We examine the impact of changes in the oil returns and oil return volatility on excess stock returns and return volatilities of thirteen U.S. industries using the GARCH (1,1) technique. We find ...strong evidence in support of the view that oil price fluctuations constitute a systematic asset price risk at the industry level as nine of the thirteen sectors analyzed show statistically significant relationships between oil-futures return distribution and industry excess return. These industries are affected either by oil futures returns, oil futures return volatility or both. In general, excess returns of the oil-user industries are more likely to be affected by changes in the volatility of oil returns, than those of oil return itself. Volatilities of industry excess returns are time-varying, and return volatility for a number of sectors, appears to have long memory. Fama–French factors show universal statistical and high economic significance as risk factors influencing industry excess returns.
► We analyze the effect of changes in the oil returns and oil return volatility on excess stock returns and return volatilities of thirteen U.S. industries. ► The GARCH (1,1) technique is used. ► Oil price fluctuations constitute a systematic asset price risk at the industry level. ► Volatilities of industry excess returns are time-varying. ► The return volatility, for a number of sectors, appears to have long memory.
Ong Soon Keong explores the unique position of the treaty port Xiamen (Amoy) within the China-Southeast Asia migrant circuit and examines its role in the creation of Chinese diasporas. Coming Home to ...a Foreign Country addresses how migration affected those who moved out of China and later returned to participate in the city's economic revitalization, educational advancement, and urban reconstruction. Ong shows how the mobility of overseas Chinese allowed them to shape their personal and community identities for pragmatic and political gains. This resulted in migrants who returned with new money, knowledge, and visions acquired abroad, which changed the landscape of their homeland and the lives of those who stayed. Placing late Qing and Republican China in a transnational context, Coming Home to a Foreign Country explores the multilayered social and cultural interactions between China and Southeast Asia. Ong investigates the role of Xiamen in the creation of a China-Southeast Asia migrant circuit; the activities of aspiring and returned migrants in Xiamen; the accumulation and manipulation of multiple identities by Southeast Asian Chinese as political conditions changed; and the motivations behind the return of Southeast Asian Chinese and their continual involvement in mainland Chinese affairs. For Chinese migrants, Ong argues, the idea of "home" was something consciously constructed. Ong complicates familiar narratives of Chinese history to show how the emigration and return of overseas Chinese helped transform Xiamen from a marginal trading outpost at the edge of the Chinese empire to a modern, prosperous city and one of the most important migration hubs by the 1930s.
We decompose the squared VIX index, derived from US S&P500 options prices, into the conditional variance of stock returns and the equity variance premium. We evaluate a plethora of state-of-the-art ...volatility forecasting models to produce an accurate measure of the conditional variance. We then examine the predictive power of the VIX and its two components for stock market returns, economic activity and financial instability. The variance premium predicts stock returns while the conditional stock market variance predicts economic activity and has a relatively higher predictive power for financial instability than does the variance premium.
Stocks with recent past high idiosyncratic volatility have low future average returns around the world. Across 23 developed markets, the difference in average returns between the extreme quintile ...portfolios sorted on idiosyncratic volatility is
-
1.31
%
per month, after controlling for world market, size, and value factors. The effect is individually significant in each G7 country. In the United States, we rule out explanations based on trading frictions, information dissemination, and higher moments. There is strong covariation in the low returns to high-idiosyncratic-volatility stocks across countries, suggesting that broad, not easily diversifiable factors lie behind this phenomenon.
Dissecting Anomalies FAMA, EUGENE F.; FRENCH, KENNETH R.
The Journal of finance (New York),
August 2008, Letnik:
63, Številka:
4
Journal Article
Recenzirano
The anomalous returns associated with net stock issues, accruals, and momentum are pervasive; they show up in all size groups (micro, small, and big) in cross-section regressions, and they are also ...strong in sorts, at least in the extremes. The asset growth and profitability anomalies are less robust. There is an asset growth anomaly in average returns on microcaps and small stocks, but it is absent for big stocks. Among profitable firms, higher profitability tends to be associated with abnormally high returns, but there is little evidence that unprofitable firms have unusually low returns.
Pricing the planet's future Gollier, Christian; Gollier, Christian
2012., 20121111, 2012, 2013-01-01, 20130101
eBook
Our path of economic development has generated a growing list of environmental problems including the disposal of nuclear waste, exhaustion of natural resources, loss of biodiversity, climate change, ...and polluted land, air, and water. All these environmental problems raise the crucial challenge of determining what we should and should not do for future generations. It is also central to other policy debates, including, for example, the appropriate level of public debt, investment in public infrastructure, investment in education, and the level of funding for pension benefits and for research and development. Today, the judge, the citizen, the politician, and the entrepreneur are concerned with the sustainability of our development. The objective ofPricing the Planet's Futureis to provide a simple framework to organize the debate on what we should do for the future.
A key element of analysis by economists is the discount rate--the minimum rate of return required from an investment project to make it desirable to implement. Christian Gollier outlines the basic theory of the discount rate and the various arguments that favor using a smaller discount rate for more distant cash flows.
With principles that can be applied to many policy areas,Pricing the Planet's Futureoffers an ideal framework for dynamic problems and decision making.
ABSTRACT
BackgroundReturn to school supports are recommended to facilitate adolescents' re‐entry to school following a concussion. However, little is known as to what school stakeholders prefer for a ...return‐to‐school process. This study sought to describe the preferences of high school students, parents, and educators for a Return‐to‐School Framework for adolescents following a concussion.
MethodsWe conducted qualitative semi‐structured, 1‐on‐1 or group interviews with high school students (n = 6), parents (n = 5), and educators (n = 15) from Calgary, Canada. Interviews aimed to describe participants' preferences for a Return‐to‐School Framework for students following a concussion. Interviews were analyzed using conventional content analysis.
ResultsWe organized the data into 4 main themes: (1) purpose of the Return‐to‐School Framework; (2) format and operation of the Return‐to‐School Framework; (3) communication about a student's concussion; and (4) necessity of concussion education for students and educators.
Implications for School Health Policy, Practice, and EquityA Return‐to‐School Framework following concussion should be developed in consultation with families, educators, and students and supports should be tailored to each student.
ConclusionsParticipants preferred a standardized and consistent Return‐to‐School Framework including ongoing communication between stakeholders as well as feasible and individualized school supports.
Using Norwegian population panel data with nearly career-long earnings histories, we provide a detailed picture of the causal relationship between schooling and earnings over the life cycle. To ...address selection bias, we apply three commonly used identification strategies. We find that additional schooling gives higher lifetime earnings and a steeper age-earnings profile, in line with predictions from human capital theory. Our preferred estimates imply an internal rate of return of around 11%, suggesting that it was highly profitable to acquire additional schooling. Our analysis reveals that Mincer regressions dramatically understate the returns to schooling because key assumptions are violated.
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