132,644 research outputs found
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Risk and seasonal effects: International evidence
Various explanations have been investigated to the January effect in existent literature, but no conclusive explanation has been given to distinguish particular explanation from others. A time-series GARCH-M model with the conditional variance as proxies for market systematic risk is applied in this paper to investigate the seasonal effects in the USA, the UK, China and Australia with different tax system and tax year end. Empirical evidence showed January effect in the USA, January and April effect in the UK, July effect in Australia and no significant seasonal effect in China. The pattern consistently links to tax year end and tax system in the sample countries. But no clear evidence has been found to support the proposition that market risk is higher or priced highly only in certain calendar month with seasonal effect. However, with an interactive dummy variable to reflect the seasonal effect added into the time-series GARCH-M model, the seasonal effects are explained away. The results in the sampled countries support the proposition that market volatility increases when it is close to the date of financial statement performance due to the uncertainty of the financial information
Game Theory Meets Network Security: A Tutorial at ACM CCS
The increasingly pervasive connectivity of today's information systems brings
up new challenges to security. Traditional security has accomplished a long way
toward protecting well-defined goals such as confidentiality, integrity,
availability, and authenticity. However, with the growing sophistication of the
attacks and the complexity of the system, the protection using traditional
methods could be cost-prohibitive. A new perspective and a new theoretical
foundation are needed to understand security from a strategic and
decision-making perspective. Game theory provides a natural framework to
capture the adversarial and defensive interactions between an attacker and a
defender. It provides a quantitative assessment of security, prediction of
security outcomes, and a mechanism design tool that can enable
security-by-design and reverse the attacker's advantage. This tutorial provides
an overview of diverse methodologies from game theory that includes games of
incomplete information, dynamic games, mechanism design theory to offer a
modern theoretic underpinning of a science of cybersecurity. The tutorial will
also discuss open problems and research challenges that the CCS community can
address and contribute with an objective to build a multidisciplinary bridge
between cybersecurity, economics, game and decision theory
Chiral geometry and rotational structure for Cs in the projected shell model
The projected shell model with configuration mixing for nuclear chirality is
developed and applied to the observed rotational bands in the chiral nucleus
Cs. For the chiral bands, the energy spectra and electromagnetic
transition probabilities are well reproduced. The chiral geometry illustrated
in the and the is confirmed to be stable against the
configuration mixing. The other rotational bands are also described in the same
framework
Low-lying states in even Gd isotopes studied with five-dimensional collective Hamiltonian based on covariant density functional theory
Five-dimensional collective Hamiltonian based on the covariant density
functional theory has been applied to study the the low-lying states of
even-even Gd isotopes. The shape evolution from Gd to
Gd is presented. The experimental energy spectra and intraband
transition probabilities for the Gd isotopes are reproduced by the
present calculations. The relative ratios in present calculations are
also compared with the available interacting boson model results and
experimental data. It is found that the occupations of neutron
orbital result in the well-deformed prolate shape, and are essential for Gd
isotopes.Comment: 11pages, 10figure
The role of components in the N(1440) resonance
The role of 5-quark components in the pion and electromagnetic decays and
transition form factors of the N(1440) is explored. The
components, where the 4-quark subsystem has the flavor-spin symmetries
and , which are expected to have
the lowest energy of all configurations, are considered in detail
with a nonrelativistic quark model. The matrix elements between the 5-quark
components of the N(1440) and the nucleon, , play a
minor role in these decays, while the transition matrix elements and that involve quark antiquark annihilation are very
significant. Both for the electromagnetic and strong decay the change from the
valence quark model value is dominated by the confinement triggered
annihilation transitions. In the case of pion decay the calculated decay width
is enhanced substantially both by the direct and also by the
confinement triggered transitions. Agreement with the
empirical value for the pion decay width may be reached with a 30%
component in the N(1440).Comment: 23 pages revte
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Momentum, Disposition, and tax-loss selling: the UK evidence
In this paper we explore the seasonality of UK momentum returns. We find evidence of very high momentum returns during March followed by negative returns during April. This seasonality is driven by substantial swings in performance for the Loser portfolio, with loser stocks performing very poorly during March before bouncing back in April. This pattern is what we would expect to result from tax-loss selling by individual investors and as such supports the Grinblatt and Hanâs (2004) explanation for momentum that is based on disposition trading. Poor January momentum returns are not so easily explained
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The impact of mandatory IFRS adoption on accrual anomaly and earning conservatism
This paper investigates the impact of mandatory IFRS adoption on earning management and accounting conservatism by European countries. Using firm-level data of nine European countries within G20 who mandatorily adopted IFRS in 2005, we found that IFRS either increase or decrease accounting conservatism within the sample countries. With Mishkin test to market efficiency at valuation with disaggregated earning components, the results show that the accrual anomaly is not a generalized phenomenon within Europe, especially the Common Law countries. The market seems to be less able to distinguish abnormal accrual from normal accrual estimated by Jones model, which in term cause the mis-valuation of the future earnings forecast. Cross country characteristics examination, including law enforcement, protection of shareholder and accounting structure, etc. suggests that the change of accounting standard itself cannot solely improve the valuation information environment. Relevant commercial law should change to support IFRS to make accounting information informative and comparable
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Did the market overreact to the mandatory switch to IFRS in Europe?
Despite studies which indicate that mandatory adoption of International Financial Reporting Standards (IFRS) reduced the cost of capital for adopting firms and improved analystsâ forecasts, the evidence supporting any improvement in accounting quality is mixed. In a European wide country study, we calculate a broadly based measure of earnings management defined as accruals which are unrelated to current activity or past-current-future cash flows. At the individual country level we find that accounting quality improved only in France, Germany and Netherland, which are categories as âlegal origin countriesâ. Moreover, based on an equity valuation model adjusted for earnings quality, we find that, in most European countries, the market overreacted to the impact of mandatory IFRS adoption. Further test shows that investors do not seem to understand the exact components of the financial statements that IFRS will have impact on
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