Tests of an International Capital Asset Pricing Model with Stocks and Government Bonds and Regime Switching Prices of Risk and Intercepts

The paper tests a conditional multivariate International Capital Asset Pricing Model for US, Japanese and European stocks and government bonds, covering the period 1993-2001. Time variation in the prices of market and currency risk is modelled by means of synchronous regime switching. The paper also explores the statistical significance and time variation of asset specific intercept terms, again using synchronous regime switching. The prices of risk are found to be highly time varying. The price of market risk is statistically significant, and the international CAPM risk premia are validated, although currency risk premia are not statistically significant. However, the intercept terms are typically large and significant, implying an overall rejection of the international CAPM, and suggesting that additional, unidentified pricing factors contribute to return expectations.CAPM; Multivariate GARCH-in-Mean

International CAPM with Regime Switching GARCH Parameters

This paper tests a conditional version of Adler and Dumas'(1983) International CAPM with regime switching GARCH parameters. As benchmark the same model is estimated without state dependent parameters. The switching representation is found to react faster than the benchmark to shocks in stock market returns. This suggests that the non-switching model suffers from spuriously high persistence. In particular, when a financial crisis occurs, the conditional risk exposures appear to be underestimated, while overestimated in the aftermath. The introduction of a regime switching model should hence improve forecasting power. We also find that in periods of financial turmoil, weight is shifting from the GARCH, towards the ARCH termes of the conditional covariance generating process. During such events investors, when formin their (co)variance expectations, seem to put more emphasis on current shocks, at the expense of the current second moments.International CAPM; Multivariate GARCH-in-Mean; Regime Switching

Estimation of an International Capital Asset Pricing Model with Stocks and Government Bonds

The paper investigates whether US, Japanese and European stock and government bond return indices are jointly priced within a conditional multivariate form of the international Capital asset Pricing Model during the period 1993-2001. It also explores the time variation of the price of market risk within this framework, allowing for a structural change in the prices of market and currency risk. The corresponding conditional optimal portfolio weights are compared with the observed market capitalization weights of the assets. The agreement is found to be better for the stock markets than for the bond markets. Finally, out-of-sample performance of the conditional optimal portfolio is measured relative to the market portfolio of stocks and bonds.International CAPM; Multivariate GARCH-in-Mean

Search for CP Violation in the Decay Z -> b (b bar) g

About three million hadronic decays of the Z collected by ALEPH in the years 1991-1994 are used to search for anomalous CP violation beyond the Standard Model in the decay Z -> b \bar{b} g. The study is performed by analyzing angular correlations between the two quarks and the gluon in three-jet events and by measuring the differential two-jet rate. No signal of CP violation is found. For the combinations of anomalous CP violating couplings, ${\hat{h}}_b = {\hat{h}}_{Ab}g_{Vb}-{\hat{h}}_{Vb}g_{Ab}$ and $h^{\ast}_b = \sqrt{\hat{h}_{Vb}^{2}+\hat{h}_{Ab}^{2}}$, limits of \hat{h}_b < 0.59$and$h^{\ast}_{b} < 3.02$ are given at 95\% CL.Comment: 8 pages, 1 postscript figure, uses here.sty, epsfig.st

Production of excited beauty states in Z decays

A data sample of about 3.0 million hadronic Z decays collected by the ALEPH experiment at LEP in the years 1991 through 1994, is used to make an inclusive selection of B~hadron events. In this event sample 4227 \pm 140 \pm 252 B^* mesons in the decay B^* \to B \gamma and 1944 \pm 108 \pm 161 B^{**} mesons decaying into a B~meson and a charged pion are reconstructed. For the well established B^* meson the following quantities areobtained: \Delta M = M_{B^*} - M_{B} = (45.30\pm 0.35\pm 0.87)~\mathrm{MeV}/c^2 and N_{B^*}/(N_B+N_{B^*}) = (77.1 \pm 2.6 \pm 7.0)\%. The angular distribution of the photons in the B^* rest frame is used to measure the relative contribution of longitudinal B^* polarization states to be \sigma_L/(\sigma_L + \sigma_T)= (33 \pm 6 \pm 5)\%. \\ Resonance structure in the M(B\pi)-M(B) mass difference is observed at (424 \pm 4 \pm 10)~\mathrm{MeV}/c^2. Its shape and position is in agreement with the expectation for B^{**}_{u,d} states decaying into B_{u,d}^{(*)} \pi^\pm. The signal is therefore interpreted as arising from them. The relative production rate is determined to be \frac{BR(Z \to b \to B_{u,d}^{**})}{BR(Z \to b \to B_{u,d})} = [27.9 \pm 1.6(stat) \pm 5.9(syst) \phantom{a}^{+3.9}_{-5.6}(model)]\%. where the third error reflects the uncertainty due to different production and decay models for the broad B_{u,d}^{**} states

Tau hadronic branching ratios

From 64492 selected \tau-pair events, produced at the Z^0 resonance, the measurement of the tau decays into hadrons from a global analysis using 1991, 1992 and 1993 ALEPH data is presented. Special emphasis is given to the reconstruction of photons and \pi^0's, and the removal of fake photons. A detailed study of the systematics entering the \pi^0 reconstruction is also given. A complete and consistent set of tau hadronic branching ratios is presented for 18 exclusive modes. Most measurements are more precise than the present world average. The new level of precision reached allows a stringent test of \tau-\mu universality in hadronic decays, g_\tau/g_\mu \ = \ 1.0013 \ \pm \ 0.0095, and the first measurement of the vector and axial-vector contributions to the non-strange hadronic \tau decay width: R_{\tau ,V} \ = \ 1.788 \ \pm \ 0.025 and R_{\tau ,A} \ = \ 1.694 \ \pm \ 0.027. The ratio (R_{\tau ,V} - R_{\tau ,A}) / (R_{\tau ,V} + R_{\tau ,A}), equal to (2.7 \pm 1.3) \ \%, is a measure of the importance of QCD non-perturbative contributions to the hadronic \tau decay widt