Subsampling-Based Tests of Stock-Return Predictability

We develop subsampling-based tests of stock-return predictability and apply them to U.S. data. These tests allow for multiple predictor variables with local-to-unit roots. By contrast, previous methods that model the predictor variables as nearly integrated are only applicable to univariate predictive regressions. Simulation results demonstrate that our subsampling-based tests have desirable size and power properties. Using stock-market valuation ratios and the risk-free rate as predictors, our univariate tests show that the evidence of predictability is more concentrated in the 1926-1994 subperiod. In bivariate tests, we find support for predictability in the full sample period 1926-2004 and the 1952-2004 subperiod as well. For the subperiod 1952-2004, we also consider a number of consumption-based variables as predictors for stock returns and find that they tend to perform better than the dividend-price ratio. Among the variables we consider, the predictive power of the consumption-wealth ratio proposed by Lettau and Ludvigson (2001a, 2001b) seems to be the most robust. Among variables based on habit persistence, Campbell and Cochrane's (1999) nonlinear specication tends to outperform a more traditional, linear specification.Subsampling, local-to-unit roots, predictive regression, stock-return predictability, consumption-based models

Intersection representation of digraphs in trees with few leaves

The leafage of a digraph is the minimum number of leaves in a host tree in which it has a subtree intersection representation. We discuss bounds on the leafage in terms of other parameters (including Ferrers dimension), obtaining a string of sharp inequalities.Comment: 12 pages, 3 included figure

Static aeroelastic analysis for generic configuration aircraft

A static aeroelastic analysis capability that can calculate flexible air loads for generic configuration aircraft was developed. It was made possible by integrating a finite element structural analysis code (MSC/NASTRAN) and a panel code of aerodynamic analysis based on linear potential flow theory. The framework already built in MSC/NASTRAN was used and the aerodynamic influence coefficient matrix is computed externally and inserted in the NASTRAN by means of a DMAP program. It was shown that deformation and flexible airloads of an oblique wing aircraft can be calculated reliably by this code both in subsonic and supersonic speeds. Preliminary results indicating importance of flexibility in calculating air loads for this type of aircraft are presented

Ultrafilter and Constructible topologies on spaces of valuation domains

Let $K$ be a field and let $A$ be a subring of $K$. We consider properties and applications of a compact, Hausdorff topology called the "ultrafilter topology" defined on the space Zar$(K|A)$ of all valuation domains having $K$ as quotient field and containing $A$. We show that the ultrafilter topology coincides with the constructible topology on the abstract Riemann-Zariski surface Zar$(K|A)$. We extend results regarding distinguished spectral topologies on spaces of valuation domains.Comment: Comm. Algebra (accepted for publication