scholarly journals The Log-Linear Return Approximation, Bubbles, and Predictability

2012 ◽  
Vol 47 (3) ◽  
pp. 643-665 ◽  
Author(s):  
Tom Engsted ◽  
Thomas Q. Pedersen ◽  
Carsten Tanggaard
Keyword(s):  
Stock Returns ◽  
Upper Bound ◽  
Approximation Error ◽  
Expected Returns ◽  
Price Ratio ◽  
Rational Bubbles ◽  
Large Samples ◽  
Approximation Errors ◽  
The Mean ◽  
Log Linear

AbstractWe study in detail the log-linear return approximation introduced by Campbell and Shiller (1988a). First, we derive an upper bound for the mean approximation error, given stationarity of the log dividend-price ratio. Next, we simulate various rational bubbles that have explosive conditional expectation, and we investigate the magnitude of the approximation error in those cases. We find that, surprisingly, the Campbell-Shiller approximation is very accurate even in the presence of large explosive bubbles. Only in very large samples do we find evidence that bubbles generate large approximation errors. Finally, we show that a bubble model in which expected returns are constant can explain the predictability of stock returns from the dividend-price ratio that many previous studies have documented.

scholarly journals Forecasted E/P Ratio and ROE: Shanghai Stock Exchange (SSE), China

SAGE Open ◽  
2021 ◽  
Vol 11 (2) ◽  
pp. 215824402110231
Author(s):  
Muhammad Usman Arshad
Keyword(s):  
Stock Returns ◽  
Dynamic Models ◽  
Stock Exchange ◽  
Price Ratio ◽  
Chinese Market ◽  
Dynamic Panel ◽  
Panel Data Estimation ◽  
Research Findings ◽  
Log Linear ◽  
Data Estimation

This study explores the influence of forecasted earnings to price ratio (E/P) and ROE to explain the part of the variation in the Shanghai Stock Exchange (SSE) returns. The study analyzed the explanatory capacity of fundamental, risk, and combined valuation approaches variables on comparative mode between static and dynamic models with the induction of un-balanced panel data estimation. A linear dynamic panel technique is being undertaken to forecast the variables. The research findings indicate that the forecasted E/P ratio and ROE significantly explain the variation in SSE stock return and remain highly statistically significant after incorporating risk proxy variables. Moreover, the author also confirms the existence of size, momentum, liquidity, and dividend yield in the Shanghai Stock Exchange. The study introduces the fundamental valuation approach to the Chinese market based on its unique features and designs a log-linear model, which comprises forecasted E/P and ROE in addition to current E/P as an estimator for future stock returns. The incorporation of Driscoll and Kraay standard errors (DKSE) and Panel Corrected standard error (PCSE) under static while difference and system GMM under the scope of dynamic panel estimation is considered to be another contribution of the study.

scholarly journals Two-stage segment linearization as part of the thermocouple measurement chain

2021 ◽  
Vol 54 (1-2) ◽  
pp. 141-151
Author(s):  
Dragan Živanović ◽  
Milan Simić
Keyword(s):  
Transfer Functions ◽  
Approximation Error ◽  
Linearization Method ◽  
Linear Segment ◽  
Virtual Instrumentation ◽  
Memory Consumption ◽  
Thermocouple Measurement ◽  
Two Stage ◽  
Approximation Errors ◽  
Input Range

An implementation of a two-stage piece-wise linearization method for reduction of the thermocouple approximation error is presented in the paper. First, the whole thermocouple measurement chain of a transducer is described, and possible error is analysed to define the required level of accuracy for linearization of the transfer characteristics. Evaluation of linearization functions and analysis of approximation errors are performed by the virtual instrumentation software package LabVIEW. The method is appropriate for thermocouples and other sensors where nonlinearity varies a lot over the range of input values. The basic principle of this method is to first transform the abscissa of the transfer function by a linear segment look-up table in such a way that significantly nonlinear parts of the input range are expanded before a standard piece-wise linearization. In this way, applying equal-segment linearization two times has a similar effect to non-equal-segment linearization. For a given examples of the thermocouple transfer functions, the suggested method provides significantly better reduction of the approximation error, than the standard segment linearization, with equal memory consumption for look-up tables. The simple software implementation of this two-stage linearization method allows it to be applied in low calculation power microcontroller measurement transducers, as a replacement of the standard piece-wise linear approximation method.

scholarly journals The Ancestry of a Sample of Sequences Subject to Recombination

Genetics ◽  
1999 ◽  
Vol 151 (3) ◽  
pp. 1217-1228 ◽  
Author(s):  
Carsten Wiuf ◽  
Jotun Hein
Keyword(s):  
Genetic Distance ◽  
Population Size ◽  
Upper Bound ◽  
Recombination Rate ◽  
Common Ancestor ◽  
Recent Common Ancestor ◽  
Sequence Length ◽  
Most Recent Common Ancestor ◽  
The Mean ◽  
Mean Time

Abstract In this article we discuss the ancestry of sequences sampled from the coalescent with recombination with constant population size 2N. We have studied a number of variables based on simulations of sample histories, and some analytical results are derived. Consider the leftmost nucleotide in the sequences. We show that the number of nucleotides sharing a most recent common ancestor (MRCA) with the leftmost nucleotide is ≈log(1 + 4N Lr)/4Nr when two sequences are compared, where L denotes sequence length in nucleotides, and r the recombination rate between any two neighboring nucleotides per generation. For larger samples, the number of nucleotides sharing MRCA with the leftmost nucleotide decreases and becomes almost independent of 4N Lr. Further, we show that a segment of the sequences sharing a MRCA consists in mean of 3/8Nr nucleotides, when two sequences are compared, and that this decreases toward 1/4Nr nucleotides when the whole population is sampled. A measure of the correlation between the genealogies of two nucleotides on two sequences is introduced. We show analytically that even when the nucleotides are separated by a large genetic distance, but share MRCA, the genealogies will show only little correlation. This is surprising, because the time until the two nucleotides shared MRCA is reciprocal to the genetic distance. Using simulations, the mean time until all positions in the sample have found a MRCA increases logarithmically with increasing sequence length and is considerably lower than a theoretically predicted upper bound. On the basis of simulations, it turns out that important properties of the coalescent with recombinations of the whole population are reflected in the properties of a sample of low size.

Bounds for the mean of second largest order statistic in large samples

Statistics ◽  
1985 ◽  
Vol 16 (3) ◽  
pp. 457-464
Author(s):  
N. Balaxmshnan ◽  
P.C. Joshi
Keyword(s):  
Order Statistic ◽  
Large Samples ◽  
The Mean

The space of compact self-shrinking solutions to the Lagrangian mean curvature flow in ℂ 2 {\mathbb{C}^{2}}

2018 ◽  
Vol 2018 (743) ◽  
pp. 229-244 ◽  
Author(s):  
Jingyi Chen ◽  
John Man Shun Ma
Keyword(s):  
Upper Bound ◽  
Mean Curvature ◽  
Mean Curvature Flow ◽  
Curvature Flow ◽  
Riemannian Metric ◽  
Branch Points ◽  
Rigidity Result ◽  
The Mean ◽  
Uniform Area

Abstract Let F_{n} : (Σ, h_{n} ) \to \mathbb{C}^{2} be a sequence of conformally immersed Lagrangian self-shrinkers with a uniform area upper bound to the mean curvature flow, and suppose that the sequence of metrics \{ h_{n} \} converges smoothly to a Riemannian metric h. We show that a subsequence of \{ F_{n} \} converges smoothly to a branched conformally immersed Lagrangian self-shrinker F_{\infty} : (Σ, h) \to \mathbb{C}^{2} . When the area bound is less than 16π, the limit {F_{\infty}} is an embedded torus. When the genus of Σ is one, we can drop the assumption on convergence h_{n} \to h. When the genus of Σ is zero, we show that there is no branched immersion of Σ as a Lagrangian self-shrinker, generalizing the rigidity result of [21] in dimension two by allowing branch points.

scholarly journals Semi-monthly effect in stock returns: new evidence from Bombay Stock Exchange

2017 ◽  
Vol 14 (3) ◽  
pp. 160-172 ◽  
Author(s):  
Shakila B. ◽  
Prakash Pinto ◽  
Iqbal Thonse Hawaldar
Keyword(s):  
Health Care ◽  
Stock Returns ◽  
Stock Exchange ◽  
Consumer Durables ◽  
Empirical Results ◽  
Significant Difference ◽  
The Mean ◽  
Daily Stock Returns ◽  
New Evidence ◽  
Care Index

Semi-monthly effect is a kind of calendar anomalies which is less explored in the financial literature. The main objective of this paper to investigate the presence of semi-monthly effect in selected sectoral indices of Bombay Stock Exchange (BSE). The study uses the daily stock returns of five sectoral indices viz S&P BSE Auto Index, S&P BSE Bankex, S&P BSE Consumer Durables Index, S&P BSE FMCG Index and S&P BSE Health Care Index for the period of 10 years starting from 1st April 2007 to 31st March 2017. The data were analyzed using two approaches namely calendar days approach and trading days approach. To test the equality of mean returns for the two halves of the month, Mann-Whitney U test is used. The empirical results of the study did not provide any evidence for the presence of semi-monthly effect in the selected sectoral indices. Nevertheless, BSE Auto Index showed significant difference in the mean returns of first half and second half of trading month during the study period.

scholarly journals ОПТИМІЗАЦІЯ ВИМІРЮВАЛЬНИХ ЗАСОБІВ НАПРУЖЕНО-ДЕФОРМОВАНОГО СТАНУ ЗА ДОПОМОГОЮ ТЕНЗОДАТЧИКІВ

2019 ◽  
pp. 50-56
Author(s):  
Людмила Володимирівна Кузьмич ◽  
Дмитро Петрович Орнатський ◽  
Володимир Павлович Квасніков
Keyword(s):  
Strain Gauge ◽  
Strain State ◽  
Approximation Error ◽  
Strain Gauges ◽  
Mean Square ◽  
Stress Strain ◽  
Stress Strain State ◽  
Destabilizing Factors ◽  
Mechanical Factors ◽  
The Mean

In the article, the principles of construction, design and mathematical modeling of deformation and stresses of complex technical constructions are developed with the help of strain gauges and strain gauges taking into account destabilizing factors, which allows to significantly reduce the level of errors in relation to existing measurement methods and known analogs.The method of digital compensation provides a more significant reduction in the errors of measuring transducers compared with the method of analog compensation. Features and technical indicators of this method are considered on an example of measuring pressure transducer with foil strain gauges.This method is universal, allows us to adjust not only the errors of the measurement channel nonlinearity and additional errors but also the errors associated with the effect of interferences of the general type due to ground resistance, which induces the connection between the measuring channels of the main and destabilizing factor.The disadvantages of this method include a significant amount of computations, which sharply increases with increasing order of approximating polynomials.The purpose is to develop a method and means of measuring stress-strain state using strain gauge, free from the above - mentioned shortcomings.The main destabilizing factors that limit the measurement accuracy using strain gauge are:- random processes (noises, obstacles, etc.);- changes in parameters of measuring transducers due to aging and physical degradation;- effects of external climatic and mechanical factors (temperature, humidity, etc.).The influence of the main destabilizing factors limiting the accuracy of the measurement of the stress-strain state of complex technical constructions with the help of strain gauges was analyzed, among which the influences of external climatic and mechanical factors are one of the most important ones. Regarding the systematic components, the most important in statistical measurements are the errors of nonlinearity and the temperature component of the error.For the study, two main alloys were taken, which today has the widest use as a material for strain gauges - it is constantan and karma. For these materials, the influence of the range of temperature changes, the spread of the values of temperature error on the mean-square value of the error of approximation by power polynomials was investigated.Using the NUMERY package, the dependence of the approximation error on the order of the approximating polyphony was determined. It is established that the mean square error value in the wide temperature range for both constantan and karma has a weak correlation with the order of a polynomial.

scholarly journals ANALISIS PORTOFOLIO SEBAGAI DASAR PENGAMBILAN KEPUTUSAN INVESTASI SAHAM YANG TERDAFTAR DI BEI

IQTISHODUNA ◽  
2013 ◽  
Author(s):  
Sri Yati
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Analytical Method ◽  
Stock Exchange ◽  
Investment Decisions ◽  
Portfolio Analysis ◽  
Rate Of Return ◽  
Expected Returns ◽  
Risk Level ◽  
Expected Return

This study aims to analyze rate of return and risk as the tools to form the portfolio analysis on 15 the most actives stocks listed in Indonesian Stock Exchange. Descriptive analytical method is used to describe the correlation between three variables: stock returns, expected returns of stock market, and beta in order to measure the risk of stocks to help the investors in making the investment decisions. The research materials are 15 the most actives stocks listed in Indonesian Stock Exchange during 2008-2009. The results show that PT. Astra International Tbk. has the highest average expected return of individual stock (Ri) of 308,3355685, while PT. Perusahaan Gas Negara Tbk. has the lowest of -477,0827847. The average expected return of stock market (Rm) is 0,00247163. PT. Astra International Tbk. has the highest systematic risk level of 20229,14205, while the lowest of -147,5793279 is PT. Kalbe Farma Tbk. Furthermore, the results also indicate that there are 9 stocks can be combined to form optimal portfolio because they have positive expected returns.

scholarly journals Bounds for convection between rough boundaries

2016 ◽  
Vol 804 ◽  
pp. 370-386 ◽  
Author(s):  
David Goluskin ◽  
Charles R. Doering
Keyword(s):  
Heat Flux ◽  
Rayleigh Number ◽  
Temperature Difference ◽  
Upper Bound ◽  
Bottom Boundary ◽  
Leading Term ◽  
The Mean ◽  
Rough Boundaries ◽  
Rayleigh Benard Convection ◽  
Rayleigh Benard

We consider Rayleigh–Bénard convection in a layer of fluid between rough no-slip boundaries where the top and bottom boundary heights are functions of the horizontal coordinates with square-integrable gradients. We use the background method to derive an upper bound on the mean heat flux across the layer for all admissible boundary geometries. This flux, normalized by the temperature difference between the boundaries, can grow with the Rayleigh number ($Ra$) no faster than $O(Ra^{1/2})$ as $Ra\rightarrow \infty$. Our analysis yields a family of similar bounds, depending on how various estimates are tuned, but every version depends explicitly on the boundary geometry. In one version the coefficient of the $O(Ra^{1/2})$ leading term is $0.242+2.925\Vert \unicode[STIX]{x1D735}h\Vert ^{2}$, where $\Vert \unicode[STIX]{x1D735}h\Vert ^{2}$ is the mean squared magnitude of the boundary height gradients. Application to a particular geometry is illustrated for sinusoidal boundaries.

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