Stock return comovement around the Dow Jones Islamic Market World Index revisions

We examine patterns of comovement in stock returns around the Dow Jones Islamic Market World Index (DJIMWI) quarterly revision events. Our analysis is based on a sample of 8250 companies from eighteen countries during the period May 1999–June 2012. We find that a stock’s comovement with the DJIMWI increases when it joins and decreases when it leaves the index. We also find that the comovement of newly added (deleted) stocks with the existing DJIMWI constituents increases (declines) during periods of high trading activity and during the month of Ramadan. Further tests reveal that changes in the fundamentals have no impact on the comovements of added and deleted stocks. Overall, our results indicate that stock returns respond to the emotional state of investors around information-free events

Underwriters' allocation with and without discretionary power: Evidence from the Hong Kong IPO market

This study uses a unique and extensive data set from the Hong Kong IPO market to examine the theory of adverse selection under two distinct regulatory regimes in relation to underwriters' discretionary power in IPO share allocation. Consistent with Rock's (1986) theory of adverse selection in the IPO market, we show that, prior to the introduction of the clawback provision; retail (uninformed) investors were allocated more of the overpriced offerings and less of the underpriced issues. However, after the provision is implemented, retail investors have been allocated significantly more of the underpriced offerings and less of the overpriced ones. Overall, we find that allocation-adjusted initial returns for the retail investors are lower (higher) than the risk-free rate pre- (post-) clawback provision. These findings imply that the mandatory clawback provision has enhanced the fairness in IPO share allocations among different investor groups and has reduced the winner's curse in the IPO market

Breathing Current Domains in Globally Coupled Electrochemical Systems: A Comparison with a Semiconductor Model

Spatio-temporal bifurcations and complex dynamics in globally coupled intrinsically bistable electrochemical systems with an S-shaped current-voltage characteristic under galvanostatic control are studied theoretically on a one-dimensional domain. The results are compared with the dynamics and the bifurcation scenarios occurring in a closely related model which describes pattern formation in semiconductors. Under galvanostatic control both systems are unstable with respect to the formation of stationary large amplitude current domains. The current domains as well as the homogeneous steady state exhibit oscillatory instabilities for slow dynamics of the potential drop across the double layer, or across the semiconductor device, respectively. The interplay of the different instabilities leads to complex spatio-temporal behavior. We find breathing current domains and chaotic spatio-temporal dynamics in the electrochemical system. Comparing these findings with the results obtained earlier for the semiconductor system, we outline bifurcation scenarios leading to complex dynamics in globally coupled bistable systems with subcritical spatial bifurcations.Comment: 13 pages, 11 figures, 70 references, RevTex4 accepted by PRE http://pre.aps.or

Deeply Virtual Compton Scattering off the neutron

The present experiment exploits the interference between the Deeply Virtual Compton Scattering (DVCS) and the Bethe-Heitler processes to extract the imaginary part of DVCS amplitudes on the neutron and on the deuteron from the helicity-dependent D$({\vec e},e'\gamma)X$ cross section measured at $Q^2$=1.9 GeV$^2$ and $x_B$=0.36. We extract a linear combination of generalized parton distributions (GPDs) particularly sensitive to $E_q$, the least constrained GPD. A model dependent constraint on the contribution of the up and down quarks to the nucleon spin is deduced.Comment: Published in Phys. Rev. Let

Scaling Tests of the Cross Section for Deeply Virtual Compton Scattering

We present the first measurements of the \vec{e}p->epg cross section in the deeply virtual Compton scattering (DVCS) regime and the valence quark region. The Q^2 dependence (from 1.5 to 2.3 GeV^2) of the helicity-dependent cross section indicates the twist-2 dominance of DVCS, proving that generalized parton distributions (GPDs) are accessible to experiment at moderate Q^2. The helicity-independent cross section is also measured at Q^2=2.3 GeV^2. We present the first model-independent measurement of linear combinations of GPDs and GPD integrals up to the twist-3 approximation.Comment: 5 pages, 4 figures, 2 tables. Text shortened for publication. References added. One figure remove

The E00-110 experiment in Jefferson Lab's Hall A: Deeply Virtual Compton Scattering off the Proton at 6 GeV

We present final results on the photon electroproduction ($\vec{e}p\rightarrow ep\gamma$) cross section in the deeply virtual Compton scattering (DVCS) regime and the valence quark region from Jefferson Lab experiment E00-110. Results from an analysis of a subset of these data were published before, but the analysis has been improved which is described here at length, together with details on the experimental setup. Furthermore, additional data have been analyzed resulting in photon electroproduction cross sections at new kinematic settings, for a total of 588 experimental bins. Results of the $Q^2$- and $x_B$-dependences of both the helicity-dependent and helicity-independent cross sections are discussed. The $Q^2$-dependence illustrates the dominance of the twist-2 handbag amplitude in the kinematics of the experiment, as previously noted. Thanks to the excellent accuracy of this high luminosity experiment, it becomes clear that the unpolarized cross section shows a significant deviation from the Bethe-Heitler process in our kinematics, compatible with a large contribution from the leading twist-2 DVCS$^2$ term to the photon electroproduction cross section. The necessity to include higher-twist corrections in order to fully reproduce the shape of the data is also discussed. The DVCS cross sections in this paper represent the final set of experimental results from E00-110, superseding the previous publication.Comment: 48 pages, 32 figure

Measurement of the 12C(e,e'p)11B Two-Body Breakup Reaction at High Missing Momentum Values

The five-fold differential cross section for the 12C(e,e'p)11B reaction was determined over a missing momentum range of 200-400 MeV/c, in a kinematics regime with Bjorken x > 1 and Q2 = 2.0 (GeV/c)2. A comparison of the results and theoretical models and previous lower missing momentum data is shown. The theoretical calculations agree well with the data up to a missing momentum value of 325 MeV/c and then diverge for larger missing momenta. The extracted distorted momentum distribution is shown to be consistent with previous data and extends the range of available data up to 400 MeV/c.Comment: 12 pages, 1 table and 3 figures for submission to Journal Physics

Exclusive Neutral Pion Electroproduction in the Deeply Virtual Regime

We present measurements of the ep->ep pi^0 cross section extracted at two values of four-momentum transfer Q^2=1.9 GeV^2 and Q^2=2.3 GeV^2 at Jefferson Lab Hall A. The kinematic range allows to study the evolution of the extracted hadronic tensor as a function of Q^2 and W. Results will be confronted with Regge inspired calculations and GPD predictions. An intepretation of our data within the framework of semi-inclusive deep inelastic scattering has also been attempted

Scaling Tests of the Cross Section for Deeply Virtual Compton Scattering

We present the first measurements of the ep → epγ cross section in the deeply virtual Compton scattering (DVCS) regime and the valence quark region. The Q2 dependence (from 1.5 to 2.3 GeV2) of the helicity-dependent cross section indicates the twist-2 dominance of DVCS, proving that generalized parton distributions (GPDs) are accessible to experiment at moderate Q2. The helicity-independent cross section is also measured at Q2=2.3 GeV2. We present the first model-independent measurement of linear combinations of GPDs and GPD integrals up to the twist-3 approximation