmetry between the firm and its investors. If the signaling hypothesis is true, then forming a portfolio with shares that announce repurchases generates abnormal returns in the long run. Our results show that repurchase announcements in the open market signal stock underpricing, and abnormal returns can be earned using this strategy. Results are inconsistent with the semi-strong form of the efficient markets hypothesis, which states that one cannot earn abnormal returns with publicly available information. We obtained abnormal returns using the capital asset pricing model (CAPM) and Fama and French three-factor model. Additionally, we divided the sample in growth and value firms. We found that the average abnormal return for firms that announce repurchase programs ranges from 5.4% to 7.9% for up to a 3-year period after the announcement. For value companies (more likely to repurchase stocks due to undervaluation), abnormal returns can reach up to 11.5% per year.Este trabalho tem como objetivo analisar o desempenho de longo prazo de uma estratégia de investimento subsequente aos anúncios de programas de recompra de ações ocorridos no mercado brasileiro entre 2003 e 2014. Recomprar ações de emissão da própria empresa é um dos mecanismos utilizados para distribuir caixa aos acionistas. Dentre os motivos que podem explicar o interesse de uma empresa em readquirir suas próprias ações estão ajustar sua estrutura de capital, reduzir o excesso de caixa, como forma alternativa ao pagamento de dividendo ou como sinalização ao mercado, a fim de reduzir a assimetria de informação entre empresa e investidores. Sendo a hipótese de sinalização de desvalorização verdadeira, investir nas ações de empresas que fazem anúncios de recompra gera retornos anormais de longo prazo. A pesquisa fornece evidências de que os anúncios de programas de recompra de ações no mercado aberto sinalizam que o preço da ação da empresa anunciante está subavaliado, sendo possível obter retornos anormais com essa estratégia de investimento. Ao mesmo tempo, os resultados são inconsistentes com a hipótese de eficiência de mercado na forma semiforte, que diz que não é possível obter retornos anormais a partir de informação publicamente disponível. Os retornos anormais foram estimados por capital asset pricing model (CAPM) e pelo modelo de três fatores de Fama e French. Adicionalmente, estimamos os resultados subdividindo a amostra entre empresas de valor e de crescimento. Carteiras formadas por empresas que anunciaram programas de recompra apresentaram retornos anormais anuais de 5,4 a 7,9% para um horizonte de investimento de até três anos após o anúncio. Os retornos anormais das empresas de valor (mais suscetíveis a recomprar ações devido à subavaliação) são de até 11,5% ao ano

General pairing interactions and pair truncation approximations for fermions in a single-j shell

We investigate Hamiltonians with attractive interactions between pairs of fermions coupled to angular momentum J. We show that pairs with spin J are reasonable building blocks for the low-lying states. For systems with only a J = Jmax pairing interaction, eigenvalues are found to be approximately integers for a large array of states, in particular for those with total angular momenta I le 2j. For I=0 eigenstates of four fermions in a single-j shell we show that there is only one non-zero eigenvalue. We address these observations using the nucleon pair approximation of the shell model and relate our results with a number of currently interesting problems.Comment: a latex text file and 2 figures, to be publishe

Temporal and causal reasoning in deaf and hearing novice readers

Temporal and causal information in text are crucial in helping the reader form a coherent representation of a narrative. Deaf novice readers are generally poor at processing linguistic markers of causal/temporal information (i.e., connectives), but what is unclear is whether this is indicative of a more general deficit in reasoning about temporal/causal information. In Study 1, 10 deaf and 63 hearing children, matched for comprehension ability and age, were compared on a range of tasks tapping temporal/causal reasoning skills. In Study 2, 20 deaf and 32 hearing children, matched for age but not reading comprehension ability, were compared on revised versions of the tasks. The pattern of performance of the deaf was different from that of the hearing; they had difficulties when temporal and causal reasoning was text-based, but not when it was nonverbal, indicating that their global temporal/causal reasoning skills are comparable with those of their hearing counterparts

A one-dimensional model for theoretical analysis of single molecule experiments

In this paper we compare two polymer stretching experiments. The outcome of both experiments is a force-extension relation. We use a one-dimensional model to show that in general the two quantities are not equal. In certain limits, however, both force-extension relations coincide.Comment: 11 pages, 5 figure

Polarity patterns of stress fibers

Stress fibers are contractile actomyosin bundles commonly observed in the cytoskeleton of metazoan cells. The spatial profile of the polarity of actin filaments inside contractile actomyosin bundles is either monotonic (graded) or periodic (alternating). In the framework of linear irreversible thermodynamics, we write the constitutive equations for a polar, active, elastic one-dimensional medium. An analysis of the resulting equations for the dynamics of polarity shows that the transition from graded to alternating polarity patterns is a nonequilibrium Lifshitz point. Active contractility is a necessary condition for the emergence of sarcomeric, alternating polarity patterns.Comment: 5 pages, 3 figure

Many-body Systems Interacting via a Two-body Random Ensemble (I): Angular Momentum distribution in the ground states

In this paper, we discuss the angular momentum distribution in the ground states of many-body systems interacting via a two-body random ensemble. Beginning with a few simple examples, a simple approach to predict P(I)'s, angular momenta I ground state (g.s.) probabilities, of a few solvable cases, such as fermions in a small single-j shell and d boson systems, is given. This method is generalized to predict P(I)'s of more complicated cases, such as even or odd number of fermions in a large single-j shell or a many-j shell, d-boson, sd-boson or sdg-boson systems, etc. By this method we are able to tell which interactions are essential to produce a sizable P(I) in a many-body system. The g.s. probability of maximum angular momentum $I_{max}$ is discussed. An argument on the microscopic foundation of our approach, and certain matrix elements which are useful to understand the observed regularities, are also given or addressed in detail. The low seniority chain of 0 g.s. by using the same set of two-body interactions is confirmed but it is noted that contribution to the total 0 g.s. probability beyond this chain may be more important for even fermions in a single-j shell. Preliminary results by taking a displaced two-body random ensemble are presented for the I g.s. probabilities.Comment: 39 pages and 8 figure

Contraction of cross-linked actomyosin bundles

Cross-linked actomyosin bundles retract when severed in vivo by laser ablation, or when isolated from the cell and micromanipulated in vitro in the presence of ATP. We identify the time scale for contraction as a viscoelastic time tau, where the viscosity is due to (internal) protein friction. We obtain an estimate of the order of magnitude of the contraction time tau ~ 10-100 s, consistent with available experimental data for circumferential microfilament bundles and stress fibers. Our results are supported by an exactly solvable, hydrodynamic model of a retracting bundle as a cylinder of isotropic, active matter, from which the order of magnitude of the active stress is estimated.Comment: To be published in Physical Biolog

Anharmonic double-phonon excitations in the interacting boson model

Double-$\gamma$ vibrations in deformed nuclei are analyzed in the context of the interacting boson model. A simple extension of the original version of the model towards higher-order interactions is required to explain the observed anharmonicities of nuclear vibrations. The influence of three- and four-body interactions on the moments of inertia of ground- and $\gamma$-bands, and on the relative position of single-$\gamma$ and double-$\gamma$ bands is studied in detail. As an example of a realistic calculation, spectra and transitions of the highly $\gamma$-anharmonic nuclei $^{164}$Dy, $^{166}$Er, and $^{168}$Er are interpreted in this approach.Comment: 38 pages, TeX (ReVTeX). 15 ps figures. Submitted to Phys. Rev.

Classification of states of single-jj fermions with JJ-pairing interaction

In this paper we show that a system of three fermions is exactly solvable for the case of a single-$j$ in the presence of an angular momentum-$J$ pairing interaction. On the basis of the solutions for this system, we obtain new sum rules for six-$j$ symbols. It is also found that the "non-integer" eigenvalues of three fermions with angular momentum $I$ around the maximum appear as "non-integer" eigenvalues of four fermions when $I$ is around (or larger than) $J_{\rm max}$ and the Hamiltonian contains only an interaction between pairs of fermions coupled to spin $J=J_{\rm max}=2j-1$. This pattern is also found in five and six fermion systems. A boson system with spin $l$ exhibits a similar pattern.Comment: to be published in Physical Review

Simple model for 1/f noise

We present a simple stochastic mechanism which generates pulse trains exhibiting a power law distribution of the pulse intervals and a $1/f^\alpha$ power spectrum over several decades at low frequencies with $\alpha$ close to one. The essential ingredient of our model is a fluctuating threshold which performs a Brownian motion. Whenever an increasing potential $V(t)$ hits the threshold, $V(t)$ is reset to the origin and a pulse is emitted. We show that if $V(t)$ increases linearly in time, the pulse intervals can be approximated by a random walk with multiplicative noise. Our model agrees with recent experiments in neurobiology and explains the high interpulse interval variability and the occurrence of $1/f^\alpha$ noise observed in cortical neurons and earthquake data.Comment: 4 pages, 4 figure