The purpose of this paper is to show that multivariate t-distribution assumption provides a better description of stock return data than multivariate normality assumption.
Abstract
Purpose
The purpose of this paper is to show that multivariate t-distribution assumption provides a better description of stock return data than multivariate normality assumption.
Design/methodology/approach
The EM algorithm is applied to solve the statistical estimation problem almost analytically, and the asymptotic theory is provided for inference.
Findings
The authors find that the multivariate normality assumption is almost always rejected by real stock return data, while the multivariate t-distribution assumption can often be adequate. Conclusions under normality vs under t can be drastically different for estimating expected returns and Jensen’s αs, and for testing asset pricing models.
Practical implications
The results provide improved estimates of cost of capital and asset moment parameters that are useful for corporate project evaluation and portfolio management.
Originality/value
The authors proposed new procedures that makes it easy to use a multivariate t-distribution, which models well the data, as a simple and viable alternative in practice to examine the robustness of many existing results.
Details
Keywords
This essay is offered as advice to those who contemplate becoming or have recently become bibliographers. I begin with the admonition that neither users' studies, statistical…
Abstract
This essay is offered as advice to those who contemplate becoming or have recently become bibliographers. I begin with the admonition that neither users' studies, statistical analyses, nor approval plans compensate for a lack of knowledge of disciplinary research interests and bibliographic structure. In the final analysis, the best bibliographers are scholars. They keep current with a discipline's investigations and monitor its evolution. Even if they are unable to engage in detailed discourse on the more esoteric subjects its practitioners study, they understand its topography. That is, they possess a “feel” for what students in a given field find interesting, they understand its epistemology, know its publication trends and favored formats, and have a fine reference librarian's ability to use its bibliographic apparatus.
Amal Zaghouani Chakroun and Dorra Mezzez Hmaied
This study examines the five-factor model of Fama and French (2015) on the French stock market by comparing it to the Fama and French (1993)’s base model. The new Fama and French…
Abstract
This study examines the five-factor model of Fama and French (2015) on the French stock market by comparing it to the Fama and French (1993)’s base model. The new Fama and French five-factor model directed at capturing two new factors, profitability and investment in addition to the market, size and book to market premiums. The pricing models are tested using a time-series regression and the Fama and Macbeth (1973) methodology. The regularities in the factor’s behavior related to market conditions and to the sovereign debt crisis in Europe are also examined. The findings of Fama and French (2015) for the US market are confirmed on the Paris Bourse. The results show that both models help to explain some of the stock returns. However, the five-factor model is better since it has a marginal improvement over the widely used three-factor model of Fama and French (1993). In addition, the investment risk premium seems to be better priced in the French stock market than the profitability factor. The results are robust to the Fama and Macbeth (1973) methodology. Moreover, profitability and investment premiums are not affected by market conditions and the European sovereign debt crisis.
Details
Keywords
These details and drawings of patents granted in the United States are taken, by permission of the Department of Commerce, from the ‘Official Gazette of the United States Patent…
Abstract
These details and drawings of patents granted in the United States are taken, by permission of the Department of Commerce, from the ‘Official Gazette of the United States Patent Office’. Printed copies of the full specifications can be obtained, price 10 cents each, from the Commissioner of Patents, Washington, D.C., U.S.A. They are usually available for inspection at the British Patent Office, Southampton Buildings, Chancery Lane, London, W.C.2.
Huanxin Lai, Yuying Yan and Keqi Wu
This paper aims to develop a numerical method for analysing the time‐dependent conjugate heat and fluid flows inside and around single bubbles rising in a hot liquid.
Abstract
Purpose
This paper aims to develop a numerical method for analysing the time‐dependent conjugate heat and fluid flows inside and around single bubbles rising in a hot liquid.
Design/methodology/approach
The procedure combines the moving mesh method for flows in time‐dependent geometries and the zoned calculation algorithm for conjugate viscous flows. A moving axisymmetric boundary‐fitted mesh is used to track the deformable gas‐liquid interface, while conjugate flows in both gas and liquid sides are calculated by a two‐block zoned method. The interfacial stresses are employed to calculate the velocity value and to decide the time‐dependent bubble shape simultaneously. Governing equations for the rising velocity and acceleration of the bubble are derived according to the forces acting on the bubble.
Findings
A calculating procedure for time‐dependent conjugate heat and fluid flows inside and around a rising single bubble has been developed. The algorithm has been verified, and can be employed for further analysing heat, mass and momentum transfer phenomena and their relevant mechanisms.
Originality/value
The paper developed a method to obtain high fidelity results for the heat and fluid flow details in the vicinity of a time‐dependent moderately deformable rising bubble; the physically zero‐thickness of a gas‐liquid interface is guaranteed. The governing equations for the time‐dependent rising velocity and acceleration are derived.
Details
Keywords
Eddie C.M. Hui and Raymond Y.C. Tse
Office decentralization has been developing rapidly in Hong Kong since the early 1980s. Office tenants relocated their businesses to the Decentralized District (DD) with the…
Abstract
Office decentralization has been developing rapidly in Hong Kong since the early 1980s. Office tenants relocated their businesses to the Decentralized District (DD) with the benefits of lower rent, higher flexibility of space use and better supporting facilities. This study examines office decentralization in Hong Kong's office market, both the upturn and downturn. It analyzes the vacancy trend of the Grade A office market in Hong Kong: DD versus Central Business District (CBD), based on a Decentralization Index. This study found that the CBD is a more stable office market sector than the non‐CBD. During a market upturn, the Grade A office market in Hong Kong DD has outperformed that in the CBD. However, during a market downturn, the vacancy rate in the DD tends to increase at a greater rate than that in the CBD. The study also found that periods with a sufficiently high index of decentralization generally experienced increases in CBD rent premiums.
Details
Keywords
Legal standards that allow teens to make health care decisions, or any important decisions, must account for the contingency and variability of minors’ capacity. Traditional law…
Abstract
Legal standards that allow teens to make health care decisions, or any important decisions, must account for the contingency and variability of minors’ capacity. Traditional law denied minors’ legal authority to make any decisions, giving all power to parents. This rule goes too far; the Supreme Court has held that minors have constitutionally protected autonomy-based rights, and modern views about adolescence are inconsistent with the rule. The question is how and where to draw lines.
Legal standards are based on minors’ evolving maturity, policy favoring decisions that follow medical advice, and policy supporting parental authority. This paper uses four hard cases to show how these considerations factor into legal rules.
Details
Keywords
A subject that often causes trouble for reference librarians is federal income tax research and the use of tax services. This article describes the sources of federal income tax…
Abstract
A subject that often causes trouble for reference librarians is federal income tax research and the use of tax services. This article describes the sources of federal income tax law, sources used to interpret the tax laws, and the services that pull all of this information together for the researcher.