scholarly journals Can the portfolio excess growth rate explain the predictive power of idiosyncratic volatility?

2021 ◽  
pp. 102577
Author(s):  
Daniel Mantilla-Garcia ◽  
Juliana Malagon ◽  
Julian R. Aldana-Galindo
Keyword(s):  
Growth Rate ◽  
Predictive Power ◽  
Idiosyncratic Volatility

The Predictive Power of REIT Implied Volatility and Implied Idiosyncratic Volatility

2010 ◽  
Vol 16 (1) ◽  
pp. 29-38 ◽  
Author(s):  
Dean Diavatopoulos ◽  
Andy Fodor ◽  
Shawn Howton ◽  
Shelly Howton
Keyword(s):  
Implied Volatility ◽  
Predictive Power ◽  
Idiosyncratic Volatility

Method for monitoring plasma progesterone concentrations in pregnancy.

1976 ◽  
Vol 22 (4) ◽  
pp. 422-428 ◽  
Author(s):  
P Winkel ◽  
P Gaede ◽  
J Lyngbye
Keyword(s):  
Growth Rate ◽  
Time Series ◽  
Reference Material ◽  
Gestational Age ◽  
Predictive Power ◽  
Mean Value ◽  
Single Subject ◽  
Progesterone Concentration ◽  
Plasma Progesterone ◽  
In Pregnancy

Abstract We present a time-series model for monitoring concentrations in plasma of hormones produced in the placenta, progesterone being chosen as an example. The model, which is based on the assumption that variations in plasma progesterone concentration in pregnant subjects mainly reflect variations in the growth rate of the placenta, was applied to eight series of progesterone values measured during pregnancy in eight subjects. In the model, which was found to fit the data, it is assumed that progesterone concentration is proportional to the size of the placenta and that the growth rate of the placenta varies at random, with a mean value alpha. The variation of alpha was of the same magnitude among and within the subjects. If the average of many subjects alpha values is used, a single subject may be used as her own reference, based on only one previous observation. When two observations are available, an individual's own alpha value may be estimated and used for the prediction. The predictive power of the new method was found to be far superior to the conventional method in which a single sample reference material is used. Furthermore, one need not know the gestational age in order to use the method.

Cross-Sectional Return Predictability in Taiwan Stock Exchange: An Empirical Investigation

2014 ◽  
Vol 17 (02) ◽  
pp. 1450010 ◽  
Author(s):  
Nusret Cakici ◽  
Kudret Topyan ◽  
Chia-Jane Wang
Keyword(s):  
Cash Flow ◽  
Predictive Power ◽  
Empirical Investigation ◽  
Stock Exchange ◽  
Return Predictability ◽  
Idiosyncratic Volatility ◽  
Short Term ◽  
Cross Sectional ◽  
Multiple Regressions ◽  
Taiwan Stock Exchange

This paper provides an analysis of the effectiveness of certain return predictors in Taiwan Stock Exchange (TWSE) from January 1990 to December 2011 by employing both portfolio method and cross-sectional regressions. While we found no statistically significant predictive power of beta, total volatility, and idiosyncratic volatility the two cheapness variables, book-to-market (BKMT) and cash-flow-to-price (FPR) ratios showed strong consistent economically and statistically significant predictive powers. In addition, our multiple regressions found predictive power in total volatility, short-term reversal (STREV), and market capitalization in the set of small stocks, while our all stock set showed predictive power only in total volatility and STREV.

The Determinants of Idiosyncratic Volatility

2017 ◽  
Vol 25 (4) ◽  
pp. 509-545
Author(s):  
Jaeuk Khil ◽  
Song Hee Kim ◽  
Eun Jung Lee
Keyword(s):  
Growth Rate ◽  
Time Series ◽  
Cross Section ◽  
Growth Rates ◽  
Idiosyncratic Volatility ◽  
Return Volatility ◽  
Firm Level ◽  
Cross Sectional ◽  
Asset Growth ◽  
The Cross

We investigate the cross-sectional and time-series determinants of idiosyncratic volatility in the Korean market. In particular, we focus on the empirical relation between firms’ asset growth rate and idiosyncratic stock return volatility. We find that, in the cross-section, companies with high idiosyncratic volatility tend to be small and highly leveraged, have high variance of ROE and Market to Book ratio, high turnover rate, and pay no dividends. Furthermore, firms with extreme (either high positive or negative) asset growth rates have high idiosyncratic return volatility than firms with moderate growth rates, suggesting the V-shaped relation between asset growth rate and idiosyncratic return volatility. We find that the V-shaped relation is robust even after controlling for other factors. In time-series, we find that firm-level idiosyncratic volatility is positively related to the dispersion of the cross-sectional asset growth rates. As a result, this study is contributed to show that the asset growth is the most important predictor of firm-level idiosyncratic return volatility in both the cross-section and the time-series in the Korean stock market. In addition, we show how the effect of risk factors varies with industries.

scholarly journals Phytoplankton growth rate modelling: can spectroscopic cell chemotyping be superior to physiological predictors?

2017 ◽  
Vol 284 (1848) ◽  
pp. 20161956 ◽  
Author(s):  
Andrea Fanesi ◽  
Heiko Wagner ◽  
Christian Wilhelm
Keyword(s):  
Growth Rate ◽  
Predictive Power ◽  
Partial Least Square ◽  
Phytoplankton Growth ◽  
Photosynthetic Parameters ◽  
Strong Impact ◽  
High Predictive Power ◽  
Phytoplankton Communities ◽  
Quality Control Tool ◽  
Phytoplankton Cells

Climate change has a strong impact on phytoplankton communities and water quality. However, the development of robust techniques to assess phytoplankton growth is still in progress. In this study, the growth rate of phytoplankton cells grown at different temperatures was modelled based on conventional physiological traits (e.g. chlorophyll, carbon and photosynthetic parameters) using the partial least square regression (PLSR) algorithm and compared with a new approach combining Fourier transform infrared-spectroscopy and PLSR. In this second model, it is assumed that the macromolecular composition of phytoplankton cells represents an intracellular marker for growth. The models have comparable high predictive power ( R 2 > 0.8) and low error in predicting new observations. Interestingly, not all of the predictors present the same weight in the modelling of growth rate. A set of specific parameters, such as non-photochemical fluorescence quenching (NPQ) and the quantum yield of carbon production in the first model, and lipid, protein and carbohydrate contents for the second one, strongly covary with cell growth rate regardless of the taxonomic position of the phytoplankton species investigated. This reflects a set of specific physiological adjustments covarying with growth rate, conserved among taxonomically distant algal species that might be used as guidelines for the improvement of modern primary production models. The high predictive power of both sets of cellular traits for growth rate is of great importance for applied phycological studies. Our approach may find application as a quality control tool for the monitoring of phytoplankton populations in natural communities or in photobioreactors.

The Information Content of Idiosyncratic Volatility

2009 ◽  
Vol 44 (1) ◽  
pp. 1-28 ◽  
Author(s):  
George J. Jiang ◽  
Danielle Xu ◽  
Tong Yao
Keyword(s):  
Stock Returns ◽  
Information Content ◽  
Firm Growth ◽  
Predictive Power ◽  
Idiosyncratic Volatility ◽  
Market Anomalies ◽  
Future Earnings ◽  
Future Earning ◽  
Accounting Accruals ◽  
Selective Disclosure

AbstractAng, Hodrick, Xing, and Zhang (2006a) show that stocks with high idiosyncratic return volatility tend to have low future returns. This paper further documents that idiosyncratic volatility is inversely related to future earning shocks, and more importantly, that the return-predictive power of idiosyncratic volatility is induced by its information content about future earnings. We examine various explanations of the triangular relation among idiosyncratic volatility, future earning shocks, and future stock returns. Our results show that the idiosyncratic volatility anomaly is not a simple manifestation of previously documented market anomalies related to excessive extrapolation on firm growth, over-investment tendency, accounting accruals, or investor underreaction to earnings news. On the other hand, there is evidence that the idiosyncratic volatility anomaly is related to corporate selective disclosure, and the anomaly is stronger among stocks with a less sophisticated investor base.

scholarly journals Systematic bacterialization of yeast genes identifies a near-universally swappable pathway

eLife ◽  
2017 ◽  
Vol 6 ◽  
Author(s):  
Aashiq H Kachroo ◽  
Jon M Laurent ◽  
Azat Akhmetov ◽  
Madelyn Szilagyi-Jones ◽  
Claire D McWhite ◽  
...  
Keyword(s):  
Escherichia Coli ◽  
Growth Rate ◽  
Predictive Power ◽  
Common Ancestor ◽  
Sequence Similarity ◽  
Growth Defect ◽  
Biosynthesis Pathway ◽  
Mitochondrial Localization ◽  
Bacterial Genes ◽  
Yeast Genes

Eukaryotes and prokaryotes last shared a common ancestor ~2 billion years ago, and while many present-day genes in these lineages predate this divergence, the extent to which these genes still perform their ancestral functions is largely unknown. To test principles governing retention of ancient function, we asked if prokaryotic genes could replace their essential eukaryotic orthologs. We systematically replaced essential genes in yeast by their 1:1 orthologs from Escherichia coli. After accounting for mitochondrial localization and alternative start codons, 31 out of 51 bacterial genes tested (61%) could complement a lethal growth defect and replace their yeast orthologs with minimal effects on growth rate. Replaceability was determined on a pathway-by-pathway basis; codon usage, abundance, and sequence similarity contributed predictive power. The heme biosynthesis pathway was particularly amenable to inter-kingdom exchange, with each yeast enzyme replaceable by its bacterial, human, or plant ortholog, suggesting it as a near-universally swappable pathway.

scholarly journals Financial Conditions Index and Economic Performance in Nigeria

2020 ◽  
Vol 5 (1) ◽  
pp. 62-70
Author(s):  
Chukwu Agwu Ejem ◽  
Udochukwu Godfrey Ogbonna
Keyword(s):  
Growth Rate ◽  
Interest Rate ◽  
Stock Market ◽  
Private Sector ◽  
Predictive Power ◽  
Series Data ◽  
Stock Market Index ◽  
Market Index ◽  
Financial Conditions ◽  
Future Growth

The main aim of this study is to construct a financial conditions index for Nigeria and analyze its predictive power for future growth rate and inflationary trend. The study is based on yearly time series data from 1985 to 2018. The variables included in the construction of the index are riskless interest rate, stock market index, exchange rate, credit to private sector and interest rate spread. The weights attached to these variables are derived from ARDL coefficients, while the predictive power of the constructed index is examined within the VAR framework. The results from the ARDL model shows that credit to private sector and stock market index are the most significant factors for nominal GDP, hence having a substantial weight in the resultant financial conditions index. However, the results from VAR impulse response function and forecast error variance decomposition suggest that the constructed financial conditions index contain very little predictive information about future growth rate and inflationary trend.  

scholarly journals Macroeconomic Instability Index and Malaysia Economic Performance

2018 ◽  
Vol 11 (3) ◽  
pp. 179
Author(s):  
Venus Khim-Sen Liew ◽  
Racquel Anak Rowland ◽  
Puah Chin Hong ◽  
Jerome Kueh Swee Hui ◽  
Rossazana Bt Ab Rahim ◽  
...  
Keyword(s):  
Growth Rate ◽  
Economic Performance ◽  
Predictive Power ◽  
Asian Financial Crisis ◽  
Instability Index ◽  
Subprime Mortgage ◽  
Economic Growth Rate ◽  
Negative Growth Rate ◽  
Macroeconomic Instability ◽  
Negative Growth

The economic performance of Malaysia was affected by a series of financial crises that had induced macroeconomic instability in the country, which in turn had immensely dampened the nation’s economic growth rate. No doubt Malaysia needs an indicator to monitor the nation’s economic performance from time to time. This study attempts to construct such indicator known as Macroeconomic Instability Index (MII). The constructed MII shows two significant spikes at 1998 and 2008, which correspond to the Asian Financial Crisis and US Subprime Mortgage respectively, that had resulted in negative growth rate for GDP of Malaysia in 1999 and 2010. Results obtained from further analysis by the ARDL technique show that MII has negative and significance effects on economic performance. Moreover, MII has predictive power against economic performance as early as two periods in advance. The constructed MII could serve as end-product for policy purposes or intermediate-product for other economic and finance studies. 

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