Sovereign Risk and Currently Returns

DEFF Research Database (Denmark)

Della Corte, Pasquale; Sarno, Lucio; Schmeling, Maik

We empirically investigate the relation between sovereign risk and exchange rates for a broad set of currencies. An increase in the credit default swap (CDS) spread of a country is accompanied by a significant depreciation of the exchange rate. More generally, CDS spread changes have substantial...... explanatory power for currency returns which is largely driven by shocks to global credit risk. Consistent with the notion that sovereign risk is priced, we find that a country's exposure to global credit risk forecasts excess returns to trading exchange rates as well as to trading on the volatility, skewness...

Sovereign Risk and Currency Returns

DEFF Research Database (Denmark)

Della Corte, Pasquale; Sarno, Lucio; Schmeling, Maik

We empirically investigate the relation between sovereign risk and exchange rates for a broad set of currencies. An increase in the credit default swap (CDS) spread of a country is accompanied by a significant depreciation of the exchange rate. More generally, CDS spread changes have substantial...... explanatory power for currency returns which is largely driven by shocks to global credit risk. Consistent with the notion that sovereign risk is priced, we find that a country's exposure to global credit risk forecasts excess returns to trading exchange rates as well as to trading on the volatility, skewness...

Oil Volatility Risk and Expected Stock Returns

DEFF Research Database (Denmark)

Christoffersen, Peter; Pan, Xuhui (Nick)

After the financialization of commodity futures markets in 2004-05 oil volatility has become a strong predictor of returns and volatility of the overall stock market. Furthermore, stocks' exposure to oil volatility risk now drives the cross-section of expected returns. The difference in average...... return between the quintile of stocks with low exposure and high exposure to oil volatility is significant at 0.66% per month, and oil volatility risk carries a significant risk premium of -0.60% per month. In the post-financialization period, oil volatility risk is strongly related with various measures...

Global Variance Risk Premium and Forex Return Predictability

OpenAIRE

Aloosh, Arash

2014-01-01

In a long-run risk model with stochastic volatility and frictionless markets, I express expected forex returns as a function of consumption growth variances and stock variance risk premiums (VRPs)—the difference between the risk-neutral and statistical expectations of market return variation. This provides a motivation for using the forward-looking information available in stock market volatility indices to predict forex returns. Empirically, I find that stock VRPs predict forex returns at a ...

Tail Risk Premia and Return Predictability

DEFF Research Database (Denmark)

Bollerslev, Tim; Todorov, Viktor; Xu, Lai

The variance risk premium, defined as the difference between actual and risk-neutralized expectations of the forward aggregate market variation, helps predict future market returns. Relying on new essentially model-free estimation procedure, we show that much of this predictability may be attribu......The variance risk premium, defined as the difference between actual and risk-neutralized expectations of the forward aggregate market variation, helps predict future market returns. Relying on new essentially model-free estimation procedure, we show that much of this predictability may......-varying economic uncertainty and changes in risk aversion, or market fears, respectively....

Understanding the Puzzling Risk-Return Relationship for Housing

OpenAIRE

Lu Han

2013-01-01

Standard theory predicts a positive relationship between risk and return, yet recent data show that housing returns vary positively with risk in some markets but negatively in others. This paper rationalizes these cross-market differences in the risk-return relationship for housing, and in so doing, explains the puzzling negative relationship. The paper shows that when the current house provides a hedge against the risk associated with the future housing consumption, households are willing to...

Risk-return relationship in a complex adaptive system.

Directory of Open Access Journals (Sweden)

Kunyu Song

Full Text Available For survival and development, autonomous agents in complex adaptive systems involving the human society must compete against or collaborate with others for sharing limited resources or wealth, by using different methods. One method is to invest, in order to obtain payoffs with risk. It is a common belief that investments with a positive risk-return relationship (namely, high risk high return and vice versa are dominant over those with a negative risk-return relationship (i.e., high risk low return and vice versa in the human society; the belief has a notable impact on daily investing activities of investors. Here we investigate the risk-return relationship in a model complex adaptive system, in order to study the effect of both market efficiency and closeness that exist in the human society and play an important role in helping to establish traditional finance/economics theories. We conduct a series of computer-aided human experiments, and also perform agent-based simulations and theoretical analysis to confirm the experimental observations and reveal the underlying mechanism. We report that investments with a negative risk-return relationship have dominance over those with a positive risk-return relationship instead in such a complex adaptive systems. We formulate the dynamical process for the system's evolution, which helps to discover the different role of identical and heterogeneous preferences. This work might be valuable not only to complexity science, but also to finance and economics, to management and social science, and to physics.

Risk-return relationship in a complex adaptive system.

Science.gov (United States)

Song, Kunyu; An, Kenan; Yang, Guang; Huang, Jiping

2012-01-01

For survival and development, autonomous agents in complex adaptive systems involving the human society must compete against or collaborate with others for sharing limited resources or wealth, by using different methods. One method is to invest, in order to obtain payoffs with risk. It is a common belief that investments with a positive risk-return relationship (namely, high risk high return and vice versa) are dominant over those with a negative risk-return relationship (i.e., high risk low return and vice versa) in the human society; the belief has a notable impact on daily investing activities of investors. Here we investigate the risk-return relationship in a model complex adaptive system, in order to study the effect of both market efficiency and closeness that exist in the human society and play an important role in helping to establish traditional finance/economics theories. We conduct a series of computer-aided human experiments, and also perform agent-based simulations and theoretical analysis to confirm the experimental observations and reveal the underlying mechanism. We report that investments with a negative risk-return relationship have dominance over those with a positive risk-return relationship instead in such a complex adaptive systems. We formulate the dynamical process for the system's evolution, which helps to discover the different role of identical and heterogeneous preferences. This work might be valuable not only to complexity science, but also to finance and economics, to management and social science, and to physics.

Planetary Protection for LIFE-Sample Return from Enceladus

Science.gov (United States)

Tsou, Peter; Yano, Hajime; Takano, Yoshinori; McKay, David; Takai, Ken; Anbar, Ariel; Baross, J.

Introduction: We are seeking a balanced approach to returning Enceladus plume samples to state-of-the-art terrestrial laboratories to search for signs of life. NASA, ESA, JAXA and other space agencies are seeking habitable worlds and life beyond Earth. Enceladus, an icy moon of Saturn, is the first known body in the Solar System besides Earth to emit liquid water from its interior. Enceladus is the most accessible body in our Solar System for a low cost flyby sample return mission to capture aqueous based samples, to determine its state of life development, and shed light on how life can originate on wet planets/moons. LIFE combines the unique capabilities of teams of international exploration expertise. These returned Enceladus plume samples will determine if this habitable body is in fact inhabited [McKay et al, 2014]. This paper describes an approach for the LIFE mission to capture and return samples from Enceladus while meeting NASA and COSPAR planetary protection requirements. Forward planetary protection requirements for spacecraft missions to icy solar system bodies have been defined, however planetary protection requirements specific to an Earth return of samples collected from Enceladus or other Outer Planet Icy Moons, have yet to be defined. Background: From the first half century of space exploration, we have returned samples only from the Moon, comet Wild 2, the Solar Wind and the asteroid Itokawa. The in-depth analyses of these samples in terrestrial laboratories have yielded detailed chemical information that could not have been obtained otherwise. While obtaining samples from Solar System bodies is trans-formative science, it is rarely performed due to cost and complexity. The discovery by Cassini of geysers on Enceladus and organic materials in the ejected plume indicates that there is an exceptional opportunity and strong scientific rationale for LIFE. The earliest low-cost possible flight opportunity is the next Discovery Mission [Tsou et al 2012

The effects of financial risks on the relationship between earnings and stock returns

Directory of Open Access Journals (Sweden)

Mehri Akhavi Babi

2015-06-01

Full Text Available This study was conducted to investigate the effects of financial risks on the relationship between earnings per share and stock returns. The statistical population of the study consisted of the companies accepted by Tehran Stock Exchange. According to the conditions for sampling, 65 companies were selected during a period of six years from 2008 to 2013 (i.e., 390 fiscal years, and four hypotheses were set forth to achieve the purposes of the study. The first hypothesis tried to assess the relationship between earnings per share and stock returns. The second, third, and fourth hypotheses investigated the significance of the effects of three financial risks, namely liquidity, credit, and solvency risks on the relationship between earnings per share and stock returns. The hypotheses of the study were tested using linear and multiple regressions. The findings of the study indicated that there was a positive and significant relationship between earnings per share and stock returns. In addition, the results proved that the credit and solvency risks had negative and significant effects on the relationship between earnings per share and stock returns, but the effect of liquidity risk on this relationship was not significant.

SECTORAL RISK AND RETURN FOR COMPANIES IN ROMANIA

Directory of Open Access Journals (Sweden)

Anis Cecilia

2012-12-01

Full Text Available probability that cash flows or return will vary from expectations. Standard corporate finance theory supposes that a company chooses a capital structure that maximizes company value. A fundamental idea in finance is the relationship between risk and return. The greater the amount of risk that an investor is willing to take on, the greater the potential return. The reason for this is that investors need to be compensated for taking on additional risk. Why put capital at significant risk for a return that is no higher than the return on government bonds? Or expect higher than averages returns from low-risk activities? It is impossible to separate measuring the performance of a company from the risks that the management takes to achieve it.In most aspects of company operations, risk assessment plays a different but equally important, role. It is an integral part of informed decision taking in achieving performance. Risk assessment is involved from the highest level in strategic choices about what activities to undertake, what assets to buy or what markets to serve all the way to detailed operational decisions about whether to accept payment in foreign currencies and the adequacy of safety measures in the workplace. It plays a part whether or not an organization is aware of managing risk and many managers feel that their instinct and judgment are enough – a behavior risk. The danger is that this leaves company risk unplanned and unmanaged. This paper proposes a framework where we realized a study cases: we test if return on assets and return on equity has influence on the risk, both on long and short term. For this purposes, we conduct an empirical research that covers 59 selected companies traded at the Bucharest Stock Exchange within the time period 1999-2010. For this study our results reveal that dynamic global risk can be associated to a low intensity with total assets performance of the company’s. Investments efficiency and the

INSTITUTIONAL OWNERSHIP LEVEL AND RISK-ADJUSTED RETURN

OpenAIRE

Isaiah, Chioma; Li, Meng (Emma)

2017-01-01

This paper examines the relationship between the level of institutional ownership andrisk-adjusted return on stocks. We find a significant positive relationship between the level ofinstitutional ownership on a stock and its risk-adjusted return. This result holds both in the longrun and in shorter time periods. Our findings suggest that all things being equal, it is possible toobtain risk-adjusted return by going short on the stocks with low institutional ownership andgoing long on those with...

Value at Risk and Hedge Fund Return - Does High Risk Bring High Return?

OpenAIRE

Jing, Tao; Zhao, Hongxiang

2010-01-01

This paper mainly focuses on the correlation between live hedge fund return and their value at risk (VaR), and is based on the historical data from May 2000 to April 2010. The authors adopt portfolio level analyses and fund level cross-sectional regression, and find that there is significant positive correlation, both statistically and economically, between the hedge fund return and VaRs (parametric, non-parametric and GARCH). Further research is conducted by sub-dividing the overall period i...

Analyse Risk-Return Paradox: Evidence from Electricity Sector of Pakistan

OpenAIRE

Naqi Shah, Sadia; Qayyum, Abdul

2016-01-01

This study analyse risk return relationship of the electricity companies of Pakistan by using the log return series of these electricity companies. Financial time series data have the property of autoregressive heteroscedasticity so move towards the GARCH family test. As the study want to analyse the risk return relationship so, GARCH-M Model of Engel et al (1987) is used, who empirically found relationship between risk and return. Results show that risk return in case of Pakistan electricity...

Consumption Risk and the Cross Section of Expected Returns.

Science.gov (United States)

Parker, Jonathan A.; Julliard, Christian

2005-01-01

This paper evaluates the central insight of the consumption capital asset pricing model that an asset's expected return is determined by its equilibrium risk to consumption. Rather than measure risk by the contemporaneous covariance of an asset's return and consumption growth, we measure risk by the covariance of an asset's return and consumption…

Triple F - A Comet Nucleus Sample Return Mission

Science.gov (United States)

Kueppers, Michael; Keller, Horst Uwe; Kuhrt, Ekkehard; A'Hearn, Michael; Altwegg, Kathrin; Betrand, Regis; Busemann, Henner; Capria, Maria Teresa; Colangeli, Luigi

2008-01-01

The Triple F (Fresh From the Fridge) mission, a Comet Nucleus Sample Return, has been proposed to ESA s Cosmic Vision program. A sample return from a comet enables us to reach the ultimate goal of cometary research. Since comets are the least processed bodies in the solar system, the proposal goes far beyond cometary science topics (like the explanation of cometary activity) and delivers invaluable information about the formation of the solar system and the interstellar molecular cloud from which it formed. The proposed mission would extract three samples of the upper 50 cm from three locations on a cometary nucleus and return them cooled to Earth for analysis in the laboratory. The simple mission concept with a touch-and-go sampling by a single spacecraft was proposed as an M-class mission in collaboration with the Russian space agency ROSCOSMOS.

A Method for Choosing the Best Samples for Mars Sample Return.

Science.gov (United States)

Gordon, Peter R; Sephton, Mark A

2018-05-01

Success of a future Mars Sample Return mission will depend on the correct choice of samples. Pyrolysis-FTIR can be employed as a triage instrument for Mars Sample Return. The technique can thermally dissociate minerals and organic matter for detection. Identification of certain mineral types can determine the habitability of the depositional environment, past or present, while detection of organic matter may suggest past or present habitation. In Mars' history, the Theiikian era represents an attractive target for life search missions and the acquisition of samples. The acidic and increasingly dry Theiikian may have been habitable and followed a lengthy neutral and wet period in Mars' history during which life could have originated and proliferated to achieve relatively abundant levels of biomass with a wide distribution. Moreover, the sulfate minerals produced in the Theiikian are also known to be good preservers of organic matter. We have used pyrolysis-FTIR and samples from a Mars analog ferrous acid stream with a thriving ecosystem to test the triage concept. Pyrolysis-FTIR identified those samples with the greatest probability of habitability and habitation. A three-tier scoring system was developed based on the detection of (i) organic signals, (ii) carbon dioxide and water, and (iii) sulfur dioxide. The presence of each component was given a score of A, B, or C depending on whether the substance had been detected, tentatively detected, or not detected, respectively. Single-step (for greatest possible sensitivity) or multistep (for more diagnostic data) pyrolysis-FTIR methods informed the assignments. The system allowed the highest-priority samples to be categorized as AAA (or A*AA if the organic signal was complex), while the lowest-priority samples could be categorized as CCC. Our methods provide a mechanism with which to rank samples and identify those that should take the highest priority for return to Earth during a Mars Sample Return mission. Key Words

Low Cost Mars Sample Return Utilizing Dragon Lander Project

Science.gov (United States)

Stoker, Carol R.

2014-01-01

We studied a Mars sample return (MSR) mission that lands a SpaceX Dragon Capsule on Mars carrying sample collection hardware (an arm, drill, or small rover) and a spacecraft stack consisting of a Mars Ascent Vehicle (MAV) and Earth Return Vehicle (ERV) that collectively carry the sample container from Mars back to Earth orbit.

An Efficient Approach for Mars Sample Return Using Emerging Commercial Capabilities.

Science.gov (United States)

Gonzales, Andrew A; Stoker, Carol R

2016-06-01

Mars Sample Return is the highest priority science mission for the next decade as recommended by the 2011 Decadal Survey of Planetary Science [1]. This article presents the results of a feasibility study for a Mars Sample Return mission that efficiently uses emerging commercial capabilities expected to be available in the near future. The motivation of our study was the recognition that emerging commercial capabilities might be used to perform Mars Sample Return with an Earth-direct architecture, and that this may offer a desirable simpler and lower cost approach. The objective of the study was to determine whether these capabilities can be used to optimize the number of mission systems and launches required to return the samples, with the goal of achieving the desired simplicity. All of the major element required for the Mars Sample Return mission are described. Mission system elements were analyzed with either direct techniques or by using parametric mass estimating relationships. The analysis shows the feasibility of a complete and closed Mars Sample Return mission design based on the following scenario: A SpaceX Falcon Heavy launch vehicle places a modified version of a SpaceX Dragon capsule, referred to as "Red Dragon", onto a Trans Mars Injection trajectory. The capsule carries all the hardware needed to return to Earth Orbit samples collected by a prior mission, such as the planned NASA Mars 2020 sample collection rover. The payload includes a fully fueled Mars Ascent Vehicle; a fueled Earth Return Vehicle, support equipment, and a mechanism to transfer samples from the sample cache system onboard the rover to the Earth Return Vehicle. The Red Dragon descends to land on the surface of Mars using Supersonic Retropropulsion. After collected samples are transferred to the Earth Return Vehicle, the single-stage Mars Ascent Vehicle launches the Earth Return Vehicle from the surface of Mars to a Mars phasing orbit. After a brief phasing period, the Earth Return

Paleomagnetic Studies of Returned Samples from Mars

Science.gov (United States)

Weiss, B. P.; Beaty, D. W.; McSween, H. Y.; Carrier, B. L.; Czaja, A. D.; Goreva, Y. S.; Hausrath, E.; Herd, C. D. K.; Humayun, M.; McCubbin, F. M.; McLennan, S. M.; Pratt, L. M.; Sephton, M. A.; Steele, A.

2018-04-01

Magnetic measurements of returned samples could transform our understanding of the martian dynamo and its connection to climatic and planetary thermal evolution and provide powerful constraints on the preservation state of sample biosignatures.

Intertemporal Risk-Return Trade-off in Foreign Exchange Rates

OpenAIRE

Christiansen, Charlotte

2010-01-01

We investigate the intertemporal risk-return trade-off of foreign ex-change (FX) rates for ten currencies quoted against the USD. For each currency,we use three risk measures simultaneously that pertain to that currency; its re-alized volatility, its realized skewness, and its value-at-risk. We apply monthlyFX excess returns and monthly FX risk measures calculated from daily ob-servations. We find that there is a positive and signi…cant contemporaneousrisk-return trade-off for most currencies...

Sample Return Systems for Extreme Environments

Data.gov (United States)

National Aeronautics and Space Administration — In Phase I we were able to demonstrate that sample return missions utilizing high velocity penetrators (0.1- 1 km/s) could provide substantial new capabilities for...

Risk-Return Trade-Off for European Stock Markets

OpenAIRE

Aslanidis, Nektarios; Christiansen, Charlotte; Savva, Christos S.

2015-01-01

This paper adopts dynamic factor models with macro-finance predictors to revisit the intertemporal risk-return relation in five large European stock markets. We identify country specific, Euro area, and global factors to determine the conditional moments of returns considering the role of higher-order moments as additional measures of risk. The preferred combination of factors varies across countries. In the linear model, there is a strong but negative relation between conditional returns and...

Sample Return Systems for Extreme Environments

Data.gov (United States)

National Aeronautics and Space Administration — The proposed work seeks to design, develop and test a hard impact penetrator/sampler that can withstand the hard impact and enable the sample to be returned to...

Effective return, risk aversion and drawdowns

Science.gov (United States)

Dacorogna, Michel M.; Gençay, Ramazan; Müller, Ulrich A.; Pictet, Olivier V.

2001-01-01

We derive two risk-adjusted performance measures for investors with risk averse preferences. Maximizing these measures is equivalent to maximizing the expected utility of an investor. The first measure, Xeff, is derived assuming a constant risk aversion while the second measure, Reff, is based on a stronger risk aversion to clustering of losses than of gains. The clustering of returns is captured through a multi-horizon framework. The empirical properties of Xeff, Reff are studied within the context of real-time trading models for foreign exchange rates and their properties are compared to those of more traditional measures like the annualized return, the Sharpe Ratio and the maximum drawdown. Our measures are shown to be more robust against clustering of losses and have the ability to fully characterize the dynamic behaviour of investment strategies.

Endogenous time-varying risk aversion and asset returns.

Science.gov (United States)

Berardi, Michele

2016-01-01

Stylized facts about statistical properties for short horizon returns in financial markets have been identified in the literature, but a satisfactory understanding for their manifestation is yet to be achieved. In this work, we show that a simple asset pricing model with representative agent is able to generate time series of returns that replicate such stylized facts if the risk aversion coefficient is allowed to change endogenously over time in response to unexpected excess returns under evolutionary forces. The same model, under constant risk aversion, would instead generate returns that are essentially Gaussian. We conclude that an endogenous time-varying risk aversion represents a very parsimonious way to make the model match real data on key statistical properties, and therefore deserves careful consideration from economists and practitioners alike.

Bank Activity and Funding Strategies : The Impact on Risk and Return

NARCIS (Netherlands)

Demirgüc-Kunt, A.; Huizinga, H.P.

2009-01-01

This paper examines the implications of bank activity and short-term funding strategies for bank risk and return using an international sample of 1334 banks in 101 countries leading up to the 2007 financial crisis. Expansion into non-interest income generating activities such as trading increases

Mars Sample Return Landed with Red Dragon

Science.gov (United States)

Stoker, Carol R.; Lemke, Lawrence G.

2013-01-01

A Mars Sample Return (MSR) mission is the highest priority science mission for the next decade as recommended by the recent Decadal Survey of Planetary Science. However, an affordable program to carry this out has not been defined. This paper describes a study that examined use of emerging commercial capabilities to land the sample return elements, with the goal of reducing mission cost. A team at NASA Ames examined the feasibility of the following scenario for MSR: A Falcon Heavy launcher injects a SpaceX Dragon crew capsule and trunk onto a Trans Mars Injection trajectory. The capsule is modified to carry all the hardware needed to return samples collected on Mars including a Mars Ascent Vehicle (MAV), an Earth Return Vehicle (ERV) and Sample Collection and Storage hardware. The Dragon descends to land on the surface of Mars using SuperSonic Retro Propulsion (SSRP) as described by Braun and Manning [IEEEAC paper 0076, 2005]. Samples are acquired and deliverd to the MAV by a prelanded asset, possibly the proposed 2020 rover. After samples are obtained and stored in the ERV, the MAV launches the sample-containing ERV from the surface of Mars. We examined cases where the ERV is delivered to either low Mars orbit (LMO), C3 = 0 (Mars escape), or an intermediate energy state. The ERV then provides the rest of the energy (delta V) required to perform trans-Earth injection (TEI), cruise, and insertion into a Moon-trailing Earth Orbit (MTEO). A later mission, possibly a crewed Dragon launched by a Falcon Heavy (not part of the current study) retrieves the sample container, packages the sample, and performs a controlled Earth re-entry to prevent Mars materials from accidentally contaminating Earth. The key analysis methods used in the study employed a set of parametric mass estimating relationships (MERs) and standard aerospace analysis software codes modified for the MAV class of launch vehicle to determine the range of performance parameters that produced converged

Mars Sample Return: Mars Ascent Vehicle Mission and Technology Requirements

Science.gov (United States)

Bowles, Jeffrey V.; Huynh, Loc C.; Hawke, Veronica M.; Jiang, Xun J.

2013-01-01

A Mars Sample Return mission is the highest priority science mission for the next decade recommended by the recent Decadal Survey of Planetary Science, the key community input process that guides NASAs science missions. A feasibility study was conducted of a potentially simple and low cost approach to Mars Sample Return mission enabled by the use of developing commercial capabilities. Previous studies of MSR have shown that landing an all up sample return mission with a high mass capacity lander is a cost effective approach. The approach proposed is the use of an emerging commercially available capsule to land the launch vehicle system that would return samples to Earth. This paper describes the mission and technology requirements impact on the launch vehicle system design, referred to as the Mars Ascent Vehicle (MAV).

Mars Sample Return Architecture Assessment Study

Science.gov (United States)

Centuori, S.; Hermosín, P.; Martín, J.; De Zaiacomo, G.; Colin, S.; Godfrey, A.; Myles, J.; Johnson, H.; Sachdev, T.; Ahmed, R.

2018-04-01

Current paper presents the results of ESA funded activity "Mars Sample Return Architecture Assessment Study" carried-out by DEIMOS Space, Lockheed Martin UK Ampthill, and MDA Corporation, where more than 500 mission design options have been studied.

The Cross-Section of Credit Risk Premia and Equity Returns

DEFF Research Database (Denmark)

Friewald, Nils; Wagner, Christian; Zechner, Josef

Structural models a la Merton (1974) imply that rms' risk premia in equity and credit markets are related. We explore this relation, using the joint crosssection of stock returns and risk premia estimated from forward credit default swap (CDS) spreads. Consistent with structural models, we nd...... that rms' equity returns and Sharpe ratios increase with estimated credit risk premia and that the returns of buying high and selling low credit risk premium rms cannot be explained by traditional risk factors. Credit risk premia contain equity-relevant information neither captured by risk-neutral nor...

Multiple Smaller Missions as a Direct Pathway to Mars Sample Return

Science.gov (United States)

Niles, P. B.; Draper, D. S.; Evans, C. A.; Gibson, E. K.; Graham, L. D.; Jones, J. H.; Lederer, S. M.; Ming, D.; Seaman, C. H.; Archer, P. D.;

Poor Man's Asteroid Sample Return Missions

Science.gov (United States)

Landis, R. R.; Graham, L. D.

2018-02-01

A cislunar platform at a Near-Rectilinear [Halo] Orbit in the vicinity of the Moon could provide an opportunity for a small NEA sample return mission at relatively low cost. There are a couple potential small ( 1m) object target dynamical groups.

The risks and returns of stock investment in a financial market

Science.gov (United States)

Li, Jiang-Cheng; Mei, Dong-Cheng

2013-03-01

The risks and returns of stock investment are discussed via numerically simulating the mean escape time and the probability density function of stock price returns in the modified Heston model with time delay. Through analyzing the effects of delay time and initial position on the risks and returns of stock investment, the results indicate that: (i) There is an optimal delay time matching minimal risks of stock investment, maximal average stock price returns and strongest stability of stock price returns for strong elasticity of demand of stocks (EDS), but the opposite results for weak EDS; (ii) The increment of initial position recedes the risks of stock investment, strengthens the average stock price returns and enhances stability of stock price returns. Finally, the probability density function of stock price returns and the probability density function of volatility and the correlation function of stock price returns are compared with other literatures. In addition, good agreements are found between them.

International cooperation for Mars exploration and sample return

Science.gov (United States)

Levy, Eugene H.; Boynton, William V.; Cameron, A. G. W.; Carr, Michael H.; Kitchell, Jennifer H.; Mazur, Peter; Pace, Norman R.; Prinn, Ronald G.; Solomon, Sean C.; Wasserburg, Gerald J.

1990-01-01

The National Research Council's Space Studies Board has previously recommended that the next major phase of Mars exploration for the United States involve detailed in situ investigations of the surface of Mars and the return to earth for laboratory analysis of selected Martian surface samples. More recently, the European space science community has expressed general interest in the concept of cooperative Mars exploration and sample return. The USSR has now announced plans for a program of Mars exploration incorporating international cooperation. If the opportunity becomes available to participate in Mars exploration, interest is likely to emerge on the part of a number of other countries, such as Japan and Canada. The Space Studies Board's Committee on Cooperative Mars Exploration and Sample Return was asked by the National Aeronautics and Space Administration (NASA) to examine and report on the question of how Mars sample return missions might best be structured for effective implementation by NASA along with international partners. The committee examined alternatives ranging from scientific missions in which the United States would take a substantial lead, with international participation playing only an ancillary role, to missions in which international cooperation would be a basic part of the approach, with the international partners taking on comparably large mission responsibilities. On the basis of scientific strategies developed earlier by the Space Studies Board, the committee considered the scientific and technical basis of such collaboration and the most mutually beneficial arrangements for constructing successful cooperative missions, particularly with the USSR.

Does Aggregated Returns Disclosure Increase Portfolio Risk Taking?

Science.gov (United States)

Beshears, John; Choi, James J; Laibson, David; Madrian, Brigitte C

2017-06-01

Many experiments have found that participants take more investment risk if they see returns less frequently, see portfolio-level returns (rather than each individual asset's returns), or see long-horizon (rather than one-year) historical return distributions. In contrast, we find that such information aggregation treatments do not affect total equity investment when we make the investment environment more realistic than in prior experiments. Previously documented aggregation effects are not robust to changes in the risky asset's return distribution or the introduction of a multi-day delay between portfolio choice and return realizations.

Realized Jump Risk and Equity Return in China

Directory of Open Access Journals (Sweden)

Guojin Chen

2014-01-01

Full Text Available We utilize the realized jump components to explore a new jump (including nonsystematic jump and systematic jump risk factor model. After estimating daily realized jumps from high-frequency transaction data of the Chinese A-share stocks, we calculate monthly jump size, monthly jump standard deviation, and monthly jump arrival rate and then use those monthly jump factors to explain the return of the following month. Our empirical results show that the jump tail risk can explain the equity return. For the large capital-size stocks, large cap stock portfolios, and index, one-month lagged jump risk factor significantly explains the asset return variation. Our results remain the same even when we add the size and value factors in the robustness tests.

Inflation risk and international asset returns

NARCIS (Netherlands)

G.A. Moerman (Gerard); M.A. van Dijk (Mathijs)

2010-01-01

textabstractWe show that inflation risk is priced in international asset returns. We analyze inflation risk in a framework that encompasses the International Capital Asset Pricing Model (ICAPM) of Adler and Dumas (1983). In contrast to the extant empirical literature on the ICAPM, we relax the

Does Aggregated Returns Disclosure Increase Portfolio Risk Taking?

Science.gov (United States)

Beshears, John; Choi, James J.; Laibson, David; Madrian, Brigitte C.

2016-01-01

Many experiments have found that participants take more investment risk if they see returns less frequently, see portfolio-level returns (rather than each individual asset’s returns), or see long-horizon (rather than one-year) historical return distributions. In contrast, we find that such information aggregation treatments do not affect total equity investment when we make the investment environment more realistic than in prior experiments. Previously documented aggregation effects are not robust to changes in the risky asset’s return distribution or the introduction of a multi-day delay between portfolio choice and return realizations. PMID:28553012

Risk-return Performance of Residential Property Investment in Abuja ...

African Journals Online (AJOL)

Sultan

2017-06-20

Jun 20, 2017 ... Keywords: property investment performance, risk-return analysis, ANO VA and HSD-tukey test. ATBU Journal of Environmental Technology 10, 1, June 2017. 95 ... minimizing the effect of risk, therefore return .... listed companies and UACN within a given .... information on rent and sales between 2001 and.

Market skewness risk and the cross section of stock returns

DEFF Research Database (Denmark)

Chang, B.Y.; Christoffersen, Peter; Jacobs, K.

2013-01-01

The cross section of stock returns has substantial exposure to risk captured by higher moments of market returns. We estimate these moments from daily Standard & Poor's 500 index option data. The resulting time series of factors are genuinely conditional and forward-looking. Stocks with high...... exposure to innovations in implied market skewness exhibit low returns on average. The results are robust to various permutations of the empirical setup. The market skewness risk premium is statistically and economically significant and cannot be explained by other common risk factors such as the market...... excess return or the size, book-to-market, momentum, and market volatility factors, or by firm characteristics....

Risk of portfolio with simulated returns based on copula model

Science.gov (United States)

Razak, Ruzanna Ab; Ismail, Noriszura

2015-02-01

The commonly used tool for measuring risk of a portfolio with equally weighted stocks is variance-covariance method. Under extreme circumstances, this method leads to significant underestimation of actual risk due to its multivariate normality assumption of the joint distribution of stocks. The purpose of this research is to compare the actual risk of portfolio with the simulated risk of portfolio in which the joint distribution of two return series is predetermined. The data used is daily stock prices from the ASEAN market for the period January 2000 to December 2012. The copula approach is applied to capture the time varying dependence among the return series. The results shows that the chosen copula families are not suitable to present the dependence structures of each bivariate returns. Exception for the Philippines-Thailand pair where by t copula distribution appears to be the appropriate choice to depict its dependence. Assuming that the t copula distribution is the joint distribution of each paired series, simulated returns is generated and value-at-risk (VaR) is then applied to evaluate the risk of each portfolio consisting of two simulated return series. The VaR estimates was found to be symmetrical due to the simulation of returns via elliptical copula-GARCH approach. By comparison, it is found that the actual risks are underestimated for all pairs of portfolios except for Philippines-Thailand. This study was able to show that disregard of the non-normal dependence structure of two series will result underestimation of actual risk of the portfolio.

Oil Volatility Risk and Expected Stock Returns

DEFF Research Database (Denmark)

Christoffersen, Peter; Pan, Xuhui (Nick)

return between the quintile of stocks with low exposure and high exposure to oil volatility is significant at 0.66% per month, and oil volatility risk carries a significant risk premium of -0.60% per month. In the post-financialization period, oil volatility risk is strongly related with various measures...

Risk and return in oilfield asset holdings

International Nuclear Information System (INIS)

Kretzschmar, Gavin L.; Kirchner, Axel; Reusch, Hans

2008-01-01

Convention suggests that emerging market investment should provide commensurately lower risk or higher returns than comparable assets in developed countries. This study demonstrates that emerging markets contain regulatory specificities that challenge asset valuation model convergence and potentially invert risk return convention. 292 oilfield assets are used to provide evidence that, under upward oil prices, emerging markets are characterized by progressive state participation in oilfield cash flows. Specifically, this work advances the low oil price paradigm of prior oil and gas asset valuation studies and provides evidence that emerging market state participation terms limit the corporate value of globalization for the sector. (author)

Risk and return in oilfield asset holdings

Energy Technology Data Exchange (ETDEWEB)

Kretzschmar, Gavin L.; Kirchner, Axel; Reusch, Hans [University of Edinburgh, College of Humanities and Social Sciences, The Management School (United Kingdom)

2008-11-15

Convention suggests that emerging market investment should provide commensurately lower risk or higher returns than comparable assets in developed countries. This study demonstrates that emerging markets contain regulatory specificities that challenge asset valuation model convergence and potentially invert risk return convention. 292 oilfield assets are used to provide evidence that, under upward oil prices, emerging markets are characterized by progressive state participation in oilfield cash flows. Specifically, this work advances the low oil price paradigm of prior oil and gas asset valuation studies and provides evidence that emerging market state participation terms limit the corporate value of globalization for the sector. (author)

COMPASS Final Report: Near Earth Asteroids Rendezvous and Sample Earth Returns (NEARER)

Science.gov (United States)

Oleson, Steven R.; McGuire, Melissa L.

2009-01-01

In this study, the Collaborative Modeling for Parametric Assessment of Space Systems (COMPASS) team completed a design for a multi-asteroid (Nereus and 1996 FG3) sample return capable spacecraft for the NASA In-Space Propulsion Office. The objective of the study was to support technology development and assess the relative benefits of different electric propulsion systems on asteroid sample return design. The design uses a single, heritage Orion solar array (SA) (approx.6.5 kW at 1 AU) to power a single NASA Evolutionary Xenon Thruster ((NEXT) a spare NEXT is carried) to propel a lander to two near Earth asteroids. After landing and gathering science samples, the Solar Electric Propulsion (SEP) vehicle spirals back to Earth where it drops off the first sample s return capsule and performs an Earth flyby to assist the craft in rendezvousing with a second asteroid, which is then sampled. The second sample is returned in a similar fashion. The vehicle, dubbed Near Earth Asteroids Rendezvous and Sample Earth Returns (NEARER), easily fits in an Atlas 401 launcher and its cost estimates put the mission in the New Frontier s (NF's) class mission.

Mars Sample Return Using Solar Sail Propulsion

Science.gov (United States)

Johnson, Les; Macdonald, Malcolm; Mcinnes, Colin; Percy, Tom

2012-01-01

Many Mars Sample Return (MSR) architecture studies have been conducted over the years. A key element of them is the Earth Return Stage (ERS) whose objective is to obtain the sample from the Mars Ascent Vehicle (MAV) and return it safely to the surface of the Earth. ERS designs predominantly use chemical propulsion [1], incurring a significant launch mass penalty due to the low specific impulse of such systems coupled with the launch mass sensitivity to returned mass. It is proposed to use solar sail propulsion for the ERS, providing a high (effective) specific impulse propulsion system in the final stage of the multi-stage system. By doing so to the launch mass of the orbiter mission can be significantly reduced and hence potentially decreasing mission cost. Further, solar sailing offers a unique set of non-Keplerian low thrust trajectories that may enable modifications to the current approach to designing the Earth Entry Vehicle by potentially reducing the Earth arrival velocity. This modification will further decrease the mass of the orbiter system. Solar sail propulsion uses sunlight to propel vehicles through space by reflecting solar photons from a large, mirror-like surface made of a lightweight, reflective material. The continuous photonic pressure provides propellantless thrust to conduct orbital maneuvering and plane changes more efficiently than conventional chemical propulsion. Because the Sun supplies the necessary propulsive energy, solar sails require no onboard propellant, thus reducing system mass. This technology is currently at TRL 7/8 as demonstrated by the 2010 flight of the Japanese Aerospace Exploration Agency, JAXA, IKAROS mission. [2

Integrated science and engineering for the OSIRIS-REx asteroid sample return mission

Science.gov (United States)

Lauretta, D.

2014-07-01

Introduction: The Origins, Spectral Interpretation, Resource Identification, and Security-Regolith Explorer (OSIRIS-REx) asteroid sample return mission will survey near-Earth asteroid (101955) Bennu to understand its physical, mineralogical, and chemical properties, assess its resource potential, refine the impact hazard, and return a sample of this body to the Earth [1]. This mission is scheduled for launch in 2016 and will rendezvous with the asteroid in 2018. Sample return to the Earth follows in 2023. The OSIRIS-REx mission has the challenge of visiting asteroid Bennu, characterizing it at global and local scales, then selecting the best site on the asteroid surface to acquire a sample for return to the Earth. Minimizing the risk of exploring an unknown world requires a tight integration of science and engineering to inform flight system and mission design. Defining the Asteroid Environment: We have performed an extensive astronomical campaign in support of OSIRIS-REx. Lightcurve and phase function observations were obtained with UA Observatories telescopes located in southeastern Arizona during the 2005--2006 and 2011--2012 apparitions [2]. We observed Bennu using the 12.6-cm radar at the Arecibo Observatory in 1999, 2005, and 2011 and the 3.5-cm radar at the Goldstone tracking station in 1999 and 2005 [3]. We conducted near-infrared measurements using the NASA Infrared Telescope Facility at the Mauna Kea Observatory in Hawaii in September 2005 [4]. Additional spectral observations were obtained in July 2011 and May 2012 with the Magellan 6.5-m telescope [5]. We used the Spitzer space telescope to observe Bennu in May 2007 [6]. The extensive knowledge gained as a result of our telescopic characterization of Bennu was critical in the selection of this object as the OSIRIS-REx mission target. In addition, we use these data, combined with models of the asteroid, to constrain over 100 different asteroid parameters covering orbital, bulk, rotational, radar

Risk-Return Trade-Off for European Stock Markets

DEFF Research Database (Denmark)

Aslanidis, Nektarios; Christiansen, Charlotte; Savva, Christos S.

This paper adopts dynamic factor models with macro-finance predictors to revisit the intertemporal risk-return relation in five large European stock markets. We identify country specific, Euro area, and global factors to determine the conditional moments of returns considering the role of higher...

Risk and return: Long-run relations, fractional cointegration, and return predictability

DEFF Research Database (Denmark)

Bollerslev, Tim; Osterrieder, Daniela; Sizova, Natalia

2013-01-01

Univariate dependencies in market volatility, both objective and risk neutral, are best described by long-memory fractionally integrated processes. Meanwhile, the ex post difference, or the variance swap payoff reflecting the reward for bearing volatility risk, displays far less persistent dynamics...... are consistent with generalized long-run risk models and help explain why classical efforts of establishing a naïve return-volatility relation fail. We also estimate a fractionally cointegrated vector autoregression (CFVAR). The model-implied long-run equilibrium relation between the two variance variables...

Multivariate Risk-Return Decision Making Within Dynamic Estimation

Directory of Open Access Journals (Sweden)

Josip Arnerić

2008-10-01

Full Text Available Risk management in this paper is focused on multivariate risk-return decision making assuming time-varying estimation. Empirical research in risk management showed that the static "mean-variance" methodology in portfolio optimization is very restrictive with unrealistic assumptions. The objective of this paper is estimation of time-varying portfolio stocks weights by constraints on risk measure. Hence, risk measure dynamic estimation is used in risk controlling. By risk control manager makes free supplementary capital for new investments.Univariate modeling approach is not appropriate, even when portfolio returns are treated as one variable. Portfolio weights are time-varying, and therefore it is necessary to reestimate whole model over time. Using assumption of bivariate Student´s t-distribution, in multivariate GARCH(p,q models, it becomes possible to forecast time-varying portfolio risk much more precisely. The complete procedure of analysis is established from Zagreb Stock Exchange using daily observations of Pliva and Podravka stocks.

Advanced Curation: Solving Current and Future Sample Return Problems

Science.gov (United States)

Fries, M.; Calaway, M.; Evans, C.; McCubbin, F.

2015-01-01

Advanced Curation is a wide-ranging and comprehensive research and development effort at NASA Johnson Space Center that identifies and remediates sample related issues. For current collections, Advanced Curation investigates new cleaning, verification, and analytical techniques to assess their suitability for improving curation processes. Specific needs are also assessed for future sample return missions. For each need, a written plan is drawn up to achieve the requirement. The plan draws while upon current Curation practices, input from Curators, the analytical expertise of the Astromaterials Research and Exploration Science (ARES) team, and suitable standards maintained by ISO, IEST, NIST and other institutions. Additionally, new technologies are adopted on the bases of need and availability. Implementation plans are tested using customized trial programs with statistically robust courses of measurement, and are iterated if necessary until an implementable protocol is established. Upcoming and potential NASA missions such as OSIRIS-REx, the Asteroid Retrieval Mission (ARM), sample return missions in the New Frontiers program, and Mars sample return (MSR) all feature new difficulties and specialized sample handling requirements. The Mars 2020 mission in particular poses a suite of challenges since the mission will cache martian samples for possible return to Earth. In anticipation of future MSR, the following problems are among those under investigation: What is the most efficient means to achieve the less than 1.0 ng/sq cm total organic carbon (TOC) cleanliness required for all sample handling hardware? How do we maintain and verify cleanliness at this level? The Mars 2020 Organic Contamination Panel (OCP) predicts that organic carbon, if present, will be present at the "one to tens" of ppb level in martian near-surface samples. The same samples will likely contain wt% perchlorate salts, or approximately 1,000,000x as much perchlorate oxidizer as organic carbon

X-Ray Computed Tomography: The First Step in Mars Sample Return Processing

Science.gov (United States)

Welzenbach, L. C.; Fries, M. D.; Grady, M. M.; Greenwood, R. C.; McCubbin, F. M.; Zeigler, R. A.; Smith, C. L.; Steele, A.

2017-01-01

The Mars 2020 rover mission will collect and cache samples from the martian surface for possible retrieval and subsequent return to Earth. If the samples are returned, that mission would likely present an opportunity to analyze returned Mars samples within a geologic context on Mars. In addition, it may provide definitive information about the existence of past or present life on Mars. Mars sample return presents unique challenges for the collection, containment, transport, curation and processing of samples [1] Foremost in the processing of returned samples are the closely paired considerations of life detection and Planetary Protection. In order to achieve Mars Sample Return (MSR) science goals, reliable analyses will depend on overcoming some challenging signal/noise-related issues where sparse martian organic compounds must be reliably analyzed against the contamination background. While reliable analyses will depend on initial clean acquisition and robust documentation of all aspects of developing and managing the cache [2], there needs to be a reliable sample handling and analysis procedure that accounts for a variety of materials which may or may not contain evidence of past or present martian life. A recent report [3] suggests that a defined set of measurements should be made to effectively inform both science and Planetary Protection, when applied in the context of the two competing null hypotheses: 1) that there is no detectable life in the samples; or 2) that there is martian life in the samples. The defined measurements would include a phased approach that would be accepted by the community to preserve the bulk of the material, but provide unambiguous science data that can be used and interpreted by various disciplines. Fore-most is the concern that the initial steps would ensure the pristine nature of the samples. Preliminary, non-invasive techniques such as computed X-ray tomography (XCT) have been suggested as the first method to interrogate and

On the Empirical Importance of the Conditional Skewness Assumption in Modelling the Relationship between Risk and Return

Science.gov (United States)

Pipień, M.

2008-09-01

We present the results of an application of Bayesian inference in testing the relation between risk and return on the financial instruments. On the basis of the Intertemporal Capital Asset Pricing Model, proposed by Merton we built a general sampling distribution suitable in analysing this relationship. The most important feature of our assumptions is that the skewness of the conditional distribution of returns is used as an alternative source of relation between risk and return. This general specification relates to Skewed Generalized Autoregressive Conditionally Heteroscedastic-in-Mean model. In order to make conditional distribution of financial returns skewed we considered the unified approach based on the inverse probability integral transformation. In particular, we applied hidden truncation mechanism, inverse scale factors, order statistics concept, Beta and Bernstein distribution transformations and also a constructive method. Based on the daily excess returns on the Warsaw Stock Exchange Index we checked the empirical importance of the conditional skewness assumption on the relation between risk and return on the Warsaw Stock Market. We present posterior probabilities of all competing specifications as well as the posterior analysis of the positive sign of the tested relationship.

Mars Earth Return Vehicle (MERV) Propulsion Options

Science.gov (United States)

Oleson, Steven R.; McGuire, Melissa L.; Burke, Laura; Fincannon, James; Warner, Joe; Williams, Glenn; Parkey, Thomas; Colozza, Tony; Fittje, Jim; Martini, Mike;

Communications Relay and Human-Assisted Sample Return from the Deep Space Gateway

Science.gov (United States)

Cichan, T.; Hopkins, J. B.; Bierhaus, B.; Murrow, D. W.

2018-02-01

The Deep Space Gateway can enable or enhance exploration of the lunar surface through two capabilities: 1. communications relay, opening up access to the lunar farside, and 2. sample return, enhancing the ability to return large sample masses.

An Internationally Coordinated Science Management Plan for Samples Returned from Mars

Science.gov (United States)

Haltigin, T.; Smith, C. L.

2015-12-01

Mars Sample Return (MSR) remains a high priority of the planetary exploration community. Such an effort will undoubtedly be too large for any individual agency to conduct itself, and thus will require extensive global cooperation. To help prepare for an eventual MSR campaign, the International Mars Exploration Working Group (IMEWG) chartered the international Mars Architecture for the Return of Samples (iMARS) Phase II working group in 2014, consisting of representatives from 17 countries and agencies. The overarching task of the team was to provide recommendations for progressing towards campaign implementation, including a proposed science management plan. Building upon the iMARS Phase I (2008) outcomes, the Phase II team proposed the development of an International MSR Science Institute as part of the campaign governance, centering its deliberations around four themes: Organization: including an organizational structure for the Institute that outlines roles and responsibilities of key members and describes sample return facility requirements; Management: presenting issues surrounding scientific leadership, defining guidelines and assumptions for Institute membership, and proposing a possible funding model; Operations & Data: outlining a science implementation plan that details the preliminary sample examination flow, sample allocation process, and data policies; and Curation: introducing a sample curation plan that comprises sample tracking and routing procedures, sample sterilization considerations, and long-term archiving recommendations. This work presents a summary of the group's activities, findings, and recommendations, highlighting the role of international coordination in managing the returned samples.

QR-GARCH-M Model for Risk-Return Tradeoff in U.S. Stock Returns and Business Cycles

OpenAIRE

Nyberg, Henri

2010-01-01

In the empirical finance literature findings on the risk return tradeoff in excess stock market returns are ambiguous. In this study, we develop a new QR-GARCH-M model combining a probit model for a binary business cycle indicator and a regime switching GARCH-in-mean model for excess stock market return with the business cycle indicator defining the regime. Estimation results show that there is statistically significant variation in the U.S. excess stock returns over the business cycle. Howev...

Sample Curation in Support of the OSIRIS-REx Asteroid Sample Return Mission

Science.gov (United States)

Righter, Kevin; Nakamura-Messenger, Keiko

2017-01-01

The OSIRIS-REx asteroid sample return mission launched to asteroid Bennu Sept. 8, 2016. The spacecraft will arrive at Bennu in late 2019, orbit and map the asteroid, and perform a touch and go (TAG) sampling maneuver in July 2020. After sample is stowed and confirmed the spacecraft will return to Earth, and the sample return capsule (SRC) will land in Utah in September 2023. Samples will be recovered from Utah [2] and then transported and stored in a new sample cleanroom at NASA Johnson Space Center in Houston [3]. The materials curated for the mission are described here. a) Materials Archive and Witness Plate Collection: The SRC and TAGSAM were built between March 2014 and Summer of 2015, and instruments (OTES,OVIRS, OLA, OCAMS, REXIS) were integrated from Summer 2015 until May 2016. A total of 395 items were received for the materials archive at NASA-JSC, with archiving finishing 30 days after launch (with the final archived items being related to launch operations)[4]. The materials fall into several general categories including metals (stainless steel, aluminum, titanium alloys, brass and BeCu alloy), epoxies, paints, polymers, lubricants, non-volatile-residue samples (NVR), sapphire, and various miscellaneous materials. All through the ATLO process (from March 2015 until late August 2016) contamination knowledge witness plates (Si wafer and Al foil) were deployed in the various cleanrooms in Denver and KSC to provide an additional record of particle counts and volatiles that is archived for current and future scientific studies. These plates were deployed in roughly monthly increments with each unit containing 4 Si wafers and 4 Al foils. We archived 128 individual witness plates (64 Si wafers and 64 Al foils); one of each witness plate (Si and Al) was analyzed immediately by the science team after archiving, while the remaining 3 of each are archived indefinitely. Information about each material archived is stored in an extensive database at NASA-JSC, and key

The Cross-Section of Credit Risk Premia and Equity Returns

DEFF Research Database (Denmark)

Friewald, Nils; Wagner, Christian; Zechner, Josef

2014-01-01

We explore the link between a firm's stock returns and credit risk using a simple insight from structural models following Merton (1974): risk premia on equity and credit instruments are related because all claims on assets must earn the same compensation per unit of risk. Consistent with theory......, we find that firms' stock returns increase with credit risk premia estimated from CDS spreads. Credit risk premia contain information not captured by physical or risk-neutral default probabilities alone. This sheds new light on the “distress puzzle”—the lack of a positive relation between equity...

The Cross-Section of Credit Risk Premia and Equity Returns

DEFF Research Database (Denmark)

Friewald, Niels; Wagner, Christian; Zechner, Josef

We explore the link between a firm's stock returns and its credit risk using a simple insight from structural models following Merton (1974): risk premia on equity and credit instruments are related because all claims on assets must earn the same compensation per unit of risk. Consistent...... with theory, we find that firms' stock returns increase with credit risk premia estimated from CDS spreads. Credit risk premia contain information not captured by physical or by risk-neutral default probabilities alone. This sheds new light on the "distress puzzle", i.e. the lack of a positive relation...

THE IMPACT OF FINANCIAL LEVERAGE ON RETURN AND RISK

Directory of Open Access Journals (Sweden)

HAKAN SARITAŞ

2013-05-01

Full Text Available Financing with debt and preferred stock to increase the potential return to the residual common shareholders’ equity is referred to as financial leverage. A firm’s return on equity (ROE is a key determinant of the growth rate of its earnings. Return on equity is affected profoundly by the firm’s degree of financial leverage. Increased debt will make a positive contribution to a firm’s ROE only if the firm’s return on assets (ROA exceeds the interest rate on the debt. In spite of the fact that financial leverage increases the rate of return on common stock equity, the grater the proportion of debt in the capital structure, however, the greater the risk the common shareholders bear. Introduction of financial leverage increases the average profitability of the firm as well as its risk. In good economic years, the impact of financial leverage will most likely be positive; however, the leverage effect may be negative in relatively bad years. Traditionally, studies treated short-term debt and long-term debt as perfect substitutes for each other. There is, however, risk-sharing by long-term debtholders which makes short-term debt financing riskier to shareholders than long-term debt financing. The significant affect associated with the total debt usage is largely attributable to short-term debt financing, since the impact of short-term debt financing on the expected returns is shown to be greater than that of long-term debt financing.

OSIRIS-REx: Sample Return from Asteroid (101955) Bennu

Science.gov (United States)

Lauretta, D. S.; Balram-Knutson, S. S.; Beshore, E.; Boynton, W. V.; Drouet d'Aubigny, C.; DellaGiustina, D. N.; Enos, H. L.; Golish, D. R.; Hergenrother, C. W.; Howell, E. S.; Bennett, C. A.; Morton, E. T.; Nolan, M. C.; Rizk, B.; Roper, H. L.; Bartels, A. E.; Bos, B. J.; Dworkin, J. P.; Highsmith, D. E.; Lorenz, D. A.; Lim, L. F.; Mink, R.; Moreau, M. C.; Nuth, J. A.; Reuter, D. C.; Simon, A. A.; Bierhaus, E. B.; Bryan, B. H.; Ballouz, R.; Barnouin, O. S.; Binzel, R. P.; Bottke, W. F.; Hamilton, V. E.; Walsh, K. J.; Chesley, S. R.; Christensen, P. R.; Clark, B. E.; Connolly, H. C.; Crombie, M. K.; Daly, M. G.; Emery, J. P.; McCoy, T. J.; McMahon, J. W.; Scheeres, D. J.; Messenger, S.; Nakamura-Messenger, K.; Righter, K.; Sandford, S. A.

2017-10-01

In May of 2011, NASA selected the Origins, Spectral Interpretation, Resource Identification, and Security- Regolith Explorer (OSIRIS-REx) asteroid sample return mission as the third mission in the New Frontiers program. The other two New Frontiers missions are New Horizons, which explored Pluto during a flyby in July 2015 and is on its way for a flyby of Kuiper Belt object 2014 MU69 on January 1, 2019, and Juno, an orbiting mission that is studying the origin, evolution, and internal structure of Jupiter. The spacecraft departed for near-Earth asteroid (101955) Bennu aboard an United Launch Alliance Atlas V 411 evolved expendable launch vehicle at 7:05 p.m. EDT on September 8, 2016, on a seven-year journey to return samples from Bennu. The spacecraft is on an outbound-cruise trajectory that will result in a rendezvous with Bennu in November 2018. The science instruments on the spacecraft will survey Bennu to measure its physical, geological, and chemical properties, and the team will use these data to select a site on the surface to collect at least 60 g of asteroid regolith. The team will also analyze the remote-sensing data to perform a detailed study of the sample site for context, assess Bennu's resource potential, refine estimates of its impact probability with Earth, and provide ground-truth data for the extensive astronomical data set collected on this asteroid. The spacecraft will leave Bennu in 2021 and return the sample to the Utah Test and Training Range (UTTR) on September 24, 2023.

Impact of systemic risk in the real estate sector on banking return.

Science.gov (United States)

Li, Shouwei; Pan, Qing; He, Jianmin

2016-01-01

In this paper, we measure systemic risk in the real estate sector based on contingent claims analysis, and then investigate its impact on banking return. Based on the data in China, we find that systemic risk in the real estate sector has a negative effect on banking return, but this effect is temporary; banking risk aversion and implicit interest expense have considerable impact on banking return.

RISK AND RETURN IN THE REAL ESTATE, BOND AND STOCK MARKETS

Directory of Open Access Journals (Sweden)

Wolski Rafał

2017-09-01

Full Text Available Studies investigating the relation between risk and return occupy an important place in the discussion about the effectiveness of investing in real estate. A review of the available studies shows that real estate investments are less profitable than stocks, but in terms of risk and return, are usually the best option. This worldwide regularity may not necessarily be presented in Poland, as the Polish market is not fully fledged yet. The analysis presented in this article was performed with a view to reducing a research gap resulting from the lack of comprehensive Polish studies in this field. In the article, data spanning the years from 2006 to 2016 are examined by means of descriptive statistics, measures of risk, and the analysis of variance (ANOVA to determine which of the following investment vehicles - bonds, real estate or stocks - offer the best risk-return ratio. The article has two parts. The analytical part is a review of studies on risk measurement methods and of earlier studies investigating risk and return by a class of assets (particularly real estate. In the empirical part, assets are compared with the use of statistical methods. The results of the risk-return analysis point to the money market as the best option for investors. Stocks and real estate ranked second and third, respectively.

An integrated and accessible sample data library for Mars sample return science

Science.gov (United States)

Tuite, M. L., Jr.; Williford, K. H.

2015-12-01

Over the course of the next decade or more, many thousands of geological samples will be collected and analyzed in a variety of ways by researchers at the Jet Propulsion Laboratory (California Institute of Technology) in order to facilitate discovery and contextualize observations made of Mars rocks both in situ and here on Earth if samples are eventually returned. Integration of data from multiple analyses of samples including petrography, thin section and SEM imaging, isotope and organic geochemistry, XRF, XRD, and Raman spectrometry is a challenge and a potential obstacle to discoveries that require supporting lines of evidence. We report the development of a web-accessible repository, the Sample Data Library (SDL) for the sample-based data that are generated by the laboratories and instruments that comprise JPL's Center for Analysis of Returned Samples (CARS) in order to facilitate collaborative interpretation of potential biosignatures in Mars-analog geological samples. The SDL is constructed using low-cost, open-standards-based Amazon Web Services (AWS), including web-accessible storage, relational data base services, and a virtual web server. The data structure is sample-centered with a shared registry for assigning unique identifiers to all samples including International Geo-Sample Numbers. Both raw and derived data produced by instruments and post-processing workflows are automatically uploaded to online storage and linked via the unique identifiers. Through the web interface, users are able to find all the analyses associated with a single sample or search across features shared by multiple samples, sample localities, and analysis types. Planned features include more sophisticated search and analytical interfaces as well as data discoverability through NSF's EarthCube program.

The influence of jumping risk and volatility risk on TAIEX option return

Science.gov (United States)

Lee, Wei-Long; Hsieh, Ching-Tang; Huang, Jui-Chan; Wu, Tzu-Jung

2017-06-01

Due to the low profits in recent years environmental, as well as the development of financial engineering that promote the derivatives trading Volume increased. Moreover, the fastest-growing of selected right and the lack of research about option risk. This study aim to explore the relationship between the risk and reward of selected right in Taiwan index. This study focus on the pricing the jump risk of selected right in Taiwan index. Using cross-sectional data as a 12-month study period, using the iteration method to research the effects of abnormal returns, the result shows that different risk factors of fluctuations affected the abnormal returns obviously will cause risk premium as well as the jump risk which consistent with the theory of behavioral finance. However, according to traditional finance theory, contrary to the results of this study consider that higher risks should generate higher-paying as well. According this study, the investors in behavioral finance in modern financial theory is not rational, and the trading behavior is non-random, moreover, the financial market is non-efficiency. Instead, the high risk low reward.

How are flood risk estimates affected by the choice of return-periods?

Science.gov (United States)

Ward, P. J.; de Moel, H.; Aerts, J. C. J. H.

2011-12-01

Flood management is more and more adopting a risk based approach, whereby flood risk is the product of the probability and consequences of flooding. One of the most common approaches in flood risk assessment is to estimate the damage that would occur for floods of several exceedance probabilities (or return periods), to plot these on an exceedance probability-loss curve (risk curve) and to estimate risk as the area under the curve. However, there is little insight into how the selection of the return-periods (which ones and how many) used to calculate risk actually affects the final risk calculation. To gain such insights, we developed and validated an inundation model capable of rapidly simulating inundation extent and depth, and dynamically coupled this to an existing damage model. The method was applied to a section of the River Meuse in the southeast of the Netherlands. Firstly, we estimated risk based on a risk curve using yearly return periods from 2 to 10 000 yr (€ 34 million p.a.). We found that the overall risk is greatly affected by the number of return periods used to construct the risk curve, with over-estimations of annual risk between 33% and 100% when only three return periods are used. In addition, binary assumptions on dike failure can have a large effect (a factor two difference) on risk estimates. Also, the minimum and maximum return period considered in the curve affects the risk estimate considerably. The results suggest that more research is needed to develop relatively simple inundation models that can be used to produce large numbers of inundation maps, complementary to more complex 2-D-3-D hydrodynamic models. It also suggests that research into flood risk could benefit by paying more attention to the damage caused by relatively high probability floods.

Momentum in stock market returns: Implications for risk premia on foreign currencies

OpenAIRE

Thomas Nitschka

2010-01-01

Momentum in foreign stock market returns is exploitable as signal of currency excess returns. Past stock market winner currencies offer higher returns than past stock market loser currencies. This finding is unrelated to interest rate differentials. Funding liquidity risk explains the time series variation in foreign stock market momentum sorted currency portfolio returns. Their cross-sectional dispersion is hardly rationalized by systematic risk factors in contrast to forward discount and cu...

Carbon Isotopic Ratios of Amino Acids in Stardust-Returned Samples

Science.gov (United States)

Elsila, Jamie E.; Glavin, Daniel P.; Dworkin, Jason P.

2009-01-01

NASA's Stardust spacecraft returned to Earth samples from comet 81P/Wild 2 in January 2006. Preliminary examinations revealed the presence of a suite of organic compounds including several amines and amino acids, but the origin of these compounds could not be identified. Here. we present the carbon isotopic ratios of glycine and E-aminocaproic acid (EACH), the two most abundant amino acids observed, in Stardust-returned foil samples measured by gas chromatography-combustion-isotope ratio crass spectrometry coupled with quadrupole mass spectrometry (GC-QMS/IRMS).

Technology Development and Advanced Planning for Curation of Returned Mars Samples

Science.gov (United States)

Lindstrom, David J.; Allen, Carlton C.

2002-01-01

NASA Johnson Space Center (JSC) curates extraterrestrial samples, providing the international science community with lunar rock and soil returned by the Apollo astronauts, meteorites collected in Antarctica, cosmic dust collected in the stratosphere, and hardware exposed to the space environment. Curation comprises initial characterization of new samples, preparation and allocation of samples for research, and clean, secure long-term storage. The foundations of this effort are the specialized cleanrooms (class 10 to 10,000) for each of the four types of materials, the supporting facilities, and the people, many of whom have been doing detailed work in clean environments for decades. JSC is also preparing to curate the next generation of extraterrestrial samples. These include samples collected from the solar wind, a comet, and an asteroid. Early planning and R\\&D are underway to support post-mission sample handling and curation of samples returned from Mars. One of the strong scientific reasons for returning samples from Mars is to search for evidence of current or past life in the samples. Because of the remote possibility that the samples may contain life forms that are hazardous to the terrestrial biosphere, the National Research Council has recommended that all samples returned from Mars be kept under strict biological containment until tests show that they can safely be released to other laboratories. It is possible that Mars samples may contain only scarce or subtle traces of life or prebiotic chemistry that could readily be overwhelmed by terrestrial contamination . Thus, the facilities used to contain, process, and analyze samples from Mars must have a combination of high-level biocontainment and organic / inorganic chemical cleanliness that is unprecedented. JSC has been conducting feasibility studies and developing designs for a sample receiving facility that would offer biocontainment at least the equivalent of current maximum containment BSL-4 (Bio

Advances in Astromaterials Curation: Supporting Future Sample Return Missions

Science.gov (United States)

Evans, C. A.; Zeigler, R. A.; Fries, M. D..; Righter, K.; Allton, J. H.; Zolensky, M. E.; Calaway, M. J.; Bell, M. S.

2015-01-01

NASA's Astromaterials, curated at the Johnson Space Center in Houston, are the most extensive, best-documented, and leastcontaminated extraterrestrial samples that are provided to the worldwide research community. These samples include lunar samples from the Apollo missions, meteorites collected over nearly 40 years of expeditions to Antarctica (providing samples of dozens of asteroid bodies, the Moon, and Mars), Genesis solar wind samples, cosmic dust collected by NASA's high altitude airplanes, Comet Wild 2 and interstellar dust samples from the Stardust mission, and asteroid samples from JAXA's Hayabusa mission. A full account of NASA's curation efforts for these collections is provided by Allen, et al [1]. On average, we annually allocate about 1500 individual samples from NASA's astromaterials collections to hundreds of researchers from around the world, including graduate students and post-doctoral scientists; our allocation rate has roughly doubled over the past 10 years. The curation protocols developed for the lunar samples returned from the Apollo missions remain relevant and are adapted to new and future missions. Several lessons from the Apollo missions, including the need for early involvement of curation scientists in mission planning [1], have been applied to all subsequent sample return campaigns. From the 2013 National Academy of Sciences report [2]: "Curation is the critical interface between sample return missions and laboratory research. Proper curation has maintained the scientific integrity and utility of the Apollo, Antarctic meteorite, and cosmic dust collections for decades. Each of these collections continues to yield important new science. In the past decade, new state-of-the-art curatorial facilities for the Genesis and Stardust missions were key to the scientific breakthroughs provided by these missions." The results speak for themselves: research on NASA's astromaterials result in hundreds of papers annually, yield fundamental

The returns and risks of investment portfolio in a financial market

Science.gov (United States)

Li, Jiang-Cheng; Mei, Dong-Cheng

2014-07-01

The returns and risks of investment portfolio in a financial system was investigated by constructing a theoretical model based on the Heston model. After the theoretical model and analysis of portfolio were calculated and analyzed, we find the following: (i) The statistical properties (i.e., the probability distribution, the variance and loss rate of equity portfolio return) between simulation results of the theoretical model and the real financial data obtained from Dow Jones Industrial Average are in good agreement; (ii) The maximum dispersion of the investment portfolio is associated with the maximum stability of the equity portfolio return and minimal investment risks; (iii) An increase of the investment period and a worst investment period are associated with a decrease of stability of the equity portfolio return and a maximum investment risk, respectively.

Endogenous Information, Risk Characterization, and the Predictability of Average Stock Returns

Directory of Open Access Journals (Sweden)

Pradosh Simlai

2012-09-01

Full Text Available In this paper we provide a new type of risk characterization of the predictability of two widely known abnormal patterns in average stock returns: momentum and reversal. The purpose is to illustrate the relative importance of common risk factors and endogenous information. Our results demonstrates that in the presence of zero-investment factors, spreads in average momentum and reversal returns correspond to spreads in the slopes of the endogenous information. The empirical findings support the view that various classes of firms react differently to volatility risk, and endogenous information harbor important sources of potential risk loadings. Taken together, our results suggest that returns are influenced by random endogenous information flow, which is asymmetric in nature, and can be used as a performance attribution factor. If one fails to incorporate the existing asymmetric endogenous information hidden in the historical behavior, any attempt to explore average stock return predictability will be subject to an unquantified specification bias.

Sample Return Mission to the South Pole Aitken Basin

Science.gov (United States)

Duke, M. B.; Clark, B. C.; Gamber, T.; Lucey, P. G.; Ryder, G.; Taylor, G. J.

1999-01-01

The South Pole Aitken Basin (SPA) is the largest and oldest observed feature on the Moon. Compositional and topographic data from Galileo, Clementine, and Lunar Prospector have demonstrated that SPA represents a distinctive major lunar terrane, which has not been sampled either by sample return missions (Apollo, Luna) or by lunar meteorites. The floor of SPA is characterized by mafic compositions enriched in Fe, Ti, and Th in comparison to its surroundings. This composition may represent melt rocks from the SPA event, which would be mixtures of the preexisting crust and mantle rocks. However, the Fe content is higher than expected, and the large Apollo basin, within SPA, exposes deeper material with lower iron content. Some of the Fe enrichment may represent mare and cryptomare deposits. No model adequately accounts for all of the characteristics of the SPA and disagreements are fundamental. Is mantle material exposed or contained as fragments in melt rock and breccias? If impact melt is present, did the vast sheet differentiate? Was the initial mantle and crust compositionally different from other regions of the Moon? Was the impact event somehow peculiar, (e.g., a low-velocity impact)? The precise time of formation of the SPA is unknown, being limited only by the initial differentiation of the Moon and the age of the Imbrium event, believed to be 3.9 b.y. The questions raised by the SPA can be addressed only with detailed sample analysis. Analysis of the melt rocks, fragments in breccias, and basalts of SPA can address several highly significant problems for the Moon and the history of the solar system. The time of formation of SPA, based on analysis of melt rocks formed in the event. would put limits on the period of intense bombardment of the Moon, which has been inferred by some to include a "terminal cataclysm." If close to 3.9 Ga, the presumed age of the Imbrium Basin, the SPA date would confirm the lunar cataclysm. This episode, if it occurred, would have

Quantitative Planetary Protection for Sample Return from Ocean Worlds

Science.gov (United States)

Neveu, Marc; Takano, Yoshinori; Porco, Carolyn; McKay, Christopher P.; Glavin, Daniel; Anbar, Ariel; Sherwood, Brent; Yano, Hajime

2016-07-01

the sample [undergoes] sterilization […], the sample container must be sealed [via] fail-safe containment with a method for verification of its operation before Earth return;" (B2) "for unsterilized samples, […] containment […] shall be maintained until [sample transfer to] an appropriate receiving facility;" (B3) "a method to 'break the chain of contact' with the target" be specified; (B4) "no uncontained hardware that contacted the target […] shall be returned to Earth;" (B5) "reviews and approval of the continuation of the flight mission shall be required [prior to] launch from Earth; leaving the target for return to Earth; and commitment to Earth reentry;" and (B6) "life detection and biohazard testing, or a proven sterilization process, shall be [a] precondition for the controlled distribution of […] the sample." These provisions and their means of evaluation could be quantified. A maximum leakage rate could be specified for particles above 10 nm (the size of prions, the smallest known pathogens [21]) (B1-B2), even for terminal velocity impact, whether unintended or otherwise (minimizing the risk of failure of reentry system elements, but requiring preservation of the samples and of sensors monitoring their thermal and structural integrity). For leak detection, He is commonly used [22], but its van-der-Waals radius of 0.14 nm could place too stringent a constraint for containment of pathogens over 70 times larger. To meet (B3)-(B4), uncontained parts in contact with ocean world material could be jettisoned prior to reentry with maximum probabilities of Earth/Moon impact, or of microbial survival upon reentry. (B6) could require either life detection prior to or after opening the sealed container [16,23-25], or sterilization [26]. Further guidance on (1) evaluating the 10 ^{-4} probability of forward contamination, (2) possibly extending this probability to ocean worlds other than Europa, (3) quantifying backward PP requirements, and (4) assessing the

Ratio K: a New Way of Metering and Evaluating the Risk and Return of Stock Investment

Institute of Scientific and Technical Information of China (English)

朱淑珍; 朱静怡

2003-01-01

Although widely used, both the Markowitz model and VAR (Value at Risk) model have some limitations in evaluating the risk and return of stock investnent.By the analysis of the conceptions of risk and return,together with the three hypotheses of technological analysis, a novelty model of metering and evaluating the risk and return of stock investnent is established.The major indicator of this model , risk-return ratio K, combines the characteristic indicators of risk and return. Regardless of the form of the risk-return probability density functions, this indicator K can always reflect the risk-return performances of the invested stocks clearly and accurately. How to use the model to make optimum investment and how to make portfolio combined with clustering analysis is also explained.

Spatial Mapping of Organic Carbon in Returned Samples from Mars

Science.gov (United States)

Siljeström, S.; Fornaro, T.; Greenwalt, D.; Steele, A.

2018-04-01

To map organic material spatially to minerals present in the sample will be essential for the understanding of the origin of any organics in returned samples from Mars. It will be shown how ToF-SIMS may be used to map organics in samples from Mars.

Catching Stardust and Bringing it Home: The Astronomical Importance of Sample Return

Science.gov (United States)

Brownlee, D.

2002-12-01

The return of lunar samples by the Apollo program provided the first opportunity to perform detailed laboratory studies of ancient solid materials from a known astronomical body. The highly detailed study of the samples, using the best available laboratory instruments and techniques, revolutionized our understanding of the Moon and provided fundamental insight into the remarkable and violent processes that occur early in the history of moons and terrestrial planets. This type of astronomical paleontology is only possible with samples and yet the last US sample return was made by Apollo 17- over thirty years ago! The NASA Stardust mission, began a new era of sample missions with its 1999 launch to retrieve samples from the short period comet Wild 2. Genesis (a solar wind collector) was launched in 2001, the Japanese MUSES-C asteroid sample return mission will launch in 2003 and Mars sample return missions are under study. All of these missions will use sophisticated ground-based instrumentation to provide types of information that cannot be obtained by astronomical and spacecraft remote sensing methods. In the case of Stardust, the goal is to determine the fundamental nature of the initial solid building blocks of solar systems at atomic-scale spatial resolution. The samples returned by the mission will be samples from the Kuiper Belt region and they are probably composed of submicron silicate and organic materials of both presolar and nebular origin. Unlocking the detailed records contained in the elemental, chemical, isotopic and mineralogical composition of these tiny components can only be appropriately explored with full power, precision and flexibility of laboratory instrumentation. Laboratory instrumentation has the advantage that is state-of-the-art and is not limited by serious considerations of power, mass, cost or even reliability. The comparison of the comet sample, accumulated beyond Neptune, with asteroidal meteorites that accumulated just beyond the

Spatial and temporal variation in evacuee risk perception throughout the evacuation and return-entry process.

Science.gov (United States)

Siebeneck, Laura K; Cova, Thomas J

2012-09-01

Developing effective evacuation and return-entry plans requires understanding the spatial and temporal dimensions of risk perception experienced by evacuees throughout a disaster event. Using data gathered from the 2008 Cedar Rapids, Iowa Flood, this article explores how risk perception and location influence evacuee behavior during the evacuation and return-entry process. Three themes are discussed: (1) the spatial and temporal characteristics of risk perception throughout the evacuation and return-entry process, (2) the relationship between risk perception and household compliance with return-entry orders, and (3) the role social influences have on the timing of the return by households. The results indicate that geographic location and spatial variation of risk influenced household risk perception and compliance with return-entry plans. In addition, sociodemographic characteristics influenced the timing and characteristics of the return groups. The findings of this study advance knowledge of evacuee behavior throughout a disaster and can inform strategies used by emergency managers throughout the evacuation and return-entry process. © 2012 Society for Risk Analysis.

Mars Sample Return - Launch and Detection Strategies for Orbital Rendezvous

Science.gov (United States)

Woolley, Ryan C.; Mattingly, Richard L.; Riedel, Joseph E.; Sturm, Erick J.

2011-01-01

This study sets forth conceptual mission design strategies for the ascent and rendezvous phase of the proposed NASA/ESA joint Mars Sample Return Campaign. The current notional mission architecture calls for the launch of an acquisition/cache rover in 2018, an orbiter with an Earth return vehicle in 2022, and a fetch rover and ascent vehicle in 2024. Strategies are presented to launch the sample into a coplanar orbit with the Orbiter which facilitate robust optical detection, orbit determination, and rendezvous. Repeating ground track orbits exist at 457 and 572 km which provide multiple launch opportunities with similar geometries for detection and rendezvous.

Mars Sample Return: Launch and Detection Strategies for Orbital Rendezvous

Science.gov (United States)

Woolley, Ryan C.; Mattingly, Richard L.; Riedel, Joseph E.; Sturm, Erick J.

2011-01-01

This study sets forth conceptual mission design strategies for the ascent and rendezvous phase of the proposed NASA/ESA joint Mars Sample Return Campaign. The current notional mission architecture calls for the launch of an acquisition/ caching rover in 2018, an Earth return orbiter in 2022, and a fetch rover with ascent vehicle in 2024. Strategies are presented to launch the sample into a nearly coplanar orbit with the Orbiter which would facilitate robust optical detection, orbit determination, and rendezvous. Repeating ground track orbits existat 457 and 572 km which would provide multiple launch opportunities with similar geometries for detection and rendezvous.

A core handling device for the Mars Sample Return Mission

Science.gov (United States)

Gwynne, Owen

1989-01-01

A core handling device for use on Mars is being designed. To provide a context for the design study, it was assumed that a Mars Rover/Sample Return (MRSR) Mission would have the following characteristics: a year or more in length; visits by the rover to 50 or more sites; 100 or more meter-long cores being drilled by the rover; and the capability of returning about 5 kg of Mars regolith to Earth. These characteristics lead to the belief that in order to bring back a variegated set of samples that can address the range of scientific objetives for a MRSR mission to Mars there needs to be considerable analysis done on board the rover. Furthermore, the discrepancy between the amount of sample gathered and the amount to be returned suggests that there needs to be some method of choosing the optimal set of samples. This type of analysis will require pristine material-unaltered by the drilling process. Since the core drill thermally and mechanically alters the outer diameter (about 10 pct) of the core sample, this outer area cannot be used. The primary function of the core handling device is to extract subsamples from the core and to position these subsamples, and the core itself if needed, with respect to the various analytical instruments that can be used to perform these analyses.

Potential High Priority Subaerial Environments for Mars Sample Return

Science.gov (United States)

iMOST Team; Bishop, J. L.; Horgan, B.; Benning, L. G.; Carrier, B. L.; Hausrath, E. M.; Altieri, F.; Amelin, Y.; Ammannito, E.; Anand, M.; Beaty, D. W.; Borg, L. E.; Boucher, D.; Brucato, J. R.; Busemann, H.; Campbell, K. A.; Czaja, A. D.; Debaille, V.; Des Marais, D. J.; Dixon, M.; Ehlmann, B. L.; Farmer, J. D.; Fernandez-Remolar, D. C.; Fogarty, J.; Glavin, D. P.; Goreva, Y. S.; Grady, M. M.; Hallis, L. J.; Harrington, A. D.; Herd, C. D. K.; Humayun, M.; Kleine, T.; Kleinhenz, J.; Mangold, N.; Mackelprang, R.; Mayhew, L. E.; McCubbin, F. M.; Mccoy, J. T.; McLennan, S. M.; McSween, H. Y.; Moser, D. E.; Moynier, F.; Mustard, J. F.; Niles, P. B.; Ori, G. G.; Raulin, F.; Rettberg, P.; Rucker, M. A.; Schmitz, N.; Sefton-Nash, E.; Sephton, M. A.; Shaheen, R.; Shuster, D. L.; Siljestrom, S.; Smith, C. L.; Spry, J. A.; Steele, A.; Swindle, T. D.; ten Kate, I. L.; Tosca, N. J.; Usui, T.; Van Kranendonk, M. J.; Wadhwa, M.; Weiss, B. P.; Werner, S. C.; Westall, F.; Wheeler, R. M.; Zipfel, J.; Zorzano, M. P.

2018-04-01

The highest priority subaerial environments for Mars Sample Return include subaerial weathering (paleosols, periglacial/glacial, and rock coatings/rinds), wetlands (mineral precipitates, redox environments, and salt ponds), or cold spring settings.

Electron Spin Resonance (ESR) studies of returned comet nucleus samples

International Nuclear Information System (INIS)

Tsay, Fundow; Kim, S.S.; Liang, R.H.

1989-01-01

The most important objective of the Comet Nucleus Sample Returm Mission is to return samples which could reflect formation conditions and evolutionary processes in the early solar nebula. It is expected that the returned samples will consist of fine-grained silicate materials mixed with ices composed of simple molecules such as H 2 O, NH 3 , CH 4 as well as organics and/or more complex compounds. Because of the exposure to ionizing radiation from cosmic-ray, gamma-ray, and solar wind protons at low temperature, free radicals are expected to be formed and trapped in the solid ice matrices. The kind of trapped radical species together with their concentration and thermal stability can be used as a dosimeter as well as a geothermometer to determine thermal and radiation histories as well as outgassing and other possible alternation effects since the nucleus material was formed. Since free radicals that are known to contain unpaired electrons are all paramagnetic in nature, they can be readily detected and characterized in their native form by the Electron Spin Resonance (ESR) method. In fact, ESR has been shown to be a non-destructive, highly sensitive tool for the detection and characterization of paramagnetic, ferromagnetic, and radiation damage centers in terrestrial and extraterrestrial geological samples. The potential use of ESR as an effective method in the study of returned comet nucleus samples, in particular, in the analysis of fine-grained solid state icy samples is discussed

An Empirical Investigation of Risk-Return Relations in Chinese Equity Markets: Evidence from Aggregate and Sectoral Data

Directory of Open Access Journals (Sweden)

Thomas C. Chiang

2018-03-01

Full Text Available This paper investigates the risk-return relations in Chinese equity markets. Based on a TARCH-M model, evidence shows that stock returns are positively correlated with predictable volatility, supporting the risk-return relation in both aggregate and sectoral markets. Evidence finds a positive relation between stock return and intertemporal downside risk, while controlling for sentiment and liquidity. This study suggests that the U.S. stress risk or the world downside risk should be priced into the Chinese stocks. The paper concludes that the risk-return tradeoff is present in the GARCH-in-mean, local downside risk-return, and global risk-return relations.

What Is the Expected Return on a Stock?

DEFF Research Database (Denmark)

Martin, Ian; Wagner, Christian

We derive a formula that expresses the expected return on a stock in terms of the risk-neutral variance of the market and the stock's excess risk-neutral variance relative to the average stock. These components can be computed from index and stock option prices; the formula has no free parameters....... We test the theory in-sample by running panel regressions of stock returns onto risk-neutral variances. The formula performs well at 6-month and 1-year forecasting horizons, and our predictors drive out beta, size, book-to-market, and momentum. Out-of-sample, we find that the formula outperforms...... a range of competitors in forecasting individual stock returns. Our results suggest that there is considerably more variation in expected returns, both over time and across stocks, than has previously been acknowledged....

What is the Expected Return on a Stock?

DEFF Research Database (Denmark)

Martin, Ian; Wagner, Christian

We derive a formula that expresses the expected return on a stock in terms of the risk-neutral variance of the market and the stock’s excess risk-neutral variance relative to the average stock. These components can be computed from index and stock option prices; the formula has no free parameters....... We test the theory in-sample by running panel regressions of stock returns onto risk-neutral variances. The formula performs well at 6-month and 1-year forecasting horizons, and our predictors drive out beta, size, book-to-market, and momentum. Out-of-sample, we find that the formula outperforms...... a range of competitors in forecasting individual stock returns. Our results suggest that there is considerably more variation in expected returns, both over time and across stocks, than has previously been acknowledged....

Building on the Cornerstone: Destinations for Nearside Sample Return

Science.gov (United States)

Lawrence, S. J.; Jolliff, B. L.; Draper, D.; Stopar, J. D.; Petro, N. E.; Cohen, B. A.; Speyerer, E. J.; Gruener, J. E.

2016-01-01

Discoveries from LRO (Lunar Reconnaissance Orbiter) have transformed our knowledge of the Moon, but LRO's instruments were originally designed to collect the measurements required to enable future lunar surface exploration. Compelling science questions and critical resources make the Moon a key destination for future human and robotic exploration. Lunar surface exploration, including rovers and other landed missions, must be part of a balanced planetary science and exploration portfolio. Among the highest planetary exploration priorities is the collection of new samples and their return to Earth for more comprehensive analysis than can be done in-situ. The Moon is the closest and most accessible location to address key science questions through targeted sample return. The Moon is the only other planet from which we have contextualized samples, yet critical issues need to be addressed: we lack important details of the Moon's early and recent geologic history, the full compositional and age ranges of its crust, and its bulk composition.

The roles of the trading time risks on stock investment return and risks in stock price crashes

Science.gov (United States)

Li, Jiang-Cheng; Dong, Zhi-Wei; Yang, Guo-Hui; Long, Chao

2017-03-01

The roles of the trading time risks (TTRs) on stock investment return and risks are investigated in the condition of stock price crashes with Hushen300 data (CSI300) and Dow Jones Industrial Average (ˆDJI), respectively. In order to describe the TTR, we employ the escape time that the stock price drops from the maximum to minimum value in a data window length (DWL). After theoretical and empirical research on probability density function of return, the results in both ˆDJI and CSI300 indicate that: (i) As increasing DWL, the expectation of returns and its stability are weakened. (ii) An optimal TTR is related to a maximum return and minimum risk of stock investment in stock price crashes.

78 FR 49296 - Centennial Challenges 2014 Sample Return Robot Challenge

Science.gov (United States)

2013-08-13

... NATIONAL AERONAUTICS AND SPACE ADMINISTRATION [Notice 13-093] Centennial Challenges 2014 Sample... Centennial Challenges 2014 Sample Return Robot Challenge. SUMMARY: This notice is issued in accordance with... compete may register. Centennial Challenges is a program of prize competitions to stimulate innovation in...

Market skewness risk and the cross section of stock returns

NARCIS (Netherlands)

Chang, B.; Christoffersen, P.; Jacobs, K.

2013-01-01

The cross section of stock returns has substantial exposure to risk captured by higher moments of market returns. We estimate these moments from daily Standard & Poor's 500 index option data. The resulting time series of factors are genuinely conditional and forward-looking. Stocks with high

A risk-return based model to measure the performance of portfolio management

Directory of Open Access Journals (Sweden)

Hamid Reza Vakili Fard

2014-10-01

Full Text Available The primary concern in all portfolio management systems is to find a good tradeoff between risk and expected return and a good balance between accepted risk and actual return indicates the performance of a particular portfolio. This paper develops “A-Y Model” to measure the performance of a portfolio and analyze it during the bull and the bear market. This paper considers the daily information of one year before and one year after Iran's 2013 precedential election. The proposed model of this paper provides lost profit and unrealized loss to measure the portfolio performance. The proposed study first ranks the resulted data and then uses some non-parametric methods to see whether there is any change because of the changes in markets on the performance of the portfolio. The results indicate that despite increasing profitable opportunities in bull market, the performance of the portfolio did not match the target risk. As a result, using A-Y Model as a risk and return base model to measure portfolio management's performance appears to reduce risks and increases return of portfolio.

Portfolio risk-return analysis: The case of the automotive industry in the Czech Republic

Directory of Open Access Journals (Sweden)

Florin Aliu

2017-12-01

Full Text Available Risk has always been the concern of managers and shareholders as a part of decision-making processes. Managers tend to control unsystematic risk mostly while trying to minimize the exposure to systematic (market risk. The paper aims to assess the risk level and risk-return tradeoffs for the companies operating in Czech automotive industry. A diversification formula and calculation of returns using return-on-equity were employed on the yearly basis from 2005 till 2014. The returns and risk calculations were conducted on the portfolio of auto manufacturers, followed by the portfolio of auto suppliers, while the third one was performed for suppliers and manufacturers taken together. The results of the study show that the average correlation coefficient tends to decrease when we move from manufacturers to suppliers, while increasing when we join manufacturers and suppliers in one portfolio. The highest diversification benefit has been reached in the portfolio of auto suppliers. The highest risk is manifested for the portfolio of manufacturers, while the lowest – in the portfolio of auto suppliers. Risk level declined when we joined manufacturers and suppliers in comparison with risk of manufacturers alone. However, the lowest risk and the highest risk-return tradeoff were achieved in the portfolio of suppliers.

Multivariate return periods of sea storms for coastal erosion risk assessment

Directory of Open Access Journals (Sweden)

S. Corbella

2012-08-01

Full Text Available The erosion of a beach depends on various storm characteristics. Ideally, the risk associated with a storm would be described by a single multivariate return period that is also representative of the erosion risk, i.e. a 100 yr multivariate storm return period would cause a 100 yr erosion return period. Unfortunately, a specific probability level may be associated with numerous combinations of storm characteristics. These combinations, despite having the same multivariate probability, may cause very different erosion outcomes. This paper explores this ambiguity problem in the context of copula based multivariate return periods and using a case study at Durban on the east coast of South Africa. Simulations were used to correlate multivariate return periods of historical events to return periods of estimated storm induced erosion volumes. In addition, the relationship of the most-likely design event (Salvadori et al., 2011 to coastal erosion was investigated. It was found that the multivariate return periods for wave height and duration had the highest correlation to erosion return periods. The most-likely design event was found to be an inadequate design method in its current form. We explore the inclusion of conditions based on the physical realizability of wave events and the use of multivariate linear regression to relate storm parameters to erosion computed from a process based model. Establishing a link between storm statistics and erosion consequences can resolve the ambiguity between multivariate storm return periods and associated erosion return periods.

Risk-Return Trade-off in Emerging Markets:Evidence from Dhaka Stock Exchange Bangladesh

Directory of Open Access Journals (Sweden)

Abu T. Mollik

2015-03-01

Full Text Available This paper attempts to measure the risk and return relationship in Dhaka Stock Exchange (DSE. The study reports a statistically significant positive relationship between risk and return both at the individual security level and at the portfolio level, confirming the theoretical predictions and empirical findings on this issue in developed markets. Although portfolio risk and returns are found to be significantly positively related in general, some inconsistencies were revealed in the context of relative risk for high risk portfolios, suggesting the existence of some anomalies or mispricing in high risk assets. These findings have important implications for investment decisions at the DSE in that the investors may be able to create profitable investment strategies using the mispricing information.

The returns and risks of investment portfolio in stock market crashes

Science.gov (United States)

Li, Jiang-Cheng; Long, Chao; Chen, Xiao-Dan

2015-06-01

The returns and risks of investment portfolio in stock market crashes are investigated by considering a theoretical model, based on a modified Heston model with a cubic nonlinearity, proposed by Spagnolo and Valenti. Through numerically simulating probability density function of returns and the mean escape time of the model, the results indicate that: (i) the maximum stability of returns is associated with the maximum dispersion of investment portfolio and an optimal stop-loss position; (ii) the maximum risks are related with a worst dispersion of investment portfolio and the risks of investment portfolio are enhanced by increasing stop-loss position. In addition, the good agreements between the theoretical result and real market data are found in the behaviors of the probability density function and the mean escape time.

Expected Stock Returns and Variance Risk Premia

DEFF Research Database (Denmark)

Bollerslev, Tim; Zhou, Hao

risk premium with the P/E ratio results in an R2 for the quarterly returns of more than twenty-five percent. The results depend crucially on the use of "model-free", as opposed to standard Black-Scholes, implied variances, and realized variances constructed from high-frequency intraday, as opposed...

The Importance of Contamination Knowledge in Curation - Insights into Mars Sample Return

Science.gov (United States)

Harrington, A. D.; Calaway, M. J.; Regberg, A. B.; Mitchell, J. L.; Fries, M. D.; Zeigler, R. A.; McCubbin, F. M.

2018-01-01

The Astromaterials Acquisition and Curation Office at NASA Johnson Space Center (JSC), in Houston, TX (henceforth Curation Office) manages the curation of extraterrestrial samples returned by NASA missions and shared collections from international partners, preserving their integrity for future scientific study while providing the samples to the international community in a fair and unbiased way. The Curation Office also curates flight and non-flight reference materials and other materials from spacecraft assembly (e.g., lubricants, paints and gases) of sample return missions that would have the potential to cross-contaminate a present or future NASA astromaterials collection.

One idea of portfolio risk control for absolute return strategy risk adjustments by signals from correlation behavior

Science.gov (United States)

Nishiyama, N.

2001-12-01

Absolute return strategy provided from fund of funds (FOFs) investment schemes is the focus in Japanese Financial Community. FOFs investment mainly consists of hedge fund investment and it has two major characteristics which are low correlation against benchmark index and little impact from various external changes in the environment given maximizing return. According to the historical track record of survival hedge funds in this business world, they maintain a stable high return and low risk. However, one must keep in mind that low risk would not be equal to risk free. The failure of Long-term capital management (LTCM) that took place in the summer of 1998 was a symbolized phenomenon. The summer of 1998 exhibited a certain limitation of traditional value at risk (VaR) and some possibility that traditional VaR could be ineffectual to the nonlinear type of fluctuation in the market. In this paper, I try to bring self-organized criticality (SOC) into portfolio risk control. SOC would be well known as a model of decay in the natural world. I analyzed nonlinear type of fluctuation in the market as SOC and applied SOC to capture complicated market movement using threshold point of SOC and risk adjustments by scenario correlation as implicit signals. Threshold becomes the control parameter of risk exposure to set downside floor and forecast extreme nonlinear type of fluctuation under a certain probability. Simulation results would show synergy effect of portfolio risk control between SOC and absolute return strategy.

Cleaning and Cleanliness Verification Techniques for Mars Returned Sample Handling

Science.gov (United States)

Mickelson, E. T.; Lindstrom, D. J.; Allton, J. H.; Hittle, J. D.

2002-01-01

Precision cleaning and cleanliness verification techniques are examined as a subset of a comprehensive contamination control strategy for a Mars sample return mission. Additional information is contained in the original extended abstract.

The Importance of Meteorite Collections to Sample Return Missions: Past, Present, and Future Considerations

Science.gov (United States)

Welzenbach, L. C.; McCoy, T. J.; Glavin, D. P.; Dworkin, J. P.; Abell, P. A.

2012-01-01

While much of the scientific community s current attention is drawn to sample return missions, it is the existing meteorite and cosmic dust collections that both provide the paradigms to be tested by these missions and the context for interpreting the results. Recent sample returns from the Stardust and Hayabusa missions provided us with new materials and insights about our Solar System history and processes. As an example, Stardust sampled CAIs among the population of cometary grains, requiring extensive and unexpected radial mixing in the early solar nebula. This finding would not have been possible, however, without extensive studies of meteoritic CAIs that established their high-temperature, inner Solar System formation. Samples returned by Stardust also revealed the first evidence of a cometary amino acid, a discovery that would not have been possible with current in situ flight instrument technology. The Hayabusa mission provided the final evidence linking ordinary chondrites and S asteroids, a hypothesis that developed from centuries of collection and laboratory and ground-based telescopic studies. In addition to these scientific findings, studies of existing meteorite collections have defined and refined the analytical techniques essential to studying returned samples. As an example, the fortuitous fall of the Allende CV3 and Murchison CM2 chondrites within months before the return of Apollo samples allowed testing of new state-of-the-art analytical facilities. The results of those studies not only prepared us to better study lunar materials, but unanticipated discoveries changed many of our concepts about the earliest history and processes of the solar nebula. This synergy between existing collections and future space exploration is certainly not limited to sample return missions. Laboratory studies confirmed the existence of meteorites from Mars and raised the provocative possibility of preservation of ancient microbial life. The laboratory studies in

EURO-CARES: European Roadmap for a Sample Return Curation Facility and Planetary Protection Implications.

Science.gov (United States)

Brucato, John Robert

2016-07-01

A mature European planetary exploration program and evolving sample return mission plans gathers the interest of a wider scientific community. The interest is generated from studying extraterrestrial samples in the laborato-ry providing new opportunities to address fundamental issues on the origin and evolution of the Solar System, on the primordial cosmochemistry, and on the nature of the building blocks of terrestrial planets and on the origin of life. Major space agencies are currently planning for missions that will collect samples from a variety of Solar Sys-tem environments, from primitive (carbonaceous) small bodies, from the Moon, Mars and its moons and, final-ly, from icy moons of the outer planets. A dedicated sample return curation facility is seen as an essential re-quirement for the receiving, assessment, characterization and secure preservation of the collected extraterrestrial samples and potentially their safe distribution to the scientific community. EURO-CARES is a European Commission study funded under the Horizon-2020 program. The strategic objec-tive of EURO-CARES is to create a roadmap for the implementation of a European Extraterrestrial Sample Cu-ration Facility. The facility has to provide safe storage and handling of extraterrestrial samples and has to enable the preliminary characterization in order to achieve the required effectiveness and collaborative outcomes for the whole international scientific community. For example, samples returned from Mars could pose a threat on the Earth's biosphere if any living extraterrestrial organism are present in the samples. Thus planetary protection is an essential aspect of all Mars sample return missions that will affect the retrival and transport from the point of return, sample handling, infrastructure methodology and management of a future curation facility. Analysis of the state of the art of Planetary Protection technology shows there are considerable possibilities to define and develop

Stock Return and Cash Flow Predictability: The Role of Volatility Risk

DEFF Research Database (Denmark)

Bollerslev, Tim; Xu, Lai; Zhou, Hao

risk premium positively forecast both short-horizon returns and dividend growth rates. We also confirm that dividend yield positively forecasts long-horizon returns, but that it cannot forecast dividend growth rates. Our equilibrium-based “structural” factor GARCH model permits much more accurate...

An Empirical Investigation of Risk-Return Relations in Chinese Equity Markets: Evidence from Aggregate and Sectoral Data

OpenAIRE

Thomas C. Chiang; Yuanqing Zhang

2018-01-01

This paper investigates the risk-return relations in Chinese equity markets. Based on a TARCH-M model, evidence shows that stock returns are positively correlated with predictable volatility, supporting the risk-return relation in both aggregate and sectoral markets. Evidence finds a positive relation between stock return and intertemporal downside risk, while controlling for sentiment and liquidity. This study suggests that the U.S. stress risk or the world downside risk should be priced int...

The risk-return relationship on macroeconomic announcement days : an empirical study of the Norwegian stock market

OpenAIRE

Kopperud, Espen; Seljeseth, Camilla Røed

2016-01-01

On days when macroeconomic news in Norway is scheduled to be announced, we find a significant and linear relationship between the market beta and average daily excess return. Using Fama-Macbeth regressions, we estimate a negative market risk premium of -1.02% per month (-11.68% annualized). During our sample period from 2001-2015, the realized market risk premium is negative, amounting to -0.20% per month (-2.46% annualized). As a consequence, stocks with higher sensitivity to ...

OHB's Exploration Capabilities Overview Relevant to Mars Sample Return Mission

Science.gov (United States)

Jaime, A.; Gerth, I.; Rohrbeck, M.; Scheper, M.

2018-04-01

The presentation will give an overview to all the OHB past and current projects that are relevant to the Mars Sample Return (MSR) mission, including some valuable lessons learned applicable to the upcoming MSR mission.

Implications of deregulation in natural gas industry on utility risks and returns

Science.gov (United States)

Addepalli, Rajendra P.

This thesis examines the changes in risk and required return on capital for local distribution utility companies in the increasingly competitive natural gas industry. The deregulation in the industry impacts the LDCs in several ways. First, with the introduction of competition consumers have been given choices among suppliers besides the traditional monopoly, the local utility, for purchasing their natural gas supply needs. Second, with the introduction of competition, some of the interstate pipelines were stuck with 'Take Or Pay' contracts and other costs that resulted in 'stranded costs', which have been passed on to customers of the pipeline including the LDCs. Third, the new obligation for the LDCs to purchase gas from the market, as opposed to buying it from pipelines and passing on the costs to its customers, brought opportunities and risks as well. Finally, with the introduction of competition, in some states LDCs have been allowed to enter into unregulated ventures to increase their profits. In the thesis we first develop a multifactor model (MFM) to explain historical common stock returns of individual utilities and of utility portfolios. We use 'rolling regression' analysis to analyze how different variables explain the variation in stock returns over time. Second, we conduct event studies to analyze the events in the deregulation process that had significant impacts on the LDC returns. Finally we assess the changes in risk and required return on capital for the LDCs over a 15 year time frame, covering the deregulation period. We employ four aspects in the examination of risk and return profile of the utilities: measuring (a) changes in required return on common equity and Weighted Average Cost of Capital, (b) changes in risk premium (WACC less an interest rate proxy), (c) changes in utility bond ratings, and (d) changes in dividend payments, new debt and equity issuances. We perform regression analysis to explain the changes in the required WACC using

Application of Markowitz model in analysing risk and return a case study of BSE stock

Directory of Open Access Journals (Sweden)

Manas Pandey

2012-03-01

Full Text Available In this paper the optimal portfolio formation using real life data subject to two different constraint sets is attempted. It is a theoretical framework for the analysis of risk return choices. Decisions are based on the concept of efficient portfolios. Markowitz portfolio analysis gives as output an efficient frontier on which each portfolio is the highest return earning portfolio for a specified level of risk. The investors can reduce their risks and can maximize their return from the investment, The Markowitz portfolio selections were obtained by solving the portfolio optimization problems to get maximum total returns, constrained by minimum allowable risk level. Investors can get lot of information knowledge about how to invest when to invest and why to invest in the particular portfolio. It basically calculates the standard deviation and returns for each of the feasible portfolios and identifies the efficient frontier, the boundary of the feasible portfolios of increasing returns

An analysis of security price risk and return among publicly traded pharmacy corporations.

Science.gov (United States)

Gilligan, Adrienne M; Skrepnek, Grant H

2013-01-01

Community pharmacies have been subject to intense and increasing competition in the past several decades. To determine the security price risk and rate of return of publicly traded pharmacy corporations present on the major U.S. stock exchanges from 1930 to 2009. The Center of Research in Security Prices (CRSP) database was used to examine monthly security-level stock market prices in this observational retrospective study. The primary outcome of interest was the equity risk premium, with analyses focusing upon financial metrics associated with risk and return based upon modern portfolio theory (MPT) including: abnormal returns (i.e., alpha), volatility (i.e., beta), and percentage of returns explained (i.e., adjusted R(2)). Three equilibrium models were estimated using random-effects generalized least squares (GLS): 1) the Capital Asset Pricing Model (CAPM); 2) Fama-French Three-Factor Model; and 3) Carhart Four-Factor Model. Seventy-five companies were examined from 1930 to 2009, with overall adjusted R(2) values ranging from 0.13 with the CAPM to 0.16 with the Four-Factor model. Alpha was not significant within any of the equilibrium models across the entire 80-year time period, though was found from 1999 to 2009 in the Three- and Four-Factor models to be associated with a large, significant, and negative risk-adjusted abnormal returns of -33.84%. Volatility varied across specific time periods based upon the financial model employed. This investigation of risk and return within publicly listed pharmacy corporations from 1930 to 2009 found that substantial losses were incurred particularly from 1999 to 2009, with risk-adjusted security valuations decreasing by one-third. Copyright © 2013 Elsevier Inc. All rights reserved.

OSIRIS-REx Asteroid Sample Return Mission Image Analysis

Science.gov (United States)

Chevres Fernandez, Lee Roger; Bos, Brent

2018-01-01

NASA’s Origins Spectral Interpretation Resource Identification Security-Regolith Explorer (OSIRIS-REx) mission constitutes the “first-of-its-kind” project to thoroughly characterize a near-Earth asteroid. The selected asteroid is (101955) 1999 RQ36 (a.k.a. Bennu). The mission launched in September 2016, and the spacecraft will reach its asteroid target in 2018 and return a sample to Earth in 2023. The spacecraft that will travel to, and collect a sample from, Bennu has five integrated instruments from national and international partners. NASA's OSIRIS-REx asteroid sample return mission spacecraft includes the Touch-And-Go Camera System (TAGCAMS) three camera-head instrument. The purpose of TAGCAMS is to provide imagery during the mission to facilitate navigation to the target asteroid, confirm acquisition of the asteroid sample and document asteroid sample stowage. Two of the TAGCAMS cameras, NavCam 1 and NavCam 2, serve as fully redundant navigation cameras to support optical navigation and natural feature tracking. The third TAGCAMS camera, StowCam, provides imagery to assist with and confirm proper stowage of the asteroid sample. Analysis of spacecraft imagery acquired by the TAGCAMS during cruise to the target asteroid Bennu was performed using custom codes developed in MATLAB. Assessment of the TAGCAMS in-flight performance using flight imagery was done to characterize camera performance. One specific area of investigation that was targeted was bad pixel mapping. A recent phase of the mission, known as the Earth Gravity Assist (EGA) maneuver, provided images that were used for the detection and confirmation of “questionable” pixels, possibly under responsive, using image segmentation analysis. Ongoing work on point spread function morphology and camera linearity and responsivity will also be used for calibration purposes and further analysis in preparation for proximity operations around Bennu. Said analyses will provide a broader understanding

Phobos/Deimos sample return via solar sail.

Science.gov (United States)

Matloff, Gregory L; Taylor, Travis; Powell, Conley; Moton, Tryshanda

2005-12-01

A sample-return mission to the Martian satellites using a con-temporary solar sail for all post-Earth-escape propulsion is proposed. The 0.015 kg/m(2) areal mass-thickness sail unfurls after launch and injection onto a Mars-bound Hohmann-transfer ellipse. Structure and payload increase spacecraft areal mass thickness to 0.028 kg/m(2). During the Mars encounter, the sail functions as a parachute in the outer atmosphere of Mars to accomplish aerocapture. On-board thrusters or the sail maneuver the spacecraft into an orbit with periapsis near Mars and apoapsis near Phobos. The orbit is circularized for Phobos-rendezvous; surface samples are collected. The sail then raises the orbit for Deimos-rendezvous and sample collection. The sail next places the spacecraft on an Earth-bound Hohmann-transfer ellipse. During Earth encounter, the sail accomplishes Earth-aerocapture or partially decelerates the sample container for entry into the Earth's atmosphere. Mission mass budget is about 218 grams and mission duration is less than five years.

JSC Advanced Curation: Research and Development for Current Collections and Future Sample Return Mission Demands

Science.gov (United States)

Fries, M. D.; Allen, C. C.; Calaway, M. J.; Evans, C. A.; Stansbery, E. K.

2015-01-01

Curation of NASA's astromaterials sample collections is a demanding and evolving activity that supports valuable science from NASA missions for generations, long after the samples are returned to Earth. For example, NASA continues to loan hundreds of Apollo program samples to investigators every year and those samples are often analyzed using instruments that did not exist at the time of the Apollo missions themselves. The samples are curated in a manner that minimizes overall contamination, enabling clean, new high-sensitivity measurements and new science results over 40 years after their return to Earth. As our exploration of the Solar System progresses, upcoming and future NASA sample return missions will return new samples with stringent contamination control, sample environmental control, and Planetary Protection requirements. Therefore, an essential element of a healthy astromaterials curation program is a research and development (R&D) effort that characterizes and employs new technologies to maintain current collections and enable new missions - an Advanced Curation effort. JSC's Astromaterials Acquisition & Curation Office is continually performing Advanced Curation research, identifying and defining knowledge gaps about research, development, and validation/verification topics that are critical to support current and future NASA astromaterials sample collections. The following are highlighted knowledge gaps and research opportunities.

Investigating the Geological History of Asteroid 101955 Bennu Through Remote Sensing and Returned Sample Analyses

Science.gov (United States)

Messenger, S.; Connolly, H. C., Jr.; Lauretta, D. S.; Bottke, W. F.

2014-01-01

The NASA New Frontiers Mission OSRIS-REx will return surface regolith samples from near-Earth asteroid 101955 Bennu in September 2023. This target is classified as a B-type asteroid and is spectrally similar to CI and CM chondrite meteorites [1]. The returned samples are thus expected to contain primitive ancient Solar System materials that formed in planetary, nebular, interstellar, and circumstellar environments. Laboratory studies of primitive astromaterials have yielded detailed constraints on the origins, properties, and evolutionary histories of a wide range of Solar System bodies. Yet, the parent bodies of meteorites and cosmic dust are generally unknown, genetic and evolutionary relationships among asteroids and comets are unsettled, and links between laboratory and remote observations remain tenuous. The OSIRIS-REx mission will offer the opportunity to coordinate detailed laboratory analyses of asteroidal materials with known and well characterized geological context from which the samples originated. A primary goal of the OSIRIS-REx mission will be to provide detailed constraints on the origin and geological and dynamical history of Bennu through coordinated analytical studies of the returned samples. These microanalytical studies will be placed in geological context through an extensive orbital remote sensing campaign that will characterize the global geological features and chemical diversity of Bennu. The first views of the asteroid surface and of the returned samples will undoubtedly bring remarkable surprises. However, a wealth of laboratory studies of meteorites and spacecraft encounters with primitive bodies provides a useful framework to formulate priority scientific questions and effective analytical approaches well before the samples are returned. Here we summarize our approach to unraveling the geological history of Bennu through returned sample analyses.

The Volatility Effect: Lower Risk without Lower Return

NARCIS (Netherlands)

D.C. Blitz (David); P. van Vliet (Pim)

2007-01-01

textabstractWe present empirical evidence that stocks with low volatility earn high risk-adjusted returns. The annual alpha spread of global low versus high volatility decile portfolios amounts to 12% over the 1986-2006 period. We also observe this volatility effect within the US, European and

EGYPTIAN MUTUAL FUNDS ANALYSIS: HISTORY, PERFORMANCE, OBJECTIVES, RISK AND RETURN

Directory of Open Access Journals (Sweden)

Petru STEFEA

2013-10-01

Full Text Available The present research aims to overview the mutual fund in Egypt. The establishment of the first mutual funds was achieved in 1994. Nowadays, the total mutual funds reached 90 funds , approximately. The income funds represent the largest share of the Egyptian mutual funds (40%, growth funds (25% and the private equity funds is at least (1%. The total population of the Egyptian mutual funds reached 22. Finally, the study proved that the Egyptian mutual funds have an impact on fund return , total risk and systemic; when analysis relationship between risk and return. The study found influencing for mutual fund's objectives on Sharpe and Terynor ratios.

A critical evaluation of risk-return characteristics of environmentally focused stock’s companies

Directory of Open Access Journals (Sweden)

Stanislav Škapa

2013-01-01

Full Text Available The objective of the paper is to critically evaluate and determine risk-return profile environmentally focused stock’s companies which are covered by STOXX Global ESG Environmental Leaders Index and whether this index should be taken in as an independent asset class of investments portfolio for its risk-return improvement. This paper gives an empirical view on the ex-post asset classes characteristics focused mainly on risk side of investment.

Estimating the risk-return tradeoff in MENA Stock Markets

Directory of Open Access Journals (Sweden)

Salim Lahmiri

2013-04-01

Full Text Available This study employs the generalized autoregressive conditionally heteroskedastic in the mean (GARCH-M methodology to investigate the return generating process of Jordan, Kingdom of Saudi Arabia (KSA, Kuwait, and Morocco stock market indices. The tradeoff between returns and the conditional variance is found to be positive in all markets. In other words, the empirical findings show that investors are rewarded for their exposure to more risk in these financial markets. This result is consistent with both financial theory and empirical finance.

The Smoothing Hypothesis, Stock Returns and Risk in Brazil

Directory of Open Access Journals (Sweden)

Antonio Lopo Martinez

2011-01-01

Full Text Available Income smoothing is defined as the deliberate normalization of income in order to reach a desired trend. If the smoothing causes more information to be reflected in the stock price, it is likely to improve the allocation of resources and can be a critical factor in investment decisions. This study aims to build metrics to determine the degree of smoothing in Brazilian public companies, to classify them as smoothing and non-smoothing companies and additionally to present evidence on the long-term relationship between the smoothing hypothesis and stock return and risk. Using the Economatica and CVM databases, this study focuses on 145 companies in the period 1998-2007. We find that Brazilian smoothers have a smaller degree of systemic risk than non-smoothers. In average terms, the beta of smoothers is significantly lower than non-smoothers. Regarding return, we find that the abnormal annualized returns of smoothers are significantly higher. We confirm differences in the groups by nonparametric and parametric tests in cross section or as time series, indicating that there is a statistically significant difference in performance in the Brazilian market between firms that do and do not engage in smoothing.

77 FR 70835 - Centennial Challenges 2013 Sample Return Robot Challenge

Science.gov (United States)

2012-11-27

... NATIONAL AERONAUTICS AND SPACE ADMINISTRATION Centennial Challenges 2013 Sample Return Robot... Challenge is scheduled and teams that wish to compete may register. Centennial Challenges is a program of... Challenge, please visit: http://challenge.wpi.edu . For general information on the NASA Centennial...

PlanetVac: Sample Return with a Puff of Gas

Science.gov (United States)

Zacny, K.; Mueller, R.; Betts, B. H.

2014-12-01

PlanetVac is a regolith sample acquisition mission concept that uses compressed gas to blow material from the surface up a pneumatic tube and directly into a sample return container. The PlanetVac sampling device is built into the lander legs to eliminate cost and complexity associated with robotic arms and scoops. The pneumatic system can effectively capture fine and coarse regolith, including small pebbles. It is well suited for landed missions to Mars, asteroids, or the Moon. Because of the low pressures on all those bodies, the technique is extremely efficient. If losses are kept to minimum, 1 gram of compressed gas could efficiently lift 6000 grams of soil. To demonstrate this approach, the PlanetVac lander with four legs and two sampling tubes has been designed, integrated, and tested. Vacuum chamber testing was performed using two well-known planetary regolith simulants: Mars Mojave Simulant (MMS) and lunar regolith simulant JSC-1A. One of the two sampling systems was connected to a mockup of an earth return rocket while the second sampling system was connected to a lander deck mounted instrument (clear box for easy viewing). The tests included a drop from a height of approximately 50 cm onto the bed of regolith, deployment of sampling tubes into the regolith, pneumatic acquisition of sample into an instrument (sample container) and the rocket, and the launch of the rocket. The demonstration has been successful and can be viewed here: https://www.youtube.com/watch?v=DjJXvtQk6no. In most of the tests, 20 grams or more of sample was delivered to the 'instrument' and approximately 5 grams of regolith was delivered into a sampling chamber within the rocket. The gas lifting efficiency was calculated to be approximately 1000:1; that is 1 gram of gas lofted 1000 grams of regolith. Efficiencies in lower gravity environments are expected to be much higher. This successful, simple and lightweight sample capture demonstration paves the way to using such sampling system

Dynamic Acquisition and Retrieval Tool (DART) for Comet Sample Return : Session: 2.06.Robotic Mobility and Sample Acquisition Systems

Science.gov (United States)

Badescu, Mircea; Bonitz, Robert; Kulczycki, Erick; Aisen, Norman; Dandino, Charles M.; Cantrell, Brett S.; Gallagher, William; Shevin, Jesse; Ganino, Anthony; Haddad, Nicolas;

Backward Planetary Protection Issues and Possible Solutions for Icy Plume Sample Return Missions from Astrobiological Targets

Science.gov (United States)

Yano, Hajime; McKay, Christopher P.; Anbar, Ariel; Tsou, Peter

The recent report of possible water vapor plumes at Europa and Ceres, together with the well-known Enceladus plume containing water vapor, salt, ammonia, and organic molecules, suggests that sample return missions could evolve into a generic approach for outer Solar System exploration in the near future, especially for the benefit of astrobiology research. Sampling such plumes can be accomplished via fly-through mission designs, modeled after the successful Stardust mission to capture and return material from Comet Wild-2 and multiple, precise trajectory controls of the Cassini mission to fly through Enceladus’ plume. The proposed LIFE (Life Investigation For Enceladus) mission to Enceladus, which would sample organic molecules from the plume of that apparently habitable world, provides one example of the appealing scientific return of such missions. Beyond plumes, the upper atmosphere of Titan could also be sampled in this manner. The SCIM mission to Mars, also inspired by Stardust, would sample and return aerosol dust in the upper atmosphere of Mars and thus extends this concept even to other planetary bodies. Such missions share common design needs. In particular, they require large exposed sampler areas (or sampler arrays) that can be contained to the standards called for by international planetary protection protocols that COSPAR Planetary Protection Policy (PPP) recommends. Containment is also needed because these missions are driven by astrobiologically relevant science - including interest in organic molecules - which argues against heat sterilization that could destroy scientific value of samples. Sample containment is a daunting engineering challenge. Containment systems must be carefully designed to appropriate levels to satisfy the two top requirements: planetary protection policy and the preserving the scientific value of samples. Planning for Mars sample return tends to center on a hermetic seal specification (i.e., gas-tight against helium escape

A Draft Science Management Plan for Returned Samples from Mars: Recommendations from the International Mars Architecture for the Return of Samples (iMARS) Phase II Working Group

Science.gov (United States)

Haltigin, T.; Lange, C.; Mugnuolo, R.; Smith, C.

2018-04-01

This paper summarizes the findings and recommendations of the International Mars Architecture for the Return of Samples (iMARS) Phase II Working Group, an international team comprising 38 members from 16 countries and agencies.

Absolute Risk Aversion and the Returns to Education.

Science.gov (United States)

Brunello, Giorgio

2002-01-01

Uses 1995 Italian household income and wealth survey to measure individual absolute risk aversion of 1,583 married Italian male household heads. Uses this measure as an instrument for attained education in a standard-log earnings equation. Finds that the IV estimate of the marginal return to schooling is much higher than the ordinary least squares…

Coordinating a Supply Chain with Risk-Averse Agents under Demand and Consumer Returns Uncertainty

Directory of Open Access Journals (Sweden)

Jian Liu

2013-01-01

Full Text Available This paper examines the optimal order decision in a supply chain when it faces uncertain demand and uncertain consumer returns. We build consumer returns model with decision-makers’ risk preference under mean-variance objective framework and discuss supply chain coordination problem under wholesale-price-only policy and the manufacturer’s buyback policy, respectively. We find that, with wholesale price policy, the supply chain cannot be coordinated whether the supply chain agents are risk-neutral or risk-averse. However, with buyback policy, the supply chain can be coordinated and the profit of the supply chain can be arbitrarily allocated between the manufacturer and the retailer. Through numerical examples, we illustrate the impact of stochastic consumer returns and the supply chain agents’ risk attitude on the optimal order decision.

Stock return distribution in the BRICS

Directory of Open Access Journals (Sweden)

George Adu

2015-12-01

Full Text Available Stock returns in emerging market economies exhibit patterns that are distinctively different from developed countries: returns are noted to be highly volatile and autocorrelated, and long horizon returns are predictable. While these stylized facts are well established, the assumption underlying the distribution of returns is less understood. In particular, the empirical literature continues to rely on the normality assumption as a starting point, and most asset pricing models tend to overstretch this point. This paper questions the rationale behind this supposition and proceeds to test more formally for normality using multivariate joint test for skewness and kurtosis. Additionally, the paper extends the literature by examining a number of empirical regularities for Brazil, Russia, India, China and South Africa (the BRICS for short. Our main findings are that the distribution of stock returns for the BRICS exhibits peakedness with fatter and longer tails, and this is invariant to both the unit of measurement and the time horizon of returns. Volatility clustering is prevalent in all markets, and this decays exponentially for all but Brazil. The relationship between risk and return is found to be significant and risk premiums are prevalent in our sample.

The Risk-Return Trade-Off in Human Capital Investment

DEFF Research Database (Denmark)

Christiansen, Charlotte; Joensen, Juanna Schrøter; Nielsen, Helena Skyt

In this paper we analyze investments in human capital assets in a way which is standard for financial assets, but not (yet) for human capital assets. We study mean-variance plots of human capital assets. We compare the properties of human capital returns using a performance measure and by sing...... tests for mean-variance spanning. A risk-return trade-off is revealed, hich is not only related to the length of education but also to the type of education. We identify a range of educations that are efficient in terms of investment goods, and a range of educations that are inefficient, and may...

Planning Related to the Curation and Processing of Returned Martian Samples

Science.gov (United States)

McCubbin, F. M.; Harrington, A. D.

2018-04-01

Many of the planning activities in the NASA Astromaterials Acquisition and Curation Office at JSC are centered around Mars Sample Return. The importance of contamination knowledge and the benefits of a mobile/modular receiving facility are discussed.

Overview of the Mars Sample Return Earth Entry Vehicle

Science.gov (United States)

Dillman, Robert; Corliss, James

2008-01-01

NASA's Mars Sample Return (MSR) project will bring Mars surface and atmosphere samples back to Earth for detailed examination. Langley Research Center's MSR Earth Entry Vehicle (EEV) is a core part of the mission, protecting the sample container during atmospheric entry, descent, and landing. Planetary protection requirements demand a higher reliability from the EEV than for any previous planetary entry vehicle. An overview of the EEV design and preliminary analysis is presented, with a follow-on discussion of recommended future design trade studies to be performed over the next several years in support of an MSR launch in 2018 or 2020. Planned topics include vehicle size for impact protection of a range of sample container sizes, outer mold line changes to achieve surface sterilization during re-entry, micrometeoroid protection, aerodynamic stability, thermal protection, and structural materials selection.

Causes, costs, and risk factors for unplanned return visits after adenotonsillectomy in children.

Science.gov (United States)

Duval, Melanie; Wilkes, Jacob; Korgenski, Kent; Srivastava, Rajendu; Meier, Jeremy

2015-10-01

To review the causes, costs, and risk factors for unplanned return visits and readmissions after pediatric adenotonsillectomy (T&A). Review of administrative database of outpatient adenotonsillectomy performed at any facility within a vertically integrated health care system in the Intermountain West on children age 1-18 years old between 1998 and 2012. Data reviewed included demographic variables, diagnosis associated with return visit and costs associated with return visits. Data from 39,906 children aged 1-18 years old were reviewed. A total of 2499 (6.3%) children had unplanned return visits. The most common reasons for return visits were bleeding (2.3%), dehydration, (2.3%) and throat pain (1.2%). After multivariate analysis, the main risk factors for any type of return visits were Medicaid insurance (OR=1.64 95% CI 1.47-1.84), Hispanic race (OR=1.36 95% CI 1.13-1.64), and increased severity of illness (SOI) (OR=11.29 95% CI 2.69-47.4 for SOI=3). The only factor associated with increased odds of requiring an inpatient admission on return visit was length of time spent in PACU (prelationship was also observed between the child's age and the risk of post-tonsillectomy hemorrhage. Children with increased severity of illness, those insured with Medicaid, and children of Hispanic ethnicity should be targeted with increased education and interventions in order to reduce unplanned visits after T&A. Further studies on post-tonsillectomy complications should include evaluating the effect of surgical technique and post-operative pain management on all complications and not solely post-tonsillectomy hemorrhage. Copyright © 2015 Elsevier Ireland Ltd. All rights reserved.

INTERDEPENDENCE BETWEEN RETURN AND RISK OF BANKS IN THE REPUBLIC OF SERBIA

Directory of Open Access Journals (Sweden)

Almir Alihodžić

2017-01-01

Full Text Available In the last two years, the profitability of the banking sector of Serbia has indicated the occasional tendency to recovery. Viewed over the long term, profitability of the banking sector is primarily a function of an increase in lending activities with increased control in the field of credit risk because the credit risk is an essential problem of the banking sector in the Republic of Serbia, the region and individual EU countries. Unlike credit risk, liquidity risk is very insignificant. In this paper, through an approach that has been developed by Alberts, we will explore the correlation between return and risk for a larger group of banks in the Republic of Serbia. Therefore, the main objective of the paper is to determine whether factors such as the size of the bank, i.e. business operations, lending activities, the competitive environment and the style of management of the bank have an impact on the trade-off between return and risk

The CanMars Analogue Mission: Lessons Learned for Mars Sample Return

Science.gov (United States)

Osinski, G. R.; Beaty, D.; Battler, M.; Caudill, C.; Francis, R.; Haltigin, T.; Hipkin, V.; Pilles, E.

2018-04-01

We present an overview and lessons learned for Mars Sample Return from CanMars — an analogue mission that simulated a Mars 2020-like cache mission. Data from 39 sols of operations conducted in the Utah desert in 2015 and 2016 are presented.

O2/CO Ignition System for Mars Sample Return Missions, Phase I

Data.gov (United States)

National Aeronautics and Space Administration — Returning a geological sample from the surface of Mars will require an ascent propulsion system with a comparatively large velocity change (delta-V) capability due...

The Risk of Individual Stocks’ Tail Dependence with the Market and Its Effect on Stock Returns

Directory of Open Access Journals (Sweden)

Guobin Fan

2015-01-01

Full Text Available Traditional beta is only a linear measure of overall market risk and places equal emphasis on upside and downside risks, but actually the latter is always much stronger probably due to the trading mechanism like short-sale constraints. Therefore, this paper employs the nonlinear measure, tail dependence, to measure the extreme downside risks that individual stocks crash together with the whole market and investigates whether such tail dependence risks will affect stock returns. Our empirical evidence based on Shanghai A shares confirms that most stocks display nonnegligible tail dependence with the whole market, and, more importantly, such tail dependence risks can indeed provide additional information beyond beta and other factors for asset pricing. In cross-sectional regression, it is proved that this tail dependence does help to explain monthly returns on Shanghai A shares, whereas the time-series regression further indicates that mimicking portfolio returns for tail dependence can capture strong common variation of Shanghai A stock returns.

Robustness of the Risk-Return Relationship in the U.S. Stock Market

OpenAIRE

Lanne, Markku; Luoto, Jani

2007-01-01

In this paper, we study the risk-return relationship in monthly U.S. stock returns (1928:1— 2004:12) using GARCH-in-Mean models. In particular, we consider the robustness of the relationship with respect to the omission of the intercept term in the equation for the expected excess return recently recommended by Lanne and Saikkonen (2006). The existence of the relationship is quite robust, but its estimated strength is dependent on the prior belief concerning the intercept. This is the case in...

Application of a General Risk Management Model to Portfolio Optimization Problems with Elliptical Distributed Returns for Risk Neutral and Risk Averse Decision Makers

NARCIS (Netherlands)

B. Kaynar; S.I. Birbil (Ilker); J.B.G. Frenk (Hans)

2007-01-01

textabstractIn this paper portfolio problems with linear loss functions and multivariate elliptical distributed returns are studied. We consider two risk measures, Value-at-Risk and Conditional-Value-at-Risk, and two types of decision makers, risk neutral and risk averse. For Value-at-Risk, we show

Empirical Essays on the Stock Returns, Risk Management, and Liquidity Creation of Banks

NARCIS (Netherlands)

Y. Xu (Ying)

2010-01-01

textabstractThis thesis consists of three studies that respectively investigate the stock returns, risk management, and liquidity creation of banks. Chapter 2 focuses on the cross-section of bank stock returns and found that pricing factors such as leverage and beta, shown to be irrelevant to

Risk-return and difference of Ipe wood price in Pará and São Paulo markets

Directory of Open Access Journals (Sweden)

Humberto Figueira Barbosa

2014-03-01

Full Text Available This study estimated the relation risk-return and the trend of the price difference among the markets of consumers of Ipê amarelo (Tabebuia serratifolia sawn wood in the State of Pará and the cities of Baurú, Campinas, and Sorocaba,. It was considered as indicative of risk the Coefficient of Variation (CV, and as indicative of return the Rate of Geometric Growth (RGG of the price series that was also used to estimate the trend of the price difference among the markets. It was noted that the risk-return relationship is coherent in all markets, and the city of Sorocaba stands out with the greatest estimative in both risk and return, and presents increase trend of the price difference among State of Pará market, which presented a temporal deficit in the price increase compared to other markets analyzed.

CHOMIK -Sampling Device of Penetrating Type for Russian Phobos Sample Return Mission

Science.gov (United States)

Seweryn, Karol; Grygorczuk, Jerzy; Rickmann, Hans; Morawski, Marek; Aleksashkin, Sergey; Banaszkiewicz, Marek; Drogosz, Michal; Gurgurewicz, Joanna; Kozlov, Oleg E.; Krolikowska-Soltan, Malgorzata; Sutugin, Sergiej E.; Wawrzaszek, Roman; Wisniewski, Lukasz; Zakharov, Alexander

Measurements of physical properties of planetary bodies allow to determine many important parameters for scientists working in different fields of research. For example effective heat conductivity of the regolith can help with better understanding of processes occurring in the body interior. Chemical and mineralogical composition gives us a chance to better understand the origin and evolution of the moons. In principle such parameters of the planetary bodies can be determined based on three different measurement techniques: (i) in situ measurements (ii) measurements of the samples in laboratory conditions at the Earth and (iii) remote sensing measurements. Scientific missions which allow us to perform all type of measurements, give us a chance for not only parameters determination but also cross calibration of the instruments. Russian Phobos Sample Return (PhSR) mission is one of few which allows for all type of such measurements. The spacecraft will be equipped with remote sensing instruments like: spectrometers, long wave radar and dust counter, instruments for in-situ measurements -gas-chromatograph, seismometer, thermodetector and others and also robotic arm and sampling device. PhSR mission will be launched in November 2011 on board of a launch vehicle Zenit. About a year later (11 months) the vehicle will reach the Martian orbit. It is anticipated that it will land on Phobos in the beginning of 2013. A take off back will take place a month later and the re-entry module containing a capsule that will hold the soil sample enclosed in a container will be on its way back to Earth. The 11 kg re-entry capsule with the container will land in Kazakhstan in mid-2014. A unique geological penetrator CHOMIK dedicated for the Phobos Sample Return space mis-sion will be designed and manufactured at the Space Mechatronics and Robotics Laboratory, Space Research Centre Polish Academy of Sciences (SRC PAS) in Warsaw. Functionally CHOMIK is based on the well known MUPUS

The Rosetta Stones of Mars — Should Meteorites be Considered as Samples of Opportunity for Mars Sample Return?

Science.gov (United States)

Tait, A. W.; Schröder, C.; Ashley, J. W.; Velbel, M. A.; Boston, P. J.; Carrier, B. L.; Cohen, B. A.; Bland, P. A.

2018-04-01

We summarize insights about Mars gained from investigating meteorites found on Mars. Certain types of meteorites can be considered standard probes inserted into the martian environment. Should they be considered for Mars Sample Return?

Advanced Ignition System for Hybrid Rockets for Sample Return Missions, Phase I

Data.gov (United States)

National Aeronautics and Space Administration — To return a sample from the surface of Mars or any of the larger moons in the solar system will require a propulsion system with a comparatively large delta-V...

A new method to estimate risk and return of non-traded assets from cash flows : The case of private equity funds

NARCIS (Netherlands)

Driessen, J.J.A.G.; Lin, T.C.; Phalippou, L.

2012-01-01

We develop a new methodology to estimate abnormal performance and risk exposure of nontraded assets from cash flows. Our methodology extends the standard internal rate of return approach to a dynamic setting. The small-sample properties are validated using a simulation study. We apply the method to

Role of impact cratering for Mars sample return

International Nuclear Information System (INIS)

Schultz, P.H.

1988-01-01

The preserved cratering record of Mars indicates that impacts play an important role in deciphering Martian geologic history, whether as a mechanism to modify the lithosphere and atmosphere or as a tool to sample the planet. The various roles of impact cratering in adding a broader understanding of Mars through returned samples are examined. Five broad roles include impact craters as: (1) a process in response to a different planetary localizer environment; (2) a probe for excavating crustal/mantle materials; (3) a possible localizer of magmatic and hydrothermal processes; (4) a chronicle of changes in the volcanic, sedimentary, atmospheric, and cosmic flux history; and (5) a chronometer for extending the geologic time scale to unsampled regions. The evidence for Earth-like processes and very nonlunar styles of volcanism and tectonism may shift the emphasis of a sampling strategy away from equally fundamental issues including crustal composition, unit ages, and climate history. Impact cratering not only played an important active role in the early Martian geologic history, it also provides an important tool for addressing such issues

Corporate Spinoffs- A Risk and Return Perspective

OpenAIRE

Lundh, Hampus

2007-01-01

Spinoffs are an increasing phenomenon on the Swedish stock market. In this report one can read about factors that trigger spinoffs as well as about the short and medium term risk and return that spinoffs yield. I have observed 17 pre-spinoff companies that become 34 post-spinoff companies which continued to be traded on the stock market. For the purpose of the investigation I use time-series regression, and my model is the sin-gle-factor market model. I use this model to estimate the beta and...

Sample Return in Preparation for Human Mission on the Surface of Mars

Science.gov (United States)

Yun, P.

2018-04-01

Returned samples of martian regolith will help the science community make an informed decision in choosing the final human landing site and develop a better human mission plan to meet science criteria and IRSU and civil engineering criteria.

A Rover Mobility Platform with Autonomous Capability to Enable Mars Sample Return

Science.gov (United States)

Fulford, P.; Langley, C.; Shaw, A.

2018-04-01

The next step in understanding Mars is sample return. In Fall 2016, the CSA conducted an analogue deployment using the Mars Exploration Science Rover. An objective was to demonstrate the maturity of the rover's guidance, navigation, and control.

The Opera Instrument: An Advanced Curation Development for Mars Sample Return Organic Contamination Monitoring

Science.gov (United States)

Fries, M. D.; Fries, W. D.; McCubbin, F. M.; Zeigler, R. A.

2018-01-01

Mars Sample Return (MSR) requires strict organic contamination control (CC) and contamination knowledge (CK) as outlined by the Mars 2020 Organic Contamination Panel (OCP). This includes a need to monitor surficial organic contamination to a ng/sq. cm sensitivity level. Archiving and maintaining this degree of surface cleanliness may be difficult but has been achieved. MSR's CK effort will be very important because all returned samples will be studied thoroughly and in minute detail. Consequently, accurate CK must be collected and characterized to best interpret scientific results from the returned samples. The CK data are not only required to make accurate measurements and interpretations for carbon-depleted martian samples, but also to strengthen the validity of science investigations performed on the samples. The Opera instrument prototype is intended to fulfill a CC/CK role in the assembly, cleaning, and overall contamination history of hardware used in the MSR effort, from initial hardware assembly through post-flight sample curation. Opera is intended to monitor particulate and organic contamination using quartz crystal microbalances (QCMs), in a self-contained portable package that is cleanroom-compliant. The Opera prototype is in initial development capable of approximately 100 ng/sq. cm organic contamination sensitivity, with additional development planned to achieve 1 ng/sq. cm. The Opera prototype was funded by the 2017 NASA Johnson Space Center Innovation Charge Account (ICA), which provides funding for small, short-term projects.

On the Risk-Return Tradeoff in the Stock Exchange of Thailand: New Evidence

OpenAIRE

Jiranyakul, Komain

2011-01-01

This paper provides new evidence on the positive risk-return tradeoff in the Thai stock market using monthly data. An AR(p)-GARCH-in-mean model is applied to the data from January 1981 to December 2009. Since stock prices and dividend series are not cointegrated, the excess returns are separately calculated as capital gain and dividend excess returns. By incorporating the dummy variables that capture the impact of the 1987 global stock market crash and the Asian 1997 financial crisis in th...

Application of a general risk management model to portfolio optimization problems with elliptical distributed returns for risk neutral and risk averse decision makers.

NARCIS (Netherlands)

B. Kaynar; S.I. Birbil (Ilker); J.B.G. Frenk (Hans)

2007-01-01

textabstractWe discuss a class of risk measures for portfolio optimization with linear loss functions, where the random returns of financial instruments have a multivariate elliptical distribution. Under this setting we pay special attention to two risk measures, Value-at-Risk and

Volatility in the Housing Market: Evidence on Risk and Return in theLondon Sub-market

Directory of Open Access Journals (Sweden)

Steve Cook

2017-10-01

Full Text Available The impact of volatility in housing market analysis is reconsidered via examinaton ofthe risk-return relationship in the London housing market is examined. In addition to providing thefirst empirical results for the relationship between risk (as measured by volatility and returns forthis submarket, the analysis offers a more general message to empiricists via a detailed and explicitevaluation of the impact of empirical design decisions upon inferences. In particular, the negativerisk-return relationship discussed frequently in the housing market literature is examined and shown todepend upon typically overlooked decisions concerning components of the empirical framework fromwhich statistical inferences are drawn.

Foreign currency returns and systematic risks

NARCIS (Netherlands)

Galsband, V.; Nitschka, T.

2015-01-01

We apply an empirical approximation of the intertemporal capital asset pricing model (ICAPM) to show that cross-sectional dispersion in currency returns can be rationalized by differences in currency excess returns' sensitivities to the market return's cash-flow news component. This finding echoes

I. T. - R. O. C. K. S. Comet Nuclei Sample Return Mission

Science.gov (United States)

Dalcher, N.

2009-04-01

Ices, organics and minerals recording the chemical evolution of the outer regions of the early solar nebula are the main constituents of comets. Because comets maintain the nearly pristine nature of the cloud where they formed, the analyses of their composition, structure, thermodynamics and isotope ratios will increase our understanding of the processes that occurred in the early phases of the solar system as well as the Interstellar Medium (ISM) Cloud that predated the formation of the solar nebula [1]. While the deep impact mission aimed at determining the internal structure of comet Temple1's nuclei [e.g. 3], the stardust mission sample return has dramatically increased our understanding of comets. Its first implications indicated that some of the comet material originated in the inner solar system and was later transported outward beyond the freezing line [4]. A wide range of organic compounds identified within different grains of the aerogel collectors has demonstrated the heterogeneity in their assemblages [5]. This suggests either many histories associated with these material or possibly analytical constraints imposed by capture heating of Wild2 material in silica aerogel. The current mission ROSETTA, will further expand our knowledge about comets considerably through rigorous in situ analyses of a Jupiter Family Comet (JFC). As the next generation of comet research post ROSETTA, we present the comet nuclei sample return mission IT - ROCKS (International Team - Return Of Comet's Key Samples) to return several minimally altered samples from various locations of comet 88P/Howell, a typical JFC. The mission scenario includes remote sensing of the comet's nucleus with onboard instruments similar to the ROSETTA instruments [6, 7, 8] (VIS, IR, Thermal IR, X-Ray, Radar) and gas/dust composition measurements including a plasma science package. Additionally two microprobes [9] will further investigate the physical properties of the comet's surface. Retrieving of the

Is there a Risk-Return Trade-off across Occupations? Evidence from Spain

OpenAIRE

Luis Diaz-Serrano; J. Hartog

2004-01-01

We use data from Spain to test for an effect of earnings risk and skewness on individual wages. We carry out separate estimation for men, women, public and private sector employees. In accordance with previous evidence for the US we show the existence of a risk-return trade-off across occupations in the Spanish labour market. These results are in conformity with preferences of risk-averse individuals with decreasing absolute risk aversion.

Risk and Returns to Education. NBER Working Paper No. 18300

Science.gov (United States)

Brown, Jeffrey; Fang, Chichun; Gomes, Francisco

2012-01-01

We analyze the returns to education in a life-cycle framework that incorporates risk preferences, earnings volatility (including unemployment), and a progressive income tax and social insurance system. We show that such a framework significantly reduces the measured gains from education relative to simple present-value calculations, although the…

The pricing of long and short run variance and correlation risk in stock returns

NARCIS (Netherlands)

Cosemans, M.

2011-01-01

This paper studies the pricing of long and short run variance and correlation risk. The predictive power of the market variance risk premium for returns is driven by the correlation risk premium and the systematic part of individual variance premia. Furthermore, I find that aggregate volatility risk

Dynamic jump intensities and risk premia : Evidence from S&P500 returns and options

NARCIS (Netherlands)

Christoffersen, P.; Jacobs, K.; Ornthanalai, C.

2012-01-01

We build a new class of discrete-time models that are relatively easy to estimate using returns and/or options. The distribution of returns is driven by two factors: dynamic volatility and dynamic jump intensity. Each factor has its own risk premium. The models significantly outperform standard

The Risk Management of Minimum Return Guarantees

Directory of Open Access Journals (Sweden)

Antje Mahayni

2008-05-01

Full Text Available Contracts paying a guaranteed minimum rate of return and a fraction of a positive excess rate, which is specified relative to a benchmark portfolio, are closely related to unit-linked life-insurance products and can be considered as alternatives to direct investment in the underlying benchmark. They contain an embedded power option, and the key issue is the tractable and realistic hedging of this option, in order to rigorously justify valuation by arbitrage arguments and prevent the guarantees from becoming uncontrollable liabilities to the issuer. We show how to determine the contract parameters conservatively and implement robust risk-management strategies.

Long-term portfolio investments: New insight into return and risk

Directory of Open Access Journals (Sweden)

Alexander Abramov

2015-09-01

Emphasis is placed on the need for regular adjustments to long-term investors’ portfolios. As portfolios get older, those investors see a reduction in the returns’ dispersion, while differences in risk between various portfolios increase. This means that to maintain a fixed risk–return ratio for a portfolio as the horizon increases, an investor needs to increase the share of lower-risk financial assets during asset allocation process. This thesis becomes especially relevant in the context of retirement savings management.

Risk of malaria in British residents returning from malarious areas.

Science.gov (United States)

Phillips-Howard, P A; Radalowicz, A; Mitchell, J; Bradley, D J

1990-01-01

OBJECTIVES--To identify which British residents travelling abroad are at greatest risk of malaria infection, and to determine the efficacy of malaria chemoprophylaxis for preventing P falciparum infections in tropical Africa. DESIGN--Prospective cohort study (case-base linkage) with routine national surveillance systems. Denominators (base population) were obtained from monitoring a random sample of returning British travellers with the international passenger survey. Numerators (cases) were obtained from reports of malaria infections in British residents, through the Malaria Reference Laboratory network. SETTING--International passenger survey conducted at passport control of international airports in Britain. Malaria reports received nationally were collated centrally in London. SUBJECTS--2948 British residents (0.2%) returning to Britain in 1987 randomly selected and questioned and 1052 British residents with microscopically confirmed malaria infections in 1987, whose case reports were reviewed and on whom additional data were collected by postal survey. MAIN OUTCOME MEASURES--Annual incidence subdivided by categories of risk. Chemoprophylactic efficacy for east and west Africa by principal regimens and compliance. RESULTS--Annual rates of reported infection per 100,000 travellers to Oceania were 4100; to west and east Africa were 375 and 172 respectively; to Latin America, the Far East, and the Middle East were 12, 2, and 1 respectively. Immigrants visiting friends and relatives in Ghana and Nigeria were at greatest risk (1303 and 952 per 100,000 respectively) in west Africa. Business travellers to Kenya experienced the highest attack rates in east Africa (465 per 100,000). Age-sex specific attack rates varied by region. No prophylaxis was reported to have been used by 23% of British visitors to west Africa, 17% to east Africa, 46% to central or southern Africa, and 58% visiting south Asia. The efficacy of chloroquine plus proguanil against P falciparum

Sign realized jump risk and the cross-section of stock returns: Evidence from China's stock market.

Science.gov (United States)

Chao, Youcong; Liu, Xiaoqun; Guo, Shijun

2017-01-01

Using 5-minute high frequency data from the Chinese stock market, we employ a non-parametric method to estimate Fama-French portfolio realized jumps and investigate whether the estimated positive, negative and sign realized jumps could forecast or explain the cross-sectional stock returns. The Fama-MacBeth regression results show that not only have the realized jump components and the continuous volatility been compensated with risk premium, but also that the negative jump risk, the positive jump risk and the sign jump risk, to some extent, could explain the return of the stock portfolios. Therefore, we should pay high attention to the downside tail risk and the upside tail risk.

Analysis of the Touch-And-Go Surface Sampling Concept for Comet Sample Return Missions

Science.gov (United States)

Mandic, Milan; Acikmese, Behcet; Bayard, David S.; Blackmore, Lars

2012-01-01

This paper studies the Touch-and-Go (TAG) concept for enabling a spacecraft to take a sample from the surface of a small primitive body, such as an asteroid or comet. The idea behind the TAG concept is to let the spacecraft descend to the surface, make contact with the surface for several seconds, and then ascend to a safe location. Sampling would be accomplished by an end-effector that is active during the few seconds of surface contact. The TAG event is one of the most critical events in a primitive body sample-return mission. The purpose of this study is to evaluate the dynamic behavior of a representative spacecraft during the TAG event, i.e., immediately prior, during, and after surface contact of the sampler. The study evaluates the sample-collection performance of the proposed sampling end-effector, in this case a brushwheel sampler, while acquiring material from the surface during the contact. A main result of the study is a guidance and control (G&C) validation of the overall TAG concept, in addition to specific contributions to demonstrating the effectiveness of using nonlinear clutch mechanisms in the sampling arm joints, and increasing the length of the sampling arms to improve robustness.

Risk factors for early return visits to the emergency department in patients with urinary tract infection.

Science.gov (United States)

Jorgensen, Sarah; Zurayk, Mira; Yeung, Samantha; Terry, Jill; Dunn, Maureen; Nieberg, Paul; Wong-Beringer, Annie

2018-01-01

Optimal management of urinary tract infections (UTIs) in the emergency department (ED) is challenging due to high patient turnover, decreased continuity of care, and treatment decisions made in the absence of microbiologic data. We sought to identify risk factors for return visits in ED patients treated for UTI. A random sample of 350 adult ED patients with UTI by ICD 9/10 codes was selected for review. Relevant data was extracted from medical charts and compared between patients with and without ED return visits within 30days (ERVs). We identified 51 patients (15%) with 59 ERVs, of whom 6% returned within 72h. Nearly half of ERVs (47%) were UTI-related and 33% of ERV patients required hospitalization. ERVs were significantly more likely (Ppregnancy; skilled nursing facility residence; dementia; psychiatric disorder; obstructive uropathy; healthcare exposure; temperature≥38 °C heart rate>100; and bacteremia. Escherichia coli was the most common uropathogen (70%) and susceptibility rates to most oral antibiotics were below 80% in both groups except nitrofurantoin (99% susceptible). Cephalexin was the most frequently prescribed antibiotic (51% vs. 44%; P=0.32). Cephalexin bug-drug mismatches were more common in ERV patients (41% vs. 15%; P=0.02). Culture follow-up occurred less frequently in ERV patients (75% vs. 100%; PUTI patients may be minimized by using ED-source specific antibiogram data to guide empiric treatment decisions and by targeting at-risk patients for post-discharge follow-up. Copyright © 2017 Elsevier Inc. All rights reserved.

Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns

NARCIS (Netherlands)

Kaeck, Andreas; Rodrigues, Paulo; Seeger, Norman J.

We apply a range of out-of-sample specification tests to more than forty competing stochastic volatility models to address how model complexity affects out-of-sample performance. Using daily S&P 500 index returns, model confidence set estimations provide strong evidence that the most important model

Lower-Cost, Relocatable Lunar Polar Lander and Lunar Surface Sample Return Probes

Science.gov (United States)

Amato, G. Michael; Garvin, James B.; Burt, I. Joseph; Karpati, Gabe

2011-01-01

Key science and exploration objectives of lunar robotic precursor missions can be achieved with the Lunar Explorer (LEx) low-cost, robotic surface mission concept described herein. Selected elements of the LEx concept can also be used to create a lunar surface sample return mission that we have called Boomerang

Planetary Protection Requirements for Mars Sample Return Missions: Recommendations from a 2009 NRC Report

Science.gov (United States)

Race, Margaret; Farmer, Jack

A 2009 report by the National Research Council (NRC) reviewed a previous study on Mars Sample Return (1997) and provided updated recommendations for future sample return mis-sions based on our current understanding about Mars and its biological potential, as well as advances in technology and analytical capabilities. The committee* made 12 specific recommen-dations that fall into three general categories—one related to current scientific understanding, ten based on changes in the technical and/or policy environment, and one aimed at public com-munication. Substantive changes from the 1997 report relate mainly to protocols and methods, technology and infrastructure, and general oversight. This presentation provides an overview of the 2009 report and its recommendations and analyzes how they may impact mission designs and plans. The full report, Assessment of Planetary Protection Requirements for Mars Sample Return Missions is available online at: http://www.nap.edu/catalog.php?recordi d = 12576 * Study participants: Jack D. Farmer, Arizona State University (chair) James F. Bell III, Cornell University Kathleen C. Benison, Central Michigan University William V. Boynton, University of Arizona Sherry L. Cady, Portland State University F. Grant Ferris, University of Toronto Duncan MacPherson, Jet Propulsion Laboratory Margaret S. Race, SETI Institute Mark H. Thiemens, University of California, San Diego Meenakshi Wadhwa, Arizona State University

A Comparative Study of CAPM and Seven Factors Risk Adjusted Return Model

Directory of Open Access Journals (Sweden)

Madiha Riaz Bhatti

2014-12-01

Full Text Available This study is a comparison and contrast of the predictive powers of two asset pricing models: CAPM and seven factor risk-return adjusted model, to explain the cross section of stock rate of returns in the financial sector listed at Karachi Stock Exchange (KSE. To test the models daily returns from January 2013 to February 2014 have been taken and the excess returns of portfolios are regressed on explanatory variables. The results of the tested models indicate that the models are valid and applicable in the financial market of Pakistan during the period under study, as the intercepts are not significantly different from zero. It is consequently established from the findings that all the explanatory variables explain the stock returns in the financial sector of KSE. In addition, the results of this study show that addition of more explanatory variables to the single factor CAPM results in reasonably high values of R2. These results provide substantial support to fund managers, investors and financial analysts in making investment decisions.

The Volatility of Long-term Bond Returns: Persistent Interest Shocks and Time-varying Risk Premiums

DEFF Research Database (Denmark)

Osterrieder, Daniela; Schotman, Peter C.

We develop a model that can match two stylized facts of the term-structure. The first stylized fact is the predictability of excess returns on long-term bonds. Modeling this requires sufficient volatility and persistence in the price of risk. The second stylized fact is that long-term yields...... are dominated by a level factor, which requires persistence in the spot interest rate. We find that a fractionally integrated process for the short rate plus a fractionally integrated specification for the price of risk leads to an analytically tractable almost affine term structure model that can explain...... the stylized facts. In a decomposition of long-term bond returns we find that the expectations component from the level factor is more volatile than the returns themselves. It therefore takes a volatile risk premium that is negatively correlated with innovations in the level factor to explain the volatility...

Distributionally Robust Return-Risk Optimization Models and Their Applications

Directory of Open Access Journals (Sweden)

Li Yang

2014-01-01

Full Text Available Based on the risk control of conditional value-at-risk, distributionally robust return-risk optimization models with box constraints of random vector are proposed. They describe uncertainty in both the distribution form and moments (mean and covariance matrix of random vector. It is difficult to solve them directly. Using the conic duality theory and the minimax theorem, the models are reformulated as semidefinite programming problems, which can be solved by interior point algorithms in polynomial time. An important theoretical basis is therefore provided for applications of the models. Moreover, an application of the models to a practical example of portfolio selection is considered, and the example is evaluated using a historical data set of four stocks. Numerical results show that proposed methods are robust and the investment strategy is safe.

Cross section of equity returns and assets’ fundamental cash-flow risk

NARCIS (Netherlands)

Galsband, V.

2010-01-01

The decomposition of consumption beta into a component driven by assets' cash-flow news and one related to assets' discount-rate news reveals that macroeconomic risks embodied in cash flows largely account for the cross-sectional dynamics of average stock returns. Empirically, we find that

Realized volatility and absolute return volatility: a comparison indicating market risk.

Science.gov (United States)

Zheng, Zeyu; Qiao, Zhi; Takaishi, Tetsuya; Stanley, H Eugene; Li, Baowen

2014-01-01

Measuring volatility in financial markets is a primary challenge in the theory and practice of risk management and is essential when developing investment strategies. Although the vast literature on the topic describes many different models, two nonparametric measurements have emerged and received wide use over the past decade: realized volatility and absolute return volatility. The former is strongly favored in the financial sector and the latter by econophysicists. We examine the memory and clustering features of these two methods and find that both enable strong predictions. We compare the two in detail and find that although realized volatility has a better short-term effect that allows predictions of near-future market behavior, absolute return volatility is easier to calculate and, as a risk indicator, has approximately the same sensitivity as realized volatility. Our detailed empirical analysis yields valuable guidelines for both researchers and market participants because it provides a significantly clearer comparison of the strengths and weaknesses of the two methods.

Realized volatility and absolute return volatility: a comparison indicating market risk.

Directory of Open Access Journals (Sweden)

Zeyu Zheng

Full Text Available Measuring volatility in financial markets is a primary challenge in the theory and practice of risk management and is essential when developing investment strategies. Although the vast literature on the topic describes many different models, two nonparametric measurements have emerged and received wide use over the past decade: realized volatility and absolute return volatility. The former is strongly favored in the financial sector and the latter by econophysicists. We examine the memory and clustering features of these two methods and find that both enable strong predictions. We compare the two in detail and find that although realized volatility has a better short-term effect that allows predictions of near-future market behavior, absolute return volatility is easier to calculate and, as a risk indicator, has approximately the same sensitivity as realized volatility. Our detailed empirical analysis yields valuable guidelines for both researchers and market participants because it provides a significantly clearer comparison of the strengths and weaknesses of the two methods.

Risk and Real Estate Investment Trust (REITs Return: Evidence from Listed Public Trust

Directory of Open Access Journals (Sweden)

Nor Edi Azhar Binti Mohamad

2014-08-01

Full Text Available This study examines an association of risk and returns of REITs from Malaysian REITs listed companies. The secondary data for analysis is retrieved from Bloomberg's Database of all 13 listed REITs in the Bursa Malaysia main market for three year period, from 2007 to 2009 with quarterly observation. The dependent variables are average return, expected return using Capital Asset Pricing Model, Sharpe Index, and Jensen Alpha Index. The independent variables represented by standard deviation, beta, trading volume, gross domestic product, inlation rate, and share price. The control variable for this study is type of REITs, whether it  was  categorized  as  Islamic  or  conventional  REITs.  Applying  correlations  and  multiple regression  analysis,  the  results  provide  evidence  on  the  association  between  return  and risk  on  REITs.  This  study  is  also  hoped  to  bring  beneits  to  the  public  listed  company  and shareholders in obtaining the key factors in determining the REITs yield. ";} // -->activate javascript

Building uncertainty into cost-effectiveness rankings: portfolio risk-return tradeoffs and implications for decision rules.

Science.gov (United States)

O'Brien, B J; Sculpher, M J

2000-05-01

Current principles of cost-effectiveness analysis emphasize the rank ordering of programs by expected economic return (eg, quality-adjusted life-years gained per dollar expended). This criterion ignores the variance associated with the cost-effectiveness of a program, yet variance is a common measure of risk when financial investment options are appraised. Variation in health care program return is likely to be a criterion of program selection for health care managers with fixed budgets and outcome performance targets. Characterizing health care resource allocation as a risky investment problem, we show how concepts of portfolio analysis from financial economics can be adopted as a conceptual framework for presenting cost-effectiveness data from multiple programs as mean-variance data. Two specific propositions emerge: (1) the current convention of ranking programs by expected return is a special case of the portfolio selection problem in which the decision maker is assumed to be indifferent to risk, and (2) for risk-averse decision makers, the degree of joint risk or covariation in cost-effectiveness between programs will create incentives to diversify an investment portfolio. The conventional normative assumption of risk neutrality for social-level public investment decisions does not apply to a large number of health care resource allocation decisions in which health care managers seek to maximize returns subject to budget constraints and performance targets. Portfolio theory offers a useful framework for studying mean-variance tradeoffs in cost-effectiveness and offers some positive predictions (and explanations) of actual decision making in the health care sector.

Restricted by Whom? A Historical Review of Strategies and Organization for Restricted Earth Return of Samples from NASA Planetary Missions

Science.gov (United States)

Pugel, Betsy

2017-01-01

This presentation is a review of the timeline for Apollo's approach to Planetary Protection, then known as Planetary Quarantine. Return of samples from Apollo 11, 12 and 14 represented NASA's first attempts into conducting what is now known as Restricted Earth Return, where return of samples is undertaken by the Agency with the utmost care for the impact that the samples may have on Earth's environment due to the potential presence of microbial or other life forms that originate from the parent body (in this case, Earth's Moon).

Time-varying betas and Cross-Sectional Return-Risk Relation: Evidence from the UK

NARCIS (Netherlands)

Fraser, P; MacGregor, B.; Hoesli, M.; Hamelink, F.

2004-01-01

The seminal study by Fama and MacBeth in 1973 initiated a stream of papers testing for the cross-sectional relation between return and risk. The debate as to whether beta is a valid measure of risk was reanimated by Fama and French and subsequent studies. Rather than focusing on exogenous variables

Constraining the Source Craters of the Martian Meteorites: Implications for Prioritiziation of Returned Samples from Mars

Science.gov (United States)

Herd, C. D. K.; Tornabene, L. L.; Bowling, T. J.; Walton, E. L.; Sharp, T. G.; Melosh, H. J.; Hamilton, J. S.; Viviano, C. E.; Ehlmann, B. L.

2018-04-01

We have made advances in constraining the potential source craters of the martian meteorites to a relatively small number. Our results have implications for Mars chronology and the prioritization of samples for Mars Sample Return.

The impact of financial crises on the risk-return tradeoff and the leverage effect

DEFF Research Database (Denmark)

Christensen, Bent Jesper; Nielsen, Morten Ørregaard; Zhu, Jie

50% in magnitude during …financial crises. No such changes are observed during NBER recessions, so in this sense …financial crises are special. Applications to a number of major developed and emerging international stock markets confirm the increase in the leverage effect, whereas the international......We investigate the impact of financial crises on two fundamental features of stock returns, namely, the risk-return tradeoff and the leverage effect. We apply the fractionally integrated exponential GARCH-in-mean (FIEGARCH-M) model for daily stock return data, which includes both features...... and allows the co-existence of long memory in volatility and short memory in returns. We extend this model to allow the financial parameters governing the volatility-in-mean effect and the leverage effect to change during financial crises. An application to the daily U.S. stock index return series from 1926...

The impact of financial crises on the risk-return tradeoff and the leverage effect

DEFF Research Database (Denmark)

Christensen, Bent Jesper; Nielsen, Morten Ørregaard; Zhu, Jie

2015-01-01

% in magnitude during financial crises. No such changes are observed during NBER recessions, so in this sense financial crises are special. Applications to a number of major developed and emerging international stock markets confirm the increase in the leverage effect, whereas the international evidence......We investigate the impact of financial crises on two fundamental features of stock returns, namely, the risk-return tradeoff and the leverage effect. We apply the fractionally integrated exponential GARCH-in-mean (FIEGARCH-M) model for daily stock return data, which includes both features...... and allows the co-existence of long memory in volatility and short memory in returns. We extend this model to allow the financial parameters governing the volatility-in-mean effect and the leverage effect to change during financial crises. An application to the daily U.S. stock index return series from 1926...

Planning for the Collection and Analysis of Samples of Martian Granular Materials Potentially to be Returned by Mars Sample Return

Science.gov (United States)

Carrier, B. L.; Beaty, D. W.

2017-12-01

NASA's Mars 2020 rover is scheduled to land on Mars in 2021 and will be equipped with a sampling system capable of collecting rock cores, as well as a specialized drill bit for collecting unconsolidated granular material. A key mission objective is to collect a set of samples that have enough scientific merit to justify returning to Earth. In the case of granular materials, we would like to catalyze community discussion on what we would do with these samples if they arrived in our laboratories, as input to decision-making related to sampling the regolith. Numerous scientific objectives have been identified which could be achieved or significantly advanced via the analysis of martian rocks, "regolith," and gas samples. The term "regolith" has more than one definition, including one that is general and one that is much more specific. For the purpose of this analysis we use the term "granular materials" to encompass the most general meaning and restrict "regolith" to a subset of that. Our working taxonomy includes the following: 1) globally sourced airfall dust (dust); 2) saltation-sized particles (sand); 3) locally sourced decomposed rock (regolith); 4) crater ejecta (ejecta); and, 5) other. Analysis of martian granular materials could serve to advance our understanding areas including habitability and astrobiology, surface-atmosphere interactions, chemistry, mineralogy, geology and environmental processes. Results of these analyses would also provide input into planning for future human exploration of Mars, elucidating possible health and mechanical hazards caused by the martian surface material, as well as providing valuable information regarding available resources for ISRU and civil engineering purposes. Results would also be relevant to matters of planetary protection and ground-truthing orbital observations. We will present a preliminary analysis of the following, in order to generate community discussion and feedback on all issues relating to: What are the

The Proposed Mars Astrobiology Explorer - Cacher [MAX-C] Rover: First Step in a Potential Sample Return Campaign

Science.gov (United States)

Allen, Carlton C.; Beaty, David W.

2010-01-01

Sample return from Mars has been advocated by numerous scientific advisory panels for over 30 years, most prominently beginning with the National Research Council s [1] strategy for the exploration of the inner solar system, and most recently by the Mars Exploration Program Analysis Group (MEPAG s) Next Decade Science Analysis Group [2]. Analysis of samples here on Earth would have enormous advantages over in situ analyses in producing the data quality needed to address many of the complex scientific questions the community has posed about Mars. Instead of a small, predetermined set of analytical techniques, state of the art preparative and instrumental resources of the entire scientific community could be applied to the samples. The analytical emphasis could shift as the meaning of each result becomes better appreciated. These arguments apply both to igneous rocks and to layered sedimentary materials, either of which could contain water and other volatile constituents. In 2009 MEPAG formed the Mid-Range Rover Science Analysis Group (MRR-SAG) to formulate a mission concept that would address two general objectives: (1) conduct high-priority in situ science and (2) make concrete steps towards the potential return of samples to Earth. This analysis resulted in a mission concept named the Mars Astrobiology Explorer-Cacher (MAX-C), which was envisioned for launch in the 2018 opportunity. After extensive discussion, this group concluded that by far the most definitive contribution to sample return by this mission would be to collect and cache, in an accessible location, a suite of compelling samples that could potentially be recovered and returned by a subsequent mission. This would have the effect of separating two of the essential functions of MSR, the acquisition of the sample collection and its delivery to martian orbit, into two missions.

Enabling Global Lunar Sample Return and Life-Detection Studies Using a Deep-Space Gateway

Science.gov (United States)

Cohen, B. A.; Eigenbrode, J. A.; Young, K. E.; Bleacher, J. E.; Trainer, M. E.

2018-02-01

The Deep Space Gateway could uniquely enable a lunar robotic sampling campaign that would provide incredible science return as well as feed forward to Mars and Europa by testing instrument sterility and ability to distinguish biogenic signals.

Sample Analysis at Mars (SAM) and Mars Organic Molecule Analyzer (MOMA) as Critical In Situ Investigation for Targeting Mars Returned Samples

Science.gov (United States)

Freissinet, C.; Glavin, D. P.; Mahaffy, P. R.; Szopa, C.; Buch, A.; Goesmann, F.; Goetz, W.; Raulin, F.; SAM Science Team; MOMA Science Team

2018-04-01

SAM (Curiosity) and MOMA (ExoMars) Mars instruments, seeking for organics and biosignatures, are essential to establish taphonomic windows of preservation of molecules, in order to target the most interesting samples to return from Mars.

Seeking Signs of Life on Mars: The Importance of Sedimentary Suites as Part of Mars Sample Return

Science.gov (United States)

iMOST Team; Mangold, N.; McLennan, S. M.; Czaja, A. D.; Ori, G. G.; Tosca, N. J.; Altieri, F.; Amelin, Y.; Ammannito, E.; Anand, M.; Beaty, D. W.; Benning, L. G.; Bishop, J. L.; Borg, L. E.; Boucher, D.; Brucato, J. R.; Busemann, H.; Campbell, K. A.; Carrier, B. L.; Debaille, V.; Des Marais, D. J.; Dixon, M.; Ehlmann, B. L.; Farmer, J. D.; Fernandez-Remolar, D. C.; Fogarty, J.; Glavin, D. P.; Goreva, Y. S.; Grady, M. M.; Hallis, L. J.; Harrington, A. D.; Hausrath, E. M.; Herd, C. D. K.; Horgan, B.; Humayun, M.; Kleine, T.; Kleinhenz, J.; Mackelprang, R.; Mayhew, L. E.; McCubbin, F. M.; McCoy, J. T.; McSween, H. Y.; Moser, D. E.; Moynier, F.; Mustard, J. F.; Niles, P. B.; Raulin, F.; Rettberg, P.; Rucker, M. A.; Schmitz, N.; Sefton-Nash, E.; Sephton, M. A.; Shaheen, R.; Shuster, D. L.; Siljestrom, S.; Smith, C. L.; Spry, J. A.; Steele, A.; Swindle, T. D.; ten Kate, I. L.; Usui, T.; Van Kranendonk, M. J.; Wadhwa, M.; Weiss, B. P.; Werner, S. C.; Westall, F.; Wheeler, R. M.; Zipfel, J.; Zorzano, M. P.

2018-04-01

Sedimentary, and especially lacustrine, depositional environments are high-priority geological/astrobiological settings for Mars Sample Return. We review the detailed investigations, measurements, and sample types required to evaluate such settings.

System for Packaging Planetary Samples for Return to Earth

Science.gov (United States)

Badescu, Mircea; Bar-Cohen, Yoseph; Backes, paul G.; Sherrit, Stewart; Bao, Xiaoqi; Scott, James S.

2010-01-01

A system is proposed for packaging material samples on a remote planet (especially Mars) in sealed sample tubes in preparation for later return to Earth. The sample tubes (Figure 1) would comprise (1) tubes initially having open tops and closed bottoms; (2) small, bellows-like collapsible bodies inside the tubes at their bottoms; and (3) plugs to be eventually used to close the tops of the tubes. The top inner surface of each tube would be coated with solder. The side of each plug, which would fit snugly into a tube, would feature a solder-filled ring groove. The system would include equipment for storing, manipulating, filling, and sealing the tubes. The containerization system (see Figure 2) will be organized in stations and will include: the storage station, the loading station, and the heating station. These stations can be structured in circular or linear pattern to minimize the manipulator complexity, allowing for compact design and mass efficiency. The manipulation of the sample tube between stations is done by a simple manipulator arm. The storage station contains the unloaded sample tubes and the plugs before sealing as well as the sealed sample tubes with samples after loading and sealing. The chambers at the storage station also allow for plug insertion into the sample tube. At the loading station the sample is poured or inserted into the sample tube and then the tube is topped off. At the heating station the plug is heated so the solder ring melts and seals the plug to the sample tube. The process is performed as follows: Each tube is filled or slightly overfilled with sample material and the excess sample material is wiped off the top. Then, the plug is inserted into the top section of the tube packing the sample material against the collapsible bellowslike body allowing the accommodation of the sample volume. The plug and the top of the tube are heated momentarily to melt the solder in order to seal the tube.

Habit formation, surplus consumption and return predictability

DEFF Research Database (Denmark)

Engsted, Tom; Hyde, Stuart; Vinther Møller, Stig

2010-01-01

On an international post World War II dataset, we use an iterated GMM procedure to estimate and test the Campbell and Cochrane (1999, By force of habit: a consumption-based explanation of aggregate stock market behavior. Journal of Political Economy 107, 205–251.) habit formation model with a time......-varying risk-free rate. In addition, we analyze the predictive power of the surplus consumption ratio for future stock and bond returns. We find that, although there are important cross-country differences and economically significant pricing errors, for the majority of countries in our sample the model gets...... significant information about future stock returns, also during the 1990s. In addition, in most countries the surplus consumption ratio is also a powerful predictor of future bond returns. Thus, the surplus consumption ratio captures time-varying expected returns in both stock and bond markets....

The effect of asymmetric information risk on returns of stocks traded on the BM&FBOVESPA

Directory of Open Access Journals (Sweden)

Leonardo Souza Siqueira

Full Text Available ABSTRACT This study sought to analyze information asymmetry in the Brazilian stock market and its relation with the returns required from portfolios through the metrics volume-synchronized probability of informed trading. To do this, the study used actual data from the transactions of 142 stocks on the Brazilian Securities, Commodities and Futures Exchange (BM&FBOVESPA, within the period from May 1, 2014, to May 31, 2016. The results point out a high flow toxicity level in the orders of these stocks. In segment analyses of the stock market listing, data suggest there is no clue that stocks from the theoretically more overt segments have a lower toxicity level of order flows. The justification for this finding lies on the negative correlation observed between the market value of stocks and the toxicity level of orders. To test the effect of asymmetric information risk on stock returns, a factor related to the toxicity level of orders was added to the three-, four-, and five-factor models. Through the GRS test, we observed that the combination of factors that optimize the explanation of returns of the portfolios created was the one taking advantage of the factors market, size, profitability, investment, and information risk. To test the robustness of these results, the Average F-test was used in data simulated by the bootstrap method, and similar estimates were obtained. It was observed that the factor related to the book-to-market index becomes redundant in the national scenario for the models tested. Also, it was found that the factor related to information risk works as a complement to the factor size and that its inclusion leads to an improved performance of the models, indicating a possible explanatory power of information risk on portfolio returns. Therefore, data suggest that information risk is priced in the Brazilian stock market.

The Use of Risk and Return for Testing the Stability of Stock Markets

Directory of Open Access Journals (Sweden)

Viorica Chirilă

2014-04-01

Full Text Available The European Central Bank stipulates that a financial system is stable if the financial risks are evaluated and rewarded correctly and if the economic and financial shocks are absorbed. When analyzing the return and volatility of the stock exchanges we may ascertain that a stock exchange is stable if there is a connection between return and volatility and if the shocks determined by the new positive and negative information do not cause significant changes of the volatility. We took into consideration the values of the indices of stock markets from Holland (AEX, Belgium (BEL, Romania (BET, Hungary (BUX, Germany (DAX, France (CAC, Czech Republic (PX, Slovakia (SAX, Austria (ATX, Estonia (OMXT, Latvia (OMXR and Lithuania (OMXV. In order to test the relationship between return-volatility and volatility asymmetry we estimated a GJR-GARCH-M model. The results confirm the lack of existence of a correlation between return and volatility for the entire period under analysis and the existence of the volatility asymmetry.

Strategies for Distinguishing Abiotic Chemistry from Martian Biochemistry in Samples Returned from Mars

Science.gov (United States)

Glavin, D. P.; Burton, A. S.; Callahan, M. P.; Elsila, J. E.; Stern, J. C.; Dworkin, J. P.

2012-01-01

A key goal in the search for evidence of extinct or extant life on Mars will be the identification of chemical biosignatures including complex organic molecules common to all life on Earth. These include amino acids, the monomer building blocks of proteins and enzymes, and nucleobases, which serve as the structural basis of information storage in DNA and RNA. However, many of these organic compounds can also be formed abiotically as demonstrated by their prevalence in carbonaceous meteorites [1]. Therefore, an important challenge in the search for evidence of life on Mars will be distinguishing between abiotic chemistry of either meteoritic or martian origin from any chemical biosignatures from an extinct or extant martian biota. Although current robotic missions to Mars, including the 2011 Mars Science Laboratory (MSL) and the planned 2018 ExoMars rovers, will have the analytical capability needed to identify these key classes of organic molecules if present [2,3], return of a diverse suite of martian samples to Earth would allow for much more intensive laboratory studies using a broad array of extraction protocols and state-of-theart analytical techniques for bulk and spatially resolved characterization, molecular detection, and isotopic and enantiomeric compositions that may be required for unambiguous confirmation of martian life. Here we will describe current state-of-the-art laboratory analytical techniques that have been used to characterize the abundance and distribution of amino acids and nucleobases in meteorites, Apollo samples, and comet- exposed materials returned by the Stardust mission with an emphasis on their molecular characteristics that can be used to distinguish abiotic chemistry from biochemistry as we know it. The study of organic compounds in carbonaceous meteorites is highly relevant to Mars sample return analysis, since exogenous organic matter should have accumulated in the martian regolith over the last several billion years and the

Abnormal Returns and Contrarian Strategies

Directory of Open Access Journals (Sweden)

Ivana Dall'Agnol

2003-12-01

Full Text Available We test the hypothesis that strategies which are long on portfolios of looser stocks and short on portfolios of winner stocks generate abnormal returns in Brazil. This type of evidence for the US stock market was interpreted by The Bondt and Thaler (1985 as reflecting systematic evaluation mistakes caused by investors overreaction to news related to the firm performance. We found evidence of contrarian strategies profitability for horizons from 3 months to 3 years in a sample of stock returns from BOVESPA and SOMA from 1986 to 2000. The strategies are more profitable for shorter horizons. Therefore, there was no trace of the momentum effect found by Jagadeesh and Titman (1993 for the same horizons with US data. There are remaing unexplained positive returns for contrarian strategies after accounting for risk, size, and liquidity. We also found that the strategy profitability is reduced after the Real Plan, which suggests that the Brazilian stock market became more efficient after inflation stabilization.

Strategic Map for Enceladus Plume Biosignature Sample Return

Science.gov (United States)

Sherwood, B.

2014-12-01

The discovery of jets emitting salty water from the interior of Saturn's small moon Enceladus is one of the most astounding results of the Cassini mission to date. The measured presence of organic species in the resulting plume, the finding that the jet activity is valved by tidal stretching at apocrone, the modeled lifetime of E-ring particles, and gravitational inference of a long-lived, deep, large water reservoir all indicate that the textbook conditions for habitability are met at Enceladus today: liquid water, biologically available elements, source of energy, and longevity of conducive conditions. Enceladus may be the best place in our solar system to search for direct evidence of biomarkers, and the plume provides a way to sample, analyze, and even return them to Earth for detailed analysis. For example, it is straightforward to define a Stardust-like, fly-through, plume ice-particle, dust, and gas collection mission. Concept engineering and evaluation indicate that the associated technical, programmatic, regulatory, and cost issues are quite unlike the Stardust precedent however, not least because of such a mission's Category-V, Restricted Earth Return, classification. The poster presents a strategic framework for systematic integration of the enabling issues: cultivation of science advocacy, resolution of diverse stakeholder concerns, development of verifiable and affordable technical solutions, validation of cost estimation methods, alignment with other candidate astrobiology missions, complementarity of international agency goals, and finally the identification of appropriate research and flight-mission opportunities. A strategic approach is essential if we are to know the astrobiological state of Enceladus in our lifetime, and two international teams are already dedicated to implementing key steps on this roadmap.

Parental Language and Return Visits to the Emergency Department After Discharge.

Science.gov (United States)

Samuels-Kalow, Margaret E; Stack, Anne M; Amico, Kendra; Porter, Stephen C

2017-06-01

Return visits to the emergency department (ED) are used as a marker of quality of care. Limited English proficiency, along with other demographic and disease-specific factors, has been associated with increased risk of return visit, but the relationship between language, short-term return visits, and overall ED use has not been well characterized. This is a planned secondary analysis of a prospective cohort examining the ED discharge process for English- or Spanish-speaking parents of children aged 2 months to 2 years with fever and/or respiratory illness. At 1 year after the index visit, a standardized chart review was performed. The primary outcome was the number of ED visits within 72 hours of the index visit. Multivariable logistic regression was used to examine the relative importance of predictor variables and adjust for confounders. There were 202 parents eligible for inclusion, of whom 23% were Spanish speaking. In addition, 6.9% of the sample had a return visit within 72 hours. After adjustment for confounders, Spanish language was associated with return visit within 72 hours (odds ratio, 3.49; 95% confidence interval, 1.02-11.90) but decreased risk of a second visit within the year (odds ratio, 0.28; 95% confidence interval, 0.12-0.66). Spanish-speaking parents are at an increased risk of 72-hour return ED visit but do not seem to be at increased risk of ED use during the year after their ED visit.

Net returns, fiscal risks, and the optimal patient mix for a profit-maximizing hospital.

Science.gov (United States)

Ozatalay, S; Broyles, R

1987-10-01

As is well recognized, the provisions of PL98-21 not only transfer financial risks from the Medicare program to the hospital but also induce institutions to adjust the diagnostic mix of Medicare beneficiaries so as to maximize net income or minimize the net loss. This paper employs variation in the set of net returns as the sole measure of financial risk and develops a model that identifies the mix of beneficiaries that maximizes net income, subject to a given level of risk. The results indicate that the provisions of PL98-21 induce the institution to deny admission to elderly patients presenting conditions for which the net return is relatively low and the variance in the cost per case is large. Further, the paper suggests that the treatment of beneficiaries at a level commensurate with previous periods or the preferences of physicians may jeopardize the viability and solvency of Medicare-dependent hospitals.

The Use of Returned Martian Samples to Evaluate the Possibility of Extant Life on Mars

Science.gov (United States)

iMOST Team; ten Kate, I. L.; Mackelprang, R.; Rettberg, P.; Smith, C. L.; Altieri, F.; Amelin, Y.; Ammannito, E.; Anand, M.; Beaty, D. W.; Benning, L. G.; Bishop, J. L.; Borg, L. E.; Boucher, D.; Brucato, J. R.; Busemann, H.; Campbell, K. A.; Carrier, B. L.; Czaja, A. D.; Debaille, V.; Des Marais, D. J.; Dixon, M.; Ehlmann, B. L.; Farmer, J. D.; Fernandez-Remolar, D. C.; Fogarty, J.; Glavin, D. P.; Goreva, Y. S.; Grady, M. M.; Hallis, L. J.; Harrington, A. D.; Hausrath, E. M.; Herd, C. D. K.; Horgan, B.; Humayun, M.; Kleine, T.; Kleinhenz, J.; Mangold, N.; Mayhew, L. E.; McCoy, J. T.; McCubbin, F. M.; McLennan, S. M.; McSween, H. Y.; Moser, D. E.; Moynier, F.; Mustard, J. F.; Niles, P. B.; Ori, G. G.; Raulin, F.; Rucker, M. A.; Schmitz, N.; Sefton-Nash, E.; Sephton, M. A.; Shaheen, R.; Shuster, D. L.; Siljestrom, S.; Spry, J. A.; Steele, A.; Swindle, T. D.; Tosca, N. J.; Usui, T.; Van Kranendonk, M. J.; Wadhwa, M.; Weiss, B. P.; Werner, S. C.; Westall, F.; Wheeler, R. M.; Zipfel, J.; Zorzano, M. P.

2018-04-01

The astrobiological community is highly interested in interrogating returned martian samples for evidence of extant life. A single observation with one method will not constitute evidence of extant life — it will require a suite of investigations.

Accounting for Risk of Non-Completion in Private and Social Rates of Return to Higher Education

Science.gov (United States)

Toutkoushian, Robert K.; Shafiq, M. Najeeb; Trivette, Michael J.

2013-01-01

Conventional studies of the private and social rates of return to a Bachelor's degree focus on the earnings difference between Bachelor degree holders and high school graduates, and find that there are large rates of return for degree recipients. The estimates in these studies, however, do not take into account the risk of not completing a degree.…

Rib stress fractures among rowers: a systematic review on return to sports, risk factors and prevention.

Science.gov (United States)

D'Ailly, Philip N; Sluiter, Judith K; Kuijer, Paul P

2016-06-01

Rib stress fractures (RSFs) are injuries frequently sustained by elite rowers with an injury rate of 8-16% over the course of a rowing career, resulting in negative effects on training and performance. For clinical management, the aim of this review was to describe time to return to sports, summarize potentially preventive measures and appraise the evidence on risk factors. A search strategy was performed in PubMed, SportDiscus, Web of Science and Embase till June 1st 2015. All studies were graded on their quality. The search resulted in 124 studies, of which 17 were included: Ten reported on return to sports, 17 reported on risk factors and nine on preventive measures. For return to sports, nine studies mentioned a loss of training of 4-6 weeks. The shortest period was one week and the longest 16 weeks. For risk factors, insufficient or conflicting evidence was found for changes in the training program, incorrect rowing technique, female gender, low bone mineral density, inadequate equipment, and training type. For prevention, gradual changes in the training program, alertness on the part of coaches and clinicians, and supplementation of diet and hormones are suggested as effective measures. However, no effect studies have been found. The main outcome of this review on RSFs is that little evidence is available on return to sports, risk factors and preventive measures. Coaches and clinicians should carefully guide and assist rowers suffering from RSFs in off training and in the subsequent training period to regain their pre-injury level.

Mars Sample Return: The Critical Need for Planning a Meaningful and Participatory Public Engagement Program

Science.gov (United States)

Klug Boonstra, S.

2018-04-01

The Mars Sample Return campaign offers the prospect of an historical leap forward in the understanding of the science of Mars, and an unprecedented opportunity to engage our citizenry in one of the enduring questions of humanity, "Are we alone?".

LIFE: Life Investigation For Enceladus A Sample Return Mission Concept in Search for Evidence of Life.

Science.gov (United States)

Tsou, Peter; Brownlee, Donald E; McKay, Christopher P; Anbar, Ariel D; Yano, Hajime; Altwegg, Kathrin; Beegle, Luther W; Dissly, Richard; Strange, Nathan J; Kanik, Isik

2012-08-01

Life Investigation For Enceladus (LIFE) presents a low-cost sample return mission to Enceladus, a body with high astrobiological potential. There is ample evidence that liquid water exists under ice coverage in the form of active geysers in the "tiger stripes" area of the southern Enceladus hemisphere. This active plume consists of gas and ice particles and enables the sampling of fresh materials from the interior that may originate from a liquid water source. The particles consist mostly of water ice and are 1-10 μ in diameter. The plume composition shows H(2)O, CO(2), CH(4), NH(3), Ar, and evidence that more complex organic species might be present. Since life on Earth exists whenever liquid water, organics, and energy coexist, understanding the chemical components of the emanating ice particles could indicate whether life is potentially present on Enceladus. The icy worlds of the outer planets are testing grounds for some of the theories for the origin of life on Earth. The LIFE mission concept is envisioned in two parts: first, to orbit Saturn (in order to achieve lower sampling speeds, approaching 2 km/s, and thus enable a softer sample collection impact than Stardust, and to make possible multiple flybys of Enceladus); second, to sample Enceladus' plume, the E ring of Saturn, and the Titan upper atmosphere. With new findings from these samples, NASA could provide detailed chemical and isotopic and, potentially, biological compositional context of the plume. Since the duration of the Enceladus plume is unpredictable, it is imperative that these samples are captured at the earliest flight opportunity. If LIFE is launched before 2019, it could take advantage of a Jupiter gravity assist, which would thus reduce mission lifetimes and launch vehicle costs. The LIFE concept offers science returns comparable to those of a Flagship mission but at the measurably lower sample return costs of a Discovery-class mission.

Advanced Curation Protocols for Mars Returned Sample Handling

Science.gov (United States)

Bell, M.; Mickelson, E.; Lindstrom, D.; Allton, J.

Introduction: Johnson Space Center has over 30 years experience handling precious samples which include Lunar rocks and Antarctic meteorites. However, we recognize that future curation of samples from such missions as Genesis, Stardust, and Mars S mple Return, will require a high degree of biosafety combined witha extremely low levels of inorganic, organic, and biological contamination. To satisfy these requirements, research in the JSC Advanced Curation Lab is currently focused toward two major areas: preliminary examination techniques and cleaning and verification techniques . Preliminary Examination Techniques : In order to minimize the number of paths for contamination we are exploring the synergy between human &robotic sample handling in a controlled environment to help determine the limits of clean curation. Within the Advanced Curation Laboratory is a prototype, next-generation glovebox, which contains a robotic micromanipulator. The remotely operated manipulator has six degrees-of- freedom and can be programmed to perform repetitive sample handling tasks. Protocols are being tested and developed to perform curation tasks such as rock splitting, weighing, imaging, and storing. Techniques for sample transfer enabling more detailed remote examination without compromising the integrity of sample science are also being developed . The glovebox is equipped with a rapid transfer port through which samples can be passed without exposure. The transfer is accomplished by using a unique seal and engagement system which allows passage between containers while maintaining a first seal to the outside environment and a second seal to prevent the outside of the container cover and port door from becoming contaminated by the material being transferred. Cleaning and Verification Techniques: As part of the contamination control effort, innovative cleaning techniques are being identified and evaluated in conjunction with sensitive cleanliness verification methods. Towards this

Volatility Modeling, Seasonality and Risk-Return Relationship in GARCH-in-Mean Framework: The Case of Indian Stock and Commodity Markets

OpenAIRE

Brajesh Kumar; Singh, Priyanka

2008-01-01

This paper is based on an empirical study of volatility, risk premium and seasonality in risk-return relation of the Indian stock and commodity markets. This investigation is conducted by means of the General Autoregressive Conditional Heteroscedasticity in the mean model (GARCH-in-Mean) introduced by Engle et al. (1987). A systematic approach to model volatility in returns is presented. Volatility clustering and asymmetric nature is examined for Indian stock and commodity markets. The risk-r...

In Situ Pre-Selection of Return Samples with Bio-Signatures by Combined Laser Mass Spectrometry and Optical Microscopy

Science.gov (United States)

Wiesendanger, R.; Wurz, P.; Tulej, M.; Wacey, D.; Neubeck, A.; Grimaudo, V.; Riedo, A.; Moreno, P.; Cedeño-López, A.; Ivarsson, M.

2018-04-01

The University of Bern developed instrument prototypes that allow analysis of samples on Mars prior to bringing them back to Earth, allowing to maximize the scientific outcome of the returned samples. We will present the systems and first results.

The Mars Sample Return Lab(s) - Lessons from the Past and Implications for the Future

Science.gov (United States)

Allen, Carlton

2012-01-01

It has been widely understood for many years that an essential component of a Mars Sample Return mission is a Sample Receiving Facility (SRF). The purpose of such a facility would be to take delivery of the flight hardware that lands on Earth, open the spacecraft and extract the sample container and samples, and conduct an agreed upon test protocol, while ensuring strict containment and contamination control of the samples while in the SRF. Any samples that are found to be non-hazardous (or are rendered non-hazardous by sterilization) would then be transferred to long-term curation. Although the general concept of an SRF is relatively straightforward, there has been considerable discussion about implementation planning.

Is there a risk-return trade-off in educational choices? Evidence from Spain

NARCIS (Netherlands)

Díaz-Serrano, L.; Hartog, J.

2006-01-01

We use data from Spain to test for an effect of earnings variance and skewness on individual wages. We carry out separate estimations for men and women. In accordance with the scant previous evidence mainly focused on the US, we report the existence of a risk-return trade-off across educational

On the rate of return and risk factors to international oil companies in Iran's buy-back service contracts

International Nuclear Information System (INIS)

Ghandi, Abbas; Lin Lawell, C.-Y. Cynthia

2017-01-01

We analyze the rate of return (ROR) and risk factors faced by Shell Exploration, an international oil company (IOC), in its Soroosh and Nowrooz buy-back service contract in Iran. In particular, based on our models of cash flow, we analyze the buy-back contract specific risk factors that can contribute to a reduction in the rate of return for the international oil company. Our cash flow models resemble the cash flow of buy-back service contracts before the Iranian government changed the way it determined the capital cost ceiling and pre-defined the oil price in these contracts in 2008–2009. Our actual and contractual cash flow models reveal that Shell Exploration's actual ROR was much lower than the contractual level. Furthermore, we find that among the risk factors that we considered, a capital cost overrun has the greatest negative effect on the IOC's ROR. Moreover, we show that there is a potential for modifying the contracts in order for the IOC to face an actual ROR closer to the contractual ROR even if the contract faces cost overrun or delay, without exceeding the maximum contractual ROR that the National Iranian Oil Company is willing to give. - Highlights: • Buy-back contract specific risk factors can reduce the rate of return. • Shell Exploration's actual ROR was much lower than the contractual level. • A capital cost overrun has the greatest negative effect on the rate of return. • Contracts can be modified to better share the risk.

DAMPAK PEMODERASIAN KOMPONEN ARUS KAS TERHADAP HUBUNGAN LABA AKUNTANSI DENGAN RETURN SAHAM

Directory of Open Access Journals (Sweden)

Hendy Hermawan

2012-02-01

Full Text Available Accurate information regarding listed companies is crucial to minimize investment risk. This research aims to examine the effect of accounting income on stock return, and the effect of cash flow from operation, cash flow from investment, and cash flow from financing activities respectively as moderating variables on the relationship between accounting income and stock return of manufacturer listed on the Jakarta Stock Exchange. There were 161 manufacturing companies listed during 2001 to 2005, and 39 of them are selected as sample research using purposive sampling method. With 5 year research period, there are 195 observations done. Data then are analyzed using multiple linear regressions. Results show that accounting income affect stock return significantly, which is shown by greater value of t count compare to t table. While cash flow from operation, investment, and financing activities are not able to moderate relationship between accounting income and stock return

Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Tactical and Strategic Asset Allocation

OpenAIRE

Roncalli, Thierry

2013-01-01

Risk parity is an allocation method used to build diversified portfolios that does not rely on any assumptions of expected returns, thus placing risk management at the heart of the strategy. This explains why risk parity became a popular investment model after the global financial crisis in 2008. However, risk parity has also been criticized because it focuses on managing risk concentration rather than portfolio performance, and is therefore seen as being closer to passive management than act...

Hayabusa2 Sample Catcher and Container: Metal-Seal System for Vacuum Encapsulation of Returned Samples with Volatiles and Organic Compounds Recovered from C-Type Asteroid Ryugu

Science.gov (United States)

Okazaki, Ryuji; Sawada, Hirotaka; Yamanouchi, Shinji; Tachibana, Shogo; Miura, Yayoi N.; Sakamoto, Kanako; Takano, Yoshinori; Abe, Masanao; Itoh, Shoichi; Yamada, Keita; Yabuta, Hikaru; Okamoto, Chisato; Yano, Hajime; Noguchi, Takaaki; Nakamura, Tomoki; Nagao, Keisuke

2017-07-01

The spacecraft Hayabusa2 was launched on December 3, 2014, to collect and return samples from a C-type asteroid, 162173 Ryugu (provisional designation, 1999 JU3). It is expected that the samples collected contain organic matter and water-bearing minerals and have key information to elucidate the origin and history of the Solar System and the evolution of bio-related organics prior to delivery to the early Earth. In order to obtain samples with volatile species without terrestrial contamination, based on lessons learned from the Hayabusa mission, the sample catcher and container of Hayabusa2 were refined from those used in Hayabusa. The improvements include (1) a mirror finish of the inner wall surface of the sample catcher and the container, (2) adoption of an aluminum metal sealing system, and (3) addition of a gas-sampling interface for gas collection and evacuation. The former two improvements were made to limit contamination of the samples by terrestrial atmosphere below 1 Pa after the container is sealed. The gas-sampling interface will be used to promptly collect volatile species released from the samples in the sample container after sealing of the container. These improvements maintain the value of the returned samples.

Psychoeducation to facilitate return to work in individuals on sick leave and at risk of having a mental disorder

DEFF Research Database (Denmark)

Pedersen, Pernille; Søgaard, Hans Jørgen; Yde, Bjarne Frostholm

2014-01-01

by psychiatric nurses, a psychologist, a social worker, a physiotherapist and a person who had previously been on sick leave due to mental health problems. The sessions focused on stress and work life, and the purpose was to provide individuals on sick leave the skills to understand and improve their mental......BACKGROUND: Sickness absence due to poor mental health is a common problem in many Western countries. To facilitate return to work, it may be important to identify individuals on sick leave and at risk of having a mental disorder and subsequently to offer appropriate treatment. Psychoeducation...... alone has not previously been used as a return to work intervention, but may be a promising tool to facilitate return to work. Therefore, the aim of the study is to evaluate the effectiveness of psychoeducation designed specifically to facilitate return to work for individuals on sick leave and at risk...

Robotic traverse and sample return strategies for a lunar farside mission to the Schrodinger basin

NARCIS (Netherlands)

Potts, N.J.; Gullikson, A.L.; Curran, N.M.; Dhaliwal, J.K.; Leader, M.K.; Rege, R.N.; Klaus, K.K.; Kring, D.A.

2015-01-01

Most of the highest priority objectives for lunar science and exploration (e.g.; NRC, 2007) require sample return. Studies of the best places to conduct that work have identified Schrödinger basin as a geologically rich area, able to address a significant number of these scientific concepts. In this

Touch And Go Camera System (TAGCAMS) for the OSIRIS-REx Asteroid Sample Return Mission

Science.gov (United States)

Bos, B. J.; Ravine, M. A.; Caplinger, M.; Schaffner, J. A.; Ladewig, J. V.; Olds, R. D.; Norman, C. D.; Huish, D.; Hughes, M.; Anderson, S. K.; Lorenz, D. A.; May, A.; Jackman, C. D.; Nelson, D.; Moreau, M.; Kubitschek, D.; Getzandanner, K.; Gordon, K. E.; Eberhardt, A.; Lauretta, D. S.

2018-02-01

NASA's OSIRIS-REx asteroid sample return mission spacecraft includes the Touch And Go Camera System (TAGCAMS) three camera-head instrument. The purpose of TAGCAMS is to provide imagery during the mission to facilitate navigation to the target asteroid, confirm acquisition of the asteroid sample, and document asteroid sample stowage. The cameras were designed and constructed by Malin Space Science Systems (MSSS) based on requirements developed by Lockheed Martin and NASA. All three of the cameras are mounted to the spacecraft nadir deck and provide images in the visible part of the spectrum, 400-700 nm. Two of the TAGCAMS cameras, NavCam 1 and NavCam 2, serve as fully redundant navigation cameras to support optical navigation and natural feature tracking. Their boresights are aligned in the nadir direction with small angular offsets for operational convenience. The third TAGCAMS camera, StowCam, provides imagery to assist with and confirm proper stowage of the asteroid sample. Its boresight is pointed at the OSIRIS-REx sample return capsule located on the spacecraft deck. All three cameras have at their heart a 2592 × 1944 pixel complementary metal oxide semiconductor (CMOS) detector array that provides up to 12-bit pixel depth. All cameras also share the same lens design and a camera field of view of roughly 44° × 32° with a pixel scale of 0.28 mrad/pixel. The StowCam lens is focused to image features on the spacecraft deck, while both NavCam lens focus positions are optimized for imaging at infinity. A brief description of the TAGCAMS instrument and how it is used to support critical OSIRIS-REx operations is provided.

Predictable return distributions

DEFF Research Database (Denmark)

Pedersen, Thomas Quistgaard

trace out the entire distribution. A univariate quantile regression model is used to examine stock and bond return distributions individually, while a multivariate model is used to capture their joint distribution. An empirical analysis on US data shows that certain parts of the return distributions......-of-sample analyses show that the relative accuracy of the state variables in predicting future returns varies across the distribution. A portfolio study shows that an investor with power utility can obtain economic gains by applying the empirical return distribution in portfolio decisions instead of imposing...

Systematic Risk Factors for Australian Stock Market Returns: a Cointegration Analysis

Directory of Open Access Journals (Sweden)

Mazharul H. Kazi

2008-12-01

Full Text Available This paper identifies the systematic risk factors for the Australian stock market by applyingthe cointegration technique of Johansen. In conformity with the finance literature andinvestors’ common intuition, relevant a priori variables are chosen to proxy for Australiansystematic risk factors. The results show that only a few systematic risk factors are dominantfor Australian stock market price movements in the long-run while short-run dynamics are inplace. It is observed that the linear combination of all a priori variables is cointegratedalthough not all variables are significantly influential. The findings show that bank interestrate, corporate profitability, dividend yield, industrial production and, to a lesser extent, globalmarket movements are significantly influencing the Australian stock market returns in thelong-run; while in the short-run it is being adjusted each quarter by its own performance,interest rate and global stock market movements of previous quarter.

Electric-utility returns and risk in the light of Three Mile Island

International Nuclear Information System (INIS)

Brooks, L.D.; D'Souza, R.E.

1982-01-01

The impact of the Three Mile Island nuclear-generating-unit failure on the performance of nuclear-dependent electric utilities is examined in this article. A comparative examination of the time series of abnormal returns and risk measures on nuclear-dependent utilities and nondependent utilities prior to the TMI incident, at the time of the incident, and subsequent to it was performed by the authors. The results are consistent with a hypothesis that investors associate a decline in future profitability or increased risk with nuclear-associated utilities. However, the more-objective measures indicate a clear reduction in risk for nuclear-associated utilities since the TMI incident, both in relation to the market as a whole and in relation to electric utilities which are not nuclear-associated. 4 references, 1 figure, 3 tables

The Risk-Return Tradeoff and Leverage Effect in a Stochastic Volatility-in-Mean Model

DEFF Research Database (Denmark)

Christensen, Bent Jesper; Posedel, Petra

We study the risk premium and leverage effect in the S&P500 market using the stochastic volatility-in-mean model of Barndor¤-Nielsen & Shephard (2001). The Merton (1973, 1980) equilibrium asset pricing condition linking the conditional mean and conditional variance of discrete time returns is rei...

What are retail investors' risk-return preferences towards renewable energy projects? A choice experiment in Germany

International Nuclear Information System (INIS)

Salm, Sarah; Hille, Stefanie Lena; Wüstenhagen, Rolf

2016-01-01

Citizens own nearly half the renewable energy generation capacity in Germany and have been important drivers of the country's energy transition. In contrast to citizens' important role in financing renewable energies, the energy policy and economics literature has traditionally focused on other investors, such as incumbent energy firms. To close this gap, this paper reports on a large-scale survey of 1,990 German retail investors. Conducting a choice experiment with the subset of 1,041 respondents who expressed an interest in investing in community renewable energy projects, we present a unique dataset allowing for new insights in risk-return expectations of retail investors. We find that apart from return on investment, respondents are particularly sensitive to the minimum holding period and the issuer of community renewable energy investment offerings. A minimum holding period of 10 years implies a risk premium of 2.76% points. A subsequent segmentation analysis shows that two groups of potential community renewable energy investors with different risk-return expectations can be identified: “local patriots” and “yield investors”. In contrast to professional investors, a majority of retail investors use simple decision rules such as calculating payback time or relying on their gut feeling when making investments. - Highlights: • Out of 1,990 retail investors surveyed, 1,041 express interest to invest in renewables. • Two target segments are identified, “local patriots” and “yield investors”. • “Local patriots” are willing to forgo return on investment in local projects. • Solar photovoltaic is most popular technology, followed by wind and small hydro. • Majority of investors use simple payback calculation or decide intuitively.

Value Premium and Country Risk as Dimensions to Estimate Conditional Returns: a Study of the Brazilian Market

Directory of Open Access Journals (Sweden)

Lilian de Castro Medeiros

2015-01-01

Full Text Available Asset pricing is a widely explored theme in the financial literature. Nevertheless, the phenomenon of value premium is still controversial, since although easily detected in developed and emerging markets, little is know about the economic forces that explain its existence. In this context, this article examines value premium in the Brazilian market and investigates the influence of the country risk variable as an additional risk factor for estimating conditional returns in this market not captured by value premium. For that, we employ a five-factor model, formulated by adding the country risk factor to the model of Carhart (1997. We apply the statistical procedure adopted by Fama & French (1993 to the period between 1994 and 2012, with data on nonfinancial companies listed on the BM&FBovespa. The results confirm the existence of value premium in the Brazilian market, and country risk and value premium together are significant factors to explain conditional returns.

US Implied Volatility as A predictor of International Returns

Directory of Open Access Journals (Sweden)

Mehmet F. Dicle

2017-12-01

Full Text Available This study provides evidence of the US implied volatility’s e ect on international equitymarkets’ returns. This evidence has two main implications: i investors may find that foreign equityreturns adjusting to US implied volatility may not provide true diversification benefits, and ii foreignequity returns may be predicted using US implied volatility. Our sample includes US volatility index(VIX and major equity indexes in twenty countries for the period between January, 2000 throughJuly, 2017. VIX leads eighteen of the international markets and Granger causes seventeen of themarkets after controlling for the S&P-500 index returns and the 2007/2008 US financial crisis. USinvestors looking to diversify US risk may find that international equities may not provide intendeddiversification benefits. Our evidence provides support for predictability of international equity returnsbased on US volatility.

Reduction of Martian Sample Return Mission Launch Mass with Solar Sail Propulsion

Science.gov (United States)

Russell, Tiffany E.; Heaton, Andrew; Thomas, Scott; Thomas, Dan; Young, Roy; Baysinger, Mike; Capizzo, Pete; Fabisinski, Leo; Hornsby, Linda; Maples, Dauphne;

DAMPAK PEMODERASIAN KOMPONEN ARUS KAS TERHADAP HUBUNGAN LABA AKUNTANSI DENGAN RETURN SAHAM

Directory of Open Access Journals (Sweden)

PUTU ARI DHARMA LAKSMI

2009-07-01

Full Text Available Accurate information regarding listed companies is crucial tominimize investment risk. This research aims to examine the effect ofaccounting income on stock return, and the effect of cash flow fromoperation, cash flow from investment, and cash flow from financingactivities respectively as moderating variables on the relationshipbetween accounting income and stock return of manufacturer listedon the Jakarta Stock Exchange.There were 161 manufacturing companies listed during 2001to 2005, and 39 of them are selected as sample research usingpurposive sampling method. With 5 year research period, there are195 observations done. Data then are analyzed using multiple linearregressions.Results show that accounting income affect stock returnsignificantly, which is shown by greater value of t count compare to ttable. While cash flow from operation, investment, and financingactivities are not able to moderate relationship between accountingincome and stock return.

Sample Return Robot

Data.gov (United States)

National Aeronautics and Space Administration — This Challenge requires demonstration of an autonomous robotic system to locate and collect a set of specific sample types from a large planetary analog area and...

Mars Sample Return: The Next Step Required to Revolutionize Knowledge of Martian Geological and Climatological History

Science.gov (United States)

Mittlefehldt, D. W.

2012-01-01

The capability of scientific instrumentation flown on planetary orbiters and landers has made great advances since the signature Viking mission of the seventies. At some point, however, the science return from orbital remote sensing, and even in situ measurements, becomes incremental, rather than revolutionary. This is primarily caused by the low spatial resolution of such measurements, even for landed instrumentation, the incomplete mineralogical record derived from such measurements, the inability to do the detailed textural, mineralogical and compositional characterization needed to demonstrate equilibrium or reaction paths, and the lack of chronological characterization. For the foreseeable future, flight instruments will suffer from this limitation. In order to make the next revolutionary breakthrough in understanding the early geological and climatological history of Mars, samples must be available for interrogation using the full panoply of laboratory-housed analytical instrumentation. Laboratory studies of samples allow for determination of parageneses of rocks through microscopic identification of mineral assemblages, evaluation of equilibrium through electron microbeam analyses of mineral compositions and structures, determination of formation temperatures through secondary ion or thermal ionization mass spectrometry (SIMS or TIMS) analyses of stable isotope compositions. Such details are poorly constrained by orbital data (e.g. phyllosilicate formation at Mawrth Vallis), and incompletely described by in situ measurements (e.g. genesis of Burns formation sediments at Meridiani Planum). Laboratory studies can determine formation, metamorphism and/or alteration ages of samples through SIMS or TIMS of radiogenic isotope systems; a capability well-beyond flight instrumentation. Ideally, sample return should be from a location first scouted by landers such that fairly mature hypotheses have been formulated that can be tested. However, samples from clastic

Money growth and aggregate stock returns

OpenAIRE

Böing, Tobias; Stadtmann, Georg

2016-01-01

We empirically evaluate the predictive power of money growth measured by M2 for stock returns of the S&P 500 index. We use monthly US data and predict multiperiod returns over 1, 3, and 5 years with long-horizon regressions. In-sample regressions show that money growth is useful for predicting returns. Higher recent money growth has a significantly negative effect on subsequent returns of the S&P 500. An out-of-sample analysis shows that a simple model with money growth as a single predictor ...

Habit Formation, Surplus Consumption and Return Predictability: International Evidence

DEFF Research Database (Denmark)

Engsted, Tom; Hyde, Stuart; Møller, Stig V.

On an international post World War II dataset, we use an iterated GMM pro- cedure to estimate and test the Campbell-Cochrane (1999) habit formation model. In addition, we analyze the predictive power of the surplus consumption ratio for future asset returns. We find that, although...... there are important cross-country differences, for the majority of countries in our sample the model gets empirical support in a variety of diffrent dimensions, including reasonable estimates of risk- free rates, and the model dominates the time-separable power utility model in terms of pricing errors. Further...... ratio is also a powerful predictor of future bond returns....

Mars Sample Return as a Feed-Forward into Planetary Protection for Crewed Missions to the Martian Surface

Science.gov (United States)

Spry, J. A.; Siegel, B.

2018-04-01

PP implementation is a required part of crewed exploration of Mars. Determining how PP is achieved is contingent on improved knowledge of Mars, best obtained in part by analysis of martian material of known provenance, as part of a Mars Sample Return mission.

Mars Rover Sample Return aerocapture configuration design and packaging constraints

Science.gov (United States)

Lawson, Shelby J.

1989-01-01

This paper discusses the aerodynamics requirements, volume and mass constraints that lead to a biconic aeroshell vehicle design that protects the Mars Rover Sample Return (MRSR) mission elements from launch to Mars landing. The aerodynamic requirements for Mars aerocapture and entry and packaging constraints for the MRSR elements result in a symmetric biconic aeroshell that develops a L/D of 1.0 at 27.0 deg angle of attack. A significant problem in the study is obtaining a cg that provides adequate aerodynamic stability and performance within the mission imposed constraints. Packaging methods that relieve the cg problems include forward placement of aeroshell propellant tanks and incorporating aeroshell structure as lander structure. The MRSR missions developed during the pre-phase A study are discussed with dimensional and mass data included. Further study is needed for some missions to minimize MRSR element volume so that launch mass constraints can be met.

Sealed Planetary Return Canister (SPRC), Phase II

Data.gov (United States)

National Aeronautics and Space Administration — Sample return missions have primary importance in future planetary missions. A basic requirement is that samples be returned in pristine, uncontaminated condition,...

Forecasting volatility in gold returns under the GARCH, IGARCH and FIGARCH frameworks: New evidence

Science.gov (United States)

Bentes, Sonia R.

2015-11-01

This study employs three volatility models of the GARCH family to examine the volatility behavior of gold returns. Much of the literature on this topic suggests that gold plays a fundamental role as a hedge and safe haven against adverse market conditions, which is particularly relevant in periods of high volatility. This makes understanding gold volatility important for a number of theoretical and empirical applications, namely investment valuation, portfolio selection, risk management, monetary policy-making, futures and option pricing, hedging strategies and value-at-risk (VaR) policies (e.g. Baur and Lucey (2010)). We use daily data from August 2, 1976 to February 6, 2015 and divide the full sample into two periods: the in-sample period (August 2, 1976-October 24, 2008) is used to estimate model coefficients, while the out-of-sample period (October 27, 2008-February 6, 2015) is for forecasting purposes. Specifically, we employ the GARCH(1,1), IGARCH(1,1) and FIGARCH(1, d,1) specifications. The results show that the FIGARCH(1, d,1) is the best model to capture linear dependence in the conditional variance of the gold returns as given by the information criteria. It is also found to be the best model to forecast the volatility of gold returns.

Expected commodity returns and pricing models

International Nuclear Information System (INIS)

Cortazar, Gonzalo; Kovacevic, Ivo; Schwartz, Eduardo S.

2015-01-01

Stochastic models of commodity prices have evolved considerably in terms of their structure and the number and interpretation of the state variables that model the underlying risk. Using multiple factors, different specifications and modern estimation techniques, these models have gained wide acceptance because of their success in accurately fitting the observed commodity futures' term structures and their dynamics. It is not well emphasized however that these models, in addition to providing the risk neutral distribution of future spot prices, also provide their true distribution. While the parameters of the risk neutral distribution are estimated more precisely and are usually statistically significant, some of the parameters of the true distribution are typically measured with large errors and are statistically insignificant. In this paper we argue that to increase the reliability of commodity pricing models, and therefore their use by practitioners, some of their parameters — in particular the risk premium parameters — should be obtained from other sources and we show that this can be done without losing any precision in the pricing of futures contracts. We show how the risk premium parameters can be obtained from estimations of expected futures returns and provide alternative procedures for estimating these expected futures returns. - Highlights: • Simple methodology to improve the performance of commodity pricing models • New information about commodity futures expected return is added to the estimation. • No significant effect in pricing futures contracts is observed. • More reliable commodity pricing model's expected returns are obtained. • Methodology is open to any expected futures return model preferred by practitioner

Elemental Composition of Mars Return Samples Using X-Ray Fluorescence Imaging at the National Synchrotron Light Source II

Science.gov (United States)

Thieme, J.; Hurowitz, J. A.; Schoonen, M. A.; Fogelqvist, E.; Gregerson, J.; Farley, K. A.; Sherman, S.; Hill, J.

2018-04-01

NSLS-II at BNL provides a unique and critical capability to perform assessments of the elemental composition and the chemical state of Mars returned samples using synchrotron radiation X-ray fluorescence imaging and X-ray absorption spectroscopy.

Scalability of a Methodology for Generating Technical Trading Rules with GAPs Based on Risk-Return Adjustment and Incremental Training

Science.gov (United States)

de La Cal, E. A.; Fernández, E. M.; Quiroga, R.; Villar, J. R.; Sedano, J.

In previous works a methodology was defined, based on the design of a genetic algorithm GAP and an incremental training technique adapted to the learning of series of stock market values. The GAP technique consists in a fusion of GP and GA. The GAP algorithm implements the automatic search for crisp trading rules taking as objectives of the training both the optimization of the return obtained and the minimization of the assumed risk. Applying the proposed methodology, rules have been obtained for a period of eight years of the S&P500 index. The achieved adjustment of the relation return-risk has generated rules with returns very superior in the testing period to those obtained applying habitual methodologies and even clearly superior to Buy&Hold. This work probes that the proposed methodology is valid for different assets in a different market than previous work.

Agroforestry versus farm mosaic systems - Comparing land-use efficiency, economic returns and risks under climate change effects.

Science.gov (United States)

Paul, Carola; Weber, Michael; Knoke, Thomas

2017-06-01

Increasing land-use conflicts call for the development of land-use systems that reconcile agricultural production with the provisioning of multiple ecosystem services, including climate change mitigation. Agroforestry has been suggested as a global solution to increase land-use efficiency, while reducing environmental impacts and economic risks for farmers. Past research has often focused on comparing tree-crop combinations with agricultural monocultures, but agroforestry has seldom been systematically compared to other forms of land-use diversification, including a farm mosaic. This form of diversification mixes separate parcels of different land uses within the farm. The objective of this study was to develop a modelling approach to compare the performance of the agroforestry and farm mosaic diversification strategies, accounting for tree-crop interaction effects and economic and climate uncertainty. For this purpose, Modern Portfolio Theory and risk simulation were coupled with the process-based biophysical simulation model WaNuLCAS 4.0. For an example application, we used data from a field trial in Panama. The results show that the simulated agroforestry systems (Taungya, alley cropping and border planting) could outperform a farm mosaic approach in terms of cumulative production and return. Considering market and climate uncertainty, agroforestry showed an up to 21% higher economic return at the same risk level (i.e. standard deviation of economic returns). Farm compositions with large shares of land allocated to maize cultivation were also more severely affected by an increasing drought frequency in terms of both risks and returns. Our study demonstrates that agroforestry can be an economically efficient diversification strategy, but only if the design allows for economies of scope, beneficial interactions between trees and crops and higher income diversification compared to a farm mosaic. The modelling approach can make an important contribution to support

No more broken hearts: weight loss after bariatric surgery returns patients' postoperative risk to baseline following coronary surgery.

Science.gov (United States)

Baimas-George, Maria; Hennings, Dietric L; Al-Qurayshi, Zaid; Emad Kandil; DuCoin, Christopher

2017-06-01

The obesity epidemic is associated with a rise in coronary surgeries because obesity is a risk factor for coronary artery disease. Bariatric surgery is linked to improvement in cardiovascular co-morbidities and left ventricular function. No studies have investigated survival advantage in postoperative bariatric patients after coronary surgery. To determine if there is a benefit after coronary surgery in patients who have previously undergone bariatric surgery. National Inpatient Sample. We performed a retrospective, cross-sectional analysis of the National Inpatient Sample database from 2003 to 2010. We selected bariatric surgical patients who later underwent coronary surgery (n = 257). A comparison of postoperative complications and mortality after coronary surgery were compared with controls (n = 1442) using χ 2 tests, linear regression analysis, and multivariate logistical regression models. A subset population was identified as having undergone coronary surgery (n = 1699); of this population, 257 patients had previously undergone bariatric surgery. They were compared with 1442 controls. The majority was male (67.2%), white (82.6%), and treated in an urban environment (96.8%). Patients with bariatric surgery assumed the risk of postoperative complications after coronary surgery that was associated with their new body mass index (BMI) (BMI999.9, 95% CI .18 to>999.9, P = .07). Length of stay was significantly longer in postbariatric patients (BMIbariatric patients have a return to baseline risk of morbidity and mortality after coronary surgery. Copyright © 2017 American Society for Bariatric Surgery. Published by Elsevier Inc. All rights reserved.

KINERJA KEUANGAN KONVENSIONAL, ECONOMIC VALUE ADDED, DAN RETURN SAHAM

Directory of Open Access Journals (Sweden)

Bambang Sudiyatno

2011-09-01

Full Text Available Penelitian ini bertujuan untuk menguji pengaruh kinerja keuangan konvensional; Return on Asset (ROA, Return on Equity (ROE, Residual Income (RI, dan kinerja keuangan yang lebih modern; Economic Value Added (EVA terhadap return saham pada perusahaan-perusahaan dalam industry makanan dan minuman yang terdaftar di Bursa Efek Indonesia. Pengambilan sampel dalam penelitian ini menggunakan metode sensus, karena semua perusahaan dalam industry makanan dan minuman digunakan sebagai sampel. Namun dalam proses samplingnya mengunakan metode purposive sampling, yaitu menggunakan sampel dengan criteria-kriteria tertentu. Hasil penelitian menunjukkan bahwa Return on Asset (ROA dan Residual Income (RI berpengaruh positif dan secara statistik signifikan terhadap return saham pada level signifikansi 1%. Sedangkan Return on Equity (ROE berpengaruh negative dan secara statistik signifikan terhadap return saham pada level signifikansi 10%, dan Economic Value Added (ERA berpengaruh positif tetapi tidak signifikan terhadap return saham.This study aims to test the effect of conventional financial performance i.e. Return on Asset (ROA, Return on Equity (ROE, Residual Income (RI, and the more modern financial performance which is Economic Value Added (EVA toward stock returns on companies in the food and beverage industry listed in Indonesia Stock Exchange. Sampling technique in this study uses the census method, all companies in the food and beverage industry are used as a sample. The process of sampling using purposive sampling method. The result shows that Return On Asset (ROA and Residual Income (RI are positive and statistic significant impact on the stock returns at significance level 1%. While the Return on Equity (ROE is negative and statistic significant impact on the stock returns at significance level 10%, Economic Value Added (EVA is positive and statistic not significant impact on the stock returns.

Computing return times or return periods with rare event algorithms

Science.gov (United States)

Lestang, Thibault; Ragone, Francesco; Bréhier, Charles-Edouard; Herbert, Corentin; Bouchet, Freddy

2018-04-01

The average time between two occurrences of the same event, referred to as its return time (or return period), is a useful statistical concept for practical applications. For instance insurances or public agencies may be interested by the return time of a 10 m flood of the Seine river in Paris. However, due to their scarcity, reliably estimating return times for rare events is very difficult using either observational data or direct numerical simulations. For rare events, an estimator for return times can be built from the extrema of the observable on trajectory blocks. Here, we show that this estimator can be improved to remain accurate for return times of the order of the block size. More importantly, we show that this approach can be generalised to estimate return times from numerical algorithms specifically designed to sample rare events. So far those algorithms often compute probabilities, rather than return times. The approach we propose provides a computationally extremely efficient way to estimate numerically the return times of rare events for a dynamical system, gaining several orders of magnitude of computational costs. We illustrate the method on two kinds of observables, instantaneous and time-averaged, using two different rare event algorithms, for a simple stochastic process, the Ornstein–Uhlenbeck process. As an example of realistic applications to complex systems, we finally discuss extreme values of the drag on an object in a turbulent flow.

Estimating investor preferences towards portfolio return distribution in investment funds

Directory of Open Access Journals (Sweden)

Margareta Gardijan

2015-03-01

Full Text Available Recent research in the field of investor preference has emphasised the need to go beyond just simply analyzing the first two moments of a portfolio return distribution used in a MV (mean-variance paradigm. The suggestion is to observe an investor's utility function as an nth order Taylor approximation. In such terms, the assumption is that investors prefer greater values of odd and smaller values of even moments. In order to investigate the preferences of Croatian investment funds, an analysis of the moments of their return distribution is conducted. The sample contains data on monthly returns of 30 investment funds in Croatia for the period from January 1999 to May 2014. Using the theoretical utility functions (DARA, CARA, CRRA, we compare changes in their preferences when higher moments are included. Moreover, we investigate an extension of the CAPM model in order to find out whether including higher moments can explain better the relationship between the awards and risk premium, and whether we can apply these findings to estimate preferences of Croatian institutional investors. The results indicate that Croatian institutional investors do not seek compensation for bearing greater market risk.

Pengaruh Komite Audit, Kualitas Audit, Kepemilikan Institusional, Risiko Perusahaan dan Return On Assets Terhadap Tax Avoidance

Directory of Open Access Journals (Sweden)

Fitri Damayanti

2016-01-01

Full Text Available This research aims to analyze and get empirical evidence about the effect of audit committee, audit quality, ownership institutional, corporate risk and return on assets on the tax avoidance. Sample of this research were property and real estate industries which are listed in Indonesian Stock Exchanges during 2010-2013 period. The number of property and real estate industries that were became in this study were 22 companies with 4 years observation that acquired by purposive sampling method. Hypothesis in this research were tested by multiple regression model.The result of this research showed that corporate risk and return on assets influence the tax avoidance. In the other hand, the audit quality, audit committee and ownership institutional didn’t influence the tax avoidance.DOI: 10.15408/ess.v5i2.2341

Formation of the portfolio of high-rise construction projects on the basis of optimization of «risk-return» rate

Science.gov (United States)

Uvarova, Svetlana; Kutsygina, Olga; Smorodina, Elena; Gumba, Khuta

2018-03-01

The effectiveness and sustainability of an enterprise are based on the effectiveness and sustainability of its portfolio of projects. When creating a production program for a construction company based on a portfolio of projects and related to the planning and implementation of initiated organizational and economic changes, the problem of finding the optimal "risk-return" ratio of the program (portfolio of projects) is solved. The article proposes and approves the methodology of forming a portfolio of enterprise projects on the basis of the correspondence principle. Optimization of the portfolio of projects on the criterion of "risk-return" also contributes to the company's sustainability.

Institutional Venture Capital for the Space Industry: Providing Risk Capital for Space Companies that Provide Investor Returns

Science.gov (United States)

Moore, Roscoe M., III

2002-01-01

provided by an institution. Those institutions tend to be Banks, Pension Funds, Insurance Funds, Corporations, and other incorporated entities that are obligated to earn a return on their invested capital. These institutions invest in a venture capital firm for the sole purpose of getting their money back with a healthy profit - within a set period of time. The venture capital firm is responsible for investing in and managing companies whose risk and return are higher than other less risky classes of investment. The venture capital firm's primary skill is its ability to manage the high risk of its venture investments while maintaining the high return potential of its venture investments. to businesses for the purpose of providing the above-mentioned Institutions a substantial return on their invested capital. Institutional Venture Capital for the Space Industry cannot be provided to projects or companies whose philosophy or intention is not to increase shareholder equity value within a set time period. efficiently when tied up in companies that intend to spend billions of dollars before the first dollar of revenue is generated. If 2 billion dollars of venture capital is invested in the equity of a Space Company for a minority equity position, then that Space Company must build that minority shareholder's equity value to a minimum investment return of 4 to 8 billion dollars. There are not many start-up companies that are able to reach public market equity valuations in the tens of billions of dollars within reasonable time horizons. Foundations, Manufacturers, and Strategic Investors can invest in projects that cannot realistically provide a substantial return on their equity to their investors within a reasonable period (5-7 years) of time. Venture Capitalists have to make money. Venture capitalists have made money on Satellite Television, Satellite Radio, Fixed Satellite Services, and other businesses. Venture capitalists have not made money on stand

Screening for violence risk factors identifies young adults at risk for return emergency department visit for injury.

Science.gov (United States)

Hankin, Abigail; Wei, Stanley; Foreman, Juron; Houry, Debra

2014-08-01

Homicide is the second leading cause of death among youth aged 15-24. Prior cross-sectional studies, in non-healthcare settings, have reported exposure to community violence, peer behavior, and delinquency as risk factors for violent injury. However, longitudinal cohort studies have not been performed to evaluate the temporal or predictive relationship between these risk factors and emergency department (ED) visits for injuries among at-risk youth. The objective was to assess whether self-reported exposure to violence risk factors in young adults can be used to predict future ED visits for injuries over a 1-year period. This prospective cohort study was performed in the ED of a Southeastern US Level I trauma center. Eligible participants were patients aged 18-24, presenting for any chief complaint. We excluded patients if they were critically ill, incarcerated, or could not read English. Initial recruitment occurred over a 6-month period, by a research assistant in the ED for 3-5 days per week, with shifts scheduled such that they included weekends and weekdays, over the hours from 8AM-8PM. At the time of initial contact in the ED, patients were asked to complete a written questionnaire, consisting of previously validated instruments measuring the following risk factors: a) aggression, b) perceived likelihood of violence, c) recent violent behavior, d) peer behavior, e) community exposure to violence, and f) positive future outlook. At 12 months following the initial ED visit, the participants' medical records were reviewed to identify any subsequent ED visits for injury-related complaints. We analyzed data with chi-square and logistic regression analyses. Three hundred thirty-two patients were approached, of whom 300 patients consented. Participants' average age was 21.1 years, with 60.1% female, 86.0% African American. After controlling for participant gender, ethnicity, or injury complaint at time of first visit, return visits for injuries were significantly

Clay catalyzed RNA synthesis under Martian conditions: Application for Mars return samples.

Science.gov (United States)

Joshi, Prakash C; Dubey, Krishna; Aldersley, Michael F; Sausville, Meaghen

2015-06-26

Catalysis by montmorillonites clay minerals is regarded as a feasible mechanism for the abiotic production and polymerization of key biomolecules on early Earth. We have investigated a montmorillonite-catalyzed reaction of the 5'-phosphorimidazolide of nucleosides as a model to probe prebiotic synthesis of RNA-type oligomers. Here we show that this model is specific for the generation of RNA oligomers despite deoxy-mononucleotides adsorbing equally well onto the montmorillonite catalytic surfaces. Optimum catalytic activity was observed over a range of pH (6-9) and salinity (1 ± 0.2 M NaCl). When the weathering steps of early Earth that generated catalytic montmorillonite were modified to meet Martian soil conditions, the catalytic activity remained intact without altering the surface layer charge. Additionally, the formation of oligomers up to tetramer was detected using as little as 0.1 mg of Na⁺-montmorillonite, suggesting that the catalytic activity of a Martian clay return sample can be investigated with sub-milligram scale samples. Copyright © 2015 Elsevier Inc. All rights reserved.

The Prevalence of Norovirus in returning international travelers with diarrhea

Directory of Open Access Journals (Sweden)

Löscher Thomas

2010-05-01

Full Text Available Abstract Background There is a high incidence of diarrhea in traveling populations. Norovirus (NV infection is a common cause of diarrhea and is associated with 7% of all diarrhea related deaths in the US. However, data on the overall prevalence of NV infection in traveling populations is limited. Furthermore, the prevalence of NV amongst travelers returning to Europe has not been reported. This study determined the prevalence of NV among international travelers returning to Germany from over 50 destinations in and outside Europe. Methods Stool samples of a total of 104 patients with a recent ( Results In our cohort, NV infection was detected in 15.7% of returning travelers with diarrhea. The closer to the date of return symptoms appeared, the higher the incidence of NV, ranging as high as 21.2% within the first four days after return. Conclusions In our cohort, NV infection was shown to be frequent among returning travelers especially in those with diarrhea, with over 1/5 of diarrhea patients tested positive for NV within the first four days after their return to Germany. Due to this prevalence, routine testing for NV infection and hygienic precautions may be warranted in this group. This is especially applicable to patients at an increased risk of spreading the disease, such as healthcare workers, teachers or food-handlers.

Methodology Development for Assessment of Spaceport Technology Returns and Risks

Science.gov (United States)

Joglekar, Prafulla; Zapata, Edgar

2001-01-01

As part of Kennedy Space Center's (KSC's) challenge to open the space frontier, new spaceport technologies must be developed, matured and successfully transitioned to operational systems. R&D investment decisions can be considered from multiple perspectives. Near mid and far term technology horizons must be understood. Because a multitude of technology investment opportunities are available, we must identify choices that promise the greatest likelihood of significant lifecycle At the same time, the costs and risks of any choice must be well understood and balanced against its potential returns The problem is not one of simply rank- ordering projects in terms of their desirability. KSC wants to determine a portfolio of projects that simultaneously satisfies multiple goals, such as getting the biggest bang for the buck, supporting projects that may be too risky for private funding, staying within annual budget cycles without foregoing the requirements of a long term technology vision, and ensuring the development of a diversity of technologies that, support the variety of operational functions involved in space transportation. This work aims to assist in the development of in methods and techniques that support strategic technology investment decisions and ease the process of determining an optimal portfolio of spaceport R&D investments. Available literature on risks and returns to R&D is reviewed and most useful pieces are brought to the attention of the Spaceport Technology Development Office (STDO). KSC's current project management procedures are reviewed. It is found that the "one size fits all" nature of KSC's existing procedures and project selection criteria is not conducive to prudent decision-making. Directions for improving KSC's - procedures and criteria are outlined. With help of a contractor, STDO is currently developing a tool, named Change Management Analysis Tool (CMAT)/ Portfolio Analysis Tool (PAT), to assist KSC's R&D portfolio determination. A

Plans for Selection and In-Situ Investigation of Return Samples by the Supercam Instrument Onboard the Mars 2020 Rover

Science.gov (United States)

Wiens, R. C.; Maurice, S.; Mangold, N.; Anderson, R.; Beyssac, O.; Bonal, L.; Clegg, S.; Cousin, A.; DeFlores, L.; Dromart, G.; Fisher, W.; Forni, O.; Fouchet, T.; Gasnault, O.; Grotzinger, J.; Johnson, J.; Martinez-Frias, J.; McLennan, S.; Meslin, P.-Y.; Montmessin, F.; Poulet, F.; Rull, F.; Sharma, S.

2018-04-01

The SuperCam instrument onboard Rover 2020 still provides a complementary set of analyses with IR reflectance and Raman spectroscopy for mineralogy, LIBS for chemistry, and a color imager in order to investigate in-situ samples to return.

Processes to Open the Container and the Sample Catcher of the Hayabusa Returned Capsule in the Planetary Material Sample Curation Facility of JAXA

Science.gov (United States)

Fujimura, A.; Abe, M.; Yada, T.; Nakamura, T.; Noguchi, T.; Okazaki, R.; Ishibashi, Y.; Shirai, K.; Okada, T.; Yano, H.;

Investigating different factors influencing on return of private banks

Directory of Open Access Journals (Sweden)

Pegah Motamedi

2013-09-01

Full Text Available Return of Investment has always been an interesting area of research among academics as well as investors. Although capital asset pricing model (CAPM is capable of estimating risk of investment, many people argue that CAPM is not able to predict long-term return, properly. This paper presents an empirical investigation to find the effects of different financial figures including systematic risk (Beta, size of firm, ratio of book value to market share, volume of trade and the ratio of price/earnings (P/E on return of private banks in Iran. The study gathers the necessary information over the period 2005-2011 from private banks in Iran. The study uses multiple regression technique to find the effects of mentioned variables on return of private banks. The results indicate that there are some meaningful and positive relationship between return of banks and systematic risk (Beta, size, volume of trade and P/E. The study also finds some meaningful and reverse relationship between bank return and book value on market value.

Chasing the deal with the money: Measuring the required risk premium and expected abnormal returns of private equity funds to maximize their internal rate of return

Directory of Open Access Journals (Sweden)

Fernando Scarpati

2013-09-01

Full Text Available A number of scholars of private equity (“PE” have attempted to assess the ex-post returns, or performance, of PEs by adopting an ex-post perspective of asset pricing. In doing so a set of phenomena has been recognized that is thought to be specific to the PE sector, such as “money-chasing deal phenomenon” (Gompers and Lerner, 2000 and “performance persistence” (Lerner and Schoar, 2005. However, based on their continuing use of an ex-post perspective, few scholars have paid attention to the possible extent to which these and other PE phenomena may affect expected returns from PE investments. To address this problem this article draws on an ex-ante perspective of investment decision-making in suggesting how a number of drivers and factors of PE phenomena may produce “abnormal returns”, and that each of those drivers and factors should therefore be considered in accurately assessing the required risk premium and expected abnormal returns of PE investments. In making these contributions we examined a private equity investment of a regional PE in Italy and administered a telephone questionnaire to 40 PEs in Italy and the UK and found principally that while size is the most important driver in producing abnormal returns illiquidity alone cannot explain the expected returns of PE investments (cf. Franzoni et al., 2012. Based on our findings we developed a predictive model of PE decision-making that draws on an ex-ante perspective of asset pricing and takes into account PE phenomena and abnormal returns. This model extends the work of Franzoni et al. (2012, Jegadeesh et al. (2009, and Korteweg and Sorensen (2010 who did not consider the possible influence of PE phenomena in decision-making and will also help PE managers in making better-informed decisions.

The analysis of return on speculative trading with futures contracts of agriculture commodities in the context of the currency risk

Directory of Open Access Journals (Sweden)

Oldřich Šoba

2007-01-01

Full Text Available The paper is focused on analysis of return on speculative operations with futures contracts from the view of participators not undertaking and undertaking the currency risk. The currency risk is determined by unexpected change of relevant exchange rate (currency denomination of futures contracts / domestic currency of participator. The paper analyses the basic factors influencing the profitability of these operations such as relative change of futures contract value, leverage incidence and relative change of relevant exchange rate. The paper is focused on futures contracts of the world most important agricultural commodities. The conclusion of the paper for participators not undertaking the currency risk is following: The relative change of futures contract is main factor for the calculation of return on speculative operation. This change is multiplied by leverage incidence finally. The conclusion of the paper for participators undertaking the currency risk is following: The relative change of relevant exchange rate is not usually relevant for the calculation of return on speculative operation. Main factor is the relative change of futures contract because this change is multiplied by leverage incidence finally but the relative change of relevant exchange rate isn’t.Neverthless the conclusions of this paper are not valid only for futures contracts of agricultural commodities but generally also for other commodity futures contracts and futures contracts where underlying assets are not commodities but for example financial assets.

Portfolios with fuzzy returns: Selection strategies based on semi-infinite programming

Science.gov (United States)

Vercher, Enriqueta

2008-08-01

This paper provides new models for portfolio selection in which the returns on securities are considered fuzzy numbers rather than random variables. The investor's problem is to find the portfolio that minimizes the risk of achieving a return that is not less than the return of a riskless asset. The corresponding optimal portfolio is derived using semi-infinite programming in a soft framework. The return on each asset and their membership functions are described using historical data. The investment risk is approximated by mean intervals which evaluate the downside risk for a given fuzzy portfolio. This approach is illustrated with a numerical example.

Risk-return incentives in liberalised electricity markets

NARCIS (Netherlands)

Lynch, Muireann Á; Shortt, Aonghus; Tol, Richard S.J.; O'Malley, Mark J.

2013-01-01

We employ Monte Carlo analysis to determine the distribution of returns for various electricity generation technologies. Costs and revenues for each technology are calculated by means of a unit commitment and economic dispatch algorithm at hourly resolution. This represents a considerable

Analysis of Market Risk, Financial Leverage, and Firm Size Toward Stock Return on Non-banking Companies Listed in Lq45 Index of Idx

OpenAIRE

Tumewu, Ferdinand; Pangemanan, Sifrid S.; Koluku, Rini Feronica

2015-01-01

In the world of investment, one underlies the decision of investors is stock returns that are depend on many factors. The purpose of this study was to analyze the effect of Market Risk, Financial Leverage, and Firm Size to Stock Return. By counting these factors, investors can see the effect of stock returns are important in decision making. The research methods associative with regression analysis and classical assumption techniques that include normality, multicollinearity, heteroscedastici...

q-Gaussian distributions of leverage returns, first stopping times, and default risk valuations

Science.gov (United States)

Katz, Yuri A.; Tian, Li

2013-10-01

We study the probability distributions of daily leverage returns of 520 North American industrial companies that survive de-listing during the financial crisis, 2006-2012. We provide evidence that distributions of unbiased leverage returns of all individual firms belong to the class of q-Gaussian distributions with the Tsallis entropic parameter within the interval 1distributions imply a much higher probability of extreme movements in a company’s leverage ratio than forecasted by the normal distribution (q=1). Motivated by these findings, we develop a q-Gaussian generalization of traditional structural models of default. Derived exact analytical expressions for the probability distribution of a first stopping time and its intensity forecast significantly higher probability of default and much wider credit spreads at short time-horizons. Our findings are broadly consistent with the results of empirical studies in equity markets and are essential for single-name default forecasting as well as valuations of portfolio credit risk and economic capital, which might be underestimated by a classic theory of diversified portfolio optimization.

Price returns efficiency of the Shanghai A-Shares

Science.gov (United States)

Long, Wang Jiang; Jaaman, Saiful Hafizah; Samsudin, Humaida Banu

2014-06-01

Beta measured from the capital asset pricing model (CAPM) is the most widely used risk to estimate expected return. In this paper factors that influence Shanghai A-share stock return based on CAPM are explored and investigated. Price data of 312 companies listed on Shanghai Stock Exchange (SSE) from the year 2000 to 2011 are investigated. This study employed the Fama-MacBeth cross-sectional method to avoid weakness of traditional CAPM. In addition, this study improves the model by adjusting missing data. Findings of this study justifies that systematic risk can explain the portfolios' returns of China SSE stock market.

Using multiple sampling approaches to measure sexual risk-taking among young people in Haiti: programmatic implications.

Science.gov (United States)

Speizer, Ilene S; Beauvais, Harry; Gómez, Anu Manchikanti; Outlaw, Theresa Finn; Roussel, Barbara

2009-12-01

No previous published research has examined the applicability of varying methods for identifying young people who are at high risk of experiencing unintended pregnancy and acquiring HIV infection. This study compares three surveys of young people aged 15-24 in Port-au-Prince, Haiti, in terms of their sociodemographic characteristics and sexual behaviors and the surveys'usefulness for identifying young people at high risk and for program planning. The surveys consist of responses from: a representative sample of young people in the 2005-06 Haiti Demographic and Health Survey (HDHS), a 2004 facility-based study, and a 2006-07 venue-based study that used the Priorities for Local AIDS Control Efforts (PLACE) method. The facility-based and PLACE studies included larger proportions of single, sexually experienced young people and people who knew someone with HIV/ AIDS than did the HDHS. More respondents in the PLACE sample had multiple sex partners in the past year and received money or gifts in return for sex, compared with respondents in the facility study. At first and last sex, more PLACE respondents used contraceptives, including condoms. Experience of pregnancy was most commonly reported in the data from the facility-based sample; however, more ever-pregnant PLACE respondents than others reported ever having terminated a pregnancy. Program managers seeking to implement prevention activities should consider using facility- or venue-based methods to identify and understand the behaviors of young people at high risk.

Expected Stock Returns and Variance Risk Premia

DEFF Research Database (Denmark)

Bollerslev, Tim; Tauchen, George; Zhou, Hao

constructed from high-frequency intraday, as opposed to daily, data. The magnitude of the predictability is particularly strong at the intermediate quarterly return horizon, where it dominates that afforded by other popular predictor variables, like the P/E ratio, the default spread, and the consumption...

Return-to-work coordination programmes for improving return to work in workers on sick leave.

Science.gov (United States)

Vogel, Nicole; Schandelmaier, Stefan; Zumbrunn, Thomas; Ebrahim, Shanil; de Boer, Wout El; Busse, Jason W; Kunz, Regina

2017-03-30

To limit long-term sick leave and associated consequences, insurers, healthcare providers and employers provide programmes to facilitate disabled people's return to work. These programmes include a variety of coordinated and individualised interventions. Despite the increasing popularity of such programmes, their benefits remain uncertain. We conducted a systematic review to determine the long-term effectiveness of return-to-work coordination programmes compared to usual practice in workers at risk for long-term disability. To assess the effects of return-to-work coordination programmes versus usual practice for workers on sick leave or disability. We searched the Cochrane Central Register of Controlled Trials (CENTRAL; 2016, Issue 11), MEDLINE, Embase, CINAHL and PsycINFO up to 1 November 2016. We included randomised controlled trials (RCTs) that enrolled workers absent from work for at least four weeks and randomly assigned them to return-to-work coordination programmes or usual practice. Two review authors independently screened titles, abstracts and full-text articles for study eligibility; extracted data; and assessed risk of bias from eligible trials. We contacted authors for additional data where required. We conducted random-effects meta-analyses and used the GRADE approach to rate the quality of the evidence. We identified 14 studies from nine countries that enrolled 12,568 workers. Eleven studies focused on musculoskeletal problems, two on mental health and one on both. Most studies (11 of 14) followed workers 12 months or longer. Risk of bias was low in 10 and high in 4 studies, but findings were not sensitive to their exclusion.We found no benefits for return-to-work coordination programmes on return-to-work outcomes.For short-term follow-up of six months, we found no effect on time to return to work (hazard ratio (HR) 1.32, 95% confidence interval (CI) 0.93 to 1.88, low-quality evidence), cumulative sickness absence (mean difference (MD) -16.18 work

Return to play after infectious mononucleosis.

Science.gov (United States)

Becker, Jonathan A; Smith, Julie Anne

2014-05-01

Infectious mononucleosis is a disease primarily of adolescence and early adulthood. The risk of splenic injury and chronic fatigue make return-to-play decisions a challenge for the clinician caring for athletes with infectious mononucleosis. Data were obtained from the PubMed and MEDLINE databases through December 2012 by searching for epidemiology, diagnosis, clinical manifestations, management, and the role of the spleen in infectious mononucleosis. Clinical review. Level 4. Infectious mononucleosis is commonly encountered in young athletes. Its disease pattern is variable and can affect multiple organ systems. Supportive care is the cornerstone, with little role for medications such as corticosteroids. Physical examination is unreliable for the spleen, and ultrasound imaging has limitations in its ability to guide return-to-play decisions. Exercise does not appear to place the young athlete at risk for chronic fatigue, but determining who is at risk for persistent symptoms is a challenge. Return-to-play decisions for the athlete with infectious mononucleosis need to be individualized because of the variable disease course and lack of evidence-based guidelines.

Mobile/Modular BSL-4 Facilities for Meeting Restricted Earth Return Containment Requirements

Science.gov (United States)

Calaway, M. J.; McCubbin, F. M.; Allton, J. H.; Zeigler, R. A.; Pace, L. F.

2017-01-01

NASA robotic sample return missions designated Category V Restricted Earth Return by the NASA Planetary Protection Office require sample containment and biohazard testing in a receiving laboratory as directed by NASA Procedural Requirement (NPR) 8020.12D - ensuring the preservation and protection of Earth and the sample. Currently, NPR 8020.12D classifies Restricted Earth Return for robotic sample return missions from Mars, Europa, and Enceladus with the caveat that future proposed mission locations could be added or restrictions lifted on a case by case basis as scientific knowledge and understanding of biohazards progresses. Since the 1960s, sample containment from an unknown extraterrestrial biohazard have been related to the highest containment standards and protocols known to modern science. Today, Biosafety Level (BSL) 4 standards and protocols are used to study the most dangerous high-risk diseases and unknown biological agents on Earth. Over 30 BSL-4 facilities have been constructed worldwide with 12 residing in the United States; of theses, 8 are operational. In the last two decades, these brick and mortar facilities have cost in the hundreds of millions of dollars dependent on the facility requirements and size. Previous mission concept studies for constructing a NASA sample receiving facility with an integrated BSL-4 quarantine and biohazard testing facility have also been estimated in the hundreds of millions of dollars. As an alternative option, we have recently conducted an initial trade study for constructing a mobile and/or modular sample containment laboratory that would meet all BSL-4 and planetary protection standards and protocols at a faction of the cost. Mobile and modular BSL-2 and 3 facilities have been successfully constructed and deployed world-wide for government testing of pathogens and pharmaceutical production. Our study showed that a modular BSL-4 construction could result in approximately 90% cost reduction when compared to

Evaluating the biological potential in samples returned from planetary satellites and small solar system bodies: framework for decision making

National Research Council Canada - National Science Library

National Research Council Staff; Space Studies Board; Division on Engineering and Physical Sciences; National Research Council; National Academy of Sciences

... from Planetary Satellites and Small Solar System Bodies Framework for Decision Making Task Group on Sample Return from Small Solar System Bodies Space Studies Board Commission on Physical Sciences, Mathematics, and Applications National Research Council NATIONAL ACADEMY PRESS Washington, D.C. 1998 i Copyrightthe true use are Please breaks...

Symmetric and asymmetric US sector return volatilities in presence of oil, financial and economic risks

International Nuclear Information System (INIS)

Hammoudeh, Shawkat; Yuan, Yuan; Chiang, Thomas; Nandha, Mohan

2010-01-01

This paper examines the impacts of world, country, and sector-specific variables on the stock return volatility of twenty-seven US sectors in the short- and long-run, accounting for the asymmetric shocks based on GARCH models. In the standard GARCH model the two world variables, oil and Morgan Stanley Capital Index (MSCI), have differing impacts on the US equity sector returns' volatility, with oil price dampening it while MSCI heightening it for most sectors. This result underlines the need for hedging more against world capital market risk relative to oil risk which is probably hedged by many sectors. The world and country factors' impacts are not as pervasive across the board, compared with the sector-specific impacts of the P/B ratio and trading volume which affect almost all sectors. Increases in the P/B ratio would reduce the aggregate volatility, while increases in the trading volume would heighten it for all sectors. Asymmetry of factor impacts on volatility is also found for most sectors. Most of the GARCH factor results are confirmed in the CGARCH model with the exception of the impact of interest rate on the short-lived transitory volatility. Finally, interesting econometric results on the inclusion or exclusion of trading volumes are discussed.

Upper Bounds for Ruin Probability with Stochastic Investment Return

Institute of Scientific and Technical Information of China (English)

ZHANG Lihong

2005-01-01

Risk models with stochastic investment return are widely held in practice, as well as in more challenging research fields. Risk theory is mainly concerned with ruin probability, and a tight bound for ruin probability is the best for practical use. This paper presents a discrete time risk model with stochastic investment return. Conditional expectation properties and martingale inequalities are used to obtain both exponential and non-exponential upper bounds for the ruin probability.

Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns.

OpenAIRE

Grinblatt, Mark; Titman, Sheridan

1993-01-01

This article introduces a new measure of portfolio performance and applies it to study the performance of a large sample of mutual funds. In contrast to previous studies of mutual fund performance, the measure used in this study employs portfolio holdings and does not require the use of a benchmark portfolio. It finds that the portfolio choices of mutual fund managers, particularly those that managed aggressive growth funds, earned significantly positive risk-adjusted returns in the 1976-85 p...

Product return management

DEFF Research Database (Denmark)

Shaharudin, Mohd Rizaimy; Govindan, Kannan; Zailani, Suhaiza

2017-01-01

The aim of this study is to examine the extent to which product returns motivate manufacturing firms to adopt closed-loop supply chain activities that influence the effectiveness of reverse supply chains. The hypotheses have been tested using data from a sample of 150 environmental management...... system ISO 14001 certified manufacturing firms in Malaysia through the census sampling approach. The results of the empirical test using LISREL Version 8.70 for the structural equation modeling support the fundamental explanation of the influence of the institutional forces towards the adoption of closed...... eventually impacts the firm's effectiveness in the reverse supply chain. The findings also help managers to understand the factors that can improve the outcome of the adoption of closed-loop supply chain activities by intensifying the extent of involvement in product returns, which provides a valuable...

Priority Science Targets for Future Sample Return Missions within the Solar System Out to the Year 2050

Science.gov (United States)

McCubbin, F. M.; Allton, J. H.; Barnes, J. J.; Boyce, J. W.; Burton, A. S.; Draper, D. S.; Evans, C. A.; Fries, M. D.; Jones, J. H.; Keller, L. P.;

Out-of-sample Forecasting Performance of Won/Dollar Exchange Rate Return Volatility Model

Directory of Open Access Journals (Sweden)

Hojin Lee

2009-06-01

Full Text Available We compare the out-of-sample forecasting performance of volatility models using daily exchange rate for the KRW/USD during the period from 1992 to 2008. For various forecasting horizons, historical volatility models with a long memory tend to make more accurate forecasts. Especially, we carefully observe the difference between the EWMA and the GARCH(1,1 model. Our empirical finding that the GARCH model puts too much weight on recent observations relative to those in the past is consistent with prior evidence showing that asset market volatility has a long memory, such as Ding and Granger (1996. The forecasting model with the lowest MSFE and VaR forecast error among the models we consider is the EWMA model in which the forecast volatility for the coming period is a weighted average of recent squared return with exponentially declining weights. In terms of forecast accuracy, it clearly dominates the widely accepted GARCH and rolling window GARCH models. We also present a multiple comparison of the out-of-sample forecasting performance of volatility using the stationary bootstrap of Politis and Romano (1994. We find that the White's reality check for the GARCH(1,1 expanding window model and the FIGARCH(1,1 expanding window model clearly reject the null hypothesis and there exists a better model than the two benchmark models. On the other hand, when the EWMA model is the benchmark, the White's for all forecasting horizons are very high, which indicates the null hypothesis may not be rejected. The Hansen's report the same results. The GARCH(1,1 expanding window model and the FIGARCH(1,1 expanding window model are dominated by the best competing model in most of the forecasting horizons. In contrast, the RiskMetrics model seems to be the most preferred. We also consider combining the forecasts generated by averaging the six raw forecasts and a trimmed set of forecasts which calculate the mean of the four forecasts after disregarding the highest and

Risk factors in stock returns of Canadian oil and gas companies

International Nuclear Information System (INIS)

Sadorsky, P.

2001-01-01

This paper uses a multifactor market model to estimate the expected returns to Canadian oil and gas industry stock prices. Results are presented to show that exchange rates, crude oil prices and interest rates each have large and significant impacts on stock price returns in the Canadian oil and gas industry. In particular, an increase in the market or oil price factor increases the return to Canadian oil and gas stock prices while an increase in exchange rates or the term premium decreases the return to Canadian oil and gas stock prices. Furthermore, the oil and gas sector is less risky than the market and its moves are pro-cyclical. This suggests that Canadian oil and gas stocks may not be a good hedge against inflation

Stock returns and foreign investment in Brazil

OpenAIRE

Reis, Luciana; Meurer, Roberto; Da Silva, Sergio

2008-01-01

We examine the relationship between stock returns and foreign investment in Brazil, and find that the inflows of foreign investment boosted the returns from 1995 to 2005. There was a strong contemporaneous correlation, although not Granger-causality. Foreign investment along with the exchange rate, the influence of the world stock markets, and country risk can explain 73 percent of the changes that occurred in the stock returns over the period. We also find that positive feedback trading play...

Mortgage Default Risk

DEFF Research Database (Denmark)

Chauvet, Marcelle; Gabriel, Stuart; Lutz, Chandler

2016-01-01

We use Google search query data to develop a broad-based and real-time index of mortgage default risk. Unlike established indicators, our Mortgage Default Risk Index (MDRI) directly reflects households’concerns regarding their risk of mortgage default. The MDRI predicts housing returns, mortgage ...... delinquency indicators, and subprime credit default swaps. These results persist both in- and out-of-sample and at multiple data frequencies. Together, research findings suggest internet search queries yield valuable new insights into household mortgage default risk....

Employers' Importance for the Return to Work of Sick-Listed Workers

DEFF Research Database (Denmark)

Holm, Sociologisk Institut, Københavns Universitet, Anders; V Benn, Nis; Høgelund, Jan

-sick leave employer or returns to work for this employer, and, for individuals who separate, the duration until the sick-listed worker returns to work for new employer. To capture the effect of the threat of dismissal, we use a structurally-dependent-competing-risks model, allowing the risk of separation...... to affect the risk of returning to work. Controlling for unobserved heterogeneity, we cannot identify that employers’ dismissal threat affects the sick-listed workers’ chance of returning to work. The paper is written by associate professor, Department of Sociology, University of Copenhagen and Centre...... for Applied Microeconomics, University of Copenhagen, senior researcher, Jan Høgelund, the Danish National Institute of Social Research, and research assistant Nis Vilhelm Benn, the Danish National Institute of Social Research....

A spreadsheet template compatible with Microsoft Excel and iWork Numbers that returns the simultaneous confidence intervals for all pairwise differences between multiple sample means.

Science.gov (United States)

Brown, Angus M

2010-04-01

The objective of the method described in this paper is to develop a spreadsheet template for the purpose of comparing multiple sample means. An initial analysis of variance (ANOVA) test on the data returns F--the test statistic. If F is larger than the critical F value drawn from the F distribution at the appropriate degrees of freedom, convention dictates rejection of the null hypothesis and allows subsequent multiple comparison testing to determine where the inequalities between the sample means lie. A variety of multiple comparison methods are described that return the 95% confidence intervals for differences between means using an inclusive pairwise comparison of the sample means. 2009 Elsevier Ireland Ltd. All rights reserved.

DETERMINAN RETURN SAHAM SYARIAH DENGAN RISIKO SISTEMATIS SEBAGAI VARIABEL MEDIASI

Directory of Open Access Journals (Sweden)

irman firmansyah

2016-10-01

Full Text Available Islamic capital market is the investment alternatives in accordance with Islamic law. However, the purpose of investing is to obtain a high return stock. This study aimed to analyze the fundamental factors in predicting stock return of sharia with systematic risk as a mediating variable. Fundamental factors measured by DER, EPS, ROA, PER and NPM and systematic risk measured by beta. Data taken from the Islamic capital market through the Jakarta Islamic Index (JII in a span of research in 2013 and 2014. The analysis used is multiple regression analysis and Sobel test. The results showed that DER and PER positive effect on sharia stock return, beta negative effect on sharia stock return and EPS, ROA and NPM no effect on sharia stock return. Whereas in mediating variable testing, the beta did not mediate the relationship between DER, EPS, ROA, NPM and PER to sharia stock return.

Lidar 2009 - All Returns

Data.gov (United States)

Kansas Data Access and Support Center — LIDAR-derived binary (.las) files containing classified points of all returns. We have 3 classifications Unclassified, Ground, Low points. The average Ground Sample...

MANAJEMEN LABA, RETURN SAHAM, DAN KINERJA OPERASI SEBAGAI PEMODERASI

Directory of Open Access Journals (Sweden)

Farid Addy Sumantri

2017-09-01

Full Text Available The purpose of this study was to determine the indications of the practice of earnings management at the time of the IPO, one year after the IPO, and two years after the IPO. This study also examined the effect of earnings management on stock returns and operating performance in moderating the relationship between earnings management and stock returns. The study sample comprised 33 firms that go public in the year 2007 to 2011 using a purposive sampling method. Earnings management is proxied by discretionary accruals using the Modified Jones Model, which used proxy for the stock return is cummulative abnormal returns (CAR, while for the company's operating performance used proxy for the return on assets (ROA. The results showed that there were indications of earnings management at the time of the IPO, one year after the IPO, and two years after the IPO with a lower profit rate. No effect on earnings management is proxied by stock return cummulative abnormal returns (CAR. Operating performance of the company also can not moderate the relationship between earnings management with stock return.   Keywords: Earning Management, Initial Public Offering, Cummulative Abnormal Return, Return On Asset

The Benefits of Sample Return: Connecting Apollo Soils and Diviner Lunar Radiometer Remote Sensing Data

Science.gov (United States)

Greenhagen, B. T.; Donaldson-Hanna, K. L.; Thomas, I. R.; Bowles, N. E.; Allen, C. C.; Pieters, C. M.; Paige, D. A.

2014-01-01

The Diviner Lunar Radiometer, onboard NASA's Lunar Reconnaissance Orbiter, has produced the first global, high resolution, thermal infrared observations of an airless body. The Moon, which is the most accessible member of this most abundant class of solar system objects, is also the only body for which we have extraterrestrial samples with known spatial context. Here we present the results of a comprehensive study to reproduce an accurate simulated lunar environment, evaluate the most appropriate sample and measurement conditions, collect thermal infrared spectra of a representative suite of Apollo soils, and correlate them with Diviner observations of the lunar surface. We find that analyses of Diviner observations of individual sampling stations and SLE measurements of returned Apollo soils show good agreement, while comparisons to thermal infrared reflectance under terrestrial conditions do not agree well, which underscores the need for SLE measurements and validates the Diviner compositional dataset. Future work includes measurement of additional soils in SLE and cross comparisons with measurements in JPL Simulated Airless Body Emission Laboratory (SABEL).

Public Discourses of Ebola Contagion and Courtesy Stigma: The Real Risk to International Health Care Workers Returning Home From the West Africa Ebola Outbreak?

Science.gov (United States)

Gee, Stephanie; Skovdal, Morten

2018-02-01

This article explores the homecoming experiences of international health care workers who responded to the 2014 to 2016 West African Ebola outbreak. Interviews with 11 frontline international medical staff were undertaken and data thematically analyzed. It was found that international health care workers faced an unforeseen risk of stigmatization upon their return home, related to others' fears of their infectious status. Media representations of the disease appear to have played a significant role in heightening societal perceptions of the risks associated with the returning health care workers, resulting in public hostility toward them. For participants, these social risks overtook concerns about biological risks during the immediate postmission period. The participants developed different strategies to cope with courtesy stigma, by rationalizing stigmatizing attitudes, educating people, or simply through an avoidance of others.

A LIBS Boroscope for Evaluation of Mars Sample Return Core Candidates

Data.gov (United States)

National Aeronautics and Space Administration — The leading recommendation of the Decadal Survey [National Research Council, 2011] is &taking the first critical steps toward returning carefully selected...

Heating and thermal control of brazing technique to break contamination path for potential Mars sample return

Science.gov (United States)

Bao, Xiaoqi; Badescu, Mircea; Sherrit, Stewart; Bar-Cohen, Yoseph; Campos, Sergio

2017-04-01

The potential return of Mars sample material is of great interest to the planetary science community, as it would enable extensive analysis of samples with highly sensitive laboratory instruments. It is important to make sure such a mission concept would not bring any living microbes, which may possibly exist on Mars, back to Earth's environment. In order to ensure the isolation of Mars microbes from Earth's Atmosphere, a brazing sealing and sterilizing technique was proposed to break the Mars-to-Earth contamination path. Effectively, heating the brazing zone in high vacuum space and controlling the sample temperature for integrity are key challenges to the implementation of this technique. The break-thechain procedures for container configurations, which are being considered, were simulated by multi-physics finite element models. Different heating methods including induction and resistive/radiation were evaluated. The temperature profiles of Martian samples in a proposed container structure were predicted. The results show that the sealing and sterilizing process can be controlled such that the samples temperature is maintained below the level that may cause damage, and that the brazing technique is a feasible approach to breaking the contamination path.

Liquidity effects and FFA returns in the international shipping derivatives market

OpenAIRE

Alizadeh, Amir H.; Kappou, K; Tsouknidis, Dimitris; Visvikis, Ilias

2015-01-01

The study examines the impact of liquidity risk on freight derivatives returns. The Amihud liquidity ratio and bid–ask spreads are utilized to assess the existence of liquidity risk in the freight derivatives market. Other macroeconomic variables are used to control for market risk. Results indicate that liquidity risk is priced and both liquidity measures have a significant role in determining freight derivatives returns. Consistent with expectations, both liquidity measures are found to hav...

Fourth-quarter Economic Growth and Time-varying Expected Returns

DEFF Research Database (Denmark)

Møller, Stig V.; Rangvid, Jesper

not predict returns. Fourth-quarter economic growth rates contain considerably more information about expected returns than standard variables used in the literature, are robust to the choice of macro variable, and work in-sample, out-of-sample, and in subsamples. To help explain these results, we show...... that economic growth and growth in consumer confidence are correlated during the fourth quarter, but not during the other quarters: When economic growth is low during the fourth quarter, confidence in the economy is also low such that investors require higher future returns. We discuss rational and behavioral...... reasons why fourth-quarter economic growth, growth in consumer confidence, and expected returns are related....

An evaluation of the Well at Dell health management program: health risk change and financial return on investment.

Science.gov (United States)

Musich, Shirley; McCalister, Tre'; Wang, Sara; Hawkins, Kevin

2015-01-01

To investigate the effectiveness of the Well at Dell comprehensive health management program in delivering health care and productivity cost savings relative to program investment (i.e., return on investment). A quasi-experimental design was used to quantify the financial impact of the program and nonexperimental pre-post design to evaluate change in health risks. Ongoing worksite health management program implemented across multiple U.S. locations. Subjects were 24,651 employees with continuous medical enrollment in 2010-2011 who were eligible for 2011 health management programming. Incentive-driven, outcomes-based multicomponent corporate health management program including health risk appraisal (HRA)/wellness, lifestyle management, and disease management coaching programs. Medical, pharmacy, and short-term disability pre/post expenditure trends adjusted for demographics, health status, and baseline costs. Self-reported health risks from repeat HRA completers. Analysis: Propensity score-weighted and multivariate regression-adjusted comparison of baseline to post trends in health care expenditures and productivity costs for program participants and nonparticipants (i.e., difference in difference) relative to programmatic investment. The Well at Dell program achieved an overall return on investment of 2.48 in 2011. Most of the savings were realized from the HRA/wellness component of the program. Cost savings were supported with high participation and significant health risk improvement. An incentive-driven, well-managed comprehensive corporate health management program can continue to achieve significant health improvement while promoting health care and productivity cost savings in an employee population.

The Relationship between Market Sentiment Index and Stock Rates of Return: a Panel Data Analysis

Directory of Open Access Journals (Sweden)

Claudia Emiko Yoshinaga

2012-04-01

Full Text Available This article analyzes the relationship between market sentiment and future stock rates of return. We used amethodology based on principal component analysis to create a sentiment index for the Brazilian market withdata from 1999 to 2008. The sample consisted of companies listed on BM&FBOVESPA which were groupedinto quintiles, each representing a portfolio, according to the magnitude of the following characteristics: marketvalue, total annualized risk and listing time on BM&FBOVESPA. Next, we calculated the average return of eachportfolio for every quarter. The data for the first and last quintiles were analyzed via two-factor ANOVA, usingsentiment index of the previous period (positive or negative as the main factor and each characteristic ascontrolling factors. Finally, the sentiment index was included in a panel data pricing model. The results indicatea significant and negative relationship between the market sentiment index and the future rates of return. Thesefindings suggest the existence of a reversion pattern in stock returns, meaning that after a positive sentimentperiod, the impact on subsequent stock returns is negative, and vice-versa.

The VIX, the Variance Premium, and Expected Returns

DEFF Research Database (Denmark)

Osterrieder, Daniela Maria; Ventosa-Santaulària, Daniel; Vera-Valdés, Eduardo

2018-01-01

. These problems are eliminated if risk is captured by the variance premium (VP) instead; it is unobservable, however. We propose a 2SLS estimator that produces consistent estimates without observing the VP. Using this method, we find a positive risk–return trade-off and long-run return predictability. Our...

Risk Attitudes, Sample Selection and Attrition in a Longitudinal Field Experiment

DEFF Research Database (Denmark)

Harrison, Glenn W.; Lau, Morten Igel

with respect to risk attitudes. Our design builds in explicit randomization on the incentives for participation. We show that there are significant sample selection effects on inferences about the extent of risk aversion, but that the effects of subsequent sample attrition are minimal. Ignoring sample...... selection leads to inferences that subjects in the population are more risk averse than they actually are. Correcting for sample selection and attrition affects utility curvature, but does not affect inferences about probability weighting. Properly accounting for sample selection and attrition effects leads...... to findings of temporal stability in overall risk aversion. However, that stability is around different levels of risk aversion than one might naively infer without the controls for sample selection and attrition we are able to implement. This evidence of “randomization bias” from sample selection...

Thermal Protection for Mars Sample Return Earth Entry Vehicle: A Grand Challenge for Design Methodology and Reliability Verification

Science.gov (United States)

Venkatapathy, Ethiraj; Gage, Peter; Wright, Michael J.

2017-01-01

Mars Sample Return is our Grand Challenge for the coming decade. TPS (Thermal Protection System) nominal performance is not the key challenge. The main difficulty for designers is the need to verify unprecedented reliability for the entry system: current guidelines for prevention of backward contamination require that the probability of spores larger than 1 micron diameter escaping into the Earth environment be lower than 1 million for the entire system, and the allocation to TPS would be more stringent than that. For reference, the reliability allocation for Orion TPS is closer to 11000, and the demonstrated reliability for previous human Earth return systems was closer to 1100. Improving reliability by more than 3 orders of magnitude is a grand challenge indeed. The TPS community must embrace the possibility of new architectures that are focused on reliability above thermal performance and mass efficiency. MSR (Mars Sample Return) EEV (Earth Entry Vehicle) will be hit with MMOD (Micrometeoroid and Orbital Debris) prior to reentry. A chute-less aero-shell design which allows for self-righting shape was baselined in prior MSR studies, with the assumption that a passive system will maximize EEV robustness. Hence the aero-shell along with the TPS has to take ground impact and not break apart. System verification will require testing to establish ablative performance and thermal failure but also testing of damage from MMOD, and structural performance at ground impact. Mission requirements will demand analysis, testing and verification that are focused on establishing reliability of the design. In this proposed talk, we will focus on the grand challenge of MSR EEV TPS and the need for innovative approaches to address challenges in modeling, testing, manufacturing and verification.

Trajectory Options for a Potential Mars Mission Combining Orbiting Science, Relay and a Sample Return Rendezvous Demonstration

Science.gov (United States)

Guinn, Joseph R.; Kerridge, Stuart J.; Wilson, Roby S.

2012-01-01

Mars sample return is a major scientific goal of the 2011 US National Research Council Decadal Survey for Planetary Science. Toward achievement of this goal, recent architecture studies have focused on several mission concept options for the 2018/2020 Mars launch opportunities. Mars orbiters play multiple roles in these architectures such as: relay, landing site identification/selection/certification, collection of on-going or new measurements to fill knowledge gaps, and in-orbit collection and transportation of samples from Mars to Earth. This paper reviews orbiter concepts that combine these roles and describes a novel family of relay orbits optimized for surface operations support. Additionally, these roles provide an intersection of objectives for long term NASA science, human exploration, technology development and international collaboration.

Optimum Returns from Greenhouse Vegetables under Water Quality and Risk Constraints in the United Arab Emirates

Directory of Open Access Journals (Sweden)

Eihab Fathelrahman

2017-04-01

Full Text Available Greenhouses have been used in the United Arab Emirates (UAE to produce vegetables that contribute toward UAE food security, including offering fresh vegetable produce in the off-season. However, to manage such greenhouses, farmers face both technical and environmental limitations (i.e., high water scarcity, as well as vegetable market price instability. The objective of this study is to explore tradeoffs between returns (i.e., gross margin of selected vegetables (tomato, pepper, and cucumber, risk (deviation from gross margin means, and an environmental constraint (water salinity using a unique target MOTAD (minimization of total absolute deviations approach to support UAE farmer decision-making processes. The optimal target MOTAD solution included all three vegetables and no corner solution. The results showed tradeoffs between returns and risks, and confirmed that product diversification reduces overall risk. The analysis was consistent with farmer perceptions based on a survey of 78 producers in the region. The search for the optimal mix of vegetable production under UAE greenhouse conditions revealed that reduction in tomato production should be offset by an increase in cucumber production while maintaining a constant level of pepper production. In other words, risk is reduced as cucumber production increases due to the high level of tomato and lettuce price volatility as the alternative to cucumber. The results also demonstrated the importance of the water salinity environmental constraint, as it was found to have a positive marginal value in the optimal vegetable mix solution (i.e., important factor. Thus the optimal solution was highly sensitive to changes in the crop water salinity constraint. The study results also demonstrate that the target MOTAD approach is a suitable optimization methodology. As a practical approach, a decision-maker in the UAE can consider gross margin (total revenue-variable costs maximization with risk and water

A Multi-Decadal Sample Return Campaign Will Advance Lunar and Solar System Science and Exploration by 2050

Science.gov (United States)

Neal, C. R.; Lawrence, S. J.

2017-01-01

There have been 11 missions to the Moon this century, 10 of which have been orbital, from 5 different space agencies. China became the third country to successfully soft-land on the Moon in 2013, and the second to successfully remotely operate a rover on the lunar surface. We now have significant global datasets that, coupled with the 1990s Clementine and Lunar Prospector missions, show that the sample collection is not representative of the lithologies present on the Moon. The M3 data from the Indian Chandrayaan-1 mission have identified lithologies that are not present/under-represented in the sample collection. LRO datasets show that volcanism could be as young as 100 Ma and that significant felsic complexes exist within the lunar crust. A multi-decadal sample return campaign is the next logical step in advancing our understanding of lunar origin and evolution and Solar System processes.

A Study on the risk-return characteristics and the diversification benefit of the Hedge Fund industry

OpenAIRE

Bagaria, Neha

2007-01-01

Hedge funds with their dynamic trading strategies have gained great popularity in the past decade and have been found to provide significant diversification benefits to a traditional portfolio of assets. As an investment strategy they assure higher returns at a lower risk. Thus we will investigate its unique characteristics and its relation with the S&P 500 index through various quantitative tools like simple regression analysis, Sharpe ratios and graphical and correlation analysis of the dif...

Screening techniques, sustainability and risk adjusted returns. : - A quantitative study on the Swedish equity funds market

OpenAIRE

Ögren, Tobias; Forslund, Petter

2017-01-01

Previous studies have primarily compared the performance of sustainable equity funds and non-sustainable equity funds. A meta-analysis over 85 different studies in the field concludes that there is no statistically significant difference in risk-adjusted returns when comparing sustainable funds and non-sustainable funds. This study is thus an extension on previous studies where the authors have chosen to test the two most common sustainability screening techniques to test if there is a differ...

Systematic Risk Changes, Negative Realized Excess Returns and Time-Varying CAPM Beta

OpenAIRE

Jiri Novak

2015-01-01

We make two methodological modifications to the method of testing CAPM beta and we show that these significantly affect inferences about the association between CAPM beta and stock returns. While the conventional beta proxy is indeed largely unrelated to realized stock returns (in fact the relationship is slightly negative), using forward-looking beta and eliminating unrealistic assumptions about expected market returns makes it (highly) significant. In addition, we show that complementary em...

Range-based volatility, expected stock returns, and the low volatility anomaly

Science.gov (United States)

2017-01-01

One of the foundations of financial economics is the idea that rational investors will discount stocks with more risk (volatility), which will result in a positive relation between risk and future returns. However, the empirical evidence is mixed when determining how volatility is related to future returns. In this paper, we examine this relation using a range-based measure of volatility, which is shown to be theoretically, numerically, and empirically superior to other measures of volatility. In a variety of tests, we find that range-based volatility is negatively associated with expected stock returns. These results are robust to time-series multifactor models as well as cross-sectional tests. Our findings contribute to the debate about the direction of the relationship between risk and return and confirm the presence of the low volatility anomaly, or the anomalous finding that low volatility stocks outperform high volatility stocks. In other tests, we find that the lower returns associated with range-based volatility are driven by stocks with lottery-like characteristics. PMID:29190652

Range-based volatility, expected stock returns, and the low volatility anomaly.

Science.gov (United States)

Blau, Benjamin M; Whitby, Ryan J

2017-01-01

One of the foundations of financial economics is the idea that rational investors will discount stocks with more risk (volatility), which will result in a positive relation between risk and future returns. However, the empirical evidence is mixed when determining how volatility is related to future returns. In this paper, we examine this relation using a range-based measure of volatility, which is shown to be theoretically, numerically, and empirically superior to other measures of volatility. In a variety of tests, we find that range-based volatility is negatively associated with expected stock returns. These results are robust to time-series multifactor models as well as cross-sectional tests. Our findings contribute to the debate about the direction of the relationship between risk and return and confirm the presence of the low volatility anomaly, or the anomalous finding that low volatility stocks outperform high volatility stocks. In other tests, we find that the lower returns associated with range-based volatility are driven by stocks with lottery-like characteristics.

Range-based volatility, expected stock returns, and the low volatility anomaly.

Directory of Open Access Journals (Sweden)

Benjamin M Blau

Full Text Available One of the foundations of financial economics is the idea that rational investors will discount stocks with more risk (volatility, which will result in a positive relation between risk and future returns. However, the empirical evidence is mixed when determining how volatility is related to future returns. In this paper, we examine this relation using a range-based measure of volatility, which is shown to be theoretically, numerically, and empirically superior to other measures of volatility. In a variety of tests, we find that range-based volatility is negatively associated with expected stock returns. These results are robust to time-series multifactor models as well as cross-sectional tests. Our findings contribute to the debate about the direction of the relationship between risk and return and confirm the presence of the low volatility anomaly, or the anomalous finding that low volatility stocks outperform high volatility stocks. In other tests, we find that the lower returns associated with range-based volatility are driven by stocks with lottery-like characteristics.

Event-based historical value-at-risk

NARCIS (Netherlands)

Hogenboom, F.P.; Winter, Michael; Hogenboom, A.C.; Jansen, Milan; Frasincar, F.; Kaymak, U.

2012-01-01

Value-at-Risk (VaR) is an important tool to assess portfolio risk. When calculating VaR based on historical stock return data, we hypothesize that this historical data is sensitive to outliers caused by news events in the sampled period. In this paper, we research whether the VaR accuracy can be

Bond return predictability in expansions and recessions

DEFF Research Database (Denmark)

Engsted, Tom; Møller, Stig Vinther; Jensen, Magnus David Sander

We document that over the period 1953-2011 US bond returns are predictable in expansionary periods but unpredictable during recessions. This result holds in both in-sample and out-of-sample analyses and using both univariate regressions and combination forecasting techniques. A simulation study...... but negative in recessions. The results are also consistent with tests showing that the expectations hypothesis of the term structure holds in recessions but not in expansions. However, the results for bonds are in sharp contrast to results for stocks showing that stock returns are predictable in recessions...... but not in expansions. Thus, our results indicate that there is not a common predictive pattern of stock and bond returns associated with the state of the economy....

The Importance of Sample Return in Establishing Chemical Evidence for Life on Mars or Other Solar System Bodies

Science.gov (United States)

Glavin, D. P.; Conrad, P.; Dworkin, J. P.; Eigenbrode, J.; Mahaffy, P. R.

2011-01-01

The search for evidence of life on Mars and elsewhere will continue to be one of the primary goals of NASA s robotic exploration program over the next decade. NASA and ESA are currently planning a series of robotic missions to Mars with the goal of understanding its climate, resources, and potential for harboring past or present life. One key goal will be the search for chemical biomarkers including complex organic compounds important in life on Earth. These include amino acids, the monomer building blocks of proteins and enzymes, nucleobases and sugars which form the backbone of DNA and RNA, and lipids, the structural components of cell membranes. Many of these organic compounds can also be formed abiotically as demonstrated by their prevalence in carbonaceous meteorites [1], though, their molecular characteristics may distinguish a biological source [2]. It is possible that in situ instruments may reveal such characteristics, however, return of the right sample (i.e. one with biosignatures or having a high probability of biosignatures) to Earth would allow for more intensive laboratory studies using a broad array of powerful instrumentation for bulk characterization, molecular detection, isotopic and enantiomeric compositions, and spatially resolved chemistry that may be required for confirmation of extant or extinct Martian life. Here we will discuss the current analytical capabilities and strategies for the detection of organics on the Mars Science Laboratory (MSL) using the Sample Analysis at Mars (SAM) instrument suite and how sample return missions from Mars and other targets of astrobiological interest will help advance our understanding of chemical biosignatures in the solar system.

Return to Play and Future ACL Injury Risk Following ACL Reconstruction In Soccer Athletes From the MOON Group

Science.gov (United States)

Brophy, Robert H.; Schmitz, Leah; Wright, Rick W.; Dunn, Warren R.; Parker, Richard D.; Andrish, Jack T.; McCarty, Eric C.; Spindler, Kurt P.

2013-01-01

Background There is limited information on outcomes and return to play (RTP) after ACL reconstruction (ACLR) in soccer athletes. Hypothesis The purpose of this study was to (i) test the hypotheses that player sex, side of injury and graft choice do not influence RTP, and (ii) define the risk for future ACL injury in soccer players after ACLR. Study design Retrospective cohort study, Level II. Methods Soccer players in a prospective cohort were contacted to determine RTP following ACLR. Information regarding if and when they returned to play, their current playing status, the primary reason they stopped playing soccer (if relevant) and incidence of subsequent ACL surgery was recorded. Results Initially, 72% of 100 soccer athletes (55 male, 45 female) with a mean age of 24.2 years at the time of ACL reconstruction returned to soccer. At average follow up of 7.0 years, 36% were still playing, a significant decrease compared to initial RTP (psoccer athletes had undergone further ACL surgery, including 9 on the contralateral knee and 3 on the ipsilateral knee. In a univariate analysis, females were more likely to have future ACL surgery (20% v. 5.5%, p=0.03). Soccer athletes who underwent ACLR on their non-dominant limb had a higher future rate of contra-lateral ACLR (16%) than soccer athletes who underwent ACLR on their dominant limb (3.5%) (p=0.03). Conclusion Younger and male soccer players are more likely to return to play after ACL reconstruction. Return to soccer following ACLR declines over time. PMID:23002201

Characteristics of Omega-Optimized Portfolios at Different Levels of Threshold Returns

Directory of Open Access Journals (Sweden)

Renaldas Vilkancas

2014-12-01

Full Text Available There is little literature considering effects that the loss-gain threshold used for dividing good and bad outcomes by all downside (upside risk measures has on portfolio optimization and performance. The purpose of this study is to assess the performance of portfolios optimized with respect to the Omega function developed by Keating and Shadwick at different levels of the threshold returns. The most common choices of the threshold values used in various Omega studies cover the risk-free rate and the average market return or simply a zero return, even though the inventors of this measure for risk warn that “using the values of the Omega function at particular points can be critically misleading” and that “only the entire Omega function contains information on distribution”. The obtained results demonstrate the importance of the selected values of the threshold return on portfolio performance – higher levels of the threshold lead to an increase in portfolio returns, albeit at the expense of a higher risk. In fact, within a certain threshold interval, Omega-optimized portfolios achieved the highest net return, compared with all other strategies for portfolio optimization using three different test datasets. However, beyond a certain limit, high threshold values will actually start hurting portfolio performance while meta-heuristic optimizers typically are able to produce a solution at any level of the threshold, and the obtained results would most likely be financially meaningless.

A qualitative analysis of peer recruitment pressures in respondent driven sampling: Are risks above the ethical limit?

Science.gov (United States)

Mosher, Heather I; Moorthi, Gayatri; Li, JiangHong; Weeks, Margaret R

2015-09-01

This paper examines peer recruitment dynamics through respondent driven sampling (RDS) with a sample of injection drug users in Hartford, CT to understand the strategies participants use to recruit peers into a study and the extent to which these strategies may introduce risks above the ethical limit despite safeguards in RDS. Out of 526 injection drug users who participated in a mixed-method RDS methodology evaluation study, a nested sample of 61 participants completed an in-depth semi-structured interview at a 2-month follow-up to explore their experiences with the recruitment process. Findings revealed that participants used a variety of strategies to recruit peers, ranging from one-time interactions to more persistent strategies to encourage participation (e.g., selecting peers that can easily be found and contacted later, following up with peers to remind them of their appointment, accompanying peers to the study site, etc.). Some participants described the more persistent strategies as helpful, while some others experienced these strategies as minor peer pressure, creating a feeling of obligation to participate. Narratives revealed that overall, the probability of experiencing study-related risks remains relatively low for most participants; however, a disconcerting finding was that higher study-related risks (e.g., relationship conflict, loss of relationship, physical fights, violence) were seen for recruits who participated but switched coupons or for recruits who decided not to participate in the study and did not return the coupon to the recruiter. Findings indicate that peer recruitment practices in RDS generally pose minimal risk, but that peer recruitment may occasionally exceed the ethical limit, and that enhanced safeguards for studies using peer recruitment methods are recommended. Suggestions for possible enhancements are described. Copyright © 2015 Elsevier B.V. All rights reserved.

Sample Curation at a Lunar Outpost

Science.gov (United States)

Allen, Carlton C.; Lofgren, Gary E.; Treiman, A. H.; Lindstrom, Marilyn L.

2007-01-01

The six Apollo surface missions returned 2,196 individual rock and soil samples, with a total mass of 381.6 kg. Samples were collected based on visual examination by the astronauts and consultation with geologists in the science back room in Houston. The samples were photographed during collection, packaged in uniquely-identified containers, and transported to the Lunar Module. All samples collected on the Moon were returned to Earth. NASA's upcoming return to the Moon will be different. Astronauts will have extended stays at an out-post and will collect more samples than they will return. They will need curation and analysis facilities on the Moon in order to carefully select samples for return to Earth.

Capital structure and value firm: an empirical analysis of abnormal returns

Directory of Open Access Journals (Sweden)

Faris Nasif AL-SHUBIRI

2010-12-01

Full Text Available This study investigates whether capital structure is value relevant for the equity investor. In this sense, the paper links empirical corporate finance issues with investment analysis. This study also integrates the Miller-Modigliani (MM framework (1958 into an investment approach by estimating abnormal returns on leverage portfolios in the time-series for different risk classes. For most risk classes, abnormal returns decline in firm leverage. Descriptive statistics, simple and multiple regressions are used to test the hold indicator significance. The results reflect that the designed measures are the negative relationship between returns and leverage could also be due to the market’s pricing of the firm’s ability to raise funds if need be. Further avenues for research in this area include examining the stock return performance of companies based on the changes in leverage of the firms relative to their risk classes. It would be particularly noteworthy to examine the rate at which the information content of said changes is incorporated in the share prices of companies as well as in their long run returns This study encompasses all non-financial firms across the five sectors that cover all the various classes of risk. This study investigates neither the determinants of multiple capital structure choices nor changes in capital structures over time. Our main goal is to explore the effect of capital structure on cumulative abnormal returns. This study also examine a firm’s cumulative average abnormal returns by measuring leverage at the firm level and at the average level for the firm’s industry. And also examine other factors, such as size, price earnings, market-to-book and betas.

Low Risk Anomalies?

DEFF Research Database (Denmark)

Schneider, Paul; Wagner, Christian; Zechner, Josef

This paper shows theoretically and empirically that beta- and volatility-based low risk anomalies are driven by return skewness. The empirical patterns concisely match the predictions of our model that endogenizes the role of skewness for stock returns through default risk. With increasing downside...... risk, the standard capital asset pricing model (CAPM) increasingly overestimates expected equity returns relative to firms' true (skew-adjusted) market risk. Empirically, the profitability of betting against beta/volatility increases with firms' downside risk, and the risk-adjusted return differential...... of betting against beta/volatility among low skew firms compared to high skew firms is economically large. Our results suggest that the returns to betting against beta or volatility do not necessarily pose asset pricing puzzles but rather that such strategies collect premia that compensate for skew risk...

Risk factors for complications in donors at first and repeat whole blood donation: a cohort study with assessment of the impact on donor return.

Science.gov (United States)

Wiersum-Osselton, Johanna C; Marijt-van der Kreek, Tanneke; Brand, Anneke; Veldhuizen, Ingrid; van der Bom, Johanna G; de Kort, Wim

2014-01-01

First-time donation is among recognised risk factors for vasovagal reactions to blood donation and reactions are known to reduce donor return. We assessed associations between potential risk factors and vasovagal reactions and needle-related complications in first-time whole blood donation in comparison to repeat donation and analysed the impact of complications on donor return. We performed a cohort study on whole blood donations in The Netherlands from 1/1/2010 to 31/12/2010 using data extracted from the blood service information system. Donation data up to 31/12/2011 were used to ascertain donor return. In 2010 28,786 donors made first whole blood donations and there were 522,958 repeat donations. Vasovagal reactions occurred in 3.9% of first donations by males and 3.5% of first donations by females compared to in 0.2% and 0.6%, respectively, of repeat donations. Associations of vasovagal reactions with other factors including age, body weight, systolic and diastolic blood pressure were similar in first-time and repeat donors. Needle-related complications occurred in 0.2% of male and 0.5% of female first-time donations and in 0.1% and 0.3%, respectively, of repeat donations. Among first-time donors, the return rate within 1 year was 82% following an uncomplicated first donation, but 55% and 61% following vasovagal reactions and needle-related complications, respectively; the corresponding percentages among repeat donors were 86%, 58% and 82%. Among first-time donors, females suffered less than males from vasovagal reactions. Other risk factors had similar associations among first-time and repeat donors. Vasovagal reactions and needle-related complications in both first-time and repeat donors are followed by reduced donor return.

A NEW EMPIRICAL INVESTIGATION OF THE PLATINUM SPOT RETURNS

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Simone Kruse

2017-08-01

Full Text Available The global platinum market has been in downturn and unstable for five consecutive years, and thus market participants are demanding effective quantitative risk management tools. Since platinum is so widely used and serves as an important investment vehicle, the importance of risk management of platinum spot returns cannot be understated. In this paper, we take advantage of a very popular econometric model, the generalized autoregressive conditional heteroscedasticity (GARCH model, for platinum returns. We received two important findings by using the conventional GARCH models in explain daily platinum spot returns. First, it is crucial to introduce heavy-tailed distribution to explain conditional heavy tails; and second, the NRIG distribution performs better than the most widely-used heavy-tailed distribution, the Student’s t distribution.

New Risk Measure and Idiosyncratic Risk in Taiwan Stock Market

OpenAIRE

Yin-Ching Jan; Su-Ling Chiu; Jerry M. C. Wang

2013-01-01

Under the model developed by Merton (1987), the idiosyncratic risk would be important to explain the expected stock return. We follow the approach of Daniel and Titman (1998), and use the risk measure developed by Jan and Wang (2012) to examine whether idiosyncratic risk can play an important role in explaining the expected return in Taiwan stock market. We find that beta can¡¯t explain the expected return, and that idiosyncratic risk has a positive relation to expected returns for stocks wit...

Conditional Relationship Between Beta and Return in the US Stock Market

OpenAIRE

Bing XIAO

2016-01-01

According to the CAPM, risk is measured by the beta, and the relation between required expected return and beta is linear. This paper examines the conditional relationship between beta and return in the US stock market. The conditional covariances and variances used to estimate beta are modeled as an ARCH process. The beta return relationship is tested upon the sign of the excess market return. The implication of the sign of the excess market return follows Morelli (2011). This study shows th...

Linkage between company scores and stock returns

Directory of Open Access Journals (Sweden)

Saban Celik

2017-12-01

Full Text Available Previous studies on company scores conducted at firm-level, generally concluded that there exists a positive relation between company scores and stock returns. Motivated by these studies, this study examines the relationship between company scores (Corporate Governance Score, Economic Score, Environmental Score, and Social Score and stock returns, both at portfolio-level analysis and firm-level cross-sectional regressions. In portfolio-level analysis, stocks are sorted based on each company scores and quintile portfolio are formed with different levels of company scores. Then, existence and significance of raw returns and risk-adjusted returns difference between portfolios with the extreme company scores (portfolio 10 and portfolio 1 is tested. In addition, firm-level cross-sectional regression is performed to examine the significance of company scores effects with control variables. While portfolio-level analysis results indicate that there is no significant relation between company scores and stock returns; firm-level analysis indicates that economic, environmental, and social scores have effect on stock returns, however, significance and direction of these effects change, depending on the included control variables in the cross-sectional regression.

The dynamic conditional relationship between stock market returns and implied volatility

Science.gov (United States)

Park, Sung Y.; Ryu, Doojin; Song, Jeongseok

2017-09-01

Using the dynamic conditional correlation multivariate generalized autoregressive conditional heteroskedasticity (DCC-MGARCH) model, we empirically examine the dynamic relationship between stock market returns (KOSPI200 returns) and implied volatility (VKOSPI), as well as their statistical mechanics, in the Korean market, a representative and leading emerging market. We consider four macroeconomic variables (exchange rates, risk-free rates, term spreads, and credit spreads) as potential determinants of the dynamic conditional correlation between returns and volatility. Of these macroeconomic variables, the change in exchange rates has a significant impact on the dynamic correlation between KOSPI200 returns and the VKOSPI, especially during the recent financial crisis. We also find that the risk-free rate has a marginal effect on this dynamic conditional relationship.

Utility allowed returns and market extremes

International Nuclear Information System (INIS)

Murry, D.A.; Nan, G.D.; Harrington, B.M.

1993-01-01

In recent years interest rates have fluctuated from exceptionally high levels in the early 1980s to their current levels, the lowest in two decades. Observers and analysts generally have assumed that allowed returns by regulatory commissions follow the movement of interest rates; indeed some analysts use a risk premium method to estimate the cost of common equity, assuming a constant and linear relationship between interest rates and the cost of common equity. That suggests we could expect a relatively stable relationship between interest rates and allowed returns, as well. However, a simple comparison of allowed returns and interest rates shows that this is not the case in recent years. The relationship between market interest rates and the returns allowed by commissions varies and is obviously a great deal more complicated. Empirically, there appears to be only a narrow range where market interest rates significantly affect the allowed returns on common stock set by state commissions, at least for electric and combination utilities. If rates are at historically low levels, allowed returns based largely on market rates will hasten subsequent rate filings, and commissions appear to look beyond the low rate levels. Conversely, it appears that regulators do not let historically high market rates determine allowed returns either. At either high or low interest levels, caution seems to be the policy

Omega-optimized portfolios: applying stochastic dominance criterion for the selection of the threshold return

Directory of Open Access Journals (Sweden)

Renaldas Vilkancas

2016-05-01

Full Text Available Purpose of the article: While using asymmetric risk-return measures an important role is played by selection of the investor‘s required or threshold rate of return. The scientific literature usually states that every investor should define this rate according to their degree of risk aversion. In this paper, it is attempted to look at the problem from a different perspective – empirical research is aimed at determining the influence of the threshold rate of return on the portfolio characteristics. Methodology/methods: In order to determine the threshold rate of return a stochastic dominance criterion was used. The results are verified using the commonly applied method of backtesting. Scientific aim: The aim of this paper is to propose a method allowing selecting the threshold rate of return reliably and objectively. Findings: Empirical research confirms that stochastic dominance criteria can be successfully applied to determine the rate of return preferred by the investor. Conclusions: A risk-free investment rate or simply a zero rate of return commonly used in practice is often justified neither by theoretical nor empirical studies. This work suggests determining the threshold rate of return by applying the stochastic dominance criterion

What We Might Know About Gusev Crater if the Mars Exploration Rover Spirit Mission were Coupled with a Mars Sample Return Mission

Science.gov (United States)

Morris, Richard V.

2008-01-01

The science instruments on the Mars Exploration Rover (MER) Spirit have provided an enormous amount of chemical and mineralogical data during more than 1450 sols of exploration at Gusev crater. The Moessbauer (MB) instrument identified 10 Fe-bearing phases at Gusev Crater: olivine, pyroxene, ilmenite, chromite, and magnetite as primary igneous phases and nanophase ferric oxide (npOx), goethite, hematite, a ferric sulfate, and pyrite/marcusite as secondary phases. The Miniature Thermal Emission Spectrometer (Mini-TES) identified some of these Fe-bearing phases (olivine and pyroxene), non- Fe-bearing phases (e.g., feldspar), and an amorphous high-SiO2 phase near Home Plate. Chemical data from the Alpha Particle X-Ray Spectrometer (APXS) provided the framework for rock classification, chemical weathering/alteration, and mineralogical constraints. APXS-based mineralogical constraints include normative calculations (with Fe(3+)/FeT from MB), elemental associations, and stoichiometry (e.g., 90% SiO2 implicates opalline silica). If Spirit had cached a set of representative samples and if those samples were returned to the Earth for laboratory analysis, what value is added by Mars Sample return (MSR) over and above the mineralogical and chemical data provided by MER?

Mars Sample Handling Functionality

Science.gov (United States)

Meyer, M. A.; Mattingly, R. L.

2018-04-01

The final leg of a Mars Sample Return campaign would be an entity that we have referred to as Mars Returned Sample Handling (MRSH.) This talk will address our current view of the functional requirements on MRSH, focused on the Sample Receiving Facility (SRF).

The effects of common risk factors on stock returns: A detrended cross-correlation analysis

Science.gov (United States)

Ruan, Qingsong; Yang, Bingchan

2017-10-01

In this paper, we investigate the cross-correlations between Fama and French three factors and the return of American industries on the basis of cross-correlation statistic test and multifractal detrended cross-correlation analysis (MF-DCCA). Qualitatively, we find that the return series of Fama and French three factors and American industries were overall significantly cross-correlated based on the analysis of a statistic. Quantitatively, we find that the cross-correlations between three factors and the return of American industries were strongly multifractal, and applying MF-DCCA we also investigate the cross-correlation of industry returns and residuals. We find that there exists multifractality of industry returns and residuals. The result of correlation coefficients we can verify that there exist other factors which influence the industry returns except Fama three factors.

Cross-Sectional Dispersion of Firm Valuations and Expected Stock Returns

OpenAIRE

Jiang, Danling

2008-01-01

This paper develops two competing hypotheses for the relation between the cross-sectional standard deviation of logarithmic firm fundamental-to-price ratios (``dispersion'') and expected aggregate returns. In models with fully rational beliefs, greater dispersion indicates greater risk and higher expected aggregate returns. In models with investor overconfidence, greater dispersion indicates greater mispricing and lower expected aggregate returns. Consistent with the behavioral models, the re...

Return and Liquidity Relationships on Market and Accounting Levels in Brazil

Directory of Open Access Journals (Sweden)

Fernanda Finotti Cordeiro Perobelli

2016-08-01

Full Text Available ABSTRACT This article discusses profitability-liquidity relationships on accounting and market levels for 872 shares of publicly-traded Brazilian companies, observed between 1994 and 2013. On the market level, the assumption is that share liquidity is able to reduce some of the risks incurred by investors, making them more willing to pay a higher price for liquid shares, which would lower expected market returns. On the accounting level, the basic hypothesis argues that a firm's holding more liquid assets is related to a conservative investment policy, possibly reducing accounting returns for shareholders. Under the assumption of financial constraint, however, more accounting liquidity would allow positive net present value investments to be carried out, increasing future accounting returns, which would positively affect market liquidity and share prices in an efficient market, resulting in a lower market risk/expected return premium. Under the assumption of no financial constraint, however, more accounting liquidity would only represent a carry cost, compromising future accounting returns, which would adversely affect market liquidity and share prices and result in a higher market risk/expected return premium. Among the hypotheses, the presence of a negative market liquidity premium was verified in Brazil, with shares that traded more exhibiting a higher expected market return. On the margins of the major theories on the subject, only two negative relationships between excess accounting liquidity and market liquidity and accounting return, supporting the carry cost assumption for financially unconstrained firms, were verified. In terms of this paper's contributions, there is the analysis, unprecedented in Brazil as far as is known, of the relationship between liquidity and return on market and accounting levels, considering the financial constraint hypothesis to which the firms are subject.

Mars ascent propulsion options for small sample return vehicles

International Nuclear Information System (INIS)

Whitehead, J. C.

1997-01-01

An unprecedented combination of high propellant fraction and small size is required for affordable-scale Mars return, regardless of the number of stages, or whether Mars orbit rendezvous or in-situ propellant options are used. Conventional space propulsion technology is too heavy, even without structure or other stage subsystems. The application of launch vehicle design principles to the development of new hardware on a tiny scale is therefore suggested. Miniature pump-fed rocket engines fed by low pressure tanks can help to meet this challenge. New concepts for engine cycles using piston pumps are described, and development issues are outlined

Risk perception of different emergencies in a sample of European firefighters.

Science.gov (United States)

Prati, Gabriele; Pietrantoni, Luca; Saccinto, Elisa; Kehl, Doris; Knuth, Daniela; Schmidt, Silke

2013-01-01

Firefighters frequently incur injuries while providing emergency services. Risk perception has been found to be associated with injury and safety behavior. This study examined risk perception of different emergency situations among firefighters. Along with risk perceptions, we investigated the role of practical experience, perceived training, tenure, and acute stress related to different emergency situations. Participants were a sample of 1324 firefighters from Germany and Italy. A questionnaire was administered to participants on risk perceptions, practical experience, perceived training, tenure, and acute stress. The results showed that different levels of risk perception are related to different practical experience, acute stress reactions, and training. Higher risk perception was associated with higher perceived training, practical experience, and acute stress reactions. A significant difference was found between the German and the Italian sample in risk perceptions. More specifically the Italian sample perceived disasters (e.g., earthquakes) as more risky. Moreover, there were some differences in perceived training and practical experience about the different emergency situations, in the two samples. The results underline the importance of considering organizational factors in the prediction of risk perception among firefighters.

Foreign portfolio capital flows and stock returns: a study of Brazilian listed firms

Directory of Open Access Journals (Sweden)

Tiago Rodrigues Loncan

2015-12-01

Full Text Available Abstract This study analyzed the effect of foreign portfolio capital flows on stock returns of Brazilian listed firms through a 6-factors APT model, in which an additional risk factor for foreign portfolio capital flows was included. First, an aggregate analysis was conducted. The partial effect of foreign portfolio capital flows on the IBOVESPA index’s returns was statistically significant and positive. Next, a disaggregate analysis was also implemented, in which portfolios of stocks were sorted by sector of economic activity, level of risk and level of corporate governance. Foreign portfolio capitals caused increases in returns especially for sectors related to commodities, industry and cyclical consumption. For the portfolios sorted by risk (in which the stocks’ betas were used as a risk parameter for sorting, foreign capitals increased the returns of mid-high and high beta portfolios, but decreased the returns of low and low-mid beta portfolios. For corporate governance portfolios, the firms listed on the Novo Mercado segment (according to BMF&Bovespa criteria experienced a statistically significant revaluation effect. Overall, the results of the study provide support to the revaluation effect hypothesis.

Multifactor analysis of multiscaling in volatility return intervals.

Science.gov (United States)

Wang, Fengzhong; Yamasaki, Kazuko; Havlin, Shlomo; Stanley, H Eugene

2009-01-01

We study the volatility time series of 1137 most traded stocks in the U.S. stock markets for the two-year period 2001-2002 and analyze their return intervals tau , which are time intervals between volatilities above a given threshold q . We explore the probability density function of tau , P_(q)(tau) , assuming a stretched exponential function, P_(q)(tau) approximately e;(-tau;(gamma)) . We find that the exponent gamma depends on the threshold in the range between q=1 and 6 standard deviations of the volatility. This finding supports the multiscaling nature of the return interval distribution. To better understand the multiscaling origin, we study how gamma depends on four essential factors, capitalization, risk, number of trades, and return. We show that gamma depends on the capitalization, risk, and return but almost does not depend on the number of trades. This suggests that gamma relates to the portfolio selection but not on the market activity. To further characterize the multiscaling of individual stocks, we fit the moments of tau , mu_(m) identical with(tautau);(m);(1m) , in the range of 10portfolio optimization.

Multifactor analysis of multiscaling in volatility return intervals

Science.gov (United States)

Wang, Fengzhong; Yamasaki, Kazuko; Havlin, Shlomo; Stanley, H. Eugene

2009-01-01

We study the volatility time series of 1137 most traded stocks in the U.S. stock markets for the two-year period 2001-2002 and analyze their return intervals τ , which are time intervals between volatilities above a given threshold q . We explore the probability density function of τ , Pq(τ) , assuming a stretched exponential function, Pq(τ)˜e-τγ . We find that the exponent γ depends on the threshold in the range between q=1 and 6 standard deviations of the volatility. This finding supports the multiscaling nature of the return interval distribution. To better understand the multiscaling origin, we study how γ depends on four essential factors, capitalization, risk, number of trades, and return. We show that γ depends on the capitalization, risk, and return but almost does not depend on the number of trades. This suggests that γ relates to the portfolio selection but not on the market activity. To further characterize the multiscaling of individual stocks, we fit the moments of τ , μm≡⟨(τ/⟨τ⟩)m⟩1/m , in the range of 10portfolio optimization.

RETURN DAN RISIKO SAHAM PADA PERUSAHAAN PERATA LABA DAN BUKAN PERATA LABA

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Dwi Putra R.A.

2013-05-01

Full Text Available Perataan laba merupakan praktik yang umum dilakukan oleh manajer perusahaan untuk mengurangi fluktuasi laba, yang diharapkan memiliki efek menguntungkan bagi evaluasi kinerja manajemen. Beberapa peneliti percaya bahwa investor memiliki lebih banyak kecenderungan untuk berinvestasi di perusahaan yang menerapkan perataan laba. Investor percaya bahwa perusahaan halus memiliki return yang berbeda dan risiko investasi. Beberapa penelitian membuktikan tentang return yang berbeda dan risiko investasi antara perusahaan perata dan bukan perata laba. Studi lainnya menyatakan bahwa tidak ada perbedaan antara perusahaan perata dan bukan perata laba. Penelitian ini mencoba untuk menguji perbedaan risiko investasi dan return antara perusahaan manufaktur perata dan bukan perata laba yang terdaftar di Bursa Efek Indonesia pada tahun 2009-2011. Perusahaan-perusahaan diklasifikasikan dengan Indeks Eckel dan pendapatan berdasarkan pendapatan operasional, laba sebelum pajak, dan laba setelah pajak. Studi ini menunjukkan bahwa tidak ada perbedaan return investasi antara perusahaan perata dan bukan perata laba. Namun, ada perbedaan dalam risiko investasi antara perusahaan perata dan bukan perata labaKata kunci: Return, Risiko, Perata laba, Beta Income smoothing is a common practice by corporate managers to reduce fluctuations in earnings, which are expected to have beneficial effects for management performance evaluation. Some researchers believe that investors have much more tendency to invest in companies that apply income smoothing. Investors believe that smoother companies have different return and risk investment.  Some studies prove about different return and risk investment between the smoother and non-smoother companies. On the other hand, the rest studies state that there is no difference between smoother and non-smoother companies. This study tries to examine the difference of investment risk and return between smoother and non-smoother manufacturing

Return to the Workforce After First Hospitalization for Heart Failure

DEFF Research Database (Denmark)

Rørth, Rasmus; Wong, Chih; Kragholm, Kristian

2016-01-01

Background: Return to work is important financially, as a marker of functional status and for self-esteem in patients developing chronic illness. We examined return to work after first heart failure (HF) hospitalization. Methods: By individual-level linkage of nationwide Danish registries, we...... with lower chance of return to work. Conclusions: Patients in the workforce before HF hospitalization had low mortality but high risk of detachment from the workforce 1 year later. Young age, male sex, and a higher level of education were predictors of return to work....

Conditional Relationship Between Beta and Return in the US Stock Market

Directory of Open Access Journals (Sweden)

Bing XIAO

2016-04-01

Full Text Available According to the CAPM, risk is measured by the beta, and the relation between required expected return and beta is linear. This paper examines the conditional relationship between beta and return in the US stock market. The conditional covariances and variances used to estimate beta are modeled as an ARCH process. The beta return relationship is tested upon the sign of the excess market return. The implication of the sign of the excess market return follows Morelli (2011. This study shows the importance of recognizing the sign of the excess market return when testing the beta-return relationship. The approach also allows us to distinguish the size effect and the effect of economic cycles.

Centralization versus decentralization as a risk-return trade-off

NARCIS (Netherlands)

Arcuri, A.; Dari-Mattiacci, G.

2010-01-01

This paper characterizes the choice between centralization and decentralization as a risk‐return trade‐off and examines it in a model that integrates ideas from committee decision‐making and portfolio theories. Centralization, by pooling expertise, rarely yields erroneous decisions; however, when it

Risk and Return under Shari’a Framework: An Attempt to Develop Shari’a Compliant Asset Pricing Model (SCAPM

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Muhammad Hanif

2011-12-01

Full Text Available A speedy emerging area of finance is the Shari’a compliant financial system. In first decade of 21st century Islamic financing has shown tremendous increase and global volume has reached to US $ 1,041 billion by the end of 2009. Being financial intermediaries Islamic Financial Institutions (IFIs have shown commendable progress in deposit collection under profit and loss sharing schemes however investment avenues are limited in comparison of conventional banks. Although a large number of financing modes are available to IFIs, yet maintenance of required liquidity is serious issue because money market and capital market is dominated by interest based instruments and conventional practices (some are clearly prohibited by Shari’a. Recently Al-meezan Investment Management Ltd. (AIML has started screening of Shari’a compliant stocks on KSE, and provided an avenue for Shari’a Compliant Investors/IFIs to invest in equities. This study is conducted to understand conventional asset pricing models, document any mismatching with Shari’a financial system, and suggest amendments if required. Findings suggest existing models of equity pricing (CAPM, APT/MFM are very much practicable under Shari’a framework with slight modification of risk free return because under Shari’a frame work risk free returns do not exist.

End-of-the-Year Economic Growth and Time-varying Expected Returns

DEFF Research Database (Denmark)

Møller, Stig Vinther; Rangvid, Jesper

. To explain these results, we show as the second main fi?nding of our paper that economic growth and growth in economic confidence (consumer con?dence and business con?dence) are strongly correlated during the fourth quarter, but not during the other quarters. In summary, we therefore show that when economic......We show that macroeconomic growth at the end of the year (fourth-quarter or December) strongly predicts the returns of the aggregate market, small- and large-cap stocks, portfolios sorted on book-to-market and dividend yields, bond returns, and international stock returns, whereas economic growth...... during the rest of the year does not predict returns. End-of-the-year economic growth rates contain considerably more information about expected returns than standard variables used to predict returns, are robust to the choice of macro variables, and work in-sample, out-of-sample, and in subsamples...

End-of-the-year economic growth and time-varying expected returns

DEFF Research Database (Denmark)

Møller, Stig Vinther; Rangvid, Jesper

. To explain these results, we show as the second main fi…nding of our paper that economic growth and growth in economic confidence (consumer con…dence and business con…dence) are strongly correlated during the fourth quarter, but not during the other quarters. In summary, we therefore show that when economic......We show that macroeconomic growth at the end of the year (fourth-quarter or December) strongly predicts the returns of the aggregate market, small- and large-cap stocks, portfolios sorted on book-to-market and dividend yields, bond returns, and international stock returns, whereas economic growth...... during the rest of the year does not predict returns. End-of-the-year economic growth rates contain considerably more information about expected returns than standard variables used to predict returns, are robust to the choice of macro variables, and work in-sample, out-of-sample, and in subsamples...

Value-at-Risk and Extreme Returns

NARCIS (Netherlands)

J. Daníelsson (Jón); C.G. de Vries (Casper)

1997-01-01

textabstractAccurate prediction of the frequency of extreme events is of primary importance in many financial applications such as Value-at-Risk (VaR) analysis. We propose a semi-parametric method for VaR evaluation. The largest risks are modelled parametrically, while smaller risks are captured by

The Application of Asymmetric Liquidity Risk Measure in Modelling the Risk of Investment

Directory of Open Access Journals (Sweden)

Garsztka Przemysław

2015-06-01

Full Text Available The article analyses the relationship between investment risk (as measured by the variance of returns or standard deviation of returns and liquidity risk. The paper presents a method for calculating a new measure of liquidity risk, based on the characteristic line. In addition, it is checked what is the impact of liquidity risk to the volatility of daily returns. To describe this relationship dynamic econometric models were used. It was found that there was an econometric relationship between the proposed measure liquidity risk and the variance of returns.

Holding Period Return-Risk Modeling: The Importance of Dividends

NARCIS (Netherlands)

W.G.P.M. Hallerbach (Winfried)

2003-01-01

textabstractIn this paper we explore the relevance of dividends in the total equity return over longer time horizons. In addition, we investigate the effects of different reinvestment assumptions of dividends. We use a unique set of revised and corrected US equity data series, comprising monthly

Predicting non-return to work in patients attending cardiac rehabilitation

DEFF Research Database (Denmark)

Samkange-Zeeb, Florence; Altenhöner, Thomas; Berg, Gabriele

2006-01-01

programme which can be integrated into existing rehabilitation programmes, we developed a screening instrument for the identification of persons at risk of not returning to work at the onset of the rehabilitation process. More than 65% of the participants who had not returned to work 6 and 12 months...

Privatized Returns and Socialized Risks: CEO Incentives, Securitization Accounting and the Financial Crisis

OpenAIRE

Fabrizi, M.; Parbonetti, A.

2013-01-01

The paper investigates the role of CEO’s equity and risk incentives in boosting securitization in the financial industry and in motivating executives to reduce the perceived risk while betting on it. Using a sample of US financial institutions over the period 2003-2009 we document that CEOs with high equity incentives have systematically engaged in securitization transactions to a larger extent than CEOs with low incentives. We also show that CEOs with high equity and risk-related incentives ...

Pricing Volatility of Stock Returns with Volatile and Persistent Components

DEFF Research Database (Denmark)

Zhu, Jie

In this paper a two-component volatility model based on the component's first moment is introduced to describe the dynamic of speculative return volatility. The two components capture the volatile and persistent part of volatility respectively. Then the model is applied to 10 Asia-Pacific stock m......, a positive or risk-premium effect exists between return and the volatile component, yet the persistent component is not significantly priced for return dynamic process....... markets. Their in-mean effects on return are also tested. The empirical results show that the persistent component accounts much more for volatility dynamic process than the volatile component. However the volatile component is found to be a significant pricing factor of asset returns for most markets...

Household portfolios and implicit risk aversion

NARCIS (Netherlands)

Bucciol, A.; Miniaci, R.

2008-01-01

We derive from a sample of US households the distribution of the risk aversion implicit in their portfolio choice. Our estimate minimizes the distance between the certainty equivalent return generated with observed portfolios and portfolios that are optimal in a mean-variance framework. Taking into

Comparative Analysis of Risk, Return and Diversification of Mutual Fund

Directory of Open Access Journals (Sweden)

Rais Ahmad

2015-01-01

Full Text Available Mutual Funds have become a widely popular and effective way for investors to participate in financial markets in an easy, low-cost fashion, while muting risk characteristics by spreading the investment across different types of securities, also known as diversification. It can play a central role in an individual's investment strategy. With the plethora of schemes available in the Indian markets, an investors needs to evaluate and consider various factors before making an investment decision. The present investigation is aimed to examine the performance of safest investment instrument in the security market in the eyes of investors. Five mutual fund large cap scheme have been selected for this purpose. The examination is achieved by assessing various financial tests like Sharpe Ratio, Standard Deviation, Alpha, and Beta. Furthermore, in-depth analysis also has been done by considering return over the period of last five years on various basis, expenses ratio, corpus-size etc. The data has been taken from various websites of mutual fund schemes and from www.valueresearch.com. The study will be helpful for the researchers and financial analysts to analyze various securities or funds while selecting the best investment alternative out of the galaxy of investment alternatives.

Risk Gambling and Personality: Results from a Representative Swedish Sample.

Science.gov (United States)

Sundqvist, Kristina; Wennberg, Peter

2015-12-01

The association between personality and gambling has been explored previously. However, few studies are based on representative populations. This study aimed at examining the association between risk gambling and personality in a representative Swedish population. A random Swedish sample (N = 19,530) was screened for risk gambling using the Lie/Bet questionnaire. The study sample (N = 257) consisted of those screening positive on Lie/Bet and completing a postal questionnaire about gambling and personality (measured with the NODS-PERC and the HP5i respectively). Risk gambling was positively correlated with Negative Affectivity (a facet of Neuroticism) and Impulsivity (an inversely related facet of Conscientiousness), but all associations were weak. When taking age and gender into account, there were no differences in personality across game preference groups, though preferred game correlated with level of risk gambling. Risk gamblers scored lower than the population norm data with respect to Negative Affectivity, but risk gambling men scored higher on Impulsivity. The association between risk gambling and personality found in previous studies was corroborated in this study using a representative sample. We conclude that risk and problem gamblers should not be treated as a homogeneous group, and prevention and treatment interventions should be adapted according to differences in personality, preferred type of game and the risk potential of the games.

EMPIRICAL DISTRIBUTION OF STOCK RETURNS OF SOUTHEAST EUROPEAN EMERGING MARKETS

Directory of Open Access Journals (Sweden)

Aleksandar Naumoski

2017-06-01

Full Text Available The assumption that equity returns follow the normal distribution, most commonly made in financial economics theory and applications, is strongly rejected by empirical evidence presented in this paper. As it was found in many other studies, we confirm that stock returns follow a leptokurtic distribution and skewness, which in most of the Southeast European (SEE markets is negative. This paper investigates further whether there is any distribution that may be considered an optimal fit for stock returns in the SEE region. Using daily, weekly and monthly data samples for a period of five years from ten Southeast European emerging countries, we applied the Anderson-Darling test of Goodness-of-fit. We strongly rejected the aforementioned assumption of normality for all considered data samples and found that the daily stock returns are best fitted by the Johnson SU distribution whereas for the weekly and monthly stock returns there was not one predominant, but many distributions that can be considered a best fit.

Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices

Directory of Open Access Journals (Sweden)

David Ardia

2016-03-01

Full Text Available We investigate the direct connection between the uncertainty related to estimated stable ratios of stock prices and risk and return of two pairs trading strategies: a conditional statistical arbitrage method and an implicit arbitrage one. A simulation-based Bayesian procedure is introduced for predicting stable stock price ratios, defined in a cointegration model. Using this class of models and the proposed inferential technique, we are able to connect estimation and model uncertainty with risk and return of stock trading. In terms of methodology, we show the effect that using an encompassing prior, which is shown to be equivalent to a Jeffreys’ prior, has under an orthogonal normalization for the selection of pairs of cointegrated stock prices and further, its effect for the estimation and prediction of the spread between cointegrated stock prices. We distinguish between models with a normal and Student t distribution since the latter typically provides a better description of daily changes of prices on financial markets. As an empirical application, stocks are used that are ingredients of the Dow Jones Composite Average index. The results show that normalization has little effect on the selection of pairs of cointegrated stocks on the basis of Bayes factors. However, the results stress the importance of the orthogonal normalization for the estimation and prediction of the spread—the deviation from the equilibrium relationship—which leads to better results in terms of profit per capital engagement and risk than using a standard linear normalization.

Normal return and efficient operation of the electric grid monopolies; Normalavkastning og effektiv drift for nettmonopolene

Energy Technology Data Exchange (ETDEWEB)

Skjeret, Frode Andre

2001-07-01

This report deals with the size of the risk premium for electric grid operation in Norway. The size of the companies' risk premium must reflect the market requirements on return compensation (for normal investment risk), adjusted for the return risk for this type of enterprise. The return risk of the grid companies is discussed using two approaches, one theoretical and one empirical. This implies an empirical analysis of comparable foreign companies and an examination of the Norwegian regulatory regime. It is concluded that the regulatory authority is using too small an estimate for the risk premium when determining the capital income of the Norwegian utilities. The report also discusses the principles for valuation of the capital base.

The Returns on Investment Grade Diamonds

NARCIS (Netherlands)

Renneboog, L.D.R.

2013-01-01

Abstract: This paper examines the risk-return characteristics of investment grade gems (white diamonds, colored diamonds and other types of gems including sapphires, rubies, and emeralds). The transactions are coming from gem auctions and span the period 1999-2012. Over our time frame, the annual

Developing predictive models for return to work using the Military Power, Performance and Prevention (MP3) musculoskeletal injury risk algorithm: a study protocol for an injury risk assessment programme.

Science.gov (United States)

Rhon, Daniel I; Teyhen, Deydre S; Shaffer, Scott W; Goffar, Stephen L; Kiesel, Kyle; Plisky, Phil P

2018-02-01

Musculoskeletal injuries are a primary source of disability in the US Military, and low back pain and lower extremity injuries account for over 44% of limited work days annually. History of prior musculoskeletal injury increases the risk for future injury. This study aims to determine the risk of injury after returning to work from a previous injury. The objective is to identify criteria that can help predict likelihood for future injury or re-injury. There will be 480 active duty soldiers recruited from across four medical centres. These will be patients who have sustained a musculoskeletal injury in the lower extremity or lumbar/thoracic spine, and have now been cleared to return back to work without any limitations. Subjects will undergo a battery of physical performance tests and fill out sociodemographic surveys. They will be followed for a year to identify any musculoskeletal injuries that occur. Prediction algorithms will be derived using regression analysis from performance and sociodemographic variables found to be significantly different between injured and non-injured subjects. Due to the high rates of injuries, injury prevention and prediction initiatives are growing. This is the first study looking at predicting re-injury rates after an initial musculoskeletal injury. In addition, multivariate prediction models appear to have move value than models based on only one variable. This approach aims to validate a multivariate model used in healthy non-injured individuals to help improve variables that best predict the ability to return to work with lower risk of injury, after a recent musculoskeletal injury. NCT02776930. Published by the BMJ Publishing Group Limited. For permission to use (where not already granted under a licence) please go to http://www.bmj.com/company/products-services/rights-and-licensing/.

Asset securitization and rate of return: A study on letters of guarantee

Science.gov (United States)

Wu, Binghui

2018-01-01

Using the theory of asset securitization, we analyze the feasibility of the securitization of letters of guarantee in theory. In the process of constructing the model of rate of return of securities backed by letters of guarantee, we propose two indices: the risk probability of asset-backed securities and the loss rate of asset-backed securities to analyze the cash flow of securities. On the basis of no arbitrage principle, the expression of rate of return of securities backed by letters of guarantee is put forward. In order to study the relationship between the rate of return of securities and other influential factor in the model, a simulation experiment is designed. The experiment results show that (i) an increasing risk probability of cash flow or a short maturity date also make the return rate of securities increase and (ii) the return rate of securities is higher in economic boom than that in economic recession when other parameters remain unchanged.

Simulation of investment returns of toll projects.

Science.gov (United States)

2013-08-01

This research develops a methodological framework to illustrate key stages in applying the simulation of investment returns of toll projects, acting as an example process of helping agencies conduct numerical risk analysis by taking certain uncertain...

Fluctuation behaviors of financial return volatility duration

Science.gov (United States)

Niu, Hongli; Wang, Jun; Lu, Yunfan

2016-04-01

It is of significantly crucial to understand the return volatility of financial markets because it helps to quantify the investment risk, optimize the portfolio, and provide a key input of option pricing models. The characteristics of isolated high volatility events above certain threshold in price fluctuations and the distributions of return intervals between these events arouse great interest in financial research. In the present work, we introduce a new concept of daily return volatility duration, which is defined as the shortest passage time when the future volatility intensity is above or below the current volatility intensity (without predefining a threshold). The statistical properties of the daily return volatility durations for seven representative stock indices from the world financial markets are investigated. Some useful and interesting empirical results of these volatility duration series about the probability distributions, memory effects and multifractal properties are obtained. These results also show that the proposed stock volatility series analysis is a meaningful and beneficial trial.

Respiratory health as a predictor of questionnaire return in a sample of United States underground coal miners

Energy Technology Data Exchange (ETDEWEB)

Trent, R B; Ames, R G

1987-06-01

A logistic model was used to analyse questionnaire return in a postal survey of 311 coalminers, who had left their place of employment between 1977 and 1982. Three measures of respiratory health, obstruction, restriction, and presence of chronic bronchitis symptoms, were included in the model as predictors together with the possibly confounding factors of age, education and marital and smoking status. Age was positively associated with questionnaire return (p<0.001). Speed of return, and whether the return was in response to a prompt, were not predicted by either the respiratory health measures or any of the other possibly confounding variables. 47 refs., 2 tabs.

Pricing Volatility of Stock Returns with Volatile and Persistent Components

DEFF Research Database (Denmark)

Zhu, Jie

2009-01-01

This paper introduces a two-component volatility model based on first moments of both components to describe the dynamics of speculative return volatility. The two components capture the volatile and the persistent part of volatility, respectively. The model is applied to 10 Asia-Pacific stock ma...... markets. A positive or risk-premium effect exists between the return and the volatile component, yet the persistent component is not significantly priced for the return dynamic process....... markets. Their in-mean effects on returns are tested. The empirical results show that the persistent component is much more important for the volatility dynamic process than is the volatile component. However, the volatile component is found to be a significant pricing factor of asset returns for most...

Earth-return trajectory options for the 1985-86 Halley opportunity

Science.gov (United States)

Farquhar, R. W.; Dunham, D. W.

1982-01-01

A unique and useful family of ballistic trajectories to Halley's comet is described. The distinguishing feature of this family is that all of the trajectories return to the Earth's vicinity after the Halley intercept. It is shown that, in some cases, the original Earth-return path can be reshaped by Earth-swingby maneuvers to achieve additional small-body encounters. One mission profile includes flybys of the asteroid Geographos and comet Tempel-2 following the Halley intercept. Dual-flyby missions involving comets Encke and Borrelly and the asteroid Anteros are also discussed. Dust and gas samples are collected during the high-velocity (about 70 km/sec) flythrough of Halley, and then returned to a high-apogee Earth orbit. Aerobraking maneuvers are used to bring the sample-return spacecraft to a low-altitude circular orbit where it can be recovered by the Space Shuttle.

The price of correlation risk:evidence from Chinese stock market

Institute of Scientific and Technical Information of China (English)

Yiwen Deng; Chen Liu; Zhenlong Zheng

2014-01-01

Purpose-The purpose of this paper is to study how the market correlation changes in Chinese stock market and how the market correlation affects stock returns.Design/methodology/approach-The authors first examine the relationship between the market correlation and the market return.Then,the authors run formal multiple regressions to see whether correlation risk is priced in security returns.Findings-The authors find that market correlation increases when the market index falls down.Though market correlation risk is partly influenced by macroeconomic shocks,volatility risk,liquidity risk and higher moment risk,market correlation contains unique information that measures the benefit investors gain from diversification strategies.The market correlation risk is negatively priced.This conclusion remains valid even if the authors have considered the influence of other risk factors and the impact of conditional information.Research limitations/implications-Subjected to the limited history of the Chinese stock market,the authors cannot use more accurate and specific empirical methodology to fulfill the empirical research.And this renders further study.Originality/value-This research provides empirical evidence in a new data sample and it sheds lights on correlation strategies for institutional investors in China.

How risky do I invest : the role of risk attitudes, risk perceptions, and overconfidence

OpenAIRE

Nosic, Alen; Weber, Martin

2010-01-01

Our study analyzes the determinants of investors' risk taking behavior. We find that investors' risk taking behavior is affected by their subjective risk attitude and by the risk and return of an investment alternative. Our results also suggest that consistent with previous findings in the literature objective or historical return and volatility of a stock are not as good predictors of risk taking behavior as subjective risk and return measures. Moreover, we illustrate that overconfidence or ...

Inactive nurses in Taiwan: human capital, intention to return to hospital nursing, and incentives for returning.

Science.gov (United States)

Yu, Hsing-Yi; Tang, Fu-In; Chen, I-Ju; Yin, Teresa J C; Chen, Chu-Chieh; Yu, Shu

2016-04-01

To investigate inactive nurses' human capital, intention to return to hospital nursing and incentives for returning. Few studies have discussed the loss of human capital with regard to inactive nurses and how to attract them to return to clinical work. Systematic random sampling was used, with 328 subjects completing the mailed questionnaires, resulting in a response rate of 25.4%. Inactive nurses not only had moderate to high human capital (average years of nursing experience was 10.29, with moderate to high levels of nursing professional commitment and nursing competence) and were young. Forty-three percent of subjects reported intending to return to hospital nursing. Sufficient nurse staffing, greater safety in the working environment, and re-entry preparation programmes were incentives for returning. Recruiting inactive nurses back to hospital work is vital and feasible as inactive nurses had a moderate to high degree of human capital. The most feasible way is offering reasonable working conditions, in particular, providing sufficient staffing, a safe working environment and re-entry preparation programmes. The findings confirm the human capital of inactive nurses and provide concrete directions for nursing managers to follow when recruiting inactive nurses to hospital nursing. © 2015 John Wiley & Sons Ltd.

Modelling the return distribution of salmon farming companies : a quantile regression approach

OpenAIRE

Jacobsen, Fredrik

2017-01-01

The salmon farming industry has gained increased attention from investors, portfolio managers, financial analysts and other stakeholders the recent years. Despite this development, very little is known about the risk and return of salmon farming company stocks, and especially how the relationship between risk and return varies under different market conditions, given the volatile nature of the salmon farming industry. We approach this problem by using quantile regression to examine the relati...

RESEARCH OF BETA AS ADEQUATE RISK MEASURE-IS BETA STILL ALIVE?

Directory of Open Access Journals (Sweden)

Ante Perković

2011-02-01

Full Text Available The capital asset pricing model (CAPM is one of the most important models in financial economics and it has a long history of theoretical and empirical investigations. The main underlying concept of the CAPM model is that assets with a high risk (high beta should earn a higher return than assets with a low risk (low beta and vice versa. The implication which can be drawn out of this is that all assets with a beta above zero bear some risk and therefore their expected return is above the return of the risk-free rate. In this research observation on monthly stock prices on Croatian stock market from January 1st 2005 until December 31st 2009 is used to form our sample. CROBEX index is used as proxy of the market portfolio. The results demonstrate that beta can not be trusted in making investment decisions and rejects the validity of the whole CAPM model on Croatian stock market.

[Psychiatric Inpatient Treatment and Return to Work].

Science.gov (United States)

Mernyi, Lena; Hölzle, Patricia; Hamann, Johannes

2017-05-12

Objective People with mental diseases have a high risk of unemployment and they have only limited access to the labor market. The return to work is often associated with fears.The present study aims to provide an overview of the number of hospitalized psychiatric patients with permanent employment. Moreover it should give an insight into the process of return to work, the experiences patients gain and the support they receive. Methods In the participating clinics we measured the number of patients with permanent employment. The main inclusion criteria for further survey were the status of permanent employment and age between 18 and 65. The participating patients were interviewed on two occasions, at the time of inclusion and 3 months after the patient was discharged. The questions addressed working conditions, job satisfaction and the process of return-to-work. For statistical analysis, descriptive statistics (frequencies, means, standard deviations) were used. Results Only 21 % of n = 815 inpatients of the participating hospitals were permanently employed. Many patients did not return to work after being discharged. In many cases the interviewed patients saw a connection between their job and their current episode of illness. In this context patients reported unsatisfying workplace conditions such as long working hours, bad work organization and social conflicts. Conclusions For mentally ill patients, the employment rate in the primary labor market is devastating low. After psychiatric inpatient treatment patients are at high risk to lose their jobs. In order to prevent this development, work-related stress factors should be discussed with inpatients at an early stage and support should be provided during the return-to-work-process. © Georg Thieme Verlag KG Stuttgart · New York.

2016 Consensus statement on return to sport from the First World Congress in Sports Physical Therapy, Bern

DEFF Research Database (Denmark)

Ardern, Clare L; Glasgow, Philip; Schneiders, Anthony

2016-01-01

evidence to make recommendations for return to sport decision-making, clinical practice and future research directions related to returning athletes to sport. A half day meeting was held in Bern, Switzerland, after the First World Congress in Sports Physical Therapy. 17 expert clinicians participated. 4...... sense of individual factors that may influence the athlete's return to sport, and the Strategic Assessment of Risk and Risk Tolerance framework may help decision-makers synthesise information to make an optimal return to sport decision. Research evidence to support return to sport decisions in clinical...... practice is scarce. Future research should focus on a standardised approach to defining, measuring and reporting return to sport outcomes, and identifying valuable prognostic factors for returning to sport....

ANALISIS PENGARUH KINERJA KEUANGAN, MANAJEMEN RISIKO DAN MANAJEMEN MODAL KERJA TERHADAP RETURN SAHAM

Directory of Open Access Journals (Sweden)

Dwian Wahyu Prabawa

2017-04-01

Full Text Available Level stock returns telecommunications in Indonesia is influenced by various factors such as financial performance, risk management and working capital management. The purpose of this research was to analyze the influence of financial performance through parameters Debt to Equity Ratio (DER, Return On Investment (ROI, Current Ratio (CR dan Total Assets Turn Over (TATO. Risk management using parameters (interest rate and working capital management using parameters Cash Conversion Cycle (CCC. The population in this study is a telecommunications companies listed in Indonesia Stock Exchange 2010-2013. In analyzing the effect of variable DER, ROI, CR, TATO, ir and CCC using multiple linear regression. The analysis showed that the Debt to Equity Ratio (DER has effect on stock returns with significant value 0,009, Return on Investment (ROI has effect on stock returns with significant value 0,006. And Total Asset Turn Over (TATO has effect on stock returns with significant value 0,025. While the Current Ratio (CR ,interest rate, and Cash Conversion Cycle not effect on stock returns with significant value 0,403; 0,047; 0,977. All the independent variables simultaneously affect the stock on telecommunication companies.

The effect of maternity leave length and time of return to work on breastfeeding.

Science.gov (United States)

Ogbuanu, Chinelo; Glover, Saundra; Probst, Janice; Liu, Jihong; Hussey, James

2011-06-01

We investigated the effect of maternity leave length and time of first return to work on breastfeeding. Data were from the Early Childhood Longitudinal Study-Birth Cohort. Restricting our sample to singletons whose biological mothers were the respondents at the 9-month interview and worked in the 12 months before delivery (N = 6150), we classified the length of total maternity leave (weeks) as 1 to 6, 7 to 12, ≥ 13, and did not take; paid maternity leave (weeks) as 0, 1 to 6, ≥ 7, and did not take; and time of return to work postpartum (weeks) as 1 to 6, 7 to 12, ≥ 13, and not yet returned. Analyses included χ(2) tests and multiple logistic regressions. In our study population, 69.4% initiated breastfeeding with positive variation by both total and paid maternity leave length, and time of return to work. In adjusted analyses, neither total nor paid maternity leave length had any impact on breastfeeding initiation or duration. Compared with those returning to work within 1 to 6 weeks, women who had not yet returned to work had a greater odds of initiating breastfeeding (odds ratio [OR]: 1.46 [1.08-1.97]; risk ratios [RR]: 1.13 [1.03-1.22]), continuing any breastfeeding beyond 6 months (OR: 1.41 [0.87-2.27]; RR: 1.25 [0.91-1.61]), and predominant breastfeeding beyond 3 months (OR: 2.01 [1.06-3.80]; RR: 1.70 [1.05-2.53]). Women who returned to work at or after 13 weeks postpartum had higher odds of predominantly breastfeeding beyond 3 months (OR: 2.54 [1.51-4.27]; RR: 1.99 [1.38-2.69]). If new mothers delay their time of return to work, then duration of breastfeeding among US mothers may lengthen.

Risk-Based Sampling: I Don't Want to Weight in Vain.

Science.gov (United States)

Powell, Mark R

2015-12-01

Recently, there has been considerable interest in developing risk-based sampling for food safety and animal and plant health for efficient allocation of inspection and surveillance resources. The problem of risk-based sampling allocation presents a challenge similar to financial portfolio analysis. Markowitz (1952) laid the foundation for modern portfolio theory based on mean-variance optimization. However, a persistent challenge in implementing portfolio optimization is the problem of estimation error, leading to false "optimal" portfolios and unstable asset weights. In some cases, portfolio diversification based on simple heuristics (e.g., equal allocation) has better out-of-sample performance than complex portfolio optimization methods due to estimation uncertainty. Even for portfolios with a modest number of assets, the estimation window required for true optimization may imply an implausibly long stationary period. The implications for risk-based sampling are illustrated by a simple simulation model of lot inspection for a small, heterogeneous group of producers. © 2015 Society for Risk Analysis.

Dependence between Stock Returns of Italian Banks and the Sovereign Risk

Directory of Open Access Journals (Sweden)

Fabrizio Durante

2017-06-01

Full Text Available We analyze the interdependence between the government yield spread and stock returns of the banking sector in Italy during the years 2003–2015. In a first step, we find that the Spearman’s rank correlation between the yield spread and the Italian banking system changed significantly after September 2008. According to this finding, we split the time window in two sub-periods. While we show that the dependence between the banking industry and changes in the yield spread increased significantly in the second time interval, we find no contagion effects from changes in the yield spread to returns of the banking system.

Contamination risk of stable isotope samples during milling.

Science.gov (United States)

Isaac-Renton, M; Schneider, L; Treydte, K

2016-07-15

Isotope analysis of wood is an important tool in dendrochronology and ecophysiology. Prior to mass spectrometry analysis, wood must be homogenized, and a convenient method involves a ball mill capable of milling samples directly in sample tubes. However, sample-tube plastic can contaminate wood during milling, which could lead to biological misinterpretations. We tested possible contamination of whole wood and cellulose samples during ball-mill homogenization for carbon and oxygen isotope measurements. We used a multi-factorial design with two/three steel milling balls, two sample amounts (10 mg, 40 mg), and two milling times (5 min, 10 min). We further analyzed abrasion by milling empty tubes, and measured the isotope ratios of pure contaminants. A strong risk exists for carbon isotope bias through plastic contamination: the δ(13) C value of polypropylene deviated from the control by -6.77‰. Small fibers from PTFE filter bags used during cellulose extraction also present a risk as the δ(13) C value of this plastic deviated by -5.02‰. Low sample amounts (10 mg) showed highest contamination due to increased abrasion during milling (-1.34‰), which is further concentrated by cellulose extraction (-3.38‰). Oxygen isotope measurements were unaffected. A ball mill can be used to homogenize samples within test tubes prior to oxygen isotope analysis, but not prior to carbon or radiocarbon isotope analysis. There is still a need for a fast, simple and contamination-free sample preparation procedure. Copyright © 2016 John Wiley & Sons, Ltd. Copyright © 2016 John Wiley & Sons, Ltd.

Are fund of hedge fund returns asymmetric?

OpenAIRE

Lynch, Margaret; Hutson, Elaine; Stevenson, Max

2004-01-01

We examine the return distributions of 332 funds of hedge funds and associated indices. Over half of the sample is significantly skewed according to the skewness statistic, and these are split 50/50 positive and negative. However, we argue that the skewness statistic can lead to erroneous inferences regarding the nature of the return distribution, because the test statistic is based on the normal distribution. Using a series of tests that make minimal assumptions about the shape of the ...

Predictability of Equity REIT Returns: Implications for Property Tactical Asset Allocation

OpenAIRE

John Okunev; Patrick J. Wilson

2008-01-01

This study presents further evidence of the predictability of excess equity REIT (real estate investment trust) returns. Recent evidence on forecasting excess returns using fundamental variables has resulted in diminishing returns from the 1990’s onward. Trading strategies based on these forecasts have not significantly outperformed the buy/hold strategy of the 1990’s. We have developed an alternative strategy that is based on the time variation of the risk premium of investors. Our results i...

Investing in Cognac Producing Vineyards to Hedge Wealth While Receiving High Returns

OpenAIRE

Hakob Hakobyan

2015-01-01

The general trend over the last decade for investments has been moving towards emerging markets, where investors are promised high returns for risky investments. These kind of investments favor the brave and bold, but are frightening for the risk averse. In this paper I will be presenting the opportunities that an investment into cognac producing vineyards can offer. High return and relatively low risk investment opportunities that exists in France. Included in the paper will be examples of l...

PORTOFOLIO MARKOWITZ: UJI OPTIMAL HOLDING PERIOD DAN KINERJA PORTOFOLIO BERDASARKAN KRITERIA RISIKO DAN TARGET RETURN

Directory of Open Access Journals (Sweden)

Andi Ivand Markemo Boangmanalu

2017-04-01

Full Text Available The concept of mean-variance optimization, developed by Markowitz, is the cornerstone of modern finance theory. The objective of this portfolio construction is to minimize investment risk by forming optimal portfolios. Dynamic movement in capital markets requires not only changes in portfolio composition. Optimal portfolio is not only determined by the covariance between securities in the portfolio, but also by holding period. The aims of this study is to answer two research questions. The first research question is how long the optimal holding period that was resulted from trade-off between risk and return. This study using target return that are determined hypothetically as well as the risk criteria are divided into 3 namely the mean variance, semivarians and expected loss. Target returns are simulated in this study were divided into 3 criteria namely aggressive, moderate and conservative. The second research question is whether there are differences among the various portfolio performance based on criteria of risk and target return. Portfolio performance is measured by using excess return and the Sharpe index. In this study, stocks covered in LQ-45 index are used to construct efficient portoflio. Monthly price series for company and LQ-45 index for February 2004 to September 2008 are collected. The analysis found that optimal holing period is ranges between 1-5 months. Holding period of a portfolio that more than 5 months will provide risk and return trade-off less favorable. In addition this study found that there was no significant differences in portfolio performance based on overall scenarios

On the common risk explanation of the size-related premiums

DEFF Research Database (Denmark)

de Oliveira Souza, Thiago

2018-01-01

to be marginally significant even in low risk states while the size premium is only significant in high risk states. This state dependence explains the out-of-sample R2 of around 29% for forecasts of the returns on the SMB portfolio, but only 7% for the HML portfolio compared to their historical means....

The risk-return profile of Lithuanian private pension funds

Czech Academy of Sciences Publication Activity Database

Kabašinskas, A.; Šutienė, K.; Kopa, Miloš; Valakevičius, E.

2017-01-01

Roč. 30, č. 1 (2017), s. 1611-1630 ISSN 1331-677X R&D Projects: GA ČR GA13-25911S Institutional support: RVO:67985556 Keywords : Pension system reform * private pension funds * performance ratios * risk– return measuring * clustering Subject RIV: AH - Economics OBOR OECD: Finance Impact factor: 0.742, year: 2016 http://library.utia.cas.cz/separaty/2017/E/kopa-0483752.pdf

Risk of African swine fever introduction into the European Union through transport-associated routes: returning trucks and waste from international ships and planes

Directory of Open Access Journals (Sweden)

Mur Lina

2012-08-01

Full Text Available Abstract Background The uncontrolled presence of African swine fever (ASF in Russian Federation (RF poses a serious risk to the whole European Union (EU pig industry. Although trade of pigs and their products is banned since the official notification in June 2007, the potential introduction of ASF virus (ASFV may occur by other routes, which are very frequent in ASF, and more difficult to control, such as contaminated waste or infected vehicles. This study was intended to estimate the risk of ASFV introduction into the EU through three types of transport routes: returning trucks, waste from international ships and waste from international planes, which will be referred here as transport-associated routes (TAR. Since no detailed and official information was available for these routes, a semi-quantitative model based on the weighted combination of risk factors was developed to estimate the risk of ASFV introduction by TAR. Relative weights for combination of different risk factors as well as validation of the model results were obtained by an expert opinion elicitation. Results Model results indicate that the relative risk for ASFV introduction through TAR in most of the EU countries (16 is low, although some countries, specifically Poland and Lithuania, concentrate high levels of risk, the returning trucks route being the analyzed TAR that currently poses the highest risk for ASFV introduction into the EU. The spatial distribution of the risk of ASFV introduction varies importantly between the analyzed introduction routes. Results also highlight the need to increase the awareness and precautions for ASF prevention, particularly ensuring truck disinfection, to minimize the potential risk of entrance into the EU. Conclusions This study presents the first assessment of ASF introduction into the EU through TAR. The innovative model developed here could be used in data scarce situations for estimating the relative risk associated to each EU country

Risk of African swine fever introduction into the European Union through transport-associated routes: returning trucks and waste from international ships and planes.

Science.gov (United States)

Mur, Lina; Martínez-López, Beatriz; Sánchez-Vizcaíno, José Manuel

2012-08-30

The uncontrolled presence of African swine fever (ASF) in Russian Federation (RF) poses a serious risk to the whole European Union (EU) pig industry. Although trade of pigs and their products is banned since the official notification in June 2007, the potential introduction of ASF virus (ASFV) may occur by other routes, which are very frequent in ASF, and more difficult to control, such as contaminated waste or infected vehicles. This study was intended to estimate the risk of ASFV introduction into the EU through three types of transport routes: returning trucks, waste from international ships and waste from international planes, which will be referred here as transport-associated routes (TAR). Since no detailed and official information was available for these routes, a semi-quantitative model based on the weighted combination of risk factors was developed to estimate the risk of ASFV introduction by TAR. Relative weights for combination of different risk factors as well as validation of the model results were obtained by an expert opinion elicitation. Model results indicate that the relative risk for ASFV introduction through TAR in most of the EU countries (16) is low, although some countries, specifically Poland and Lithuania, concentrate high levels of risk, the returning trucks route being the analyzed TAR that currently poses the highest risk for ASFV introduction into the EU. The spatial distribution of the risk of ASFV introduction varies importantly between the analyzed introduction routes. Results also highlight the need to increase the awareness and precautions for ASF prevention, particularly ensuring truck disinfection, to minimize the potential risk of entrance into the EU. This study presents the first assessment of ASF introduction into the EU through TAR. The innovative model developed here could be used in data scarce situations for estimating the relative risk associated to each EU country. This simple methodology provides a rapid and easy to

Return Rates for Needle Exchange Programs: A Common Criticism Answered

Directory of Open Access Journals (Sweden)

Ksobiech Kate

2004-04-01

Full Text Available Abstract This study searched the available needle exchange program (NEP literature for return rate data. A total of 26 articles were found. The overall worldwide return rate was 90%, although this ranged from a low of 15% to a high of 112%. U.S. NEP return rates were gathered from only eight studies, indicating a clear need for more data, although U.S. return rates were comparable to those from NEPs outside of the U.S. One underlying assumption made by opponents of NEPs is that IDUs will not return needles to the distribution site, thereby potentially increasing the risk of health problems to the surrounding community from exposure to contaminated needles. This study's results suggest that NEPs are relatively successful in taking in used needles, although it is generally unclear where the needles were originally acquired, and if IDUs return their own needles, or are returning needles for a social network. Ways for AIDS Service Organizations to capitalize on these brief encounters with IDUs, as well as public policy implications of the findings, are discussed.

Mars Sample Return Orbiter Rapid Architecture Study

Science.gov (United States)

Godfrey, A.; Johnson, M.; Stroud, C.

2018-04-01

An overview of rapid systems analysis (mass, risk, and schedule) on 1000s of MSRO configurations to understand key technologies and feasible options. Can we generate enough power? Can we aerobrake in time? Are some technology elements just too risky?

Risk factors for sickness absence due to low back pain and prognostic factors for return to work in a cohort of shipyard workers

NARCIS (Netherlands)

E.C. Alexopoulos (Evangelos); E.C. Konstantinou (Eleni); G. Bakoyannis (Giorgos); D. Tanagra (Dimitra); A. Burdorf (Alex)

2008-01-01

textabstractThe purpose of this study was to determine risk factors for the occurrence of sickness absence due to low back pain (LBP) and to evaluate prognostic factors for return to work. A longitudinal study with 1-year follow-up was conducted among 853 shipyard workers. The cohort was drawn

Cost Efficiency and Returns to Scope in Italian Investment Firms

OpenAIRE

Marcello Basili; Fulvio Fontini

2005-01-01

This paper estimates cost efficiency and returns to scope of Italian investment firms during the period 1998-2002, following the stochastic frontier function approach. Results indicate a large inefficiency for Italian investment firms (with a high standard deviation across sample) and the absence of significant returns to scope

DETERMINANTS OF RETURN ON EQUITY OF COOPERATIVE BANKS IN POLAND

Directory of Open Access Journals (Sweden)

Anna Bieniasz

2016-03-01

Full Text Available The aim of the study was to analyse the diversity of return on equity in the cooperative banks in Poland in 2010– 2014. The analysis was conducted using data of the Polish Financial Supervision Authority, on the basis of a modifi ed decomposition rate of return on equity. Assessment of the rate of return on equity was made in a size of banks, as determined by the value of assets. In addition, in order to determine the strength and direction of impact the individual components of the model on the formation of return on equity method was applied functional. The study suggests that cooperative banks eff ectively use the equity, because the rate of return on equity was signifi cantly higher than the rate of return on assets. The average return on assets in 2010–2014 was relatively lower in the largest banks and ranged from 0.7–0.9%, and the smallest banks return on assets was approximately 1%. In turn, the return on equity was higher at banks with major assets (over 200 million PLN. In 2013–2014 the rate of return both on assets and equity expressly declined. The main determinants of changes in return on equity were changing the multiplier reduction of profi t from banking activities by operating costs and costs of banking risk and return on assets, as well as measured result on banking activities.

Sample Transport for a European Sample Curation Facility

Science.gov (United States)

Berthoud, L.; Vrublevskis, J. B.; Bennett, A.; Pottage, T.; Bridges, J. C.; Holt, J. M. C.; Dirri, F.; Longobardo, A.; Palomba, E.; Russell, S.; Smith, C.

2018-04-01

This work has looked at the recovery of Mars Sample Return capsule once it arrives on Earth. It covers possible landing sites, planetary protection requirements, and transportation from the landing site to a European Sample Curation Facility.

Formation of the portfolio of high-rise construction projects on the basis of optimization of «risk-return» rate

OpenAIRE

Uvarova Svetlana; Kutsygina Olga; Smorodina Elena; Gumba Khuta

2018-01-01

The effectiveness and sustainability of an enterprise are based on the effectiveness and sustainability of its portfolio of projects. When creating a production program for a construction company based on a portfolio of projects and related to the planning and implementation of initiated organizational and economic changes, the problem of finding the optimal "risk-return" ratio of the program (portfolio of projects) is solved. The article proposes and approves the methodology of forming a por...

Housing market volatility in the OECD area: Evidence from VAR based return decompositions

DEFF Research Database (Denmark)

Engsted, Tom; Pedersen, Thomas Quistgaard

. For the majority of countries news about future returns is the main driver, and both real interest rates and risk premia play an important role in accounting for housing market volatility. Bivariate cross-country correlations and principal components analyses indicate that part of the return movements have......Vector-autoregressive models are used to decompose housing returns in 18 OECD countries into cash ‡ow (rent) news and discount rate (return) news. Only for two countries - Germany and Ireland - do changing expectations of future rents play a dominating role in explaining housing return volatility...... a common factor among the majority of countries. However, in a minority of countries (Germany, Japan, and the Netherlands) return movements have been basically unrelated to return movements in other countries....

Investing: reducing risks to enhance returns.

Science.gov (United States)

West, J; Glickman, S; Seidner, A G

1996-09-01

The financial assets of a healthcare organization can present many opportunities for investment. In order to develop a profitable investment program that avoids risky speculation, however, healthcare financial managers must fully understand the nature and risks of their organizations' investments. They must define and monitor their investment objectives, limitations, levels of acceptable risk and policies and conditions through a statement of investment policy and comprehensive investment guidelines.

Implementing reduced-risk integrated pest management in fresh-market cabbage: improved net returns via scouting and timing of effective control.

Science.gov (United States)

Burkness, Eric C; Hutchison, W D

2008-04-01

During 1998-2001, field studies were done to assess the efficacy of an integrated pest management (IPM) program using an action threshold and "reduced-risk" insecticides. The IPM program was compared with a conventional grower-based program. Program performance was evaluated based on management of Trichoplusia ni (Hiibner), Pieris (=Artogeia) rapae (L.), and Plutella xylostella (L.), as well as the economic impact of each program on net returns. The action threshold used in the IPM program consisted of 10% plants infested with T. ni larvae, based on previous small-plot experiment station trials. In all years of the study, the IPM program resulted in significantly lower percentages of plants infested than the conventional program or untreated check. The mean reduction in insecticide applications for the IPM program compared with the conventional program was 23.5%, whereas, on average, the costs of the IPM program were 46.0% higher than the conventional program. Pest reduction in the IPM program resulted in an average of 10.5% higher marketable yields than the conventional program. Percentages of marketable heads in the IPM program ranged from 82 to 99% and from 63 to 96% in the conventional program. Mean net returns for the IPM program exceeded the conventional program by $984.20/ha. These results indicated that the IPM program reduced insecticide use overall, even though costs of the IPM program, with either spinosad or indoxacarb, were sometimes higher. Overall, net returns of the IPM program were higher due to active pest scouting, improved application timing, and increases in marketable yield. Given the potential decrease in insecticide applications and increases in net profit resulting from this IPM program, additional analyses should be conducted to quantify the economic risk, or consistency of the results, to fully evaluate the benefits of the IPM program compared with a conventional program.

A news event-driven approach for the historical value at risk method

NARCIS (Netherlands)

Hogenboom, F.P.; Winter, de M.; Frasincar, F.; Kaymak, U.

2015-01-01

Value at Risk (VaR) is a tool widely used in financial applications to assess portfolio risk. The historical stock return data used in calculating VaR may be sensitive to rare news events that occur during the sampled period and cause trend disruptions. Therefore, in this paper, we measure the

Expectancies Mediate the Relations Among Pain Catastrophizing, Fear of Movement, and Return to Work Outcomes After Whiplash Injury.

Science.gov (United States)

Carriere, Junie S; Thibault, Pascal; Milioto, Maria; Sullivan, Michael J L

2015-12-01

Pain catastrophizing and fear of movement have been identified as key predictors of prolonged work disability after whiplash injury. However, little is known about the processes by which pain catastrophizing and fear of movement affect return to work. This study investigated the mediating role of expectancies on the relations between pain catastrophizing and return to work, and between fear of movement and return to work after whiplash injury. The study sample consisted of 154 individuals with whiplash injury who were enrolled in a multidisciplinary pain rehabilitation program. Participants completed measures of pain catastrophizing, fear of movement, and return-to-work expectancies after admission to a rehabilitation program. A follow-up telephone interview was used to assess work status 1 year after discharge. Consistent with previous research, analyses revealed that expectancies, pain catastrophizing, and fear of movement were significant predictors of return to work at 1-year follow-up. Regression analyses (bootstrapping) revealed that expectancies partially mediated the relation between catastrophizing and return to work. Expectancies completely mediated the relation between fear of movement and return to work. The significant predictive and mediating role of expectancies on return to work argues for the inclusion of expectancies as a specific target of intervention for individuals with whiplash injury. The findings suggest that expectancies might be part of the pathways by which pain catastrophizing and fear of movement affect return-to-work outcomes after whiplash injury. The findings argue for greater attention to return-to-work expectancies as a risk factor for problematic recovery outcomes as well as a target of intervention. Copyright © 2015 American Pain Society. Published by Elsevier Inc. All rights reserved.

A two-hypothesis approach to establishing a life detection/biohazard protocol for planetary samples

Science.gov (United States)

Conley, Catharine; Steele, Andrew

2016-07-01

The COSPAR policy on performing a biohazard assessment on samples brought from Mars to Earth is framed in the context of a concern for false-positive results. However, as noted during the 2012 Workshop for Life Detection in Samples from Mars (ref. Kminek et al., 2014), a more significant concern for planetary samples brought to Earth is false-negative results, because an undetected biohazard could increase risk to the Earth. This is the reason that stringent contamination control must be a high priority for all Category V Restricted Earth Return missions. A useful conceptual framework for addressing these concerns involves two complementary 'null' hypotheses: testing both of them, together, would allow statistical and community confidence to be developed regarding one or the other conclusion. As noted above, false negatives are of primary concern for safety of the Earth, so the 'Earth Safety null hypothesis' -- that must be disproved to assure low risk to the Earth from samples introduced by Category V Restricted Earth Return missions -- is 'There is native life in these samples.' False positives are of primary concern for Astrobiology, so the 'Astrobiology null hypothesis' -- that must be disproved in order to demonstrate the existence of extraterrestrial life is 'There is no life in these samples.' The presence of Earth contamination would render both of these hypotheses more difficult to disprove. Both these hypotheses can be tested following a strict science protocol; analyse, interprete, test the hypotheses and repeat. The science measurements undertaken are then done in an iterative fashion that responds to discovery with both hypotheses testable from interpretation of the scientific data. This is a robust, community involved activity that ensures maximum science return with minimal sample use.

DAMPAK PENYAJIAN KEMBALI EPS DAN CFPS TERHADAP RETURN SAHAM

Directory of Open Access Journals (Sweden)

Imelda Sinaga

2014-04-01

Full Text Available The problem in this study is whether there is a positive influence of CFPS and EPS before and after restatement in giving positive impact on stock returns. The sample used in EPS before and after the restatement, while as many as 102 samples meanwhile CFPS before and after restatement using 82 sample companies listed on the Stock Exchange. Independent variables used in this study are the earnings per share and cash flow per share and the dependent variables used in this study is the stock return. Test equipment used in this study using multiple regression statistical model           The results of this study demonstrate that EPS before restatement did not impact significantly on the stock returns which indicates that investors have been aware that there is signal to improve the EPS before the restatement. EPS after restatement had no significant effect on return, this indicates that the new information is in accordance with the Market Efficiency hypothesis is that will make the market participants to react and take action to respond that new information. CFPS before and after restatement also had no significant effect on stock returns because investors do not use operating cash flow information as a basic for investment decisions. This can have implications on investors who use financial statements to make right decisions on the location of their assets in the companies that perform restatement as well for the company itself that financial report restatement can be made if it is seen as a form of commitment and sense of responsibility to the market to provide trustable information

Efficacy of a Nurse-Delivered Intervention to Prevent and Delay Postpartum Return to Smoking: The Quit for Two Trial.

Science.gov (United States)

Pollak, Kathryn I; Fish, Laura J; Lyna, Pauline; Peterson, Bercedis L; Myers, Evan R; Gao, Xiaomei; Swamy, Geeta K; Brown-Johnson, Angela; Whitecar, Paul; Bilheimer, Alicia K; Pletsch, Pamela K

2016-10-01

Most pregnant women who quit smoking return to smoking postpartum. Trials to prevent this return have been unsuccessful. We tested the efficacy of a nurse-delivered intervention in maintaining smoking abstinence after delivery among pregnant women who quit smoking that was tailored on their high risk of relapse (eg, had strong intentions to return). We recruited 382 English-speaking spontaneous pregnant quitters from 14 prenatal clinics and randomized them to receive either a smoking abstinence booklet plus newsletters about parenting and stress (control) or a nurse-delivered smoking abstinence intervention that differed in intensity for the high and low risk groups. Our primary outcome was smoking abstinence at 12 months postpartum. Using intent-to-treat analyses, there was a high rate of biochemically validated smoking abstinence at 12 months postpartum but no arm differences ( 36% [95% confidence interval [CI]: 29-43] vs. 35% [95% CI: 28-43], P = .81). Among women at low risk of returning to smoking, the crude abstinence rate was significantly higher in the control arm (46%) than in the intervention arm (33%); among women at high risk of returning to smoking, the crude abstinence rate was slightly lower but not different in the control arm (31%) than in the intervention arm (37%). Low-risk women fared better with a minimal intervention that focused on parenting skills and stress than when they received an intensive smoking abstinence intervention. The opposite was true for women who were at high risk of returning to smoking. Clinicians might need to tailor their approach based on whether women are at high or low risk of returning to smoking. Results suggest that high-risk and low-risk women might benefit from different types of smoking relapse interventions. Those who are lower risk of returning to smoking might benefit from stress reduction that is devoid of smoking content, whereas those who are higher risk might benefit from smoking relapse prevention. © The

Distribution of Depositors’ Return and The Income Smoothing Hypothesis by Malaysian Islamic Banks

Directory of Open Access Journals (Sweden)

Zunaidah Sulong

2018-01-01

Full Text Available The paper aims to examine whether Malaysian Islamic banks carry out income smoothing with regards to their distribution of depositors’ return. The paper also examines the extent Malaysian Islamic banks engage earnings and capital management in their distribution of depositors’ return. This empirical study uses balanced panel data from 16 Malaysian Islamic banks, for the period 2008-2012. The regression model is estimated using random effects specifications. The findings indicate that the earnings before tax, zakat, and provision have a positive but insignificant effect on distribution of depositors’ return (DDR whilst the total capital before provision has a positive and significant effect on the DDR. These findings suggest that Islamic banks carry out income smoothing on the distribution of depositors’ return via capital management. Islamic banks also smooth their earnings through distribution of depositors’ return to avoid earnings troughs when earnings are poor. The findings shows prudence exercise among Malaysian Islamic banks with the objectives of mitigating displaced commercial risk (DCR, which involves massive withdrawal and bank runs risks.

Pengaruh Dividen Inisiasi dan Dividen Omisi terhadap Return Saham di Bursa Efek Indonesia

Directory of Open Access Journals (Sweden)

Azizah Ayu Sielvia

2011-03-01

Full Text Available The objective of this study is to determine the effect of dividend initiations and dividend omission of stock returns in Indonesia Stock Exchange (BEI. Variables in this study consist of dividends, dividend announcements, and a significant stock return on dividend announcement reflected the presence of abnormal return during the event period. This study employs the company's shares listed on Indonesia Stock Exchange and are actively traded. Samples used as many as 50 companies, where 37 companies as a dividend initiation and 13 companies as a dividend omission. The sample selection was done by purposive sampling method that is research based on certain criteria. Results of analysis testing the effect of the abnormal return of dividend announcements indicate a significant influence. Announcements of dividend initiations have significant positive influence, while the announcements of dividend omissions have significant negative market reaction. That means the announcement of dividend initiations have a signal or a specific information content that causes the market to react more than normal state of the information, while the announcement of dividend omissions affect investors to remove their stock price moves down or there is a significant abnormal return.Keywords: dividend initiation, dividend omission, dividend announcement, stock return

The Economic Value of Predicting Stock Index Returns and Volatility

NARCIS (Netherlands)

Marquering, W.; Verbeek, M.J.C.M.

2000-01-01

In this paper, we analyze the economic value of predicting index returns as well as volatility. On the basis of fairly simple linear models, estimated recursively, we produce genuine out-of-sample forecasts for the return on the S&P 500 index and its volatility. Using monthly data from 1954-1998, we

Stock Price Informativeness and Idiosyncratic Return Volatility in Emerging Markets: Evidence from China

OpenAIRE

Karen Jingrong Lin; Khondkar Karim; Clairmont Carter

2014-01-01

This study attempts to address two research questions on the idiosyncratic return volatility and stock price informativeness. First, whether idiosyncratic return volatility is a valid proxy for stock price informativeness in emerging markets, and if it is, whether there exists a monotonic relationship between the idiosyncratic return volatility and stock price informativeness throughout the whole sample. We find that the idiosyncratic return volatility reflects the stock price informativeness...

Planning for positive clinical & financial returns with telemonitoring.

Science.gov (United States)

Wright, Kristy

2003-10-01

Telemonitoring is a burgeoning market in the home care industry. Making the decision to invest in telemonitoring technology can be difficult in the best situations. The financial investment is significant, the risks can be high, and the need to achieve a positive return is critical to future success. In spite of the risks, this relatively new technology in home care holds the promise for the redefinition of the industry.

Information Quality and Risk Around Mergers and Acquisition ...

African Journals Online (AJOL)

We consolidate our understanding of the link between risk and quality of new around information intensive periods for a sample of 169 stocks from London Stock Exchange by using mergers and acquisitions announcements as a source of unscheduled news disclosure. We document that volatility of stock returns around ...

Forward-looking disclosure and corporate reputation as mechanisms to reduce stock return volatility

Directory of Open Access Journals (Sweden)

Francisco Bravo

2016-01-01

Full Text Available The purpose of this paper is to investigate whether forward-looking disclosures and corporate reputation lead to a reduction in stock return volatility. This study measures financial forward-looking information, by conducting a content analysis of annual reports for a sample of US companies. Since every annual report was manually examined and coded, the study is therefore restricted to the companies listed in Standard and Poor's 100. Results show that financial forward-looking information has significant effects on capital markets. This study contributes to the current literature on voluntary disclosure, by examining the link between the disclosure of financial forward-looking information and stock return volatility. Since stock volatility is linked to information asymmetries and to a higher risk of a company, this analysis implies certain practical implications for both managers and regulators regarding the importance of specific disclosure strategy in capital markets. Moreover, results indicate that forward-looking information disclosed by companies of a higher reputation has a greater effect on stock return volatility. This is the first study that demonstrates that corporate reputation moderates the effects of forward-looking information in capital markets. In addition to the level of disclosed information, the interpretation and the effectiveness of forward-looking information depends on the reputation of a company.

Realized Volatility Risk

NARCIS (Netherlands)

D.E. Allen (David); M.J. McAleer (Michael); M. Scharth (Marcel)

2013-01-01

textabstractIn this paper we document that realized variation measures constructed from highfrequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive.

Maternal depression, pregnancy intention, and return to paid work after childbirth.

Science.gov (United States)

Dagher, Rada K; Hofferth, Sandra L; Lee, Yoonjoo

2014-01-01

Maternal depression is an important public health issue for women, their families, and their employers. Previous studies have examined the impact of leave duration on maternal depression, but none have studied the association between maternal depression and the pace of return to paid work. We examine herein the relationship between maternal depression and return to work, and the moderating effects of pregnancy intention. We utilized data from the Listening to Mothers II Survey collected from January 20 through February 21, 2006. The woman had to be 18 to 45 years old, speak English, and have given birth in 2005 to a live singleton baby in a U.S. hospital. Our analyses were limited to women who worked for an employer during pregnancy (n = 882). The primary outcome was return to paid work at the time of the interview and the analyses utilized Cox proportional hazard models. In combination, intending the baby and being depressed suppressed return to paid work. Nondepressed mothers with unintended pregnancies returned to work the soonest. Compared with mothers who were not depressed and with unintended pregnancy, the risk ratio of returning to paid work (0.70) was significantly lower for mothers who were depressed and had an intended pregnancy. Mothers who were not depressed and with intended pregnancy also had a significantly lower risk ratio (0.60) of returning to paid work than those who were not depressed and with unintended pregnancy. Primary care providers and policy makers can use these findings to support employed women in their childbearing years. Copyright © 2014 Jacobs Institute of Women's Health. Published by Elsevier Inc. All rights reserved.

Financial Integration and Asset Returns

OpenAIRE

P Martin; H Rey

2000-01-01

The paper investigates the impact of financial integration on asset return, risk diversification and breadth of financial markets. We analyse a three-country macroeconomic model in which (i) the number of financial assets is endogenous; (ii) assets are imperfect substitutes; (iii) cross-border asset trade entails some transaction costs; (iv) the investment technology is indivisible. In such an environment, lower transaction costs between two financial markets translate to higher demand for as...

INDIKATOR MAKROEKONOMI DAN RETURN SAHAM SYARIAH DI INDONESIA

Directory of Open Access Journals (Sweden)

Utami Baroroh

2016-02-01

Full Text Available The objectives of this study are to examine empirical test the long term equilibrium and simulteneous relationship between macroeconomics variables to stock return in Indonesia and to observe stock return response because shock/innovation of inflation, SBI discount rate and exchange rate Rupiah to US dollar. The data sample used in this study are monthly time series data from 2003.1 – 2010.6. Those data are SBI discount rate, inflation (CPI, exchange rate Rupiah to US dollar, money supply and stock return (IHSG. A method of analysis in this study are Granger Causality Test and Cointegration test. The empirical results shows that SBI discount rate, inflation (CPI, and exchange rate Rupiah to US dollar have causality relationship to stock return.. The cointegration test indicates that among research variables there is long term equilibrium and simultaneous relationshipDOI: 10.15408/sjie.v2i2.2421

Marital Status and Return to Work After Living Kidney Donation.

Science.gov (United States)

Frech, Adrianne; Natale, Ginny; Hayes, Don; Tumin, Dmitry

2018-01-01

Living kidney donation is safe and effective, but patients in need of a transplant continue to outnumber donors. Disincentives to living donation include lost income, risk of job loss, perioperative complications, and unreimbursed medical expenses. This study uses US registry and follow-up data on living kidney donors from 2013 to 2015 to identify social predictors of return to work across gender following living kidney donation. Using logistic regression, we find that predictors of return to work following living kidney donation differ for women and men. Among women, age, education, smoking status, and procedure type are associated with return to work. Among men, education, procedure type, and hospital readmission within 6 weeks postdonation are associated with return to work. Notably, single and divorced men are less likely to return to work compared to married men (odds ratio [OR] for single men 0.51, 95% confidence interval [CI], 0.37-0.69, P donation.

Current thinking: return to play and transient quadriplegia.

Science.gov (United States)

Cantu, Robert V; Cantu, Robert C

2005-02-01

Athletes that participate in contact and collision sports assume risk of serious injury each time they take the field. For those athletes that have sustained an episode of transient quadriplegia, the decision of whether to return to competition can be a difficult one. Some athletes, realizing how close they may have come to permanent injury, may decide that further participation is not in their best interest. Others may be somewhat undecided, and some may want to return at all costs. As the treating physician, the goal is to identify those athletes who after a single episode of transient quadriplegia are at increased risk for further injury and consequently should discontinue participation in contact sports. Factors that may contribute to that determination include mechanism of injury, prior history of neurologic symptoms or injury, and anatomic features that may predispose to further injury such as disc herniation, fracture, or cervical stenosis.

Forecast Correlation Coefficient Matrix of Stock Returns in Portfolio Analysis

OpenAIRE

Zhao, Feng

2013-01-01

In Modern Portfolio Theory, the correlation coefficients decide the risk of a set of stocks in the portfolio. So, to understand the correlation coefficients between returns of stocks, is a challenge but is very important for the portfolio management. Usually, the stocks with small correlation coefficients or even negative correlation coefficients are preferred. One can calculate the correlation coefficients of stock returns based on the historical stock data. However, in order to control the ...

A policy of routine umbilical cord blood gas analysis decreased missing samples from high-risk births.

Science.gov (United States)

Ahlberg, M; Elvander, C; Johansson, S; Cnattingius, S; Stephansson, O

2017-01-01

This study compared obstetric units practicing routine or selective umbilical cord blood gas analysis, with respect to the risk of missing samples in high-risk deliveries and in infants with birth asphyxia. This was a Swedish population-based cohort study that used register data for 155 235 deliveries of live singleton infants between 2008 and 2014. Risk ratios and 95% confidence intervals were calculated to estimate the association between routine and selective umbilical cord blood gas sampling strategies and the risk of missing samples. Selective sampling increased the risk ratios when routine sampling was used as the reference, with a value of 1.0, and these were significant in high-risk deliveries and birth asphyxia. The risk ratios for selective sampling were large-for-gestational age (9.07), preterm delivery at up to 36 weeks of gestation (8.24), small-for-gestational age (7.94), two or more foetal scalp blood samples (5.96), an Apgar score of less than seven at one minute (2.36), emergency Caesarean section (1.67) and instrumental vaginal delivery (1.24). Compared with routine sampling, selective umbilical cord blood gas sampling significantly increased the risks of missing samples in high-risk deliveries and in infants with birth asphyxia. ©2016 Foundation Acta Paediatrica. Published by John Wiley & Sons Ltd.