Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Behavior

This paper studies the ability of a general class of habit-based asset pricing models to match the conditional moment restrictions implied by asset pricing theory. We treat the functional form of the habit as unknown, and to estimate it along with the rest of the model's finite dimensional parameters. Using quarterly data on consumption growth, assets returns and instruments, our empirical results indicate that the estimated habit function is nonlinear, the habit formation is better described as internal rather than external, and the estimated time-preference parameter and the power utility parameter are sensible. In addition, the estimated habit function generates a positive stochastic discount factor (SDF) proxy and performs well in explaining cross-sectional stock return data . We find that an internal habit SDF proxy can explain a cross-section of size and book-market sorted portfolio equity returns better than (i) the Fama and French (1993) three-factor model, (ii) Lettau and Ludvigson (2001) scaled consumption CAPM model, (iii) an external habit SDF proxy, (iv) the classic CAPM, and (v) the classic consumption CAPM.

Impact of the Desert dust on the summer monsoon system over Southwestern North America

The radiative forcing of dust emitted from the Southwest United States (US) deserts and its impact on monsoon circulation and precipitation over the North America monsoon (NAM) region are simulated using a coupled meteorology and aerosol/chemistry model (WRF-Chem) for 15 years (1995–2009). During the monsoon season, dust has a cooling effect (−0.90 W m<sup>−2</sup>) at the surface, a warming effect (0.40 W m<sup>−2</sup>) in the atmosphere, and a negative top-of-the-atmosphere (TOA) forcing (−0.50 W m<sup>−2</sup>) over the deserts on 24-h average. Most of the dust emitted from the deserts concentrates below 800 hPa and accumulates over the western slope of the Rocky Mountains and Mexican Plateau. The absorption of shortwave radiation by dust heats the lower atmosphere by up to 0.5 K day<sup>−1</sup> over the western slope of the Mountains. Model sensitivity simulations with and without dust for 15 summers (June-July-August) show that dust heating of the lower atmosphere over the deserts strengthens the low-level southerly moisture fluxes on both sides of the Sierra Madre Occidental. It also results in an eastward migration of NAM-driven moisture convergence over the western slope of the Mountains. These monsoonal circulation changes lead to a statistically significant increase of precipitation by up to ~40 % over the eastern slope of the Mountains (Arizona-New~Mexico-Texas regions). This study highlights the interaction between dust and the NAM system and motivates further investigation of possible dust feedback on monsoon precipitation under climate change and the mega-drought conditions projected for the future

From centralization to decentralization in Chinese higher education

Since the late 1970’s, the Chinese government has been gradually changing its traditional policy for providing higher education and has begun to emphasize the comprehensiveness of the universities. Interdisciplinary cooperation and the synergization of resources are being promoted, and institutional autonomy is gradually increasing. Schools and faculties have been restored in universities, and new research institutions, research schools, research centers and the like have been established. From a unitary three-level model— university/department/ teaching and research group—before the reform, the organizational structures of the universities have developed a new organizational structure that is more flexible and more open. This more adaptable structure is intended to meet the developmental demands of modern universities with close links being created between their work and regional economic and social development. China has moved from a very centralized educational system in which the main decisions were taken by the central government to a decentralized educational system. This reform is also taking place within the institutions of higher education, and their internal organizational structure has also become more decentralized

Radiative impact of mineral dust on monsoon precipitation variability over West Africa

The radiative forcing of dust and its impact on precipitation over the West Africa monsoon (WAM) region is simulated using a coupled meteorology and aerosol/chemistry model (WRF-Chem). During the monsoon season, dust is a dominant contributor to aerosol optical depth (AOD) over West Africa. In the control simulation, on 24-h domain average, dust has a cooling effect (−6.11 W m⁻²) at the surface, a warming effect (6.94 W m⁻²) in the atmosphere, and a relatively small TOA forcing (0.83 W m⁻²). Dust modifies the surface energy budget and atmospheric diabatic heating. As a result, atmospheric stability is increased in the daytime and reduced in the nighttime, leading to a reduction of late afternoon precipitation by up to 0.14 mm/h (25%) and an increase of nocturnal and early morning precipitation by up to 0.04 mm/h (45%) over the WAM region. Dust-induced reduction of diurnal precipitation variation improves the simulated diurnal cycle of precipitation when compared to measurements. However, daily precipitation is only changed by a relatively small amount (−0.17 mm/day or −4%). The dust-induced change of WAM precipitation is not sensitive to interannual monsoon variability. On the other hand, sensitivity simulations with weaker to stronger absorbing dust (in order to represent the uncertainty in dust solar absorptivity) show that, at the lower atmosphere, dust longwave warming effect in the nighttime surpasses its shortwave cooling effect in the daytime; this leads to a less stable atmosphere associated with more convective precipitation in the nighttime. As a result, the dust-induced change of daily WAM precipitation varies from a significant reduction of −0.52 mm/day (−12%, weaker absorbing dust) to a small increase of 0.03 mm/day (1%, stronger absorbing dust). This variation originates from the competition between dust impact on daytime and nighttime precipitation, which depends on dust shortwave absorption. Dust reduces the diurnal variation of precipitation regardless of its absorptivity, but more reduction is associated with stronger absorbing dust

An estimation of economic models with recursive preferences

This paper presents estimates of key preference parameters of the Epstein and Zin (1989, 1991) and Weil (1989) recursive utility model, evaluates the model's ability to fit asset return data relative to other asset pricing models, and investigates the implications of such estimates for the unobservable aggregate wealth return. Our empirical results indicate that the estimated relative risk aversion parameter ranges from 17 to 60, with higher values for aggregate consumption than for stockholder consumption, while the estimated elasticity of intertemporal substitution is above 1. In addition, the estimated model-implied aggregate wealth return is found to be weakly correlated with the Center for Research in Security Prices value-weighted stock market return, suggesting that the return to human wealth is negatively correlated with the aggregate stock market return