The Asymmetric Effect of the Business Cycle on the Realtion between Stock Market Returns and their Volatility

We examine the relation between US stock market returns and the US business cycle for the period 1960 - 2003 using a new methodology that allows us to estimate a time-varying equity premium. We identify two channels in the transmission mechanism. One is through the mean of stock returns via the equity risk premium, and the other is through the volatility of returns. We provide support for previous findings based on simple correlation analysis that the relation is asymmetric with downturns in the business cycle having a greater negative impact on stock returns than the positive effect of upturns. We also obtain a new result, that demand and supply shocks affect stock returns differently. Our model of the relation between returns and their volatility encompasses CAPM, consumption CAPM and Merton's (1973) inter-temporal CAPM. It is implemented using a multi-variate GARCH-in-mean model with an asymmetric time-varying conditional heteroskedasticity and correlation structure.Equity returns, risk premium, asymmetry

An Asset Market Integration Test Based on Observable Macroeconomic Stochastic Discount Factors

There are a number of tests and measures of the degree of integration in the literature. An example is the idea that integrated markets should provide rates of return that are highly correlated with one another and that a measure of correlation provides an appropriate test. This particular idea is clearly false; for substantial periods of time we don't ever see stocks traded on the same market moving together. Specific models of what prices risk in individual markets could provide the basis of a test of integration. However, as has been widely shown, any differences between these pricing models will be subject to arbitrage by informed traders and so cannot form the basis for a test. In this paper we exploit the absence of arbitrage possibilities and the operation of the 'Law of One Price' in stochastic discount factor (SDF) theory to construct a test of integration based on a common approach to pricing assets in all markets, not only for stocks. The SDF approach that we adopt says that one SDF should price all assets as the model is not market or asset-specific.Unlike much of the literature, we adopt a direct parametric approach which takes estimates of an identical SDF from two asset markets and asks whether the price of risk associated with this SDF is the same for the two assets as SDF theory says it should. Another distinctive feature of our approach is that we employ observable macroeconomic factors. This allows us to estimate and compare the estimated risk premia in the markets concerned, with and without the integration restriction being applied. The paper uses this methodology to test market integration between the UK equity and FOREX markets. Our test rejects market integration for the consumption-based capital asset pricing model (CCAPM) and two variable SDF models based on consumption growth and inflation and on output and money growth. As equity and FOREX returns have a similar degree of variability, the finding that the risk premium in the FOREX market is generally much more variable than that in the equity market may contribute to the the test outcome.

Macroeconomic Sources of Equity Risk

There are very few estimates of a time-varying equity risk premium based on models that satisfy a no-arbitrage condition. The main aim of this paper is to estimate the US and UK equity risk premia implied by a number of well-known asset pricing models using monthly data for 1975-2001. The models include consumption-based CAPM with power utility, the Epstein-Zin general equilibrium model with time non-separable preferences, CAPM, and the SDF model. We show that most of the theoretical models of the equity risk premium that have been proposed in the literature are special cases the SDF model. We explain why some of them are unable to do this as formulated. In addition to examining existing theories of the equity risk premium, we use the SDF model to generate new theories. We find that macroeconomic variables not previously considered, and not consistent with standard general equilibrium theory, such as production, appear to be priced for the equity risk premium. This suggests that traditional general equilibrium considerations may not be the sole explanation for the equity risk premium; other short-term factors associated with pure price risk may also be involved. A related, and rapidly growing, literature adopts a more statistical approach. It focusses on the empirical relation between the return on equity (or the Sharpe ratio) and return volatility. We use SDF theory to show that this relation is misconceived. The reason for the absence of estimates of the equity risk premium is the difficulty of estimating it. Most of the empirical evidence on these asset pricing models is based on calibration, or the estimation of the Euler equation by GMM, neither of which delivers an estimate of the risk premium. We use a new empirical approach that does produce estimates of the risk premium and allows tests of the theories. As a result we provide the first estimates of the equity risk premium for some of these models. We then use our estimates to investigate the importance of different components of the equity risk premium including, amongst others, return volatility.

The negative acute phase response of serum transthyretin following Streptococcus suis infection in the pig

Peer reviewedPublisher PD

SU(2)-invariant spin-1/2 Hamiltonians with RVB and other valence bond phases

We construct a family of rotationally invariant, local, S=1/2 Klein Hamiltonians on various lattices that exhibit ground state manifolds spanned by nearest-neighbor valence bond states. We show that with selected perturbations such models can be driven into phases modeled by well understood quantum dimer models on the corresponding lattices. Specifically, we show that the perturbation procedure is arbitrarily well controlled by a new parameter which is the extent of decoration of the reference lattice. This strategy leads to Hamiltonians that exhibit i) $Z_2$ RVB phases in two dimensions, ii) U(1) RVB phases with a gapless ``photon'' in three dimensions, and iii) a Cantor deconfined region in two dimensions. We also construct two models on the pyrochlore lattice, one model exhibiting a $Z_2$ RVB phase and the other a U(1) RVB phase.Comment: 16 pages, 15 figures; 1 figure and some references added; some minor typos fixe

Intra- and inter-day reliability of weightlifting variables and correlation to performance during cleans

The purpose of this investigation was to examine intra- and inter-day reliability of kinetic and kinematic variables assessed during the clean, assess their relationship to clean performance, and determine their suitability in weightlifting performance analysis. Eight competitive weightlifters performed 3 sets of single repetition cleans with 90% of their one-repetition maximum. Force-time data were collected via dual force plates with displacement-time data collected via 3-dimensional motion capture, on three separate occasions under the same testing conditions. Seventy kinetic and kinematic variables were analyzed for intra- and inter-day reliability using intraclass correlation coefficients (ICC) and the coefficient of variation (CV). Pearson’s correlation coefficients were calculated to determine relationships between barbell and body kinematics and ground reaction forces and for correlations to be deemed as statistically significant, an alpha-level of p ≤ 0.005 was set. Eleven variables were found to have ‘good’ to ‘excellent’ intra- and inter-day ICC (0.779-0.994 and 0.974-0.996, respectively) and CV (0.64-6.89% and 1.14-6.37%, respectively), with strong correlations (r = 0.880-0.988) to cleans performed at 90% 1RM. Average resultant force of the weighting 1 (W1) phase demonstrated the best intra- and inter-day reliability (ICC = 0.994 and 0.996 respectively), and very strong correlation (r = 0.981) to clean performance. Average bar power from point of lift off to peak bar height exhibited the highest correlation (r = 0.988) to clean performance. Additional reliable variables with strong correlations to clean performance were found, many of these occurred during or included the W1 phase, which suggests coaches should pay particular attention to the performance of the W1 phase

Bond-versus-site doping models for off-chain-doped Haldane-gap system Y2_2 Ba Ni O5_5

Using the density matrix renormalization-group technique, we calculate the impurity energy levels for two different effective models of off-chain doping for quasi-one-dimensional Heisenberg chain compound Y$_2$ Ba Ni O$_5$: ferromagnetic bond doping and antiferromagnetic site spin-1/2 doping. Thresholds of the impurity strength for the appearance of localized states are found for both models. However, the ground-state and low-energy excitations for weak impurity strength are different for these two models and the difference can be detected by experiments.Comment: 5 pages, 5 eps figures included, to be published in Phys. Rev.