Aggregate idiosyncratic volatility in G7 countries

The paper analyzes average idiosyncratic volatility in G7 countries. We find that idiosyncratic volatility is highly correlated across countries and there is a significant Granger causality from the U.S. to the other countries and vice versa. Consistent with U.S. data, when combined with stock market volatility, idiosyncratic volatility has significant predictive power for stock market returns and the value premium in many other G7 countries. Moreover, in U.S. data, idiosyncratic volatility has explanatory power for stock returns very similar to that of value premium volatility in both time-series and cross-sectional regressions. Our results suggest that idiosyncratic volatility proxies for systematic risk omitted from CAPM.Stock exchanges

Idiosyncratic volatility, economic fundamentals, and foreign exchange rates

This paper shows that a relatively high level of average U.S. industry- or firm-level idiosyncratic stock volatility is usually associated with a future appreciation in the U.S. dollar. For most foreign currencies, the relation is statistically significant in both in sample and out-of-sample tests, even after we use a bootstrap procedure to explicitly account for data mining. We also document a positive and significant relation between a country’s idiosyncratic volatility and the future U.S. dollar price of its currency—in France, Germany, and Japan. Moreover, among a number of commonly used financial variables, only idiosyncratic volatility forecasts output growth in both U.S. and foreign countries. Our results suggest that there might be a close link between exchange rates and economic fundamentals. ; Earlier title: Foreign exchange rates don't follow a random walkForeign exchange ; International finance

Does idiosyncratic risk matter: another look

We show that the equal-weighted average stock volatility analyzed by Goyal and Santa-Clara (GS, 2003) forecasts stock returns because of its co-movements with stock market volatility. Moreover, contrary to the positive relation hypothesized by GS and many others, we find that the value-weighted average stock volatility is negatively related to future stock returns when combined with stock market volatility. This puzzling result reflects the fact that the alue-weighted average stock volatility is negatively correlated with the consumption-wealth ratio, and its predictive power vanishes if we control for the latter in the forecasting equation. The idiosyncratic volatility proposed by GS thus provides no information beyond the forecasting variables advocated by Guo (2003)2:26 PM 10/17/03Stock market ; Asset pricing

Understanding stock return predictability

Over the period 1927:Q1 to 2005:Q4, the average CAPM-based idiosyncratic variance (IV) and stock market variance jointly forecast stock market returns. This result holds up quite well in a number of robustness checks, and we show that the predictive power of the average IV might come from its close relation with systematic risk omitted from CAPM. First, high lagged returns on high IV stocks predict low future returns on the market as a whole. Second, returns on a hedging portfolio that is long in stocks with low IV and short in stocks with high IV perform as well as the value premium in explaining the cross-section of stock returns. Third, realized variance of the hedging portfolio or of the value premium is closely correlated with the average IV, and these variables have similar predictive power for stock returns.Stock exchanges ; Stock - Prices

Idiosyncratic volatility, stock market volatility, and expected stock returns

We find that the value-weighted idiosyncratic stock volatility and aggregate stock market volatility jointly exhibit strong predictive power for excess stock market returns. The stock market risk-return relation is found to be positive, as stipulated by the CAPM; however, idiosyncratic volatility is negatively related to future stock market returns. Also, idiosyncratic volatility appears to be a pervasive macrovariable, and its forecasting abilities are very similar to those of the consumption-wealth ratio proposed by Lettau and Ludvigson (2001).Stock market ; Asset pricing

The relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns in G7 countries

This paper suggests that CAPM-based idiosyncratic variance (IV) correlates negatively with future stock returns because it is a proxy for loadings on discount-rate shocks in Campbell*s (1993) ICAPM. The ICAPM also implies that there are important links between the time-series and cross-sectional IV effects. For example, the coefficients on conditional stock market variance and value-weighted average IV obtained from the time-series regressions reflect loadings on stock market returns and discount-rate shocks, respectively; therefore, they should help explain the cross section of stock returns. Moreover, we expect a close relation between the IV and book-to-market effects because recent studies show that the latter also reflects intertemporal pricing. These conjectures are strongly supported by the G7 countries* data.Stock exchanges

Drawing on the Innovative Moments Model during Career Construction Counseling to explain and foster client change

Career Construction Counseling (CCC) is a narrative intervention that supports individuals in the elaboration of narrative identity and career construction. The theory, research, and practice of this approach to career counseling has benefited from the Innovative Moments Model (IMM) to explain client change. Similar to CCC, the IMM is grounded on a narrative conception of human functioning, in which psychological difficulties arise from problematic self-narratives that constrain the meaning-making. Change takes place when clients challenge problematic self-narratives and construct new meanings that lead to new ways of behaving, thinking, or feeling. These novelties are termed innovative moments. The integration of IMM into the study of CCC has provided empirical evidence about the processes of client change throughout this intervention. Findings show that the transformation of a client’s self-narrative is associated with the aims of each session revealing a movement from a focus in structuring the past to an increased engagement in projecting the future. Moreover, results suggest the possibility of using IMs as process markers to guide counselors in facilitating client change during counseling sessions. The purpose of this chapter is to explain the contribution of IMM to CCC theory, research, and practice. We begin by presenting the Innovative Moments framework. Then we review CCC process research using the Innovative Moment’s framework. Finally, research implications for theory and practice of CCC are discussed

Darnaus vystymosi koncepcijos vaizdavimas Lietuvos internetinėje žiniasklaidoje 2011 metais

Šis straipsnis skirtas darnaus vystymosi vaizdavimo Lietuvos interneto žiniasklaidoje 2011 m. ypatumams atskleisti. Pirmoje darbo dalyje trumpai apžvelgta darnaus vystymosi koncepcija ir svarbesni jos komunikacinės aplinkos aspektai. Empirinėje dalyje tiriant atrinkta medžiaga analizuota remiantis Annabelės McGoldrick suformuluotais publikacijų vertinimo pagal atsakymų į klausimus „Kaip?“ ir „Kodėl?“ paiešką kriterijais, taip pat vertinta, ar jai būdingas T. Hyllando Erikseno, J. Nolino aprašytas padrikas, į visumą nesujungtas ir todėl neišsamus vaizdas.Pasinaudojus darnaus vystymosi kaip integralios koncepcijos suvokimu, tirta, ar publikacijose esama sąsajų tarp skirtingų darnaus vystymosi aspektų: socialinio, ekonominio, aplinkosauginio ir kitų, ne taip pastebimų – religinio, filosofinio ar kt.Tyrimo rezultatai parodė, kad 2011 m. Lietuvos interneto žiniasklaidoje darnaus vystymosi koncepcija išsamiau neanalizuota – kaip ir kodėl ji buvo sukurta, kiek įgyvendinta, kokios perspektyvos laukia ateityje ir kokios priežastys ją galėtų lemti. Nei vienas iš nagrinėtų didžiausių Lietuvos interneto žiniasklaidos portalų per metus nepateikė patrauklaus ir lengvai prieinamo platesnio darnaus vystymosi koncepcijos ir su ja susijusių procesų vaizdo. Neaptikta išsamesnių analitinių mėginimų darnaus vystymosi kontekste atrasti sąsajų tarp skirtingų koncepcijos aspektų. Informacija pateikiama tik atskirais autonomiškais „gabalėliais“, informuojančiais apie vieną ar kitą (dažniausiai lokalų) įvykį, turintį kokį nors ryšį su darniu vystymusi.Tyrimo medžiagoje taip pat nerasta pasiūlymų, galimų kūrybiškų sprendimų, kurie pagerintų darnaus vystymosi koncepcijos įgyvendinimą bendrąja prasme. Galima teigti, kad dėl vyraujančio chaotiško viazdavimo darnaus vystymosi koncepcija atsiduria trijų skaitomiausių nacionalinių informacinių portalų dienotvarkės užribyje. Esminiai žodžiai: antropocentrinis, antropogeninis poveikis, darnus vystymasis, ekocentrinis, interneto žiniasklaida, dienotvarkė, komunikacija, poveikis, suvokimas, vaizdavimas, visuma, žmogus

Verslo procesų prognozavimo ir imitavimo taikant sisteminių įvykių žurnalų analizės metodus tyrimas

Business process (BP) analysis is one of the core activities in organisations that lead to improvements and achievement of a competitive edge. BP modelling and simulation are one of the most widely applied methods for analysing and improving BPs. The analysis requires to model BP and to apply analysis techniques to the models to answer queries leading to improvements. The input of the analysis process is BP models. The models can be in the form of BP models using industry-accepted BP modelling languages, mathematical models, simulation models and others. The model creation is the most important part of the BP analysis, and it is both time-consuming and costly activity. Nowadays most of the data generated in the organisations are electronic. Therefore, the re-use of such data can improve the results of the analysis. Thus, the main goal of the thesis is to improve BP analysis and simulation by proposing a method to discover a BP model from an event log and automate simulation model generation. The dissertation consists of an introduction, three main chapters and general conclusions. The first chapter discusses BP analysis methods. In addition, the process mining research area is presented, the techniques for automated model discovery, model validation and execution prediction are analysed. The second part of the chapter investigates the area of BP simula-tion. The second chapter of the dissertation presents a novel method which automatically discovers Bayesian Belief Network from an event log and, furthermore, automatically generates BP simulation model. The discovery of the Bayesian Belief Network consists of three steps: the discovery of a directed acyclic graph, generation of conditional probability tables and their combination. The BP simulation model is generated from the discovered directed acyclic graph and uses the belief network inferences during the simulation to infer the execution of the BP and to generate activity data dur-ing the simulation. The third chapter presents the experimental research of the proposed network and discusses the validity of the research and experiments. The experiments use selected logs that exhibit a wide array of behaviour. The experiments are performed in order to test the discovery of the graphs, the inference of the current process instance execution probability, the predic-tion of the future execution of the process instances and the correctness of the simulation. The results of the dissertation were published in 9 scientific publica-tions, 2 of which were in reviewed scientific journals indexed in Clarivate Analytics Science Citation Index

Is value premium a proxy for time-varying investment opportunities: some time series evidence

We uncover a positive, empirical risk-return tradeoff in the stock market after controlling for the covariance of stock market returns with the value premium. The underlying premise is that, as conjectured by Fama and French (1996), the value premium is a proxy for time-varying investment opportunities. By ignoring the value premium, early specifications suffer from an omitted variable problem that leads to a downward bias in the estimate of the risk-return tradeoff. The paper also documents a new finding on a significantly positive relation between the value premium and its conditional variance.Time-series analysis ; Stocks