The relative effectiveness of sterilized and non sterilized foreign exchange market interventions

This paper examines the impact of non sterilized and sterilized foreign exchange market operations on both the exchange rate and domestic interest rate within the context of a rational expectations portfolio balance model. The results show that non sterilized intervention will be more effective than sterilized intervention in affecting both the exchange rate and domestic interest rate. Both types of operations affect a market risk premium that is shown to be a function of relative asset supplies in the hands of the private sector. When domestic and foreign bonds are perfect substitutes, the risk premium vanishes and so to does the effectiveness of sterilized foreign exchange market interventions

Brexit and its Impact on the Pound in the Foreign Exchange Market

In this paper we outline the impact and likely future impact of Brexit on the pound. We argue that Brexit implies a significant depreciation of the pound and the degree of depreciation required is heavily linked to whether there will be a soft or hard Brexit. We find that the pound has had broadly similar depreciations to date against both the dollar and the euro. Brexit has considerably raised UK economic policy uncertainty and this, in turn, has at times led to an significant increase in future implied volatility of the pound. While there is an overall link between the state of the ongoing Brexit negotiations with the European Union and movements in the pound in the foreign exchange market, the link is not especially strong unless the perception that the negotiations are going badly has exceeded 60%

An Empirical Investigation of the Performance of Japanese Mutual Funds: Skill or Luck?

This paper assesses the performance of 355 actively managed Japanese Equity Mutual Funds between April 2011 and April 2016. The equal weight portfolio and Jensen’s alpha measures of active management provide strong evidence that Japanese Mutual Funds fail to outperform the benchmark four-factor capital asset pricing model. When it comes to market timing, the Treynor and Mazuy measure shows that 33 funds have significant positive market timing ability which is largely offset by 31 funds with significant negative timing ability. To ensure the statistical inference is robust to the non-normality found in 33 funds we employ Fama and French’s cross-sectional bootstrap. The results show that a large proportion of funds fail to outperform a hypothetical world with no skill. On the persistence of skill we find that there is stronger persistence for poor performing funds than for strong performing funds

An Empirical Investigation of the Performance of Japanese Mutual Funds: Skill or Luck?

This paper assesses the performance of 355 actively managed Japanese Equity Mutual Funds between April 2011 and April 2016. The equal weight portfolio and Jensen’s alpha measures of active management provide strong evidence that Japanese Mutual Funds fail to outperform the benchmark four-factor capital asset pricing model. When it comes to market timing, the Treynor and Mazuy measure shows that 33 funds have significant positive market timing ability which is largely offset by 31 funds with significant negative timing ability. To ensure the statistical inference is robust to the non-normality found in 33 funds we employ Fama and French’s cross-sectional bootstrap. The results show that a large proportion of funds fail to outperform a hypothetical world with no skill. On the persistence of skill we find that there is stronger persistence for poor performing funds than for strong performing funds

Detecting the Presence of Informed Price Trading Via Structural Break Tests

The occurrence of abnormal returns before unscheduled announcements is usually identified with informed price movements. Therefore, the detection of these observations beyond the range of returns due to the normal day-to-day activity of financial markets is a concern for regulators monitoring the right functioning of financial markets and for investors concerned about their investment portfolios. In this article we introduce a novel method to detect informed price movements via structural break tests for the intercept of an extended CAPM model describing the risk premium of financial returns. These tests are based on the use of a U-statistic type process that is sensitive to detecting changes in the intercept that occur very early in the evaluation period and that can be used to construct a consistent estimator of the timing of the change. As a byproduct, we show that estimators of the timing of change constructed from standard CUSUM statistics are inconsistent and therefore fail to provide useful information about the presence of informed price movements

The Anthropoid Postcranial Axial Skeleton: Comments on Development, Variation, and Evolution

Within-species phenotypic variation is the raw material on which natural selection acts to shape evolutionary change, and understanding more about the developmental genetics of intraspecific as well as interspecific phenotypic variation is an important component of the Evo-Devo agenda. The axial skeleton is a useful system to analyze from such a perspective. Its development is increasingly well understood, and between-species differences in functionally important developmental parameters are well documented. I present data on intraspecific variation in the axial postcranial skeleton of some Primates, including hominoids (apes and humans). Hominoid species are particularly valuable, because counts of total numbers of vertebrae, and hence original somite numbers, are available for large samples. Evolutionary changes in the axial skeleton of various primate lineages, including bipedal humans, are reviewed, and hypotheses presented to explain the changes in terms of developmental genetics. Further relevant experiments on model organisms are suggested in order to explore more fully the differences in developmental processes between primate species, and hence to test these hypotheses.Anthropolog

Tertiary Pongidae of East Africa: Evolutionary relationships and taxonomy

Recently recovered pongid specimens of Dryopithecus (Proconsul) major from Moroto and Napak in Uganda are described and compared to material of the same species from Songhor and Koru in Kenya….https://elischolar.library.yale.edu/peabody_museum_natural_history_bulletin/1030/thumbnail.jp