Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average?

A number of variables are correlated with subsequent returns on the aggregate US stock market in the 20th Century. Some of these variables are stock market valuation ratios, others reflect patterns in corporate finance or the levels of shortand long-term interest rates. Amit Goyal and Ivo Welch (2004) have argued that in-sample correlations conceal a systematic failure of these variables out of sample: None are able to beat a simple forecast based on the historical average stock return. In this note we show that forecasting variables with significant forecasting power insample generally have a better out-of-sample performance than a forecast based on the historical average return, once sensible restrictions are imposed on the signs of coefficients and return forecasts. The out-of-sample predictive power is small, but we find that it is economically meaningful. We also show that a variable is quite likely to have poor out-of-sample performance for an extended period of time even when the variable genuinely predicts returns with a stable coefficient.

Volatility Comovement: A Multifrequency Approach

We implement a multifrequency volatility decomposition of three exchange rates and show that components with similar durations are strongly correlated across series. This motivates a bivariate extension of the Markov-Switching Multifractal (MSM) introduced in Calvet and Fisher (2001, 2004). Bivariate MSM is a stochastic volatility model with a closed-form likelihood. Estimation can proceed by ML for state spaces of moderate size, and by simulated likelihood via a particle filter in high-dimensional cases. We estimate the model and confirm its main assumptions in likelihood ratio tests. Bivariate MSM compares favorably to a standard multivariate GARCH both in- and out-of-sample. We extend the model to multivariate settings with a potentially large number of assets by proposing a parsimonious multifrequency factor structure.

Can Specification Searches Be Useful for Hypothesis Generation?

Previous studies suggest that results from specification searches, as typically employed in structural equation modeling, should not be used to reach strong research conclusions due to their poor reliability. Analyses of computer generated data indicate that search results can be sufficiently reliable for exploratory purposes with properly designed and analyzed studies

Power of the \u3cem\u3et\u3c/em\u3e Test for Normal and Mixed Normal Distributions

Previous research suggests that the power of the independent-samples t test decreases when population distributions are mixed normal rather than normal, and that robust methods have superior power under these conditions. However, under some conditions, the power for the independent-samples t test can be greater when the population distributions for the independent groups are mixed normal rather than normal. The implications of these results are discussed

Effects of board density and mixing ratio on the physio-mechanical properties of cement-bonded particle board produced from Ceiba pentandra Sawdust

The study evaluated the physical and mechanical properties of cement–bonded particleboards produced from the sawdust of Ceiba pentandra. The production variables investigated were two board densities (1300kg/m3 and 1200kg/m3) and three different mixing ratios (1:2, 1:2.5 and 1:3). Mean values of Water absorption (WA) and Thickness swelling (TS) after immersion in cold water for 24 hours ranged from 7.64 % to 9.53 % and 2.36 % to 2.99 % respectively. Board density at 1300kg/m3 and mixing ratio 1:3 had the highest average Modulus of Rupture (MOR), Modulus of Elasticity (MOE) and Impact Bending (IMB) of 4.32 Nmm-2, 1262.03 Nmm-2 and 12.70J/M2 respectively. The board density had a significant influence (P < 0.05) on the physical and mechanical properties of the boards. Based on the result, 1300kg/m3 board density and 1:3 mixing ratio produced the best board for mechanical properties and dimensional stability and can be used for several structural applications.Keywords: Ceiba pentandra, Sawdust, Board density, mixing ratio, physio-mechancial propertie

Preliminary observations of the Abyssal Megafauna of Kiribati

We report on preliminary observations of the abyssal megafauna communities in the exclusive economic zone of Kiribati, a huge abyssal area with few previous studies. These observations also provide useful context for marine minerals exploration within the exclusive economic zone (EEZ) and for the neighboring Clarion Clipperton Zone (CCZ), where deep-sea mining operations are planned. Seafloor images collected during seabed mining exploration were used to characterize megafaunal communities (fauna > 1 cm) in three abyssal plain areas in the eastern Kiribati EEZ (study area extending from 1 to 5°N and 173 to 156°W). Additionally, hydrographic features in each of the survey locations were inferred by reference to near-seabed current flows modeled using open-sourced oceanographic data. The images showed a dominance of foraminiferal organisms. Metazoan communities were high in morphospecies richness but had low density. These general patterns were comparable to abyssal megabenthic communities in the CCZ. There was evidence of spatial variation between the assemblages in Kiribati, but there was a relatively large pool of shared morphospecies across the entire study area. Low metazoan density limited detailed assessment of spatial variation and diversity at local scales. This finding is instructive of the levels of sampling effort required to determine spatial patterns in low density abyssal communities. The results of this study are preliminary observations that will be useful to guide future biological survey design and marine spatial planning strategies

Acute effects of nicotine on visual search tasks in young adult smokers

Rationale Nicotine is known to improve performance on tests involving sustained attention and recent research suggests that nicotine may also improve performance on tests involving the strategic allocation of attention and working memory. Objectives We used measures of accuracy and response latency combined with eye-tracking techniques to examine the effects of nicotine on visual search tasks. Methods In experiment 1 smokers and non-smokers performed pop-out and serial search tasks. In experiment 2, we used a within-subject design and a more demanding search task for multiple targets. In both studies, 2-h abstinent smokers were asked to smoke one of their own cigarettes between baseline and tests. Results In experiment 1, pop-out search times were faster after nicotine, without a loss in accuracy. Similar effects were observed for serial searches, but these were significant only at a trend level. In experiment 2, nicotine facilitated a strategic change in eye movements resulting in a higher proportion of fixations on target letters. If the cigarette was smoked on the first trial (when the task was novel), nicotine additionally reduced the total number of fixations and refixations on all letters in the display. Conclusions Nicotine improves visual search performance by speeding up search time and enabling a better focus of attention on task relevant items. This appears to reflect more efficient inhibition of eye movements towards task irrelevant stimuli, and better active maintenance of task goals. When the task is novel, and therefore more difficult, nicotine lessens the need to refixate previously seen letters, suggesting an improvement in working memory

2003 AAPP Monograph Series

It is significant that the African American Professors Program (AAPP) at the University of South Carolina is producing the third edition of its annual monograph series at this time-the fifth anniversary of AAPP. The program graciously accepts the challenge of putting into place a requirement for the scholars to produce quality research papers worthy of publication. This provides widespread visibility for them and enhances their curriculum vitae concurrently. Scholars who have contributed manuscripts for this monograph are to be commended for adding this additional responsibility to their academic workload. Writing across disciplines adds to the intellectual diversity of these papers. From neophytes, relatively speaking, to an array of very experienced individuals, the chapters have been researched and comprehensively written. Founded in 1997 through the Department of Educational Leadership and Policies in the College of Education, AAPP was designed to address the underrepresentation of African American professors on college and university campuses. Its mission is to expand the pool of these professors in critical academic and research areas. Sponsored by the University of South Carolina, the W. K. Kellogg Foundation, and the South Carolina General Assembly, the program recruits students with bachelor\u27s, master\u27s, and doctoral degrees for disciplines in which African Americans currently are underrepresented. An important component of the program is the mentoring experience that is provided. Each student is assigned to a mentor/professor who guides the student through a selected academic program and provides various learning experiences. When possible, the mentor serves as chair of the student\u27s doctoral committee. The mentor also provides opportunities for the student to team teach, conduct research, and co-author publications. Students have the advantage of attending committee, faculty, and professional meetings, as well as engaging in a range of activities that characterize professional life in academia. Scholars enrolled in the program also are involved in programmatic and institutional workshops, independent research, and program development. The continuation of this monograph series is seen as responding to a window of opportunity to be sensitive to an academic expectation of graduates as they pursue career placement and, at the same time, one that allows for the dissemination of AAPP products to a broader community. The importance of this monograph series has been voiced by one of our 2002 AAPP graduates, Dr. Shundelle LaTjuan Dogan, a recent Harvard Administrative Fellow at Harvard University and now Program Officer for the Southern Education Foundation, Atlanta, Georgia. Dr. Dogan wrote: One thing in particular that I want to thank you for is having the African American Professors Program scholars publish articles for the monograph. I have to admit that writing the articles seemed like extra work at the time. However, in my recent interview process, organizations have asked me for samples of my writing. Including an article from a published monograph helped to make my portfolio much more impressive. You were right on target in having us do the monograph series. We hope that you will read this monograph of the African American Professors Program with enthusiasm or enlightenment. John McFadden, Ph.D. The Benjamin Elijah Mays Professor Director, African American Professors Program University of South Carolinahttps://scholarcommons.sc.edu/mcfadden_monographs/1006/thumbnail.jp

Atmospheric Acetaldehyde: Importance of Air-Sea Exchange and a Missing Source in the Remote Troposphere.

We report airborne measurements of acetaldehyde (CH3CHO) during the first and second deployments of the National Aeronautics and Space Administration (NASA) Atmospheric Tomography Mission (ATom). The budget of CH3CHO is examined using the Community Atmospheric Model with chemistry (CAM-chem), with a newly-developed online air-sea exchange module. The upper limit of the global ocean net emission of CH3CHO is estimated to be 34 Tg a-1 (42 Tg a-1 if considering bubble-mediated transfer), and the ocean impacts on tropospheric CH3CHO are mostly confined to the marine boundary layer. Our analysis suggests that there is an unaccounted CH3CHO source in the remote troposphere and that organic aerosols can only provide a fraction of this missing source. We propose that peroxyacetic acid (PAA) is an ideal indicator of the rapid CH3CHO production in the remote troposphere. The higher-than-expected CH3CHO measurements represent a missing sink of hydroxyl radicals (and halogen radical) in current chemistry-climate models