Structural The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness

We introduce the Homoscedastic Gamma [HG] model where the distribution of returns is characterized by its mean, variance and an independent skewness parameter under both measures. The model predicts that the spread between historical and risk-neutral volatilities is a function of the risk premium and of skewness. In fact, the equity premium is twice the ratio of the volatility spread to skewness. We measure skewness from option prices and test these predictions. We find that conditioning on skewness increases the predictive power of the volatility spread and that coefficient estimates accord with theory. In short, the data do not reject the model's implications for the equity premium. We also check the model's implications for option pricing and show that the information content of skewness leads to improved in-sample and out-of-sample pricing performances as well as improved hedging performances. Our results imply that expanding around the Gaussian density is restrictive and does not offer sufficient flexibility to match the skewness and kurtosis implicit in option data. Finally, we document the term structure of option-implied volatility, skewness and kurtosis and find that time-dependence in returns has a greater impact on skewness.Financial markets

Risk premium, variance premium and the maturity structure of uncertainty

Theoretical risk factors underlying time-variations of risk premium across asset classes are typically unobservable or hard to measure by construction. Important examples include risk factors in Long Run Risk [LRR] structural models (Bansal and Yaron 2004) as well as stochastic volatility or jump intensities in reduced-form affine representations of stock returns (Duffie, Pan, and Singleton 2000). Still, we show that both classes of models predict that the term structure of risk-neutral variance should reveal these risk factors. Empirically, we use model-free measures and construct the ex-ante variance term structure from option prices. This reveals (spans) two risk factors that predict the bond premium and the equity premium, jointly. Moreover, we find that the same risk factors also predict the variance premium. This important contribution is consistent with theory and confirms that a small number of factors underlies common time-variations in the bond premium, the equity premium and the variance premium. Theory predicts that the term structure of higher-order risks can reveal the same factors. This is confirmed in the data. Strikingly, combining the information from the variance, skewness and kurtosis term structure can be summarized by two risk factors and yields similar level of predictability (i.e., R2s). This bodes well for our ability to bridge the gap between the macro-finance literature, which uses very few state variables, and valuations in option markets

Free Radical Copolymerization of 2,2,2-Trifluoroethyl a-Fluoroacrylate and tert-Butyl a-Trifluoromethylacrylate: Thermal and Optical Properties of the Copolymers

International audienceThe radical copolymerization of 2,2,2-trifluoroethyl a-fluoroacrylate (FATRIFE) with tert-butyl a-trifluoromethylacrylate (MAF-TBE) initiated by tertbutyl 2,2-dimethylperoxypropanoate was investigated in acetonitrile solution. A series of poly(FATRIFE-co-MAF-TBE) copolymers were synthesized with MAF-TBE compositions, determined by 19F NMR, ranging from 12 to 44 mol %. MAF-TBE incorporation was less than 50 mol % as this monomer underwent no radical homopolymerization. The obtained copolymers exhibited number-average molecular weights and polydispersity indexes ranging from 1.5 3 104 to 9.6 3 104 g/mol and from 1.5 to 3.1, respectively. The reactivity ratios were determined by the Kelen-Tu¨ dos method (rFATRIFE ¼ 1.71 6 0.01 and rMAF-TBE ¼ 0 at 74 8C) leading to random copolymers and alternating copolymers when the MAF-TBE molar ratio in copolymer is close to 50 mol %. Thermal and optical properties of the resulting polymers were examined. Glass transition temperatures of copolymers were varying from 89 to 108 8C. Modifying the compositions of these copolymers allowed a precise control over the refractive index measured at 633, 1320, and 1550 n

Reproductive Cycle and Plasma Levels of Sex Steroids in Female Eurasian Perch Perca Fluviatilis

From April 1995 to April 1996, the annual reproductive cycle of the Eurasian perch Perca fluviatilis was studied at the Fishfarming Lindre Center (Moselle, France). At monthly intervals (at intervals of 10 days during the periovulatory period), 5 females were caught and dissected. From sampled organs, the gonado-, hepato- and viscerosomatic indexes (GSI, HSI, VSI) were calculated, oocyte diameters (OD) and the plasma levels of testosterone (T), 17P-estradiol (E2), 17,20P-dihydroxy-4-pregnen-3-one (17,2Op-P) and protein-phosphorus (PPP) were measured. After the sexual resting period observed from May to August (GSI \u3c 1 %, OD \u3c 200 urn, VSI = 4-6 %), oogenesis began in September when the water temperature decreased from 26.4 to 14.1 “C. The GSI increased progressively until mid March (15 %), then rapidly until spawning (25 %, OD = 850 urn) which occurred in April (14- 15 “C). The plasma levels of T, E,, 17,2Op-P and PPP were low during the sexual resting period. E, and PPP levels increased significantly at the onset of the oogenesis in September, then the E, level raised abruptly in November (3-4 ng mL-‘). In December, the T level increased rapidly to 15-20 ng . mL-’ The testosterone, E, and PPP levels remained very high until spawning, indicating the existence of active vitellogenesis. The highest HSI (2.1-2.2 %) recorded in winter confirmed this. During the periovulatory period, a peak of E, (4 ng . mL-‘) appeared, whereas T level diminished. In this study, 17,2Op-P levels remained low (0.2-0.6 ng mL-‘) and relatively constant. No 17,2Op-P peak was observed during the periovulatory period. Sampling at 10 day intervals was probably inadequate to specify the hormonal variations related to the final oocyte maturation and the ovulation. 0 Ifremer-Elsevier, Paris

95Mo nuclear magnetic resonance parameters of molybdenum hexacarbonyl from density functional theory: appraisal of computational and geometrical parameters.

International audienceSolid-state (95)Mo nuclear magnetic resonance (NMR) properties of molybdenum hexacarbonyl have been computed using density functional theory (DFT) based methods. Both quadrupolar coupling and chemical shift parameters were evaluated and compared with parameters of high precision determined using single-crystal (95)Mo NMR experiments. Within a molecular approach, the effects of major computational parameters, i.e. basis set, exchange-correlation functional, treatment of relativity, have been evaluated. Except for the isotropic parameter of both chemical shift and chemical shielding, computed NMR parameters are more sensitive to geometrical variations than computational details. Relativistic effects do not play a crucial part in the calculations of such parameters for the 4d transition metal, in particular isotropic chemical shift. Periodic DFT calculations were tackled to measure the influence of neighbouring molecules on the crystal structure. These effects have to be taken into account to compute accurate solid-state (95)Mo NMR parameters even for such an inorganic molecular compound

Octahedral niobium cluster-based solid state halides and oxyhalides: effects of the cluster condensation via an oxygen ligand on electronic and magnetic properties

International audienceThe influences of an oxygen ligand on the structural, magnetic and electronic properties of octahedral niobium cluster-based oxides and oxychlorides are reported. The Nb6 metal cluster is edge-bridged by twelve inner ligands and additionally bonded to six apical ligands to form Nb6Li12La6 units (L = Cl, O) wherein oxygen and chlorine are perfectly ordered. Oxygen favours the interconnection of clusters via double Oi-a/Oa-i bridges in a similar way to the double Si-a/Sa-i bridges found in Chevrel phases based on face capped Mo6Li8La6 units. Periodic density functional theory (DFT) calculations confirm that increasing the number of inner oxygen ligands at the expense of chlorine atoms favours the 14 metal-electron (ME) count per octahedral cluster unit. It is also shown that weak interactions occur between neighbouring clusters. Indeed, magnetic measurements performed on AxNb6Cl12O2 (A = Rb, x = 0.816(8); A = Cs, x = 1) series containing 15-ME species evidence antiferromagnetic interactions at low temperatures. Broken-symmetry DFT calculations of exchange parameters within spin dimer analysis confirm the experimental results

Reproductive Cycle and Plasma Sex Steroid Profiles in Male Eurasian Perch Perca Fluviatilis

From April 1995 to April 1996, the annual reproductive cycle of male Eurasian perch Perca fluviatilis was studied at the Lindre Center (Moselle, France). At monthly intervals, five males (mean body weight of 133 ± 43 g and total length of 175 ± 9 mm) were caught. From sampled organs, the gonadosomatic (GSI), hepatosomatic (HSI) and viscerosomatic indexes (VSI) were calculated and plasma testosterone (T) and 11-ketotestosterone (11KT) levels were measured. After the spawning period in mid-April, GSI and HSI dropped and VSI increased to 3.8 ± 0.1 %. In September, GSI reached its maximum (8.5 ± 1.8 %). At this time, spermatocytes, spermatids and spermatozoa were abundant, whereas in June only spermatogonia were observed. During winter, GSI was stable at approximately 5 %, HSI reached its maximum (1.9 ± 0.3 %) and VSI was low (2.6 ± 0.2 %). From April to November 1995, plasma T and 11KT concentrations were low (\u3c 0.5 ng·mL–1). Plasma T levels increased significantly in December and reached peak levels (12.3 ± 2.1 ng·mL–1) in January, then decreased in February and increased again until spawning in April (6.8 ± 2.1 ng·mL–1). This second elevation could be related to the beginning of a new spermatogenic cycle. Plasma levels of 11KT increased significantly from October to February 1996 (4.9 ± 1.1 ng·mL–1). From February to the spawning period (April 1996), plasma 11KT decreased significantly, but values were significantly higher than those measured in fall. Males were spermiating from January to spawning in April. © 2000 Ifremer/Cnrs/Inra/Ird/Cemagref/Éditions scientifiques et médicales Elsevier SA

Exploring and Exploiting Algebraic and Graphical Properties of Resolution

International audienceIntegrating an SMT solver in a certified environment such as an LF-style proof assistant requires the solver to output proofs. Unfortunately, those proofs may be quite large, and the overhead of rechecking the proof may account for a significant fraction of the proof time. In this paper we explore techniques for reducing the sizes of propositional proofs, which are at the core of SMT proofs. Our techniques are justified in an algebra of resolution and rely on a graph-theoretical representation of proofs that allows us to detect the potential for reordering and combining resolution inferences

NP-completeness of small conflict set generation for congruence closure

International audienceThe efficiency of Satisfiability Modulo Theories (SMT) solvers is dependent on the capability of theory reasoners to provide small conflict sets, i.e. small unsatisfiable subsets from unsatisfiable sets of literals. Decision procedures for uninterpreted symbols (i.e. congruence closure algorithms) date back from the very early days of SMT. Nevertheless, to the best of our knowledge , the complexity of generating smallest conflict sets for sets of literals with uninterpreted symbols and equalities had not yet been determined, although the corresponding decision problem was believed to be NP-complete. We provide here an NP-completeness proof, using a simple reduction from SAT