A modified Corrado test for assessing abnormal security returns

Event studies typically use the methodology developed by Fama et al. [19699. Fama , E. , Fisher , L. , Jensen , M. and Roll , R. 1969 . The adjustment of stock prices to new information . International Economic Review , 10 ( 1 ) : 1 – 21 . [CrossRef] View all references. The adjustment of stock prices to new information. International Economic Review 10, no. 1: 1–21] to segregate a stock's return into expected and unexpected components. Moreover, conventional practice assumes that abnormal returns evolve in terms of a normal distribution. There is, however, an increasing tendency for event studies to employ non-parametric testing procedures due to the mounting empirical evidence which shows that stock returns are incompatible with the normal distribution. This paper focuses on the widely used non-parametric ranking procedure developed by Corrado [19896. Corrado , C. 1989 . A nonparametric test for abnormal security price performance in event studies . Journal of Financial Economics , 23 ( 2 ) : 385 – 95 . [CrossRef], [Web of Science ®] View all references. A nonparametric test for abnormal security price performance in event studies. Journal of Financial Economics 23, no. 2: 385–95] for assessing the significance of abnormal security returns. In particular, we develop a consistent estimator for the variance of the sum of ranks of the abnormal returns, and show how this leads to a more efficient test statistic (as well as to less cumbersome computational procedures) than the test originally proposed by Corrado (19896. Corrado , C. 1989 . A nonparametric test for abnormal security price performance in event studies . Journal of Financial Economics , 23 ( 2 ) : 385 – 95 . [CrossRef], [Web of Science ®] View all references). We also use the theorem of Berry [19413. Berry , A. 1941 . The accuracy of the Gaussian approximation to the sum of independent variates . Transactions of the American Mathematical Society , 49 ( 1 ) : 122 – 36 . [CrossRef] View all references. The accuracy of the Gaussian approximation to the sum of independent variates. Transactions of the American Mathematical Society 49, no. 1: 122–36] and Esseen [19458. Esseen , C. 1945 . Fourier analysis of distribution functions: A mathematical study of the Laplace–Gaussian law . Acta Mathematica , 77 ( 1 ) : 1 – 125 . [CrossRef] View all references. Fourier analysis of distribution functions: A mathematical study of the Laplace–Gaussian law. Acta Mathematica 77, no. 1: 1–125] to demonstrate how the distribution of the modified Corrado test statistic developed here asymptotically converges towards the normal distribution. This shows that describing the distributional properties of the sum of the ranks in terms of the normal distribution is highly problematic for small sample sizes and small event windows. In these circumstances, we show that a second-order Edgeworth expansion provides a good approximation to the actual probability distribution of the modified Corrado test statistic. The application of the modified Corrado test developed here is illustrated using data for the purchase and sale by UK directors of shares in their own companies

Time varying costs of capital and the expected present value of future cash flows

The use of an inter-temporally constant discount rate or cost of capital is a strong assumption in many exante models of finance and in applied procedures such as capital budgeting. We investigate how robust this assumption is by analysing the implications of allowing the cost of capital to vary stochastically over time. We use the Feynman–Kac functional to demonstrate how there will, in general, be systematic differences between present values computed on the assumption that the currently prevailing cost of capital will last indefinitely into the future and present values determined by discounting cash flows at the expected costs of capital that apply up until the point in time at which cash flows are to be received. Comparisons are also made with the environmental economics literature where similar problems have been addressed by invoking a ‘gamma discounting’ methodology

Berryogenesis: self-induced Berry flux and spontaneous non-equilibrium magnetism

Spontaneous symmetry breaking is central to the description of interacting phases of matter. Here we reveal a new mechanism through which a driven interacting system subject to a time-reversal symmetric driving field can spontaneously magnetize. We show that the strong internal ac fields of a metal driven close to its plasmon resonance may enable Berryogenesis: the spontaneous generation of a self-induced Bloch band Berry flux. The self-induced Berry flux supports and is sustained by a circulating plasmonic motion, which may arise even for a linearly polarized driving field. This non-equilibrium phase transition occurs above a critical driving amplitude, and may be of either continuous or discontinuous type. Berryogenesis relies on feedback due to interband coherences induced by internal fields, and may readily occur in a wide variety of multiband systems. We anticipate that graphene devices, in particular, provide a natural platform to achieve Berryogenesis and plasmon-mediated spontaneous non-equilibrium magnetization in present-day devices

Chiral plasmons without magnetic field

Plasmons, the collective oscillations of interacting electrons, possess emergent properties that dramatically alter the optical response of metals. We predict the existence of a new class of plasmons -- chiral Berry plasmons (CBPs) -- for a wide range of two-dimensional metallic systems including gapped Dirac materials. As we show, in these materials the interplay between Berry curvature and electron-electron interactions yields chiral plasmonic modes at zero magnetic field. The CBP modes are confined to system boundaries, even in the absence of topological edge states, with chirality manifested in split energy dispersions for oppositely directed plasmon waves. We unveil a rich CBP phenomenology and propose setups for realizing them, including in anomalous Hall metals and optically-pumped 2D Dirac materials. Realization of CBPs will offer a new paradigm for magnetic field-free, sub-wavelength optical non-reciprocity, in the mid IR-THz range, with tunable splittings as large as tens of THz, as well as sensitive all-optical diagnostics of topological bands.Comment: 10 pgs, 3 fg

Health Insurance on the Internet and the Economics of Search

This paper explores the level and dispersion of premiums paid for individual health insurance by comparing asking price' data posted on an electronic insurance exchange with survey data on premiums actually paid in the period just before the advent of electronic exchanges. The primary theoretical question is whether the pattern of differences between asking prices and transactions prices can be explained using a simple search theory. We hypothesize, following suggestions of Stigler and Rothschild, that higher risks who expect to pay higher premiums for a given policy will engage in more intensive search than lower risks, given the same distribution of asking prices. As a result, for a given distribution of asking prices, the dispersion of premiums actually paid (transactions prices) will be smaller for higher risks. Therefore, the introduction of an electronic exchange should have a larger potential influence on the dispersion and level of premiums paid for lower risks than for higher risks. We find evidence consistent with each of these hypotheses.

Cellulase immobilization on superparamagnetic nanoparticles for reuse in cellulosic biomass conversion

Current cellulosic biomass hydrolysis is based on the one-time use of cellulases. Cellulases immobilized on magnetic nanocarriers offer the advantages of magnetic separation and repeated use for continuous hydrolysis. Most immobilization methods focus on only one type of cellulase. Here, we report co-immobilization of two types of cellulases, β-glucosidase A (BglA) and cellobiohydrolase D (CelD), on sub-20 nm superparamagnetic nanoparticles. The nanoparticles demonstrated 100% immobilization efficiency for both BglA and CelD. The total enzyme activities of immobilized BglA and CelD were up to 67.1% and 41.5% of that of the free cellulases, respectively. The immobilized BglA and CelD each retained about 85% and 43% of the initial immobilized enzyme activities after being recycled 3 and 10 times, respectively. The effects of pH and temperature on the immobilized cellulases were also investigated. Co-immobilization of BglA and CelD on MNPs is a promising strategy to promote synergistic action of cellulases while lowering enzyme consumption

Configurations Driving NPD Performance Fit with Market Demands and Time Constraints

The research reported in this paper is aimed at developing knowledge on organizing NPD systems to optimize their contribution to performance. To this end, a systems approach to fit is used to explain the context-structure-performance relationships for NPD performance, specifically in terms of fit with market demands of the product concept and fit with time constraints of the development process. From a sample of 164 US firms, the top 15 % performers in terms of both fit with market demands and fit with time constraints have been identified. An optimized ‘Ideal Profile’ for the organization of NPD systems, formed by a consistent pattern of: NPD Process, NPD Project Structure and Management, Innovation Climate, and NPD Goal Setting and Portfolio Management, followed from the analysis of the NPD configuration of these top performers. For the calibration sample (the other 85%) significant deviation from the ideal profile on all elements of the configuration was found, the correlations between NPD Performance Fit with Market Demands and Fit with Time Constraints and total Euclidean distance are also significant. Overall, these results provide evidence for the proposition that (1) new product success is a function of a set of NPD development system decisions and (2) to truly understand the impact of those decisions, they must be considered as a holistic system.\ud The contribution of this research is in the empirical validation of the internal consistency of an ideal organizational profile for NPD systems achieving both a high NPD performance in terms of market acceptance of their new products as well in terms of the satisfactory level of the development times of those products. By also examining ideal profiles for each of these NPD performance dimensions separately, the conflicting demands created by multiple performance metrics are highlighted as well as the organizational trade-offs necessary for optimal performance. In terms of managerial implications, this also gives direction for organizational redesign to firms either wanting to maximize their product concept (Fit with Market Demands) or development process (Fit with Time Constraints) performance

Binary superlattice design by controlling DNA-mediated interactions

Most binary superlattices created using DNA functionalization or other approaches rely on particle size differences to achieve compositional order and structural diversity. Here we study two-dimensional (2D) assembly of DNA-functionalized micron-sized particles (DFPs), and employ a strategy that leverages the tunable disparity in interparticle interactions, and thus enthalpic driving forces, to open new avenues for design of binary superlattices that do not rely on the ability to tune particle size (i.e., entropic driving forces). Our strategy employs tailored blends of complementary strands of ssDNA to control interparticle interactions between micron-sized silica particles in a binary mixture to create compositionally diverse 2D lattices. We show that the particle arrangement can be further controlled by changing the stoichiometry of the binary mixture in certain cases. With this approach, we demonstrate the abil- ity to program the particle assembly into square, pentagonal, and hexagonal lattices. In addition, different particle types can be compositionally ordered in square checkerboard and hexagonal - alternating string, honeycomb, and Kagome arrangements.Comment: 4 figures in the main text. 5 figures in the supplementary informatio