Stock Return Predictability and Oil Prices

This paper shows that oil price changes, measured as short-term futures returns, are a strong predictor of excess stock returns at short horizons. Ours is a leading variable for the business cycle and exhibits low persistence which avoids the ctitious long-horizon predictability associated to other predictors used in the literature. We compare our variable with the most popular predictors in a sample period that includes the recent nancial crisis. Our results suggest that oil price changes are the only variable with forecasting power for stock returns. This signi cant predictive ability is robust against the inclusion of other variables and out-of-sample tests. We also study the cross-section of expected stock returns in a conditional CAPM framework based on oil price shocks. Our model displays high statistical signi cance and a better t than all the conditional and unconditional models considered including the Fama French three-factor model. From a practical perspective, ours is a high-frequency, observable variable that has the advantage of being readily available to market-timing investors.Return predictability, business cycle, crude oil, futures prices, asset pricing, conditional CAPM

The Galactic Disk Distribution of Planetary Nebulae with Warm Dust Emission Features: II

Can the distribution of warm-dust compositions in IR-bright galactic disk PNe be linked to the underlying stellar population? The PNe with warm dust emission represent a homogeneous population, which is presumably young and minimally affected by a possible dependence of PN lifetime on progenitor mass. The sample in paper I thus allows testing the predictions of single star evolution, through a comparison with synthetic distributions and under the assumption that tip-of-the-AGB and PN statistics are similar. We construct a schematic model for AGB evolution (adapted from Groenewegen & de Jong 1993), whose free-parameters are calibrated with the luminosity function (LF) of C stars in the LMC, the initial-final mass relation, and the range of PN compositions. The observed metallicity gradient and distribution of star forming regions with galactocentric radius (Bronfman et al. 2000) allow us to synthesise the galactic disk PN progenitor population. We find the fraction of O-rich PNe, f(O), is a tight constraint on AGB parameters. For our best model, a minimum PN progenitor mass Mmin=1Msun predicts that about 50% of all young PNe should be O-rich, compared to an observed fraction of 22%; thus Mmin=1.2Msun, at a 2sigma confidence level. By contrast, current AGB models for single stars can account neither for the continuous range of N enrichment (Leisy & Dennefeld 1996), nor for the observation that the majority of very C-rich PNe have Peimbert type I (paper I). f(O) is thus an observable much easier to model. The decrease in f(O) with galactocentric radius, as reported in paper I, is a strong property of the synthetic distribution, independent of Mmin. This trend reflects the sensitivity of the surface temperature of AGB stars and of the core mass at the first thermal pulse to the galactic metallicity gradient.Comment: accepted by MNRA

Consumption and Hedging in Oil Importing Developing Countries

We study the consumption and hedging strategy of an oil-importing developing country that faces multiple crude oil shocks. In our model, developing countries have two particular characteristics: their economies are mainly driven by natural resources and their technologies are less e cient in energy usage. The natural resource exports can be correlated with the crude oil shocks. The country can hedge against the crude oil uncertainty by taking long/short positions in existing crude oil futures contracts. We find that both, ine ciencies in energy usage and shocks to the crude oil price, lower the productivity of capital. This generates a negative income e ect and a positive substitution e ect, because today's consumption is relatively cheaper than tomorrow's consumption. Optimal consumption of the country depends on the magnitudes of these e ects and on its risk-aversion degree. Shocks to other crude oil factors, such as the convenience yield, are also studied. We nd that the persistence of the shocks magni es the income and substitution e ects on consumption, thus a ecting also the hedging strategy of the country. The demand for futures contracts is decomposed in a myopic demand, a pure hedging term and productive hedging demands. These hedging demands arise to hedge against changes in the productivity of capital due to changes in crude oil spot prices. We calibrate the model for Chile and study up to what extent the country's copper exports can be used to hedge the crude oil risk.Crude oil prices, convenience yields, risk management, emerging markets, government policy, two-sector economies

NGC 6302: high-ionization permitted lines. Applying X-SSN synthesis to VLT-UVES spectra

A preliminary VLT-UVES spectrum of NGC 6302 (Casassus et al. 2002, MN), which hosts one of the hottest PN nuclei known (Teff ~ 220000 K; Wright et al. 2011, MN), has been recently analysed by means of X-SSN, a spectrum synthesis code for nebulae (Morisset and P\'equignot). Permitted recombination lines from highly-ionized species are detected/identified for the first time in a PN, and some of them probably for the first time in (Astro)Physics. The need for a homogeneous, high signal-to-noise UVES spectrum for NGC 6302 is advocated.Comment: Poster contribution (2 pages, 1 figure) to IAU Symposium 283: "Planetary Nebulae: An Eye to the Future" held in Puerto de la Cruz, Tenerife, Spain in July 25th-29th 201

Interstellar 12C/13C from CH+ absorption lines: Results from an extended survey

The 12C/13C isotope ratio in the interstellar medium (ISM), and its evolution with time, is an important tracer of stellar yields. Spatial variations of this ratio can be used to study mixing in the ISM. We want to determine this ratio and its spatial variations in the local ISM from CH+ absorption lines in the optical towards early-type stars. The aim is to determine the average value for the local ISM and study possible spatial variations. We observed a large number of early-type stars with Feros to extend the sample of suitable target stars for CH+ isotope studies. The best suited targets were observed with Uves with higher signal-to-noise ratio and spectral resolution to determine the isotope ratio from the interstellar CH+ lines. This study significantly expands the number of 13CH+ detections. We find an average ratio of = 76.27 +- 1.94 or, for f = 1/R, = (120.46 +- 3.02) 10^{-4}. The scatter in f is 6.3 sigma(). This findings strengthens the case for chemical inhomogeneity in the local ISM, with important implications for the mixing in the ISM. Given the large scatter, the present-day value in the ISM is not significantly larger than the solar value, which corresponds to the local value 4.5 Gyr ago.Comment: 11 pages, 16 figures, 2 tables, A&A submitte

Cooling in the shade of warped transition disks

The mass of the gaseous reservoir in young circumstellar disks is a crucial initial condition for the formation of planetary systems, but estimates vary by orders of magnitude. In some disks with resolvable cavities, sharp inner disk warps cast two-sided shadows on the outer rings; can the cooling of the gas as it crosses the shadows bring constraints on its mass? The finite cooling timescale should result in dust temperature decrements shifted ahead of the optical/IR shadows in the direction of rotation. However, some systems show temperature drops, while others do not. The depth of the drops and the amplitude of the shift depend on the outer disk surface density Sigma through the extent of cooling during the shadow crossing time, and also on the efficiency of radiative diffusion. These phenomena may bear observational counterparts, which we describe with a simple one-dimensional model. An application to the HD142527 disk suggests an asymmetry in its shadows, and predicts a >~10deg shift for a massive gaseous disk, with peak Sigma > 8.3 g/cm2. Another application to the DoAr44 disk limits the peak surface density to Sigma < 13g/cm2Comment: accepted to MNRAS Letter