Over-allotment options in IPOs on Germany´s Neuer Markt : an empirical investigation

Over-allotment arrangements are nowadays part of almost any initial public offering. The underwriting banks borrow stocks from the previous shareholders to issue more than the initially announced number of shares. This is combined with the option to cover this short position at the issue price. We present empirical evidence on the value of these arrangements to the underwriters of initial public offerings on the Neuer Markt. The over-allotment arrangement is regarded as a portfolio of a long call option and a short position in a forward contract on the stock, which is different from other approaches presented in the literature. Given the economically substantial values for these option-like claims we try to identify benefits to previous shareholders or new investors when the company is using this instrument in the process of going public. Although we carefully control for potential endogeneity problems, we find virtually no evidence for a reduction in underpricing for firms using over-allotment arrangements. Furthermore, we do not find evidence for more pronounced price stabilization activities or better aftermarket performance for firms granting an over-allotment arrangement to the underwriting banks

Earth Potential Electrodes in Permafrost and Tundra

Introduction : During the past two years, the authors installed a number of electrodes in the permafrost and tundra area of Point Barrow to obtain earth potential data. As ground temperatures decreased during the winter, the resistances of the first set of electrodes increased by several orders of magnitude and thus became useless. A second set of electrodes, with sodium chloride incorporated in the fill, proved entirely adequate for recording earth potentials. The installations and procedure for determining electrode resistances are described herein. Electrode resistance data versus time and ground temperatures are also presented.Ye

Underpricing of venture-backed and non venture-backed IPOs : Germany´s Neuer Markt

This paper analyzes a comprehensive data set of 160 non venture-backed, 79 venture-backed and 61 bridge financed companies going public at Germany´s Neuer Markt between March 1997 and March 2002. I examine whether these three types of issues differ with regard to issuer characteristics, balance sheet data or offering characteristics. Moreover, this empirical study contributes to the underpricing literature by focusing on the complementary or rather competing role of venture capitalists and underwriters in certifying the quality of a company when going public. Companies backed by a prestigious venture capitalist and/or underwritten by a top bank are expected to show less underpricing at the initial public offering (IPO) due to a reduced ex-ante uncertainty. This analysis provides evidence to the contrary: VC-backed IPOs appear to be more underpriced than non VC-backed IPOs

Predictability and Non-Gaussian Characteristics of the North Atlantic Oscillation

AbstractThe North Atlantic Oscillation (NAO) is the dominant mode of climate variability over the North Atlantic basin and has a significant impact on seasonal climate and surface weather conditions. It is the result of complex and nonlinear interactions between many spatiotemporal scales. Here, the authors study the statistical properties of two time series of the daily NAO index. Previous NAO modeling attempts only considered Gaussian noise, which can be inconsistent with the system complexity. Here, it is found that an autoregressive model with non-Gaussian noise provides a better fit to the time series. This result holds also when considering time series for the four seasons separately. The usefulness of the proposed model is evaluated by means of an investigation of its forecast skill

Mandelbrot's 1/f fractional renewal models of 1963-67: The non-ergodic missing link between change points and long range dependence

The problem of 1/f noise has been with us for about a century. Because it is so often framed in Fourier spectral language, the most famous solutions have tended to be the stationary long range dependent (LRD) models such as Mandelbrot's fractional Gaussian noise. In view of the increasing importance to physics of non-ergodic fractional renewal models, I present preliminary results of my research into the history of Mandelbrot's very little known work in that area from 1963-67. I speculate about how the lack of awareness of this work in the physics and statistics communities may have affected the development of complexity science, and I discuss the differences between the Hurst effect, 1/f noise and LRD, concepts which are often treated as equivalent.Comment: 11 pages. Corrected and improved version of a manuscript submitted to ITISE 2016 meeting in Granada, Spai

First Experiments on Stochastic Cooling of Heavy Ion Beams at the ESR

At the experimental storage ring ESR of GSI, one half of the foreseen pick-up and kicker tanks are installed, the rest will follow in 1998. First experimental tests of the stochastic precooling system have been performed since April 1997. Longitudinal Palmer cooling was successfully demonstrated. E-folding cooling times of 8.6 seconds were determined with carbon beams. No significant dependence of the cooling time on the number of particles was observed during these first tests. This may be explained by a low signal to noise ratio of the signals obtained from the pick-ups in the present configuration. With heavy ions in higher charge states faster cooling times are expected. The experiments are an important step towards the realization of experiments with radioactive fragments, e.g. in order to measure nuclear masses or half-lives of stripped exotic ions

Excited states from eigenvector continuation: the anharmonic oscillator

Eigenvector continuation (EC) has recently attracted a lot attention in nuclear structure and reactions as a variational resummation tool for many-body expansions. While previous applications focused on ground-state energies, excited states can be accessed on equal footing. This work is dedicated to a detailed understanding of the emergence of excited states from the eigenvector continuation approach. For numerical applications the one-dimensional quartic anharmonic oscillator is investigated, which represents a strongly non-perturbative quantum system where the use of standard perturbation techniques break down. We discuss how different choices for the construction of the EC manifold affect the quality of the EC resummation and investigate in detail the results from EC for excited states compared to results from a full diagonalization as a function of the basis-space size

Regionalverband Südwest: Die Bibliothek im interaktiven Raum. Bericht zur Jahresversammlung des VDB-Regionalverbandes Südwest 2016 an der Universitätsbibliothek Heidelberg

Bericht zur Jahresversammlung des VDB-Regionalverbandes Südwest 2016 an der Universitätsbibliothek Heidelber

Data assimilation in slow-fast systems using homogenized climate models

A deterministic multiscale toy model is studied in which a chaotic fast subsystem triggers rare transitions between slow regimes, akin to weather or climate regimes. Using homogenization techniques, a reduced stochastic parametrization model is derived for the slow dynamics. The reliability of this reduced climate model in reproducing the statistics of the slow dynamics of the full deterministic model for finite values of the time scale separation is numerically established. The statistics however is sensitive to uncertainties in the parameters of the stochastic model. It is investigated whether the stochastic climate model can be beneficial as a forecast model in an ensemble data assimilation setting, in particular in the realistic setting when observations are only available for the slow variables. The main result is that reduced stochastic models can indeed improve the analysis skill, when used as forecast models instead of the perfect full deterministic model. The stochastic climate model is far superior at detecting transitions between regimes. The observation intervals for which skill improvement can be obtained are related to the characteristic time scales involved. The reason why stochastic climate models are capable of producing superior skill in an ensemble setting is due to the finite ensemble size; ensembles obtained from the perfect deterministic forecast model lacks sufficient spread even for moderate ensemble sizes. Stochastic climate models provide a natural way to provide sufficient ensemble spread to detect transitions between regimes. This is corroborated with numerical simulations. The conclusion is that stochastic parametrizations are attractive for data assimilation despite their sensitivity to uncertainties in the parameters.Comment: Accepted for publication in Journal of the Atmospheric Science