Are analysts' loss functions asymmetric?

Recent research by Gu and Wu (2003) and Basu and Markov (2004) suggests that the well-known optimism bias in analysts? earnings forecasts is attributable to analysts minimizing symmetric, linear loss functions when the distribution of forecast errors is skewed. An alternative explanation for forecast bias is that analysts have asymmetric loss functions. We test this alternative explanation. Theory predicts that if loss functions are asymmetric then forecast error bias depends on forecast error variance, but not necessarily on forecast error skewness. Our results confirm that the ex ante forecast error variance is a significant determinant of forecast error and that, after controlling for variance, the sign of the coefficient on forecast error skewness is opposite to that found in prior research. Our results are consistent with financial analysts having asymmetric loss functions. Further analysis reveals that forecast bias varies systematically across style portfolios formed on book-to-price and market capitalization. These firm characteristics capture systematic variation in forecast error variance and skewness. Within style portfolios, forecast error variance continues to play a dominant role in explaining forecast error.

Are analysts? loss functions asymmetric?

Recent research by Gu and Wu (2003) and Basu and Markov (2004) suggests that the well-known optimism bias in analysts? earnings forecasts is attributable to analysts minimizing symmetric, linear loss functions when the distribution of forecast errors is skewed. An alternative explanation for forecast bias is that analysts have asymmetric loss functions. We test this alternative explanation. Theory predicts that if loss functions are asymmetric then forecast error bias depends on forecast error variance, but not necessarily on forecast error skewness. Our results confirm that the ex ante forecast error variance is a significant determinant of forecast error and that, after controlling for variance, the sign of the coefficient on forecast error skewness is opposite to that found in prior research. Our results are consistent with financial analysts having asymmetric loss functions. Further analysis reveals that forecast bias varies systematically across style portfolios formed on book-to-price and market capitalization. These firm characteristics capture systematic variation in forecast error variance and skewness. Within style portfolios, forecast error variance continues to play a dominant role in explaining forecast error.

An Exact No Free Lunch Theorem for Community Detection

A precondition for a No Free Lunch theorem is evaluation with a loss function which does not assume a priori superiority of some outputs over others. A previous result for community detection by Peel et al. (2017) relies on a mismatch between the loss function and the problem domain. The loss function computes an expectation over only a subset of the universe of possible outputs; thus, it is only asymptotically appropriate with respect to the problem size. By using the correct random model for the problem domain, we provide a stronger, exact No Free Lunch theorem for community detection. The claim generalizes to other set-partitioning tasks including core/periphery separation, $k$-clustering, and graph partitioning. Finally, we review the literature of proposed evaluation functions and identify functions which (perhaps with slight modifications) are compatible with an exact No Free Lunch theorem

An examination of the precipitation delivery mechanisms for Dolleman Island, eastern Antarctic Peninsula

Copyright @ 2004 Wiley-BlackwellThe variability of size and source of significant precipitation events were studied at an Antarctic ice core drilling site: Dolleman Island (DI), located on the eastern coast of the Antarctic Peninsula. Significant precipitation events that occur at DI were temporally located in the European Centre for Medium-Range Weather Forecasting (ECMWF) reanalysis data set, ERA-40. The annual and summer precipitation totals from ERA-40 at DI both show significant increases over the reanalysis period. Three-dimensional backwards air parcel trajectories were then run for 5 d using the ECMWF ERA-15 wind fields. Cluster analyses were performed on two sets of these backwards trajectories: all days in the range 1979–1992 (the climatological time-scale) and a subset of days when a significant precipitation event occurred. The principal air mass sources and delivery mechanisms were found to be the Weddell Sea via lee cyclogenesis, the South Atlantic when there was a weak circumpolar trough (CPT) and the South Pacific when the CPT was deep. The occurrence of precipitation bearing air masses arriving via a strong CPT was found to have a significant correlation with the southern annular mode (SAM); however, the arrival of air masses from the same region over the climatological time-scale showed no such correlation. Despite the dominance in both groups of back trajectories of the westerly circulation around Antarctica, some other key patterns were identified. Most notably there was a higher frequency of lee cyclogenesis events in the significant precipitation trajectories compared to the climatological time-scale. There was also a tendency for precipitation trajectories to come from more northerly latitudes, mostly from 50–70°S. The El Niño Southern Oscillation (ENSO) was found to have a strong influence on the mechanism by which the precipitation was delivered; the frequency of occurrence of precipitation from the east (west) of DI increased during El Niño (La Niña) events

Transboundary Movement of Atlantic Istiophorid Billfishes Among International and U.S. Domestic Management Areas Inferred from Mark-Recapture Studies

Billfish movements relative to the International Commission for the Conservation of Atlantic Tunas management areas, as well as U.S. domestic data collection areas within the western North Atlantic basin, were investigated with mark-recapture data from 769 blue marlin, Makaira nigricans, 961 white marlin, Tetrapturus albidus, and 1,801 sailfish, Istiophorus platypterus. Linear displacement between release and recapture locations ranged from zero (all species) to 15,744 km (mean 575, median 119, SE 44) for blue marlin, 6,523 km (mean 719, median 216, SE 33) for white marlin, and 3,845 km (mean 294, median 98, SE 13) for sailfish. In total, 2,824 (80.0%) billfish were recaptured in the same management area of release. Days at liberty ranged from zero (all species) to 4,591 (mean 619, median 409, SE 24) for blue marlin, 5,488 (mean 692, median 448, SE 22) for white marlin, and 6,568 (mean 404, median 320, SE 11) for sailfish. The proportions (per species) of visits were highest in the Caribbean area for blue marlin and white marlin, and the Florida East Coast area for sailfish. Blue marlin and sailfish were nearly identical when comparing the percent of individuals vs. the number of areas visited. Overall, white marlin visited more areas than either blue marlin or sailfish. Seasonality was evident for all species, with overall results generally reflecting the efforts of the catch and release recreational fishing sector, particularly in the western North Atlantic. This information may be practical in reducing the uncertainties in billfish stock assessments and may offer valuable insight into management consideration of time-area closure regulations to reduce bycatch mortality of Atlantic billfishes

Planck Observations of M33

We have performed a comprehensive investigation of the global integrated flux density of M33 from radio to ultraviolet wavelengths, finding that the data between $\sim$100 GHz and 3 THz are accurately described by a single modified blackbody curve with a dust temperature of $T_\mathrm{dust}$ = 21.67$\pm$0.30 K and an effective dust emissivity index of $\beta_\mathrm{eff}$ = 1.35$\pm$0.10, with no indication of an excess of emission at millimeter/sub-millimeter wavelengths. However, sub-dividing M33 into three radial annuli, we found that the global emission curve is highly degenerate with the constituent curves representing the sub-regions of M33. We also found gradients in $T_\mathrm{dust}$ and $\beta_\mathrm{eff}$ across the disk of M33, with both quantities decreasing with increasing radius. Comparing the M33 dust emissivity with that of other Local Group members, we find that M33 resembles the Magellanic Clouds rather than the larger galaxies, i.e., the Milky Way and M31. In the Local Group sample, we find a clear correlation between global dust emissivity and metallicity, with dust emissivity increasing with metallicity. A major aspect of this analysis is the investigation into the impact of fluctuations in the Cosmic Microwave Background (CMB) on the integrated flux density spectrum of M33. We found that failing to account for these CMB fluctuations would result in a significant over-estimate of $T_\mathrm{dust}$ by $\sim$5 K and an under-estimate of $\beta_\mathrm{eff}$ by $\sim$0.4.Comment: Accepted for publication in MNRA

Transport and Spectroscopic Studies of the Effects of Fullerene Structure on the Efficiency and Lifetime of Polythiophene-based Solar Cells

Time-dependent measurements of both power conversion efficiency and ultraviolet-visible absorption spectroscopy have been observed for solar cell blends containing the polymer poly(3-hexylthiophene-2,5-diyl) (P3HT) with two different functionalized C60 electron acceptor molecules: commercially available [6,6]-phenyl C61 butyric acid methyl ester (PCBM) or [6,6]-phenyl C61 butyric acid octadecyl ester (PCBOD) produced in this laboratory. Efficiency was found to decay with an exponential time dependence, while spectroscopic features show saturating exponential behavior. Time constants extracted from both types of measurements showed reasonable agreement for samples produced from the same blend. In comparison to the PCBM samples, the stability of the PCBOD blends was significantly enhanced, while both absorption and power conversion efficiency were decreased.Comment: manuscript submitted to Solar Energy Materials and Solar Cell