DURATION MOMENTS AND YIELD CURVE MOVEMENTS

In this paper we will analyze the relationship between the value and duration moments of a cash flow and movements in the yield curve. We will show that for changes in the yield curve which can be related to tⁿ , the 1st order changes in the net present value of a cash flow are linearly dependent on the n + lth duration moments, and that the 2nd order changes are dependent on the sum of duration moments of order 2 n + 1 and 2 n + 2. We will use this relationship to tilt tracking portfolios so as to protect them against specific changes in the yield curve.     

The financing decisions of REITs: The case of warrant extensions

In this paper, we examine the warrant price and stock price reactions to the announcement of warrant life extensions by REITs. As predicted by option pricing theory, warrant prices increase in response to these extensions. The stocks of REITs making the extension announcements experience average abnormal returns that are not significantly different from zero. Thus, total firm value appears to increase, with the gains accruing primarily to the warrantholders.     

THE STATISTICAL DISTRIBUTION OF EXTREME VALUES OF WAVE-CURRENT FORCES ACTING ON SLENDER CIRCULAR CYLINDER IN IRREGULAR WAVES

Based on model test,the statistical distribution of extreme values of wave-current in-line forces acting on vertical circular cylinder is analyzed in this paper.It is shownthat the results calculated by the simplified method,proposed by authors,agree well with the testdata;Weibull distribution is also adoptable in the region of high KC number, and the shapeparameter a and scale parameter β are related well with KC number respectively.     

Contrarian Investment in the Dutch Stock Market

The efficient markets hypothesis states that at any times security prices fully reflect all available information. Contrarian investment strategies do not recognize the efficiency of capital markets. They call for buying undervalued stocks, i.e. stocks with a low price relative to their fundamentals. The idea behind such a strategy is to take advantage of the extrapolation behaviour of naive investors. Using a fresh and extensive data set from the Dutch stock market, we found that these strategies yield an outperformance without a higher risk. Our results make it hard to maintain the efficient market hypothesis.     

Conditions for reliable dewatering systems based on voidless drainage in slightly permeable soils

Conclusions 1. Use of dewatering systems based on voidless drainage is most effective when dewatering slightly permeable soils in regions with a deep seasonal frost. 2. Two-story drainage with the upper and lower stories spaced 30 m apart accelerates the discharge of gravitational water from the arable layer. Results of observations on two-story drainage in experimental-production sections indicated that it discharges 2 – 3.8 times more water than systematic tubular drainage with an interdrain spacing of 10 m and a 0.2-m thick three-dimensional filter of a sandy-gravelly mixture. 3. It is recommended to use crushed stone and porous-clay gravel with a fineness of 10 – 20 mm as a filler. In that case, protection of the drain filler is, as a rule, required only from the intrusion of soil from above during construction in cohesive soils with a plasticity indexW _p≥7. 4. seepage rate in a voidless drain should be lower than the scouring velocity for the soil in which the voidless drainage is placed. In the opposite case, it is necessary to lower the grade of the drains or select a filler gradation such that the seepage rate in the drain be lower than the scouring velocity. Translated from Gidrotekhnicheskoe Stroitel’stvo, No. 8, pp. 41–43, August, 1998.     

DIRECT RESONANCE OF TURBULENT BOUNDARY LAVER OVER COMPLIANT WALLS

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