Weak and Semi-Strong Form Stock Return Predictability Revisited

This paper makes indirect inference about the time-variation in expected stock returns by comparing unconditional sample variances to estimates of expected conditional variances. The evidence reveals more predictability as more information is used, and no evidence that predictability has diminished in recent years. Semi-strong form evidence suggests that time-variation in expected returns remains economically important.

Weak and Semi-Strong Form Stock Return Predictability, Revisited

This paper makes indirect inference about the time-variation in expected stock returns by comparing unconditional sample variances to estimates of expected conditional variances. The evidence reveals more predictability as more information is used, and no evidence that predictability has diminished in recent years. Semi-strong form evidence suggests that time-variation in expected returns remains economically important.

Can Electromagnetic Information Theory Improve Wireless Systems? A Channel Estimation Example

Electromagnetic information theory (EIT) is an emerging interdisciplinary subject that integrates classical Maxwell electromagnetics and Shannon information theory. The goal of EIT is to uncover the information transmission mechanisms from an electromagnetic (EM) perspective in wireless systems. Existing works on EIT are mainly focused on the analysis of degrees-of-freedom (DoF), system capacity, and characteristics of the electromagnetic channel. However, these works do not clarify how EIT can improve wireless communication systems. To answer this question, in this paper, we provide a novel demonstration of the application of EIT. By integrating EM knowledge into the classical MMSE channel estimator, we observe for the first time that EIT is capable of improving the channel estimation performace. Specifically, the EM knowledge is first encoded into a spatio-temporal correlation function (STCF), which we term as the EM kernel. This EM kernel plays the role of side information to the channel estimator. Since the EM kernel takes the form of Gaussian processes (GP), we propose the EIT-based Gaussian process regression (EIT-GPR) to derive the channel estimations. In addition, since the EM kernel allows parameter tuning, we propose EM kernel learning to fit the EM kernel to channel observations. Simulation results show that the application of EIT to the channel estimator enables it to outperform traditional isotropic MMSE algorithm, thus proving the practical values of EIT.Comment: Electromagnetic information theory (EIT) is an emerging interdisciplinary subject, aiming at providing a unified analytical framework for wireless systems as well as guiding practical system design. This paper answers the question: "How can we improve wireless communication systems via EIT"

Does the Law of One Price hold? A cross-regional study of China

This study considers the price convergence in different regions of China, which is the largest developing country in the world and a country in which the regional difference is much larger between provinces. Whether there is price convergence between regions in one country is an important economic issue according to the Law of One Price (LOP) theory. Compared to previous studies, this article operates with the Sequential Panel Selection Method (SPSM) to explore the non-stationary properties of the LOP in China’s regions. We provide robust evidence to specify that the LOP holds true for two-thirds of the provinces in China, mainly in the Western and Central regions. This means that the Eastern region’s price fluctuation is non-stationary and that the consumer price index (CPI) levels of the Western, Central and Northeastern regions are relatively convergent in China. The conduction path of the CPI level is from the Eastern region to the other regions. It shows that prices can converge with each other by LOP and the values of the same goods in the Western and Central regions are equal and if there is a price difference, then it can be eliminated by interregional trade

Data-constrained MHD simulation for the eruption of a filament-sigmoid system in solar active region 11520

The separation of a filament and sigmoid is observed during an X1.4 flare on July 12, 2012 in solar active region 11520, but the corresponding magnetic field change is not clear. We construct a data-constrained magnetohydrodynamic simulation of the filament-sigmoid system with the flux rope insertion method and magnetic flux eruption code, which produces the magnetic field evolution that may explain the separation of the low-lying filament and high-lying hot channel (sigmoid). The initial state of the magnetic model contains a magnetic flux rope with a hyperbolic flux tube, a null point structure and overlying confining magnetic fields. We find that the magnetic reconnections at the null point make the right footpoint of the sigmoid move from one positive magnetic polarity (P1) to another (P3). The tether-cutting reconnection at the hyperbolic flux tube occurs and quickly cuts off the connection of the low-lying filament and high-lying sigmoid. In the end, the high-lying sigmoid erupts and grows into a coronal mass ejection, while the low-lying filament stays stable. The observed double J-shaped flare ribbons, semi-circular ribbon, and brightenings of several loops are reproduced in the simulation, where the eruption of the magnetic flux rope includes the impulsive acceleration and propagation phases.Comment: This paper has been accepted for publication in the Ap