Returning magnetic flux in sunspot penumbrae

We study the presence of reversed polarity magnetic flux in sunspot penumbra. We applied a new regularized method to deconvolve spectropolarimetric data observed with the spectropolarimeter SP onboard Hinode. The new regularization is based on a principal component decomposition of the Stokes profiles. The resulting Stokes profiles were inverted to infer the magnetic field vector using SIR. We find, for the first time, reversed polarity fields at the border of many bright penumbral filaments in the whole penumbra.Comment: 5 pages, 5 figures, accepted for publication in A&A Letter

Geographical versus Industrial Diversification: A Mean Variance Spanning Approach

This paper addresses whether country allocation provides benefits over industry allocation in a sample of European country and industry indexes. Strategy performance is compared using a mean-variance spanning test. We find that, for investors with low risk aversion, industry allocation is as good as investing in the complete set of assets. Moreover, in the most recent subperiod coinciding with the inception of the Euro, country and industry diversification are both effective. By contrast, investors with high risk aversion should always mix country and industry portfolios. A striking aspect of our analysis is that we do not find empirical evidence to support the argument that country diversification is a superior approach.Diversification gains, EMU, mean-variance spanning, portfolio allocation strategies

Risk factors in oil and gas industry returns: international evidence

This paper analyzes the exposure of the oil and gas industry of 34 countries to oil prices. Using a multifactor panel model to estimate the oil and gas excess stock returns, our results strongly support the view that oil price is a globally priced factor for the oil industry. In particular, the response of the oil and gas sector to changes oil prices is positive and larger for developed countries than for emerging markets. The industry response is asymmetric, with positive oil price changes having a greater impact on the oil sector returns than negative changes. Furthermore, local market index returns, currency rates and oil price volatility also have a significant impact on oil industry's excess returns. Finally, industry local sensitivities seem to vary with stock market activity and with levels of appropriation of industry revenues by governments. Results are robust to a battery of tests.Multifactor asset pricing models, Panel Data, Oil industry

Asymmetric effects of oil price fluctuations in international stock markets

New evidence on the way oil price fluctuations affect international stock markets is provided in analysis of the exposure of 43 stock markets. Oil price spikes depress international stock markets, but oil price drops do not necessarily increase stock market returns. Moreover, the volatility of oil prices has a negative impact on international stock market returns. Both these effects apply only to stock markets of developed countries. Emerging market returns are not sensitive to oil price variations. In addition, the asymmetry of oil price changes impacts oil volatility; i.e., when oil prices soar, oil volatility also increases, while negative oil price changes dampen volatility. Finally, oil price fluctuations are a factor in creating downside risk for international country investment.Asymmetry, Multifactor asset pricing Models, Oil prices, Panel data, Quantile regression, Volatility