Covariance Risk, Mispricing, and the Cross Section of Security Returns

This paper offers a multisecurity model in which prices reflect both covariance risk and misperceptions of firms' prospects, and in which arbitrageurs trade to profit from mispricing. We derive a pricing relationship in which expected returns are linearly related to both risk and mispricing variables. The model thereby implies a multivariate relation between expected return, beta, and variables that proxy for mispricing of idiosyncratic components of value tends to be arbitraged away but systematic mispricing is not. The theory is consistent with several empirical findings regarding the cross-section of equity returns, including: the observed ability of fundamental/price ratios to forecast aggregate and cross-sectional returns, and of market value but not non-market size measures to forecast returns cross-sectionally; and the ability in some studies of fundamental/price ratios and market value to dominate traditional measures of security risk. The model also offers several untested empirical implications for the cross-section of expected returns and for the relation of volume to subsequent volatility.

Stability of 2pi domain walls in ferromagnetic nanorings

The stability of 2pi domain walls in ferromagnetic nanorings is investigated via calculation of the minimum energy path that separates a 2pi domain wall from the vortex state of a ferromagnetic nanoring. Trapped domains are stable when they exist between certain types of transverse domain walls, i.e., walls in which the edge defects on the same side of the magnetic strip have equal sign and thus repel. Here the energy barriers between these configurations and vortex magnetization states are obtained using the string method. Due to the geometry of a ring, two types of 2pi walls must be distinguished that differ by their overall topological index and exchange energy. The minimum energy path corresponds to the expulsion of a vortex. The energy barrier for annihilation of a 2pi wall is compared to the activation energy for transitions between the two ring vortex states.Comment: 4 pages, 2 figure

Bimodal switching field distributions in all-perpendicular spin-valve nanopillars

Switching field measurements of the free layer element of 75 nm diameter spin-valve nanopillars reveal a bimodal distribution of switching fields at low temperatures (below 100 K). This result is inconsistent with a model of thermal activation over a single perpendicular anisotropy barrier. The correlation between antiparallel to parallel and parallel to antiparallel switching fields increases to nearly 50% at low temperatures. This reflects random fluctuation of the shift of the free layer hysteresis loop between two different magnitudes, which may originate from changes in the dipole field from the polarizing layer. The magnitude of the loop shift changes by 25% and is correlated to transitions of the spin-valve into an antiparallel configuration.Comment: 3 pages, 4 figures. Submitted to JAP for 58th MMM Proceeding

Social Preferences and Voting: An Exploration Using a Novel Preference Revealing Mechanism

Public referenda are frequently used to determine the provision of public goods. As public programs have distributional consequences, a compelling question is what role if any social preferences have on voting behavior. This paper explores this issue using laboratory experiments wherein voting outcomes lead to a known distribution of net benefits across participants. Preferences are elicited using a novel Random Price Voting Mechanism (RPVM), which is a more parsimonious mechanism than dichotomous choice referenda, but gives consistent results. Results suggest that social preferences, in particular a social efficiency motive, lead to economically meaningful deviations from self-interested voting choices and increase the likelihood that welfare-enhancing programs are implemented.Institutional and Behavioral Economics, Research Methods/ Statistical Methods, C91, C92, D64, D72, H41,

ANOMALIES IN VOTING: AN EXPERIMENTAL ANALYSIS USING A NEW, DEMAND REVEALING (RANDOM PRICE VOTING) MECHANISM

This study investigates the influence of social preferences on voting decisions using a new Random Price Voting Mechanism (RPVM), which is best thought of as a public goods voting extension of the Becker-DeGroot-Marshack mechanism for private goods. In particular, this mechanism is used to investigate experimentally whether voting decisions are affected by the distribution of net benefits associated with a proposed public program. Recent papers have shown that, in additional to selfishness, factors such as inequality aversion, maximin preferences, and efficiency may influence individual decisions. However, the effect of social preferences on voting, the predominant funding mechanism for public goods by legislatures and public referenda, has not been thoroughly examined. We first establish the presence of anomalous behavior in dichotomous voting, and introduce the RPVM as a more efficient mechanism to examine such anomalies. We show that it is demand revealing in the presence of social preferences and empirically consistent with dichotomous choice voting. Laboratory experiments involving 440 subjects show that when net benefits are homogeneously distributed, the new RPVM is demand-revealing in both willingness-to-pay (WTP) and willingness-to-accept (WTA) settings, for both gains and losses. When the voting outcome potentially results in a heterogeneous distribution of (net) benefits, a systematic wedge appears between individuals' controlled induced values and their revealed WTP or WTA. With induced gains, the best-off subjects under-report their WTP and WTA in comparison to their induced value. Worst-off subjects express WTP and WTA that exceed their induced value. With induced losses a mirror image is evident. Best-off subjects over-report their induced value while the worst-off subjects under-report. Theoretical and econometric results presented in the paper suggest that these differences are caused by a concern for social efficiency.Institutional and Behavioral Economics,

Consumption-based modeling of long-horizon returns

Numerous studies have documented the failure of consumption-based pricing models to explain observed patterns in stock and bond returns. This failure has sometimes been attributed to frictions, transaction costs or durability. If such frictions are important, they should primarily affect the higher frequency components of asset returns. The long-swings, or lower-frequency comovements should be less affected. Consequently if transaction costs are important, tests of the consumption based asset pricing model which concentrate on lower-frequency components may be more successful.Consumption (Economics) ; Stock - Prices ; Bonds

On-Board Sensor-Based NO x Emissions from Heavy-Duty Diesel Vehicles

Real-world nitrogen oxides (NOx) emissions were estimated using on-board sensor readings from 72 heavy-duty diesel vehicles (HDDVs) equipped with a Selective Catalytic Reduction (SCR) system in California. The results showed that there were large differences between in-use and certification NOx emissions, with 12 HDDVs emitting more than three times the standard during hot-running and idling operations in the real world. The overall NOx conversion efficiencies of the SCR system on many vehicles were well below the 90% threshold that is expected for an efficient SCR system, even when the SCR system was above the optimum operating temperature threshold of 250 °C. This could potentially be associated with SCR catalyst deterioration on some engines. The Not-to-Exceed (NTE) requirements currently used by the heavy-duty in-use compliance program were evaluated using on-board NOx sensor data. Valid NTE events covered only 4.2–16.4% of the engine operation and 6.6–34.6% of the estimated NOx emissions. This work shows that low cost on-board NOx sensors are a convenient tool to monitor in-use NOx emissions in real-time, evaluate the SCR system performance, and identify vehicle operating modes with high NOx emissions. This information can inform certification and compliance programs to ensure low in-use NOx emissions