Mean Reversion in Equilibrium Asset Prices

Recent empirical studies have found that stock returns contain substantial negative serial correlation at long horizons. We examine this finding with a series of Monte Carlo simulations in order to demonstrate that it is consistent with an equilibrium model of asset pricing. When investors display only a moderate degree of risk aversion, commonly used measures of mean reversion in stock prices calculated from actual returns data nearly always lie within a 60 percent confidence interval of the median of the Monte Carlo distributions. From this evidence, we conclude that the degree of serial correlation in the data could plausibly have been generated by our model.

Price Level Convergence Among United States Cities: Lessons for the European Central Bank

We study the dynamics of price indices for major U.S. cities using panel econometric methods and find that relative price levels among cities mean revert at an exceptionally slow rate. In a panel of 19 cities from 1918 to 1995, we estimate the half-life of convergence to be approximately nine years. These estimates provide an upper bound on speed of convergence that participants in European Monetary Union are likely to experience. The surprisingly slow rate of convergence can be explained by a combination of the presence of transportation costs, differential speeds of adjustment to small and large shocks, and the inclusion of non-traded good prices in the overall price index.

Intracellular calcium movements during relaxation and recovery of superfast muscle fibers of the toadfish swimbladder

© The Author(s), 2014. This article is distributed under the terms of the Creative Commons Attribution License. The definitive version was published in Journal of General Physiology 143 (2014): 605-620, doi:10.1085/jgp.201411160.The mating call of the Atlantic toadfish is generated by bursts of high-frequency twitches of the superfast twitch fibers that surround the swimbladder. At 16°C, a calling period can last several hours, with individual 80–100-Hz calls lasting ∼500 ms interleaved with silent periods (intercall intervals) lasting ∼10 s. To understand the intracellular movements of Ca2+ during the intercall intervals, superfast fibers were microinjected with fluo-4, a high-affinity fluorescent Ca2+ indicator, and stimulated by trains of 40 action potentials at 83 Hz, which mimics fiber activity during calling. The fluo-4 fluorescence signal was measured during and after the stimulus trains; the signal was also simulated with a kinetic model of the underlying myoplasmic Ca2+ movements, including the binding and transport of Ca2+ by the sarcoplasmic reticulum (SR) Ca2+ pumps. The estimated total amount of Ca2+ released from the SR during a first stimulus train is ∼6.5 mM (concentration referred to the myoplasmic water volume). At 40 ms after cessation of stimulation, the myoplasmic free Ca2+ concentration ([Ca2+]) is below the threshold for force generation (∼3 µM), yet the estimated concentration of released Ca2+ remaining in the myoplasm (Δ[CaM]) is large, ∼5 mM, with ∼80% bound to parvalbumin. At 10 s after stimulation, [Ca2+] is ∼90 nM (three times the assumed resting level) and Δ[CaM] is ∼1.3 mM, with 97% bound to parvalbumin. Ca2+ movements during the intercall interval thus appear to be strongly influenced by (a) the accumulation of Ca2+ on parvalbumin and (b) the slow rate of Ca2+ pumping that ensues when parvalbumin lowers [Ca2+] near the resting level. With repetitive stimulus trains initiated at 10-s intervals, Ca2+ release and pumping come quickly into balance as a result of the stability (negative feedback) supplied by the increased rate of Ca2+ pumping at higher [Ca2+].This work was supported by a grant to S.M. Baylor from the National Institutes of Health (GM 086167) and a grant to L.C. Rome from the National Science Foundation (IOS-1145981)

Dan River, Inc. v. Icahn: Disclosure Violations - Relief for Subject Management?

The heightened level of takeover activity during recent years has provoked many innovative responses from the management of subject companies that wish to remain independent. Since successful acquisition of a company usually involves the termination of its existing management, that management will often seek to mobilize the resources of the subject corporation to oppose the takeover attempt. As a result, litigation initiated by management now plays a part in virtually every takeover contest. The case of Dan River, Inc. v. Icahn, a recent Fourth Circuit decision, illustrates the use of litigation to forestall a takeover attempt

The Screening Effect of the Private Securities Litigation Reform Act

Prior research shows that the PSLRA increased the significance of merit-related factors, such as the presence of an accounting restatement or insider selling, in determining the incidence and outcomes of securities fraud class actions. (Johnson, Nelson, and Pritchard, 2007). This result, however, is consistent with two possible hypotheses. First, the PSLRA may have reduced solely the incidence of non-meritorious litigation. Second, the PSLRA may have changed the definition of merit, effectively precluding claims that would have survived and produced a settlement pre-PSLRA. This paper tests these alternative hypotheses. We find that pre-PSLRA claims that settled for nuisance value would be less likely to be filed under the PSLRA regime. We also find, however, that pre-PSLRA non-nuisance claims would be less likely to be filed post-PSLRA period. The latter result, which we refer to as the screening effect, is particularly pronounced for claims lacking obvious hard evidence indicia of fraud (an accounting restatement or an SEC investigation). This screening effect is stronger if the claims also lacked evidence of abnormal insider trading. By contrast, we find that pre-PSLRA claims with hard evidence or abnormal insider trading would be no less likely to be filed in the post-PSLRA period. We also examine the likelihood of settlement for pre-PSRLA claims if they had been filed in the post-PSLRA period, and find a similar screening effect for case outcomes. We conclude that Congress effectively changed the definition of merit in adopting the PSLRA, discouraging suits that would have produced a non-nuisance outcome prior to the law’s enactment

Studying Leaders and Elites : The Personal Biography Approach

The last two decades have seen a revival in work that takes the role of individual leaders and elites seriously. This article surveys new research that explores how biographical factors influence their behavior. We call this literature the personal biography approach to political leadership. Our survey first lays out four mechanisms through which biographical characteristics might affect leader behavior. We then discuss the main findings, grouping them according to socializing experiences (e.g., education, military service, and prior occupation) and ascriptive traits (e.g., gender, race, and ethnicity). We also consider the methodological problems, especially endogeneity and selection effects, that pose challenges to this style of research. We conclude with an assessment of gaps in the literature and provide suggestions for future work in the biographical vein

Minimal Interspecies Interaction Adjustment (MIIA): Inference of Neighbor-Dependent Interactions in Microbial Communities

An intriguing aspect in microbial communities is that pairwise interactions can be influenced by neighboring species. This creates context dependencies for microbial interactions that are based on the functional composition of the community. Context dependent interactions are ecologically important and clearly present in nature, yet firmly established theoretical methods are lacking from many modern computational investigations. Here, we propose a novel network inference method that enables predictions for interspecies interactions affected by shifts in community composition and species populations. Our approach first identifies interspecies interactions in binary communities, which is subsequently used as a basis to infer modulation in more complex multi-species communities based on the assumption that microbes minimize adjustments of pairwise interactions in response to neighbor species. We termed this rule-based inference minimal interspecies interaction adjustment (MIIA). Our critical assessment of MIIA has produced reliable predictions of shifting interspecies interactions that are dependent on the functional role of neighbor organisms. We also show how MIIA has been applied to a microbial community composed of competing soil bacteria to elucidate a new finding that – in many cases – adding fewer competitors could impose more significant impact on binary interactions. The ability to predict membership-dependent community behavior is expected to help deepen our understanding of how microbiomes are organized in nature and how they may be designed and/or controlled in the future

Approach to Acoustic Emission Signal Analysis - Theory and Experiment

Acoustic Emission (AE) signals are notorious for their complexity and irreproducibility. Because AE source characteristics are virtually unknown and because the detected AE signals are colored by the propagation media, the sensor response and the instrumentation set tings, interpretations of test results such as spectral analysis or correlation studies are mostly qualitative and sometimes controversial; theories either are empirically derived or cannot be verified by experiments . In this paper, we sketch an approach to the AE signal analysis problem. We first report the development of a theory which allows the computation of the displacement as a function of time at an arbitrary ·point on an infinite plate due to an arbitrary point source force function . The theory is based on a new Fourier inversion technique which yields exact formulas similar to those developed for seismological ray theories. We then report experimental results obtained on a 2. 52 em thick aluminum plate using a reproducible step function stress release pulse as a simulated AE signal and a wide band displacement capacitive transducer as a sensor. The measurements are in quantitative agreement with the predictions of theory. We also discuss applications wherein the simulated signal, capacitive transducer and plate theory are used for AE source signature analysis, and sensor calibration problems

The Screening Effect of the Private Securities Litigation Reform Act

Prior research shows that the Private Securities Litigation Reform Act (PSLRA) increased the significance of merit-related factors in determining the incidence and outcomes of securities fraud class actions (Johnson et al. 2007). We examine two possible explanations for this finding: the PSLRA may have reduced the incidence of nonmeritorious litigation, or it may have changed the definition of merit, effectively precluding claims that would have survived and produced a settlement pre-PSLRA. We find no evidence that pre-PSLRA claims that settled for nuisance value would be less likely to be filed under the PSLRA regime. There is evidence, however, that pre-PSLRA nonnuisance claims would be less likely to be filed under the PSLRA regime. The latter result, which we refer to as the screening effect, is particularly pronounced for claims lacking hard evidence of securities fraud or abnormal insider trading. We find only limited evidence of a similar screening effect for case outcomes