THE CONSUMPTION-WEALTH AND BOOK-TO-MARKET RATIOS IN A DYNAMIC ASSET PRICING CONTEXT

We discuss whether stock returns in Spain are predictable using a proxy for the logarithm of the consumption-aggregate wealth ratio, specifically the deviations of the common trend in consumption, labor income, and household asset holdings. The predictability regression used is based on intertemporal asset pricing models, which indicate that the consumption-wealth ratio is a function of the expected returns. The difficulties in this unobservable ratio are solved as in Lettau and Ludvigson (2001). The results show a partial capability of the proxy to forecast returns, but a good behavior of the book-to-market ratio as a predictor. A positive and approximate linear relationship between this financial ratio and the macroeconomic variable can be proved theoretically and supported empirically, thus confirming the predictive power of the book-to-market and, of course, its use as a state variable in asset pricing models. En este trabajo nos preguntamos si en España los rendimientos financieros se pueden predecir utilizando una proxy del logaritmo del ratio consumo/riqueza, concretamente las desviaciones en la tendencia común existente entre el consumo, la renta laboral y la riqueza financiera de los hogares. Esta relación de predecibilidad está inspirada en los modelos intertemporales de valoración de activos, que indican que este ratio es una función de los rendimientos esperados futuros. Las dificultades inherentes a este ratio, no observable en la práctica, se resuelven como en Lettau and Ludvigson (2001). Los resultados muestran una moderada capacidad del ratio consumo/riqueza en la predicción de rendimientos, sin embargo ponen de manifiesto la sorprendente capacidad del ratio agregado valor contable/valor de mercado. Una aproximada relación lineal y positiva entre este ratio financiero y la variable macroeconómica puede probarse teóricamente y verificarse empíricamente, justificando, de esta forma, el poder de predicción de rendimientos que presenta el ratio valor contable/valor de mercado y, por tanto, su generalizado uso como instrumento en los modelos de valoración.Mercado de valores, Predecibilidad, Consumo, Riqueza, Valor contable/Valor de mercado. Stock markets, Predictability, Consumption, Aggregate wealth, Book-to-Market.

The value of coskewness in evaluating mutual funds

Recent asset pricing studies demonstrate the relevance of incorporating the coskewness in Asset Pricing Models, and illustrate how this component helps to explain the time variation of ex-ante market risk premiums. This paper analyzes the role of coskewness in mutual funds performance evaluation. We find evidence that adding a coskewness factor is economically and statistically significant. We document that some managers are managing the coskewness and show, in general, a persistent behaviour on time in their coskewness policy. One of the most striking results is that many negative (positive) alpha funds measured relative to the CAPM risk adjustments would be reclassified as positive (negative) alpha funds using a model with coskewness. Therefore, a ranking of funds based on risk adjusted returns without considering coskewness would generate an erroneous classification. Moreover, some fund characteristics, such as the turnover ratio or the category, are related to the likelihood of managing coskewness

The value of coskewness in mutual fund performance evaluation.

Recent asset pricing studies demonstrate the relevance of incorporating coskewness in asset pricing models, and illustrate how this component helps to explain the time variation of ex-ante market risk premiums. This paper analyzes the role of coskewness in mutual fund performance evaluation and finds evidence that adding a coskewness factor is economically and statistically significant. It documents that coskewness is sometimes managed and shows persistence of the coskewness policy over time. One of the most striking results is that many negative (positive) alpha funds, measured relative to the CAPM risk adjustments, would be reclassified as positive (negative) alpha funds using a model with coskewness. Therefore, performance ranking based on risk-adjusted returns without considering coskewness could generate an erroneous classification. Moreover, some fund characteristics, such as turnover ratio or category, are related to the likelihood of managing coskewness.Coskewness; Mutual funds; Performance measures;

The consumption/wealth and book/market ratios in a dynamic asset pricing contex.

This paper addresses new insights into the predictability of financial returns. In particular, we analyze two aspects of the controversial forecasting literature. On the one hand, we demonstrate a positive and contemporaneous link between aggregate book/market and consumption/wealth ratios. On the other hand, we show that real estate and human capital, as the present value of all future salaries, are key components of the consumption/wealth ratio in Spain. Specifically, we find that the cointegrating residuals of consumption, asset holdings, real estate holdings, and our measure of human capital provide a better forecast of future returns than does the standard proxy of the consumption/wealth ratio. This result is important because it clarifies the importance of country-specific components of wealth for cases in which the consumption/wealth ratio is employed as an instrument in conditional asset pricing models.Stock markets; Predictability; Consumption; Aggregate wealth; Book/market;

Can fundamentals explain cross-country correlations of asset returns?.

Previous studies show that existing correlations between national returns are higher than correlations between the national growth rates of fundamental variables. This paper examines the ability of intertemporal asset pricing models to explain cross-country correlations of national returns. We find that when capital markets are assumed to be fully integrated, a simple intertemporal general equilibrium model is able to explain the observed co-variability of domestic asset returns but generates too little variability in those returns. Results improve considerably if a less restrictive version is employed. In that setting, both domestic variability and cross-country co-variability of returns are consistent with capital market integration.Asset pricing models; Cross-country correlations;

Les nines juguen amb pepes

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Crypto-test-lab for security validation of ECC co-processor test infrastructure

© 20xx IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting /republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other worksElliptic Curve Cryptography (ECC) is a technology for public-key cryptography that is becoming increasingly popular because it provides greater speed and implementation compactness than other public-key technologies. Calculations, however, may not be executed by software, since it would be so time consuming, thus an ECC co-processor is commonly included to accelerate the speed. Test infrastructure in crypto co-processors is often avoided because it poses serious security holes against adversaries. However, ECC co-processors include complex modules for which only functional test methodologies are unsuitable, because they would take an unacceptably long time during the production test. Therefore, some internal test infrastructure is always included to permit the application of structural test techniques. Designing a secure test infrastructure is quite a complex task that relies on the designer's experience and on trial & error iterations over a series of different types of attacks. Most of the severe attacks cannot be simulated because of the demanding computational effort and the lack of proper attack models. Therefore, prototypes are prepared using FPGAs. In this paper, a Crypto-Test-Lab is presented that includes an ECC co-processor with flexible test infrastructure. Its purpose is to facilitate the design and validation of secure strategies for testing in this type of co-processor.Postprint (author's final draft

On the Conjecture of Kochar and Korwar

In this paper, we solve for some cases a conjecture by Kochar and Korwar (1996) in relation with the normalized spacings of the order statistics related to a sample of independent exponential random variables with different scale parameter. In the case of a sample of size n=3, they proved the ordering of the normalized spacings and conjectured that result holds for all n. We give the proof of this conjecture for n=4 and for both spacing and normalized spacings. We also generalize some results to n>