The Asymmetric Effect of the Business Cycle on the Realtion between Stock Market Returns and their Volatility

We examine the relation between US stock market returns and the US business cycle for the period 1960 - 2003 using a new methodology that allows us to estimate a time-varying equity premium. We identify two channels in the transmission mechanism. One is through the mean of stock returns via the equity risk premium, and the other is through the volatility of returns. We provide support for previous findings based on simple correlation analysis that the relation is asymmetric with downturns in the business cycle having a greater negative impact on stock returns than the positive effect of upturns. We also obtain a new result, that demand and supply shocks affect stock returns differently. Our model of the relation between returns and their volatility encompasses CAPM, consumption CAPM and Merton's (1973) inter-temporal CAPM. It is implemented using a multi-variate GARCH-in-mean model with an asymmetric time-varying conditional heteroskedasticity and correlation structure.Equity returns, risk premium, asymmetry

An Asset Market Integration Test Based on Observable Macroeconomic Stochastic Discount Factors

There are a number of tests and measures of the degree of integration in the literature. An example is the idea that integrated markets should provide rates of return that are highly correlated with one another and that a measure of correlation provides an appropriate test. This particular idea is clearly false; for substantial periods of time we don't ever see stocks traded on the same market moving together. Specific models of what prices risk in individual markets could provide the basis of a test of integration. However, as has been widely shown, any differences between these pricing models will be subject to arbitrage by informed traders and so cannot form the basis for a test. In this paper we exploit the absence of arbitrage possibilities and the operation of the 'Law of One Price' in stochastic discount factor (SDF) theory to construct a test of integration based on a common approach to pricing assets in all markets, not only for stocks. The SDF approach that we adopt says that one SDF should price all assets as the model is not market or asset-specific.Unlike much of the literature, we adopt a direct parametric approach which takes estimates of an identical SDF from two asset markets and asks whether the price of risk associated with this SDF is the same for the two assets as SDF theory says it should. Another distinctive feature of our approach is that we employ observable macroeconomic factors. This allows us to estimate and compare the estimated risk premia in the markets concerned, with and without the integration restriction being applied. The paper uses this methodology to test market integration between the UK equity and FOREX markets. Our test rejects market integration for the consumption-based capital asset pricing model (CCAPM) and two variable SDF models based on consumption growth and inflation and on output and money growth. As equity and FOREX returns have a similar degree of variability, the finding that the risk premium in the FOREX market is generally much more variable than that in the equity market may contribute to the the test outcome.

Macroeconomic Sources of Equity Risk

There are very few estimates of a time-varying equity risk premium based on models that satisfy a no-arbitrage condition. The main aim of this paper is to estimate the US and UK equity risk premia implied by a number of well-known asset pricing models using monthly data for 1975-2001. The models include consumption-based CAPM with power utility, the Epstein-Zin general equilibrium model with time non-separable preferences, CAPM, and the SDF model. We show that most of the theoretical models of the equity risk premium that have been proposed in the literature are special cases the SDF model. We explain why some of them are unable to do this as formulated. In addition to examining existing theories of the equity risk premium, we use the SDF model to generate new theories. We find that macroeconomic variables not previously considered, and not consistent with standard general equilibrium theory, such as production, appear to be priced for the equity risk premium. This suggests that traditional general equilibrium considerations may not be the sole explanation for the equity risk premium; other short-term factors associated with pure price risk may also be involved. A related, and rapidly growing, literature adopts a more statistical approach. It focusses on the empirical relation between the return on equity (or the Sharpe ratio) and return volatility. We use SDF theory to show that this relation is misconceived. The reason for the absence of estimates of the equity risk premium is the difficulty of estimating it. Most of the empirical evidence on these asset pricing models is based on calibration, or the estimation of the Euler equation by GMM, neither of which delivers an estimate of the risk premium. We use a new empirical approach that does produce estimates of the risk premium and allows tests of the theories. As a result we provide the first estimates of the equity risk premium for some of these models. We then use our estimates to investigate the importance of different components of the equity risk premium including, amongst others, return volatility.

Core excitation in Ozone localized to one of two symmetry-equivalent chemical bonds - molecular alignment through vibronic coupling

Core excitation from terminal oxygen O$_T$ in O$_3$ is shown to be an excitation from a localized core orbital to a localized valence orbital. The valence orbital is localized to one of the two equivalent chemical bonds. We experimentally demonstrate this with the Auger Doppler effect which is observable when O$_3$ is core-excited to the highly dissociative O$_{T}$1s$^{-1}$7a$_1^1$ state. Auger electrons emitted from the atomic oxygen fragment carry information about the molecular orientation relative to the electromagnetic field vector at the moment of excitation. The data together with analytical functions for the electron-peak profiles give clear evidence that the preferred molecular orientation for excitation only depends on the orientation of one bond, not on the total molecular orientation. The localization of the valence orbital "7a$_1$" is caused by mixing of the valence orbital "5b$_2$" through vibronic coupling of anti-symmetric stretching mode with b$_2$-symmetry. To the best of our knowledge, it is the first discussion of the localization of a core excitation of O$_3$. This result explains the success of the widely used assumption of localized core excitation in adsorbates and large molecules

Information transfer through a one-atom micromaser

We consider a realistic model for the one-atom micromaser consisting of a cavity maintained in a steady state by the streaming of two-level Rydberg atoms passing one at a time through it. We show that it is possible to monitor the robust entanglement generated between two successive experimental atoms passing through the cavity by the control decoherence parameters. We calculate the entanglement of formation of the joint two-atom state as a function of the micromaser pump parameter. We find that this is in direct correspondence with the difference of the Shannon entropy of the cavity photons before and after the passage of the atoms for a reasonable range of dissipation parameters. It is thus possible to demonstrate information transfer between the cavity and the atoms through this set-up.Comment: Revtex, 5 pages, 2 encapsulated ps figures; added discussion on information transfer in relation with cavity photon statistics; typos corrected; Accepted for Publicaiton in Europhysics Letter

The negative acute phase response of serum transthyretin following Streptococcus suis infection in the pig

Peer reviewedPublisher PD

Phorbolester-activated Munc13-1 and ubMunc13-2 exert opposing effects on dense-core vesicle secretion

Munc13 proteins are priming factors for SNARE-dependent exocytosis, which are activated by diacylglycerol (DAG)-binding to their C1-domain. Several Munc13 paralogs exist, but their differential roles are not well understood. We studied the interdependence of phorbolesters (DAG mimics) with Munc13-1 and ubMunc13-2 in mouse adrenal chromaffin cells. Although expression of either Munc13-1 or ubMunc13-2 stimulated secretion, phorbolester was only stimulatory for secretion when ubMunc13-2 expression dominated, but inhibitory when Munc13-1 dominated. Accordingly, phorbolester stimulated secretion in wildtype cells, or cells overexpressing ubMunc13-2, but inhibited secretion in Munc13-2/Unc13b knockout (KO) cells or in cells overexpressing Munc13-1. Phorbolester was more stimulatory in the Munc13-1/Unc13a KO than in WT littermates, showing that endogenous Munc13-1 limits the effects of phorbolester. Imaging showed that ubMunc13-2 traffics to the plasma membrane with a time-course matching Ca2+-dependent secretion, and trafficking is independent of Synaptotagmin-7 (Syt7). However, in the absence of Syt7, phorbolester became inhibitory for both Munc13-1 and ubMunc13-2-driven secretion, indicating that stimulatory phorbolester x Munc13-2 interaction depends on functional pairing with Syt7. Overall, DAG/phorbolester, ubMunc13-2 and Syt7 form a stimulatory triad for dense-core vesicle priming

Jet multiplicities as the QGP thermometer

It is proposed to use the energy behavior of mean multiplicities of jets propagating in a nuclear medium as the thermometer of this medium during the collision phases. The qualitative effects are demonstrated in the framework of the fixed coupling QCD with account of jet quenching.Comment: Modify version of hep-ph/0509344, 3 figure

Fluctuation and flow probes of early-time correlations in relativistic heavy ion collisions

Fluctuation and correlation observables are often measured using multi-particle correlation methods and therefore mutually probe the origins of genuine correlations present in multi-particle distribution functions. We investigate the common influence of correlations arising from the spatially inhomogeneous initial state on multiplicity and momentum fluctuations as well as flow fluctuations. Although these observables reflect different aspects of the initial state, taken together, they can constrain a correlation scale set at the earliest moments of the collision. We calculate both the correlation scale in an initial stage Glasma flux tube picture and the modification to these correlations from later stage hydrodynamic flow and find quantitative agreement with experimental measurements over a range of collision systems and energies.Comment: Proceedings of the 28th Winter Workshop on Nuclear Dynamics, Dorado del Mar, Puerto Rico, April 7-14, 201