Stock returns and expected business conditions : half a century of direct evidence

We explore the macro/finance interface in the context of equity markets. In particular, using half a century of Livingston expected business conditions data we characterize directly the impact of expected business conditions on expected excess stock returns. Expected business conditions consistently affect expected excess returns in a statistically and economically significant counter-cyclical fashion: depressed expected business conditions are associated with high expected excess returns. Moreover, inclusion of expected business conditions in otherwise standard predictive return regressions substantially reduces the explanatory power of the conventional financial predictors, including the dividend yield, default premium, and term premium, while simultaneously increasing R2. Expected business conditions retain predictive power even after controlling for an important and recently introduced non-financial predictor, the generalized consumption/wealth ratio, which accords with the view that expected business conditions play a role in asset pricing different from and complementary to that of the consumption/wealth ratio. We argue that time-varying expected business conditions likely capture time-varying risk, while time-varying consumption/wealth may capture time-varying risk aversion. Klassifikation: G1

Weather forecasting for weather derivatives : [revised version: January 2, 2004]

We take a simple time-series approach to modeling and forecasting daily average temperature in U.S. cities, and we inquire systematically as to whether it may prove useful from the vantage point of participants in the weather derivatives market. The answer is, perhaps surprisingly, yes. Time-series modeling reveals conditional mean dynamics, and crucially, strong conditional variance dynamics, in daily average temperature, and it reveals sharp differences between the distribution of temperature and the distribution of temperature surprises. As we argue, it also holds promise for producing the long-horizon predictive densities crucial for pricing weather derivatives, so that additional inquiry into time-series weather forecasting methods will likely prove useful in weather derivatives contexts

Psychological type profile of Lead Elders within the Newfrontiers network of churches in the United Kingdom

This study set out to examine the psychological type profile of Lead Elders within the Newfrontiers network of churches in the United Kingdom and to compare this profile with the established profile of clergymen in the Church of England. A sample of 134 Lead Elders completed the Francis Psychological Type Scales. The study shows that Newfrontiers Lead Elders display slight preferences for extraversion over introversion, for sensing over intuition, and for thinking over feeling, and a strong preference for judging over perceiving. These findings contrast with the profile of Church of England clergymen who prefer introversion over extraversion, intuition over sensing, and feeling over thinking, but who also display a less pronounced preference for judging over perceiving. Within the Newfrontiers leadership the most frequently reported types were ISTJ (16%) and ESTJ (13%), while among Church of England clergymen the most frequently reported types were INTJ (11%) and ISTJ (10%). The implications of these findings are discussed for the distinctive strengths, challenges and opportunities facing the leadership within the Newfrontiers network of churches

Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence

We explore the macro/finance interface in the context of equity markets. In particular, using half a century of Livingston expected business conditions data we characterize directly the impact of expected business conditions on expected excess stock returns. Expected business conditions consistently affect expected excess returns in a statistically and economically significant counter-cyclical fashion: depressed expected business conditions are associated with high expected excess returns. Moreover, inclusion of expected business conditions in otherwise standard predictive return regressions substantially reduces the explanatory power of the conventional financial predictors, including the dividend yield, default premium, and term premium, while simultaneously increasing R2. Expected business conditions retain predictive power even after controlling for an important and recently introduced non-financial predictor, the generalized consumption/wealth ratio, which accords with the view that expected business conditions play a role in asset pricing different from and complementary to that of the consumption/wealth ratio. We argue that time-varying expected business conditions likely capture time-varying risk, while time-varying consumption/wealth may capture time-varying risk aversion.Business Cycle, Expected Equity Returns, Prediction, Livingston Survey, Risk Aversion, Equity Premium, Risk Premium

Weather Forecasting for Weather Derivatives

We take a simple time-series approach to modeling and forecasting daily average temperature in U.S. cities, and we inquire systematically as to whether it may prove useful from the vantage point of participants in the weather derivatives market. The answer is, perhaps surprisingly, yes. Time-series modeling reveals conditional mean dynamics, and crucially, strong conditional variance dynamics, in daily average temperature, and it reveals sharp differences between the distribution of temperature and the distribution of temperature surprises. As we argue, it also holds promise for producing the long-horizon predictive densities crucial for pricing weather derivatives, so that additional inquiry into time-series weather forecasting methods will likely prove useful in weather derivatives contexts.Risk management; hedging; insurance; seasonality; temperature; financial derivatives

Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence

We explore the macro/finance interface in the context of equity markets. In particular, using half a century of Livingston expected business conditions data we characterize directly the impact of expected business conditions on expected excess stock returns. Expected business conditions consistently affect expected excess returns in a statistically and economically significant counter-cyclical fashion: depressed expected business conditions are associated with high expected excess returns. Moreover, inclusion of expected business conditions in otherwise standard predictive return regressions substantially reduces the explanatory power of the conventional financial predictors, including the dividend yield, default premium, and term premium, while simultaneously increasing. Expected business conditions retain predictive power even after controlling for an important and recently introduced non-financial predictor, the generalized consumption/wealth ratio, which accords with the view that expected business conditions play a role in asset pricing different from and complementary to that of the consumption/wealth ratio. We argue that time-varying expected business conditions likely capture time-varying risk, while time-varying consumption/wealth may capture time-varying risk aversion.Business cycle, expected equity returns, prediction, Livingston survey, risk aversion, equity premium, risk premium

The mechanisms involved in the scanning of bone using technetium labelled EHDP : its application in the healing of fractures

Imperial Users onl

Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence

We explore the macro/finance interface in the context of equity markets. In particular, using half a century of Livingston expected business conditions data we characterize directly the impact of expected business conditions on expected excess stock returns. Expected business conditions consistently affect expected excess returns in a statistically and economically significant counter-cyclical fashion: depressed expected business conditions are associated with high expected excess returns. Moreover, inclusion of expected business conditions in otherwisestandard predictive return regressions substantially reduces the explanatory power of the conventional financial predictors, including the dividend yield, default premium, and term premium, while simultaneously increasing R-squared. Expected business conditions retain predictive power even after controlling for an important and recently introduced non-financial predictor, the generalized consumption/wealth ratio, which accords with the view that expected business conditions play a role in asset pricing different from and complementary to that of the consumption/wealth ratio. We argue that time-varying expected business conditions likely capture time-varying risk, while time-varying consumption/wealth may capture time-varying risk aversion.

Dark Matter from Strong Dynamics: The Minimal Theory of Dark Baryons

As a simple model for dark matter, we propose a QCD-like theory based on $\rm{SU}(2)$ gauge theory with one flavor of dark quark. The model is confining at low energy and we use lattice simulations to investigate the properties of the lowest-lying hadrons. Compared to QCD, the theory has several peculiar differences: there are no Goldstone bosons or chiral symmetry restoration when the dark quark becomes massless; the usual global baryon number symmetry is enlarged to $\rm{SU}(2)_B$, resembling isospin; and baryons and mesons are unified together in $\rm{SU}(2)_B$ iso-multiplets. We argue that the lightest baryon, a vector boson, is a stable dark matter candidate and is a composite realization of the hidden vector dark matter scenario. The model naturally includes a lighter state, the analog of the $\eta^\prime$ in QCD, for dark matter to annihilate into to set the relic density via thermal freeze-out. Dark matter baryons may also be asymmetric, strongly self-interacting, or have their relic density set via $3 \to 2$ cannibalizing transitions. We discuss some experimental implications of coupling dark baryons to the Higgs portal.Comment: 26 pages, 16 figure