Market timing with aggregate and idiosyncratic stock volatilities

Guo and Savickas [2005] show that aggregate stock market volatility and average idiosyncratic stock volatility jointly forecast stock returns. In this paper, we quantify the economic significance of their results from the perspective of a portfolio manager. That is, we evaluate the performance, e.g., the Sharpe ratio and Jensen's alpha, of a mean-variance manager who tries to time the market based on those two variables. We find that, over the period 1968-2004, the associated market-timing strategy outperforms the buy-and-hold strategy, and the difference is statistically and economically significant.Stock exchanges

Foreign exchange volatility is priced in equities

This paper finds that standard asset pricing models fail to explain the significantly positive delta hedging errors from writing options on foreign exchange futures. Foreign exchange volatility does influence stock returns, however. The volatility of the JPY/USD exchange rate predicts the time series of stock returns and is priced in the cross-section of stock returns. Foreign exchange volatility risk might be priced because of its relation to foreign exchange level risk. ; Earlier title: Is foreign exchange delta hedging risk priced?Foreign exchange ; Assets (Accounting) ; Prices

Central-edge asymmetry as a probe of Higgs-top coupling in ttˉht\bar{t}h production at LHC

The Higgs-top coupling plays a central role in the hierarchy problem and the vacuum stability of the Standard Model (SM). We propose a central-edge asymmetry ($A_{CE}$) to probe the CP violating Higgs-top coupling in dileptonic channel of $t\bar{t}h(\to b\bar{b})$ production at the LHC. We demonstrate that the CP-violating Higgs-top coupling can affect the central-edge asymmetry through distorting $\Delta y_{\ell^+\ell^-}$ distribution because of the contribution of new top charge asymmetric term. Since $\Delta y_{\ell^+\ell^-}$ distribution is frame-independent and has a good discrimination even in boosted regime, we use the jet substructure technique to enhance the observability of the dileptonic channel of $t\bar{t}h$ production. We find that (1) the significance of dileptonic channel of $t\bar{t}h$ production can reach $5\sigma$ for CP phase $\xi=0,\pi/4,\pi/2$ when the luminosity ${\cal L}=795,993,1276$ fb$^{-1}$ at 14 TeV LHC. (2) the central-edge asymmetry $A_{CE}$ show a good discrimination power of CP phase of $t\bar{t}h$ interaction, which are -40.26\%, -26.60\%, -9.47\% for $\xi=0$, $\pi/4$, $\pi/2$ respectively and are hardly affected by the event selections. Besides, by performing the binned-$\chi^2$ analysis of $\Delta y_{\ell^+\ell^-}$ distribution, we find that the scalar and pseudo-scalar interactions can be distinguished at 95\% C.L. level at 14 TeV HL-LHC.Comment: minor changes, version accepted by PL

Far Term Noise Reduction Technology Roadmap for a Large Twin-Aisle Tube-And-Wing Subsonic Transport

Interest in unconventional aircraft architectures has steadily increased over the past several decades. However, each of these concepts has several technical challenges to overcome before maturing to the point of commercial acceptance. In the interim, it is important to identify any technologies that will enhance the noise reduction of conventional tube-and-wing aircraft. A technology roadmap with an assumed acoustic technology level of a 2035 entry into service is established for a large twin-aisle, tube-and-wing architecture to identify which technologies provide the most noise reduction. The noise reduction potential of the architecture relative to NASA noise goals is also assessed. The current roadmap estimates only a 30 EPNdB cumulative margin to Stage 4 for this configuration of a tube-and-wing aircraft with engines under the wing. This falls short of reaching even the 2025 Mid Term NASA goal (32 EPNdB) in the Far Term time frame. Specifically, the lack of additional technologies to reduce the aft fan noise and the corresponding installation effects is the key limitation of the noise reduction potential of the aircraft. Under the same acoustic technology assumptions, unconventional architectures are shown to offer an 810 EPNdB benefit from favorable relative placement of the engine when integrated to the airframe