Relationship between Interest Rate and Bank Common Stock Return: Evidence from the Top 10 United States Banks and Financial Sector Index

This research paper investigates the effect of changes in long-term interest rates on the returns of the top 10 US banks included in the Financial Sector Index. There are three main parts of this paper. The first part uses the Augmented Dickey-Fuller (ADF) test to test the “Random Walk” of banks’ common stock returns. Based on the test’s results, returns of banks’ common stock do not solely follow the “Random Walk”. In the second part, the Two-Factor Arbitrage Pricing Theory is employed to test the effect of changes in long-term interest rate on the return of banks’ common stocks. The findings provide strong and consistent evidences that volatility of bank common stock returns is very sensitive to the long-term interest rate movement. The third part explores the effect of long-term interest rates on returns of banks’ common stocks before and after the financial crisis (September 12th, 2008). The same testing methods are used as those in part 1 and 2. The findings suggest that, after the crisis, changes in long-term interest rates exhibit an even more significant impact on banks’ common stock returns than that before the financial crisis

Discrimination of Supersymmetric Grand Unified Models in Gaugino Mediation

We consider supersymmetric grand unified theory (GUT) with the gaugino mediated supersymmetry breaking and investigate a possibility to discriminate different GUT models in terms of predicted sparticle mass spectra. Taking two example GUT models, the minimal SU(5) and simple SO(10) models, and imposing a variety of theoretical and experimental constraints, we calculate sparticle masses. Fixing parameters of each model so as to result in the same mass of neutralino as the lightest supersymmetric particle (LSP), giving the observed dark matter relic density, we find sizable mass differences in the left-handed slepton and right-handed down-type squark sectors in two models, which can be a probe to discriminate the GUT models realized at the GUT scale far beyond the reach of collider experiments.Comment: 14 pages, 4 figures, version to be published in PR

Positively deflected anomaly mediation in the light of the Higgs boson discovery

Anomaly-mediated supersymmetry breaking (AMSB) is a well-known mechanism for flavor-blind transmission of supersymmetry breaking from the hidden sector to the visible sector. However, the pure AMSB scenario suffers from a serious drawback, namely, the tachyonic slepton problem, and needs to be extended. The so-called (positively) deflected AMSB is a simple extension to solve the problem and also provides us with the usual neutralino lightest superpartner as a good candidate for dark matter in the Universe. Motivated by the recent discovery of the Higgs boson at the Large Hadron Collider (LHC) experiments, we perform the parameter scan in the deflected AMSB scenario by taking into account a variety of phenomenological constraints such as the dark matter relic density and the observed Higgs boson mass around 125-126 GeV. We identify the allowed parameter region and list benchmark mass spectra. We find that in most of the allowed parameter regions, the dark matter neutralino is Higgsino-like and its elastic scattering cross section with nuclei is within the future reach of the direct dark matter search experiments, while (colored) sparticles are quite heavy and their discovery at the LHC is challenging.Comment: 16 pages, 5 figures, Version to be published in PR