scholarly journals Idiosyncratic volatility, option-based measures of informed trading, and investor attention

2021 ◽  
Author(s):  
Hannes Mohrschladt ◽  
Judith C. Schneider
Keyword(s):  
Stock Returns ◽  
Idiosyncratic Volatility ◽  
Investor Attention ◽  
Intuitive Idea ◽  
Joint Examination ◽  
Stock Market Investors ◽  
Private Investors ◽  
High Level ◽  
Do So ◽  
Option Market

AbstractWe establish a direct link between sophisticated investors in the option market, private stock market investors, and the idiosyncratic volatility (IVol) puzzle. To do so, we employ three option-based volatility spreads and attention data from Google Trends. In line with the IVol puzzle, the volatility spreads indicate that sophisticated investors indeed consider high-IVol stocks as being overvalued. Moreover, the option measures help to distinguish overpriced from fairly priced high-IVol stocks. Thus, these measures are able to predict the IVol puzzle’s magnitude in the cross-section of stock returns. Further, we link the origin of the IVol puzzle to the trading activity of irrational private investors as the return predictability only exists among stocks that receive a high level of private investor attention. Overall, our joint examination of option and stock markets sheds light on the behavior of different investor groups and their contribution to the IVol puzzle. Thereby, our analyses support the intuitive idea that noise trading leads to mispricing, which is identified by sophisticated investors and exploited in the option market.

scholarly journals Mapping of affordability levels for photovoltaic-based electricity generation in the solar belt of sub-Saharan Africa, East Asia and South Asia

2021 ◽  
Vol 11 (1) ◽  
Author(s):  
Sándor Szabó ◽  
Irene Pinedo Pascua ◽  
Daniel Puig ◽  
Magda Moner-Girona ◽  
Mario Negre ◽  
...  
Keyword(s):  
East Asia ◽  
South Asia ◽  
Electricity Generation ◽  
Sub Saharan Africa ◽  
Solar Photovoltaic ◽  
Term Operation ◽  
Sub Saharan ◽  
High Level ◽  
Do So

AbstractLack of access to modern forms of energy hampers efforts to reduce poverty. The provision of electricity to off-grid communities is therefore a long-standing developmental goal. Yet, many off-grid electrification projects neglect mid- and long-term operation and maintenance costs. When this is the case, electricity services are unlikely to be affordable to the communities that are the project’s primary target. Here we show that, compared with diesel-powered electricity generation systems, solar photovoltaic systems are more affordable to no less than 36% of the unelectrified populations in East Asia, South Asia, and sub-Saharan Africa. We do so by developing geo-referenced estimates of affordability at a high level of resolution (1 km2). The analysis illustrates the differences in affordability that may be found at the subnational level, which underscores that electrification investments should be informed by subnational data.

VIII.—High-Level Terraces in Norway

1877 ◽  
Vol 4 (2) ◽  
pp. 72-75 ◽  
Author(s):  
J. R. Dakyns
Keyword(s):  
Physical Geography ◽  
The Press ◽  
Scientific Opinion ◽  
The Subject ◽  
High Level ◽  
Do So

In the summer of 1872 I visited Norway, and wrote the following brief notice of certain high-level terraces immediately on my return to England, but kept it back that I might first consult some papers on Norwegian terraces that had appeared in the closing numbers of “Scientific Opinion”; these I was not able to meet with for so long a time that I gave up the idea of sending my notice to the press. I am now induced to do so, because I see that the subject of the parallel roads of Glenroy still occupies the attention of geologists, and it may induce some one next summer to examine minutely the Dovre terraces and sand-heaps and their relation to the physical geography of the district. I was merely able to make a flying visit to them, which I delayed my party to do, because they caught my eye so forcibly, as we were driving along the valley.

scholarly journals Numerical Simulation of Cubic-Quartic Optical Solitons with Perturbed Fokas–Lenells Equation Using Improved Adomian Decomposition Algorithm

Mathematics ◽  
2022 ◽  
Vol 10 (1) ◽  
pp. 138
Author(s):  
Alyaa A. Al-Qarni ◽  
Huda O. Bakodah ◽  
Aisha A. Alshaery ◽  
Anjan Biswas ◽  
Yakup Yıldırım ◽  
...  
Keyword(s):  
Numerical Simulation ◽  
Iterative Method ◽  
Decomposition Method ◽  
Adomian Decomposition Method ◽  
Optical Solitons ◽  
Numerical Results ◽  
Decomposition Algorithm ◽  
Adomian Decomposition ◽  
High Level ◽  
Do So

The current manuscript displays elegant numerical results for cubic-quartic optical solitons associated with the perturbed Fokas–Lenells equations. To do so, we devise a generalized iterative method for the model using the improved Adomian decomposition method (ADM) and further seek validation from certain well-known results in the literature. As proven, the proposed scheme is efficient and possess a high level of accuracy.

A new look at the meeting clustering effect

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Ángel Pardo ◽  
Eddie Santandreu
Keyword(s):  
Stock Returns ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Relevant Information ◽  
Investor Attention ◽  
Content Type ◽  
Potential Link ◽  
Clustering Effect ◽  
Trading Volumes ◽  
The Relationship

PurposeThe study aims to test the existence of a meeting clustering effect in the Spanish Stock Exchange (SSE).Design/methodology/approachThis paper studies the relationship between the clustering of annual general meetings and stock returns in the SSE. A multivariate analysis is carried out in order to analyse the relationship between monthly returns and the clustering of general meetings in the SSE.FindingsThe authors show that meeting clustering exists and that some months exhibit significant and positive additional returns related to the holding of ordinary or extraordinary general meetings.Research limitations/implicationsThe authors have explored some possible explanations for the meeting clustering effect, such as a potential link with the “Halloween” effect or the presence of higher-than-normal levels of volatility, trading volumes or investor attention. However, none of these can explain the meeting clustering effect that emerges as a new anomaly in the SSE.Practical implicationsThe authors have documented significant and positive abnormal returns in some months that coincide with the holding of general meetings. Therefore, the holding of ordinary and/or extraordinary meetings in some months involves the release of relevant information for investors.Originality/valueThis study complements the financial literature because it is focused on the clustering of meetings and its effect on a stock market whose legal order is based on civil law. This fact allows us to shed new light on meeting clustering and its effect on other types of markets.

When Defence Cooperation Meets Political Use of the Past: British-Polish Relations in Times of Brexit

2020 ◽  
Vol 7 (1) ◽  
pp. 28-51
Author(s):  
Amélie Zima
Keyword(s):  
Political Community ◽  
Cooperation Agreement ◽  
The Past ◽  
The United Kingdom ◽  
Defence Policy ◽  
Defence Cooperation ◽  
High Level ◽  
Security Network ◽  
Do So

This paper aims to study how an event, happening within a political community characterised by a high level of interdependence, has an impact on the defence policy of its members. To do so, the paper focuses on British-Polish defence relations after Brexit. Indeed, the United Kingdom signed a defence cooperation agreement (dca) with Poland in 2017, which is the second with an EU/nato Member State (MS) after the Lancaster House treaty signed with France. This case-study questions the thesis positing that dcas are unlikely to happen between EU/nato MS as it would lead to overlaps and decoupling. It also determines to what extent this treaty is part of a British strategy to re-create a security network in Europe after Brexit to deter Russia, which is considered as one of the main threats for both countries. Finally, this study deals with the political uses of history. The research analyses how British and Polish actors select memory mines to consolidate friendship in time of uncertainty but also as a shaming strategy.

Salience and Mutual Fund Investor Demand for Idiosyncratic Volatility

2020 ◽  
Author(s):  
Christopher P. Clifford ◽  
Jon A. Fulkerson ◽  
Russell Jame ◽  
Bradford D. Jordan
Keyword(s):  
Experimental Evidence ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Idiosyncratic Volatility ◽  
Investor Attention ◽  
Risk Seeking ◽  
Retail Investors ◽  
Seeking Behavior ◽  
Extreme Returns

We find that mutual fund investors are more likely to both purchase and redeem funds with high idiosyncratic volatility (IV). Investors’ tendency to purchase high IV funds is largely driven by high IV funds having more extreme returns, which increases the salience of the fund. Including flexible controls for extreme past returns over multiple horizons decreases the effect of IV on new investment, and experimental evidence corroborates that increasing the salience of extreme returns increases investor demand for IV. Demand for IV is higher among retail investors and funds with otherwise lower salience. Collectively, the evidence suggests that extreme returns attract investor attention and contribute to investors’ risk seeking behavior when purchasing mutual funds. This paper was accepted by David Simchi-Levi, finance.

Value, size, sector, and momentum stocks

2021 ◽  
pp. 187-198
Author(s):  
Jesper Rangvid
Keyword(s):  
Stock Market ◽  
Business Cycle ◽  
Stock Returns ◽  
The Business Cycle ◽  
Better Than ◽  
Do So

This chapter studies the characteristics of the most important and well-known factors. Factor portfolios are portfolios of stocks based on certain characteristics, such as the size of the company, the price of the stock in relation to, e.g., the earnings of the company, the sector within which the firm operates, etc.Factors that perform better than the overall stock market tend to suffer more during recessions. To compensate investors for their underperformance during recessions, returns on these factors during expansions are so high that average stock returns over the full business cycle end out being high. Conversely, those factors that provide lower average returns than the overall stock market do so because they perform relatively better during recessions. The business cycle again plays an important role for understanding stock-market patterns.

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