Technological innovations and aggregate risk premiums

In this paper, I propose that technological innovations increase expected stock returns and premiums at the aggregate level. I use aggregate patent data and research and development (R&D) data to measure technological innovations in the U.S., and find that patent shocks and R&D shocks have positive and distinct predictive power for U.S. market returns and premiums. Similar patterns are also found in international data including other G7 countries, China, and India. These findings are consistent with previous empirical studies based on firm-level data, and call for further theoretical explanations. © 2009 Elsevier B.V. All rights reserved.postprin

Reexamining the profitability of technical analysis with data snooping checks

In this article we reexamine the profitability of technical analysis using White's reality check and Hansen's SPA test that correct the data snooping bias. Compared to previous studies, we study a more complete "universes" of trading techniques, including not only simple rules but also complex trading strategies, and we test the profitability of these rules and strategies with four main indices. It is found that significantly profitable simple rules and complex trading strategies do exist in the data from relatively "young" markets (NASDAQ Composite and Russell 2000) but not in the data from relatively "mature" markets [Dow Jones Industrial Average (DJIA) and S&P 500]. Moreover, after taking transaction costs into account, we find that the best rules for NASDAQ Composite and Russell 2000 outperform the buy-and-hold strategy in most in- and out-of-sample periods. It is also found that complex trading strategies are able to improve on the profits of simple rules and may even generate significant profits from unprofitable simple rules. © The Author 2005. Published by Oxford University Press. All rights reserved.preprin

Technology prospects and the cross-section of stock returns

In an economy with time-varying investment opportunities, the changes in technology prospects affect aggregate consumption and individual firm's future dividends, and lead to systematic technology risk. We construct a technology factor to track the changes in technology prospects measured by U.S. patent shocks, and find that this factor explains the growth of aggregate consumption, helps to price important stock portfolios, and carries significant risk premium. Our empirical results suggest the existence of technology risk in the cross-section of stock returns. © 2009 Elsevier B.V. All rights reserved.preprin

Innovate to survive: The effect of technology competition on corporate bankruptcy

This paper establishes a strong relation between technology competition and corporate bankruptcy. Using detailed firm-level patent data, we show that: 1) the capability of firms to innovate predicts future bankruptcies better than the typical measures such as Z-score and credit rating, 2) technology-related bankruptcies are less sensitive to the business cycle and industry success, and 3) firms that go bankrupt as a result of technology competition experience larger declines in earnings and stock prices. © 2011 Financial Management Association International.postprin

The Role of Innovation in Inventory Turnover Performance

How a firm utilizes technological innovation to improve operations management is an important research question in today's knowledge economy but lacks empirical evidence in the literature. We use a dataset of all non-service U.S. public firms from 1976 to 2005 to examine how a firm's innovation performance is associated with its inventory turnover performance. In particular, we measure a firm's innovation performance by the ratio of its patents (either citations or counts) to its research and development (R&D) expenditure. Our fixed-effect panel regression results indicate a positive relation between innovation performance and inventory turnover ratio, and such a relation varies across industries. By differentiating process and product innovation according to patent usages, we find that process innovation has a consistent and long-lasting effect, whereas product innovation has an immediate but short-lasting effect. We also find supporting evidence for industry spillovers by showing that firms in a more innovative industry are likely to better manage their inventory performance. Our results confirm the benefit of using innovation in logistics and operations management and point to the strategic importance of integrating technology and operations management.postprin

THE INTRACELLULAR DISTRIBUTION OF GAMMA GLOBULIN IN A MOUSE PLASMA CELL TUMOR (X5563) AS REVEALED BY FLUORESCENCE AND ELECTRON MICROSCOPY

Ferritin- and fluorescein-conjugated antibody staining has been applied to a study of a mouse plasma cell tumor. The presence of myeloma globulin within cisternae of the endoplasmic reticulum was observed at a stage of the secretory process when the remainder of the cytoplasm was essentially free of labeled globulin. The distribution of ferritin suggested a functional heterogeneity among units of the endoplasmic reticulum. Apparently, progressive accumulation of globulin results in distension of the endoplasmic reticulum and, occasionally, in the appearance of considerable quantities of this secretory protein in the extracisternal cytoplasmic matrix. Participation of the Golgi apparatus in the packaging and release of small quantitites of globulin seems likely. In addition, however, fragmentation of the peripheral cytoplasm with rupture of distended ergastoplasmic vesicles appeared to be another pathway whereby globulin is secreted

Apropriate Ultrasonic System Components for NDE of Thick Polymer-Composites

In certain marine applications, thick polymer-composite materials may have to endure different operating environments than those experienced in traditional aerospace applications. In particular, structures made of such materials may experience very large compressive and bending forces. To prevent in-service failure, appropriate NDE methods and instrumentation are needed to characterize the state of the material. Specifically, in addition to detecting high-contrast anomalies (cracks and delaminations) it may be of interest to determine the pore content, measure the fiber volume, assess the severity of fiber waviness, and the like [1]

Technical trading: Is it still beating the foreign exchange market?

We carry out a large-scale investigation of technical trading rules in the foreign exchange market, using daily data over 45 years for 30 developed and emerging market currencies. Employing a stepwise test to counter data-snooping bias and examining over 21,000 technical rules, we find evidence of substantial predictability and excess profitability in both developed and emerging currencies, measured against a variety of performance metrics. We cross-validate our results using out-of-sample analysis. We find time series and cross-sectional variation in subperiods and cultural and/or geographic groups, respectively, suggesting that temporarily not-fully-rational behavior and market immaturity generate technical predictability and potential excess profitability.postprin

Techniques for high-performance digital frequency synthesis and phase control

Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 2008.Includes bibliographical references (p. 183-190).This thesis presents a 3.6-GHz, 500-kHz bandwidth digital [delta][sigma] frequency synthesizer architecture that leverages a recently invented noise-shaping time-to-digital converter (TDC) and an all-digital quantization noise cancellation technique to achieve excellent in-band and out-of-band phase noise, respectively. In addition, a passive digital-to-analog converter (DAC) structure is proposed as an efficient interface between the digital loop filter and a conventional hybrid voltage-controlled oscillator (VCO) to create a digitally-controlled oscillator (DCO). An asynchronous divider structure is presented which lowers the required TDC range and avoids the divide-value-dependent delay variation. The prototype is implemented in a 0.13-am CMOS process and its active area occupies 0.95 mm². Operating under 1.5 V, the core parts, excluding the VCO output buffer, dissipate 26 mA. Measured phase noise at 3.67 GHz achieves -108 dBc/Hz and -150 dBc/Hz at 400 kHz and 20 MHz, respectively. Integrated phase noise at this carrier frequency yields 204 fs of jitter (measured from 1 kHz to 40 MHz). In addition, a 3.2-Gb/s delay-locked loop (DLL) in a 0.18-[mu]m CMOS for chip-tochip communications is presented. By leveraging the fractional-N synthesizer technique, this architecture provides a digitally-controlled delay adjustment with a fine resolution and infinite range. The provided delay resolution is less sensitive to the process, voltage, and temperature variations than conventional techniques. A new [delta][sigma] modulator enables a compact and low-power implementation of this architecture. A simple bang-bang detector is used for phase detection. The prototype operates at a 1.8-V supply voltage with a current consumption of 55 mA. The phase resolution and differential rms clock jitter are 1.4 degrees and 3.6 ps, respectively.by Chun-Ming Hsu.Ph.D

Structural reliability analysis of multiple limit state functions using multi-input multi-output support vector machine

Selecting and using an appropriate structural reliability method is critical for the success of structural reliability analysis and reliability-based design optimization. However, most of existing structural reliability methods are developed and designed for a single limit state function and few methods can be used to simultaneously handle multiple limit state functions in a structural system when the failure probability of each limit state function is of interest, for example, in a reliability-based design optimization loop. This article presents a new method for structural reliability analysis with multiple limit state functions using support vector machine technique. A sole support vector machine surrogate model for all limit state functions is constructed by a multi-input multi-output support vector machine algorithm. Furthermore, this multi-input multi-output support vector machine surrogate model for all limit state functions is only trained from one data set with one calculation process, instead of constructing a series of standard support vector machine models which has one output only. Combining the multi-input multi-output support vector machine surrogate model with direct Monte Carlo simulation, the failure probability of the structural system as well as the failure probability of each limit state function corresponding to a failure mode in the structural system can be estimated. Two examples are used to demonstrate the accuracy and efficiency of the presented method