Return Predictability under Equilibrium Constraints on the Equity Premium

This paper proposes a new approach for incorporating theoretical constraints on return forecasting models such as non-negativity of the conditional equity premium and sign restrictions on the coefficients linking state variables to the equity premium. Our approach makes use of Bayesian methods that update the estimated parameters at each point in time in a way that optimally exploits information in these constraints. Using a variety of predictor variables from the literature on predictability of stock returns, we find that theoretical constraints have an important effect on the coefficient estimates and can significantly reduce biases and estimation errors in these. In out-of-sample forecasting experiments we find that models that exploit the theoretical restrictions produce better forecasts than unconstrained models.Return Predictability, Constraints, Out-of-Sample Forecasts

Network Centrality and Delegated Investment Performance

We document a positive relation between network centrality and risk-adjusted performance in a delegated investment management setting. More connected managers take more portfolio risk and receive higher investor flows, consistent with these managers improving their ability to exploit investment opportunities through their network connections. Greater network connections are shown to be particularly important in reducing the diseconomies-of-scale for large managers who are well-connected. We also use the exogenous merger of two investment consultants, which creates a sudden change in the network connections of the managers they oversee, to provide evidence that a greater number of connections translates into better portfolio performance

European-wide forest monitoring substantiate the neccessity for a joint conservation strategy to rescue European ash species (Fraxinus spp.)

European ash (Fraxinus excelsior) and narrow-leafed ash (F. angustifolia) are keystone forest tree species with a broad ecological amplitude and significant economic importance. Besides global warming both species are currently under significant threat by an invasive fungal pathogen that has been spreading progressively throughout the continent for almost three decades. Ash dieback caused by the ascomycete Hymenoscyphus fraxineus is capable of damaging ash trees of all age classes and often ultimately leads to the death of a tree after years of progressively developing crown defoliation. While studies at national and regional level already suggested rapid decline of ash populations as a result of ash dieback, a comprehensive survey at European level with harmonized crown assessment data across countries could shed more light into the population decline from a pan-European perspective and could also pave the way for a new conservation strategy beyond national boarders. Here we present data from the ICP Forests Level I crown condition monitoring from 27 countries resulting in > 36,000 observations. We found a substantial increase in defoliation and mortality over time indicating that crown defoliation has almost doubled during the last three decades. Hotspots of mortality are currently situated in southern Scandinavia and north-eastern Europe. Overall survival probability after nearly 30 years of infection has already reached a critical value of 0.51, but with large differences among regions (0.20–0.86). Both a Cox proportional hazard model as well as an Aalen additive regression model strongly suggest that survival of ash is significantly lower in locations with excessive water regime and which experienced more extreme precipitation events during the last two decades. Our results underpin the necessity for fast governmental action and joint rescue efforts beyond national borders since overall mean defoliation will likely reach 50% as early as 2030 as suggested by time series forecasting.European-wide forest monitoring substantiate the neccessity for a joint conservation strategy to rescue European ash species (Fraxinus spp.)publishedVersio

Sensitivity of the Atlantic meridional overturning circulation to South Atlantic freshwater anomalies

The sensitivity of the Atlantic Meridional Overturning Circulation (AMOC) to changes in basin integrated net evaporation is highly dependent on the zonal salinity contrast at the southern border of the Atlantic. Biases in the freshwater budget strongly affect the stability of the AMOC in numerical models. The impact of these biases is investigated, by adding local anomaly patterns in the South Atlantic to the freshwater fluxes at the surface. These anomalies impact the freshwater and salt transport by the different components of the ocean circulation, in particular the basin-scale salt-advection feedback, completely changing the response of the AMOC to arbitrary perturbations. It is found that an appropriate dipole anomaly pattern at the southern border of the Atlantic Ocean can collapse the AMOC entirely even without a further hosing. The results suggest a new view on the stability of the AMOC, controlled by processes in the South Atlantic. <br/

Integrated analysis of Xist upregulation and gene silencing at the onset of random X-chromosome inactivation at high temporal and allelic resolution

To ensure dosage compensation between the sexes, one randomly chosen X chromosome is silenced in each female cell in the process of X-chromosome inactivation (XCI). XCI is initiated during early development through upregulation of the long non-coding RNA Xist, which mediateschromosome-wide gene silencing. Cell differentiation, Xist upregulation and silencing are thought tobe coupled at multiple levels to ensure inactivation of exactly one out of two X chromosomes. Here we perform an integrated analysis of all three processes through allele-specific single-cellRNA-sequencing. Specifically, we assess the onset of random XCI with high temporal resolution indifferentiating mouse embryonic stem cells, and develop dedicated analysis approaches. By exploitingthe inter-cellular heterogeneity of XCI onset, we identify Nanog downregulation as its main trigger and discover additional putative Xist regulators. Moreover, we confirm several predictions of thestochastic model of XCI where monoallelic silencing is thought to be ensured through negativefeedback regulation. Finally, we show that genetic variation modulates the XCI process at multiplelevels, providing a potential explanation for the long-known Xce effect, which leads to preferentialinactivation of a specific X chromosome in inter-strain crosses. We thus draw a detailed picture of thedifferent levels of regulation that govern the initiation of XCI. The experimental and computationalstrategies we have developed here will allow us to profile random XCI in more physiological contexts,including primary human cells in vivo

New procedures for testing whether stock price processes are martingales

We propose procedures for testing whether stock price processes are martingales based on limit order type betting strategies. We first show that the null hypothesis of martingale property of a stock price process can be tested based on the capital process of a betting strategy. In particular with high frequency Markov type strategies we find that martingale null hypotheses are rejected for many stock price processes

Alternative splicing coupled mRNA decay shapes the temperature‐dependent transcriptome

Mammalian body temperature oscillates with the time of the dayand is altered in diverse pathological conditions. We recently iden-tified a body temperature-sensitive thermometer-like kinase,which alters SR protein phosphorylation and thereby globallycontrols alternative splicing (AS). AS can generate unproductivevariants which are recognized and degraded by diverse mRNAdecay pathways—including nonsense-mediated decay (NMD). Herewe show extensive coupling of body temperature-controlled AS tomRNA decay, leading to global control of temperature-dependentgene expression (GE). Temperature-controlled, decay-inducingsplicing events are evolutionarily conserved and pervasively foundwithin RNA-binding proteins, including most SR proteins. AS-coupledpoison exon inclusion is essential for rhythmic GE of SR proteins andhas a global role in establishing temperature-dependent rhythmicGE profiles, both in mammals under circadian body temperaturecycles and in plants in response to ambient temperature changes.Together, these data identify body temperature-driven AS-coupledmRNA decay as an evolutionary ancient, core clock-independentmechanism to generate rhythmic GE