Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence

Recent research based on variance ratios and multiperiod-return autocorrelations concludes that the stock market exhibits mean reversion in the sense that a return in excess of the average tends to be followed by partially offsetting returns in the opposite direction. Dividing history into pre-1926, 1926-46, and post-1946 subperiods, we find that the mean-reversion phenomenon is a feature of the 1926-46 period, but not of the post-1946 period which instead exhibits persistence of returns. Evidence for pre-1926 data is mixed. The statistical significance of test statistics is assessed by estimating their distribution using stratified randomization. Autocorrelations of multiperiod returns imply a forecast of future returns, which is presented for post-war three-year returns using 1926-46, full sample, and sequentially updated coefficient estimates. The correlation between actual and forecasted returns is negative in each case. We conclude that evidence of mean reversion in U.S. stock returns is substantially weaker than reported in the recent literature. If mean-reversion continues to be a feature of the stock market, then the experience of the past forty years has been an aberration.

Security Assistance to South Korea: Assessment of Political, Military, and Economic Issues from 1947 to 1989.

South Korea is one of the most important allies of the United States. Because of its location in East Asia between China, Japan, and Russia, South Korea is a strategically important partner of the United States. Since the Korean War, the United States and South Korea have tried to maintain the regional stability, and South Korea has played a significant role for the East Asian power balance between those countries. The relationship between the United States and South Korea changed through time from the Korean War to the rebuilding phase of South Korea\u27s economy, and finally a progression towards a more independent South Korea capable of a larger portion of military self-defense. U.S. security assistance program has played a key role to the rebuilding process of South Korea. Security assistance has been used to supplement economic and military enhancement in South Korea. South Korea is one of the best examples that demonstrate intangible U.S. support for nations whose defense was deemed vital to U.S. security

Cosmic holographic bounds with UV and IR cutoffs

We introduce the cosmic holographic bounds with two UV and IR cutoff scales, to deal with both the inflationary universe in the past and dark energy in the future. To describe quantum fluctuations of inflation on sub-horizon scales, we use the Bekenstein-Hawking energy bound. However, it is not justified that the D-bound is satisfied with the coarse-grained entropy. The Hubble bounds are introduced for classical fluctuations of inflation on super-horizon scales. It turns out that the Hubble entropy bound is satisfied with the entanglement entropy and the Hubble temperature bound leads to a condition for the slow-roll inflation. In order to describe the dark energy, we introduce the holographic energy density which is the one saturating the Bekenstein-Hawking energy bound for a weakly gravitating system. Here the UV (IR) cutoff is given by the Planck scale (future event horizon), respectively. As a result, we find the close connection between quantum and classical fluctuations of inflation, and dark energy.Comment: 15page

Holographic interacting dark energy in the braneworld cosmology

We investigate a model of brane cosmology to find a unified description of the radiation-matter-dark energy universe. It is of the interacting holographic dark energy with a bulk-holographic matter $\chi$. This is a five-dimensional cold dark matter, which plays a role of radiation on the brane. Using the effective equations of state $\omega^{\rm eff}_{\rm \Lambda}$ instead of the native equations of state $\omega_{\rm \Lambda}$, we show that this model cannot accommodate any transition from the dark energy with $\omega^{\rm eff}_{\rm \Lambda}\ge-1$ to the phantom regime $\omega^{\rm eff}_{\rm \Lambda}<-1$. Furthermore, the case of interaction between cold dark matter and five dimensional cold dark matter is considered for completeness. Here we find that the redshift of matter-radiation equality $z_{\rm eq}$ is the same order as $z^{\rm ob}_{\rm eq}=2.4\times10^{4} \Omega_{\rm m}h^2$. Finally, we obtain a general decay rate $\Gamma$ which is suitable for describing all interactions including the interaction between holographic dark energy and cold dark matter.Comment: 17 pages, 4 figure

New attractor mechanism for spherically symmetric extremal black holes

We introduce a new attractor mechanism to find the entropy for spherically symmetric extremal black holes. The key ingredient is to find a two-dimensional (2D) dilaton gravity with the dilaton potential $V(\phi)$. The condition of an attractor is given by $\nabla^2\phi=V(\phi_0)$ and $\bar{R}_2=-V^{\prime}(\phi_0)$ and for a constant dilaton $\phi=\phi_0$, these are also used to find the location of the degenerate horizon $r=r_{e}$ of an extremal black hole. As a nontrivial example, we consider an extremal regular black hole obtained from the coupled system of Einstein gravity and nonlinear electrodynamics. The desired Bekenstein-Hawking entropy is successfully recovered from the generalized entropy formula combined with the 2D dilaton gravity, while the entropy function approach does not work for obtaining this entropy.Comment: 20 pages, 4 figures, Accepted for publication in Physical Review D. This version includes revisions suggested by the refere

Entropic force and its cosmological implications

We investigate a possibility of realizing the entropic force into the cosmology. A main issue is how the holographic screen is implemented in the Newtonian cosmology. Contrary to the relativistic realization of Friedmann equations, we do not clarify the connection between Newtonian cosmology and entropic force because there is no way of implementing the holographic screen in the Newtonian cosmology.Comment: 16 pages, no figures, version "Accepted for publication in Astrophysics & Space Science

U(1) Gauge Field of the Kaluza-Klein Theory in the Presence of Branes

We investigate the zero mode dimensional reduction of the Kaluza-Klein unifications in the presence of a single brane in the infinite extra dimension. We treat the brane as fixed, not a dynamical object, and do not require the orbifold symmetry. It seems that, contrary to the standard Kaluza-Klein models, the 4D effective action is no longer invariant under the U(1) gauge transformations due to the explicit breaking of isometries in the extra dimension by the brane. Surprisingly, however, the linearized perturbation analysis around the RS vacuum shows that the Kaluza-Klein gauge field does possess the U(1) gauge symmetry at the linear level. In addition, the graviscalar also behaves differently from the 4D point of view. Some physical implications of our results are also discussed.Comment: 10 pages, revtex, no figure, version to appear in Phys. Rev. D, possible caveats of our results due to the zero mode ansatz we used are explained in more detai