The Value Relevance of Sentiment

It is generally accepted that excessive exuberance or gloom in investor sentiment contributes to booms and crashes in share prices. However, views differ on the merits of active policy intervention due to gaps in our understanding of the transmission mechanism. To fill this gap we apply a fully ex ante valuation model in which an index of investor sentiment is included along with earnings and growth fundamentals to explain value. The outcome is a precise indication of the value relevance of sentiment. We employ the investor sentiment indicator proposed by Baker and Wurgler (2007). Valuation, and implied permanent growth, based on the inclusion of standard fundamentals is compared with that obtained when sentiment is added. The resulting ratio produces an index of ’the valuation effects of sentiment’ that can be assessed with statistical significance. Out-of-sample fit is also examined. For the Dow index the valuation effects of sentiment are significant and as large as 40% of market value at the peak of the ’dot-com’ bubble. The index we propose identifies conditions, detectable in advance and under the control of policy makers, that are conducive to the creation of asset bubbles. It is easy to construct, timely, robust and can be used improve our understanding of what leads to bubbles and crashes and to inform policy.Bubbles, fundamental valuation, sentiment, early warning indicators

Reforming the Gender Recognition Act

In 2017, the British government announced it would consult on amending the Gender Recognition Act 2004 to introduce the principle of self-determination for transgender people. With this process currently stalled amid increasingly acrimonious debates, Peter Dunne sets out the proposed legal reforms and points of contention

An Empirical Analysis of Transparency-Related Characteristics of European and US Sovereign Bond Markets

We examine transparency-related characteristics of European and US sovereign bond markets and relate these to differences in primary issuance approaches and the design of the different trading platforms. We highlight the existence of a winner’s curse problem in the interaction between B2C and B2B segments of the market, and we provide evidence to analyze its prevalence. We examine the problems that can arise as the result of increasing the transparency of the B2B segment of the market and use the experience of the eSpeed platform in the US to obtain insights into these effects. Our analysis is directly relevant to the policy debate about whether to apply MiFID transparency requirements to the EU sovereign bond markets: our results suggest great caution in creating an extremely homogenous and transparent trading environment for sovereign bonds.

Repo Market Microstructure in Unusual Monetary Policy Conditions

The financial turmoil that began in mid-2007 produced severe stress in interbank markets and prompted significant changes in central banks’ funding operations. We examine the changing characteristics of ECB official interventions through the crisis and assess how they affected the efficiency and reliability of the secondary repo market as a mechanism for the distribution of interbank funding. The limit orderbook from the BrokerTec electronic repo trading platform is reconstructed to provide a range of indicators of participating banks’ aversion to the risk of failing to fund their liquidity needs. These indicators anticipate similar variables from ECB reverse repo auctions and are also affected by surprise outcomes of auctions.Repo, Financial crisis, liquidity, market microstructure, monetary policy operations

A note on the effect of post-mortem maturation on colour of bovine Longissimus dorsi muscle

peer-reviewedFinancial support to P.G. Dunne was provided under the Walsh Fellowship programme of Teagasc.Fifteen heifers were housed and fed a concentrate diet while 54 counterparts grazed at pasture for 90 days at which stage six heifers from each group were slaughtered. The remaining animals in the pasture group were then housed and offered either: concentrate only; concentrate plus grass silage with silage accounting for either 20% or 50% of the total dry matter offered; or zero-grazed grass plus concentrate with grass accounting for 83% of the dry matter offered. Heifers (3/diet) were slaughtered 28, 56, 91 and 120 days thereafter. Colour characteristics of M. longissimus dorsi (LD) were measured at 48 h post mortem. The LD was then vacuum-packaged and stored at between 0 and 4 °C in darkness for 12 days, when colour characteristics were again measured. Maturation of LD resulted in meat that had higher redness values (‘a’ value; P<0.001) and a more intense red colour (higher ‘C’ value; P<0.001) at 14 days post mortem than at 2 days, regardless of diet/duration of feeding. Maturation also resulted in a brighter colour (higher ‘L’ value; P<0.001) but this difference was greatest when cattle were slaughtered the day-56 time point

The credit crunch and pension fund investment in home building

Thesis (M.S.)--Massachusetts Institute of Technology, Dept. of Urban Studies and Planning, 1992.Includes bibliographical references (leaves 53-55).by Peter F. Dunne, IV.M.S

Defining Benchmark Status: An Application using Euro-Area Bonds

The introduction of the euro on 1 January 1999 created the conditions for an integrated government bond market in the euro area. Using a unique data set from the electronic trading platform Euro-MTS, we consider what is the benchmark' in this market. We develop and apply two definitions of benchmark status that differ from the conventional view that the benchmark is the security with lowest yield at a given maturity. Using Granger-causality and cointegration methods, we find a complex pattern of benchmark status in euro-area government bonds.

Tracking moving objects in surveillance video

The thesis looks at approaches to the detection and tracking of potential objects of interest in surveillance video. The aim was to investigate and develop methods that might be suitable for eventual application through embedded software, running on a fixed-point processor, in analytics capable cameras. The work considers common approaches to object detection and representation, seeking out those that offer the necessary computational economy and the potential to be able to cope with constraints such as low frame rate due to possible limited processor time, or weak chromatic content that can occur in some typical surveillance contexts. The aim is for probabilistic tracking of objects rather than simple concatenation of frame by frame detections. This involves using recursive Bayesian estimation. The particle filter is a technique for implementing such a recursion and so it is examined in the context of both single target and combined multi-target tracking. A detailed examination of the operation of the single target tracking particle filter shows that objects can be tracked successfully using a relatively simple structured grey-scale histogram representation. It is shown that basic components of the particle filter can be simplified without loss in tracking quality. An analysis brings out the relationships between commonly used target representation distance measures and shows that in the context of the particle filter there is little to choose between them. With the correct choice of parameters, the simplest and computationally economic distance measure performs well. The work shows how to make that correct choice. Similarly, it is shown that a simple measurement likelihood function can be used in place of the more ubiquitous Gaussian. The important step of target state estimation is examined. The standard weighted mean approach is rejected, a recently proposed maximum a posteriori approach is shown to be not suitable in the context of the work, and a practical alternative is developed. Two methods are presented for tracker initialization. One of them is a simplification of an existing published method, the other is a novel approach. The aim is to detect trackable objects as they enter the scene, extract trackable features, then actively follow those features through subsequent frames. The multi-target tracking problem is then posed as one of management of multiple independent trackers

ECB monetary operations and the interbank repo market

We examine the relationship between monetary policy operations and interbank borrowing and lending of funds using sovereign bonds as collateral. We first establish that, in the precrisis period, there are important but rather weak relations between these funding sources and that this relationship varies within maintenance periods and at the end of the year. Official funding conditions did not meaningfully constrain repo market activity in the 2003-05 period but, in the immediate precrisis period, rate increases led to a sharp contraction in repo activity. Focusing on the crisis period, we identify potentially benign substitution effects between official auctions and repo market activity but our empirical analysis shows that positive innovations in the cost of official funding, due to aggressive bidding, and a limited allotment response, encouraged increased use of the interbank repo market. The analysis informs a discussion of the merits of returning to variable rate operations