The friday the thirteenth effect in stock prices: international evidence using panel data

This examination of the Friday the 13th effect, in 62 international stock indices for the period 2000 to 2008, characterises the degree that the effect is influenced by: (i) the GDP of the economy and (ii) the sign of the return on the prior day. These effects are assessed by the use of an EGLS panel regression model incorporating panel corrected standard errors. The turn of the month effect on Fridays is also examined. Three important results relating to the Friday the 13th effect are observed. First, the depressed Friday the 13th effect is present when the return on the prior day is negative. Second, when the return on the prior day is positive, the depressed Friday the 13th effect is absent. Third, the depressed Friday the 13th effect is independent of the GDP of the country when the returns on control Fridays are used as the yardstick

Tests for weak form market efficiency in stock prices: Monte Carlo evidence

Efficiency in financial markets is tested by applying variance ratio (VR)tests, but unit root tests are also used by many, sometimes in addition to the VR tests. There is a lack of clarity in the literature about the implication of these test results when they seem to disagree. We distinguish between two different types of predictability, called "structural predictability" and "error predictability". Standard unit root tests pick up structural predictability. VR tests pick up both structural and error predictability

A note resolving the debate on “The weighted average cost of capital is not quite right”

Miller (2009a) derives a weighted average cost of capital for the special case where the cash flows to equity and the cashflows to debt are annuities. The paper attracts debate. We show that the weighted average cost of capital is redundant in a world where interest paid is not tax deductible. The required rate of return on unlevered equity will consistently and reliably estimate the net present value of any project no matter the idiocyncratic beliefs of the analyst as to the year-by-year leverage of the project, or of the firm. We recommend that the weighted average cost of capital method is discarded. Our recommendation also applies to a world where interest paid is tax deductible

Miller's (2009) WACC model: An extension

Miller (2009a) presents an analysis of the weighted average cost of capital WACC model. The paper attracts debate which uses a variety of repayment schedules to support the arguments raised. We present an extension of Miller's (2009a) WACC model in a world where interest is tax deductible and debt principal is paid at maturity. We also present the corresponding model for the required rate of return on levered equity which is a vital input to the WACC model. Since these models are unwieldy, we explore an alternative definition of the WACC. These models provide insights into the debate on Miller's (2009a) paper

Are economic profit and the internal rate of return merely accounting measures?

This paper explores the proposition that economic profit and the internal rate of return are merely accounting concepts. They share a number of common aspects. These include an allocation of capital that is unrelated to market forces and a treatment in the literature that focuses on the mathematics rather than the economics. We show that the two measures have limited, if any, economic content. Therefore we conclude that they are devoid of compelling theoretical interest in the domain of wealth maximization.peer-reviewe

Structural puzzles in virology solved with an overarching icosahedral design principle

Viruses have evolved protein containers with a wide spectrum of icosahedral architectures to protect their genetic material. The geometric constraints defining these container designs, and their implications for viral evolution, are open problems in virology. The principle of quasi-equivalence is currently used to predict virus architecture, but improved imaging techniques have revealed increasing numbers of viral outliers. We show that this theory is a special case of an overarching design principle for icosahedral, as well as octahedral, architectures that can be formulated in terms of the Archimedean lattices and their duals. These surface structures encompass different blueprints for capsids with same numbers of structural proteins, as well as for capsid architectures formed from a combination of minor and major capsid proteins, and are conserved within viral lineages. They also apply to other icosahedral structures in nature, and offer alternative designs for man-made materials and nanocontainers in bionanotechnology

Mechanisms of Size Control and Polymorphism in Viral Capsid Assembly

We simulate the assembly dynamics of icosahedral capsids from subunits that interconvert between different conformations (or quasi-equivalent states). The simulations identify mechanisms by which subunits form empty capsids with only one morphology but adaptively assemble into different icosahedral morphologies around nanoparticle cargoes with varying sizes, as seen in recent experiments with brome mosaic virus (BMV) capsid proteins. Adaptive cargo encapsidation requires moderate cargo-subunit interaction strengths; stronger interactions frustrate assembly by stabilizing intermediates with incommensurate curvature. We compare simulation results to experiments with cowpea chlorotic mottle virus empty capsids and BMV capsids assembled on functionalized nanoparticles and suggest new cargo encapsidation experiments. Finally, we find that both empty and templated capsids maintain the precise spatial ordering of subunit conformations seen in the crystal structure even if interactions that preserve this arrangement are favored by as little as the thermal energy, consistent with experimental observations that different subunit conformations are highly similar

Mechanical and Assembly Units of Viral Capsids Identified via Quasi-Rigid Domain Decomposition

Key steps in a viral life-cycle, such as self-assembly of a protective protein container or in some cases also subsequent maturation events, are governed by the interplay of physico-chemical mechanisms involving various spatial and temporal scales. These salient aspects of a viral life cycle are hence well described and rationalised from a mesoscopic perspective. Accordingly, various experimental and computational efforts have been directed towards identifying the fundamental building blocks that are instrumental for the mechanical response, or constitute the assembly units, of a few specific viral shells. Motivated by these earlier studies we introduce and apply a general and efficient computational scheme for identifying the stable domains of a given viral capsid. The method is based on elastic network models and quasi-rigid domain decomposition. It is first applied to a heterogeneous set of well-characterized viruses (CCMV, MS2, STNV, STMV) for which the known mechanical or assembly domains are correctly identified. The validated method is next applied to other viral particles such as L-A, Pariacoto and polyoma viruses, whose fundamental functional domains are still unknown or debated and for which we formulate verifiable predictions. The numerical code implementing the domain decomposition strategy is made freely available