Asset Pricing Theories, Models, and Tests

An important but still partially unanswered question in the investment field is why different assets earn substantially different returns on average. Financial economists have typically addressed this question in the context of theoretically or empirically motivated asset pricing models. Since many of the proposed “risk” theories are plausible, a common practice in the literature is to take the models to the data and perform “horse races” among competing asset pricing specifications. A “good” asset pricing model should produce small pricing (expected return) errors on a set of test assets and should deliver reasonable estimates of the underlying market and economic risk premia. This chapter provides an up-to-date review of the statistical methods that are typically used to estimate, evaluate, and compare competing asset pricing models. The analysis also highlights several pitfalls in the current econometric practice and offers suggestions for improving empirical tests

A Field-Induced Re-Entrant Novel Phase and A Ferroelectric-Magnetic Order Coupling in HoMnO3

A re-entrant novel phase has been observed in the hexagonal ferroelectric HoMnO3 in the presence of magnetic fields, in the temperature ranges defined by the plateau of the dielectric constant anomaly. The dielectric plateau evolves with fields from a narrow sharp dielectric peak at the Mn-spin rotation transition at 32.8 K in zero magnetic field. Such a field-induced dielectric plateau anomaly appears both in the temperature sweep at a constant field and in the field sweep at a constant temperature without detectable hysteresis. This is attributed to the indirect coupling between the ferroelectric and antiferromagnetic orders, arising from an antiferromagnetic domain wall effect, where the magnetic order parameter of the Mn subsystem has to change sign across the ferroelectric domain wall in the compound, that influences the ferroelectric domains via a local magnetostrictive effect

Temperature-Dependent Polarized Raman Spectra of CaFe2O4

The Raman spectra of CaFe2O4 were measured with several exact scattering configurations between 20 and 520K and the symmetry of all observed Raman lines was determined. The Ag and B2g lines were assigned to definite phonon modes by comparison to the results of lattice dynamical calculations. No anomaly of phonon parameters was observed near the magnetic ordering temperature TN = 160K.Comment: 4 pages, 1 table, 4 figure

Short-Range B-site Ordering in Inverse Spinel Ferrite NiFe2O4

The Raman spectra of single crystals of NiFe2O4 were studied in various scattering configurations in close comparison with the corresponding spectra of Ni0.7Zn0.3Fe2O4 and Fe3O4. The number of experimentally observed Raman modes exceeds significantly that expected for a normal spinel structure and the polarization properties of most of the Raman lines provide evidence for a microscopic symmetry lower than that given by the Fd-3m space group. We argue that the experimental results can be explained by considering the short range 1:1 ordering of Ni2+ and Fe3+ at the B-sites of inverse spinel structure, most probably of tetragonal P4_122/P4_322 symmetry.Comment: 10 pages, 5 figures, 6 table

Pressure induced enhancement of ferroelectricity in multiferroic RRMn2_2O5_5(RR=Tb,Dy, and Ho)

Measurements of ferroelectric polarization and dielectric constant were done on $R$Mn$_2$O$_5$ ($R$=Tb, Dy, and Ho) with applied hydrostatic pressures of up to 18 kbar. At ambient pressure, distinctive anomalies were observed in the temperature profile of both physical properties at critical temperatures marking the onset of long range AFM order (T$_{N1}$), ferroelectricity (T$_{C1}$) as well as at temperatures when anomalous changes in the polarization, dielectric constant and spin wave commensurability have been previously reported. In particular, the step in the dielectric constant at low temperatures (T$_{C2}$), associated with both a drop in the ferroelectric polarization and an incommensurate magnetic structure, was shown to be suddenly quenched upon passing an $R$-dependent critical pressure. This was shown to correlate with the stabilization of the high ferroelectric polarization state which is coincident with the commensurate magnetic structure. The observation is suggested to be due to a pressure induced phase transition into a commensurate magnetic structure as exemplified by the pressure-temperature ($p$-$T$) phase diagrams constructed in this work. The $p$-$T$ phase diagrams are determined for all three compounds.Comment: 8 pages, 6 figures, submitted for review in Phys. Rev.

Raman and Infrared-Active Phonons in Hexagonal HoMnO3_3 Single Crystals: Magnetic Ordering Effects

Polarized Raman scattering and infrared reflection spectra of hexagonal HoMnO$_3$ single crystals in the temperature range 10-300 K are reported. Group-theoretical analysis is performed and scattering selection rules for the second order scattering processes are presented. Based on the results of lattice dynamics calculations, performed within the shell model, the observed lines in the spectra are assigned to definite lattice vibrations. The magnetic ordering of Mn ions, which occurs below T$_N$=76 K, is shown to effect both Raman- and infrared-active phonons, which modulate Mn-O-Mn bonds and, consequently, Mn exchange interaction.Comment: 8 pages, 6 figure

Phonon and magnon scattering of antiferromagnetic Bi2Fe4O9

The phonon structure of antiferromagnetic Bi2Fe4O9 (space group Pbnm No. 55, TN≈240  K) was studied theoretically by calculations of lattice dynamics and experimentally between 10 and 300 K by polarized Raman spectroscopy. Most of the 12Ag+12B1g+9B2g+9B3g Raman modes were unambiguously identified. Strong second-order scattering was observed for ab-plane-confined incident and scattered light polarizations. In addition to the phonon-scattering, broad Raman bands with typical characteristics of magnon scattering appear below TN. The magnon bands are analyzed on the basis of magnetic structure of Bi2Fe4O9 and attributed to two- magnon excitations

Metal-to-insulator transition and magnetic ordering in CaRu_{1-x}Cu_xO_3

CaRuO_3 is perovskite with an orthorhombic distortion and is believed to be close to magnetic ordering. Magnetic studies of single crystal and polycrystalline CaRu_{1-x}Cu_xO_3 (0\le x \le 15 at.%Cu) reveal that spin-glass-like transition develops for x\le 7 at.%Cu and obtained value for effective magnetic moment p_{eff}=3.55 mu_B for x=5 at.% Cu, single crystal, indicates presence of Ru^{5+}. At higher Cu concentrations more complex magnetic behaviors are observed. Electrical resistivity measured on polycrystalline samples shows metal-to-insulator transition (MIT) at 51 K for only 2 at.% Cu. Charge compensation, which is assumed to be present upon Cu^{2+/3+} substitution, induces appearance of Ru^{5+} and/or creation of oxygen vacancies in crystal structure. Since the observed changes in physical properties are completely attributable to the charge compensation, they cannot be related to behaviors of pure compound where no such mechanism is present. This study provides the criterion for "good" chemical probes for studying Ru-based perovskites.Comment: 12 pages, 7 figure