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

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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

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Ptc7p Dephosphorylates Select Mitochondrial Proteins to Enhance Metabolic Function

Summary: Proper maintenance of mitochondrial activity is essential for metabolic homeostasis. Widespread phosphorylation of mitochondrial proteins may be an important element of this process; yet, little is known about which enzymes control mitochondrial phosphorylation or which phosphosites have functional impact. We investigate these issues by disrupting Ptc7p, a conserved but largely uncharacterized mitochondrial matrix PP2C-type phosphatase. Loss of Ptc7p causes respiratory growth defects concomitant with elevated phosphorylation of select matrix proteins. Among these, Δptc7 yeast exhibit an increase in phosphorylation of Cit1p, the canonical citrate synthase of the tricarboxylic acid (TCA) cycle, that diminishes its activity. We find that phosphorylation of S462 can eliminate Cit1p enzymatic activity likely by disrupting its proper dimerization, and that Ptc7p-driven dephosphorylation rescues Cit1p activity. Collectively, our work connects Ptc7p to an essential TCA cycle function and to additional phosphorylation events that may affect mitochondrial activity inadvertently or in a regulatory manner. : Mitochondrial phosphorylation is abundant and dynamic, yet its regulation and contribution to organellar function is poorly understood. To address this, Guo et al. coupled quantitative phosphoproteomics with classic biochemistry to study the mitochondrial phosphatase Ptc7p. They find that Ptc7p deletion perturbs mitochondrial phosphorylation, partially inactivates citrate synthase, and decreases organellar function. Keywords: Ptc7, Pptc7, mitochondria, phosphatase, phosphoproteomics, mitochondrial phosphorylation, citrate synthas

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