Futures prices and inflation information

This study examines the timing and speed with which inflation futures prices absorb inflation information. Results of the study show that inflation futures prices already reflect the expected inflation. Moreover, 71% of unexpected inflation has been reflected in futures prices about 25 business days prior to the Consumer Price Index (CPI) announcement, which usually coincides with the end of the CPI measurement period. Reaction to the remaining 29% occurs on and shortly after the CPI announcement date, especially on day 0 and day 2. The inflation risk premium that investors are willing to pay to avoid uncertain inflation is estimated to be 1.41% per annum.     

一种基于信号机制在UNIX实时应用中快速传递信息的方法

在多进程的实时应用程序中，进程之间往往需要通过传递一些信息来达到资源共享的目的。介绍了一种基于信号机制在UNIX实时应用中的两个进程之间实现快速传递信息的方法，提高了实时性。     

Free trade, factor returns, and factor accumulation

A model of development is studied in which physical capital and unskilled labor are good substitutes, and skilled labor is complementary to the resulting aggregate. Growth in a closed economy is compared with two open regimes. Inflows of physical capital only reduce the interest rate and raise both wage rates. The skilled wage rises more sharply, however, increasing the skill premium and accelerating human capital accumulation. Full integration with a larger and more developed neighbor also reduces the interest rate and raises both wage rates, but in this case the skill premium falls and human capital accumulation changes very little.     

Pricing the risks of default

This paper decomposes default risk into timing and recovery risks. The two default components are explicitly priced as if they were traded in the futures market. We develop estimation strategies evaluating recovery risks and then construct implicit prices of contingent securities reflecting purely the timing risk. The models are estimated on monthly data for rates on certificates of deposit offered by institutions in the Savings and Loan Industry, during the 1987–1991 period. Empirical results support market expectations of lower likelihoods of default after 1989.     

Estimating the Equity Risk Premium Using Accounting Fundamentals

This study uses recent developments in the theoretical modelling of the links between unrecorded accounting goodwill, accounting profitability and the cost of equity, together with Capital Asset Pricing Model (CAPM) betas, to estimate the ex-ante equity risk premium in the UK. The results suggest that, over our sample period from 1968 to 1995, the premium has been in the region of 5%. Our estimate lends support to the view that the ex-ante equity risk premium is substantially less than the historical average of the excess of equity returns over the risk-free rate, and is similar to the rates applied recently by UK competition regulators.     

Why is timing perverse?

The existence of negative market timing, even for passive portfolios, poses a relevant puzzle when assessing portfolio management. In this paper, we develop a simple theoretical model so as to explain why such perverse market timing might occur and why those stocks with the lowest beta in upward markets exhibit pronounced negative timing. Our explanation is based on the existence of higher correlations of stocks in down markets than in up markets. We find that changes in beta, which drives timing, has four components; however, just two of these, mean covariance shift and covariances dispersion map, serve to explain the asymmetric behavior across stocks. We find that a high percentage of the negative market timing ability identified for mutual funds in the literature could be explained by this bias.     

On the utility premium of Friedman and Savage

We re-examine the utility premium of Friedman–Savage [Friedman, Milton and Savage, Leonard J., “The Utility Analysis of Choices Involving Risk.” Journal of Political Economy 56, 1948, pp. 279–304.]. This measure is useful in understanding risky choices. For instance its reaction to an increased wealth equates to a precautionary demand for saving. We also analyze its two components.     

Cross‐sectional Tests of Conditional Asset Pricing Models: Evidence from the German Stock Market

We study the performance of conditional asset pricing models and multifactor models in explaining the German cross‐section of stock returns. We focus on several variables, which (according to previous research) are associated with market expectations on future market excess returns or business cycle conditions. Our results suggest that the empirical performance of the Capital Asset Pricing Model (CAPM) can be improved when allowing for time‐varying parameters of the stochastic discount factor. A conditional CAPM using the term spread explains the returns on our size and book‐to‐market sorted portfolios about as well as the Fama‐French three‐factor model and performs best in terms of the Hansen‐Jagannathan distance. Structural break tests do not necessarily indicate parameter instability of conditional model specifications. Another major finding of the paper is that the Fama‐French model – despite its generally good cross‐sectional performance – is subject to model instability. Unconditional models, however, do a better job than conditional ones at capturing time‐series predictability of the test portfolio returns.     

一种新的SC—FDE系统粗定时同步算法

定时同步是单载波频域均衡(SC-FDE)系统的一项关键技术,其中的粗定时同步算法决定着同步收敛速度,由Schmidl和Cox提出的传统算法中出现的测度峰值平台影响着粗同步的精度与速度。通过训练符号格式的重新设计,利用其中4个相同部分良好的相关特性,提出了一种基于特殊训练符号的粗同步算法。仿真结果表明,在高斯白噪声信道和多径衰落信道条件下,新算法定时偏差估计的方差和均值接近于理论值,粗定时同步能够精确地完成,较好解决了测度峰值平台问题。