Forecasting Cross-Section Stock Returns using The Present Value Model

We contribute to the debate over whether forecastable stock returns reflect an unexploited profit opportunity or rationally reflect risk differentials. We test whether agents could earn excess returns by selecting stocks which have a low market price compared to an estimate of the fundamental value obtained from the present value model. The criterion for stock picking is one which could actually have been implemented by agents in real time. We show that statistically significant, and quantitatively substantial, excess returns are delivered by portfolios of stocks which are cheap relative to our estimate of fundamental value. There is no evidence that the under priced stocks are relatively risky and hence excess returns cannot easily be interpreted as an equilibrium compensation for risk.Excess returns, Trading rule, Efficient markets, Present value model, Stock prices.

The Impact of Endocrine Disrupting Chemicals on Freshwater Supplies: CWA and SDWA Revisited

The problem of increasing freshwater supplies is the west is not only a matter of water quantity it is also a problem of water quality and failures in the existing regulatory scheme. A case in point is the contamination of surface waters with endocrine disrupting chemicals (EDCs) from wastewater treatment plant effluents. Conventional drinking water treatment and wastewater treatment plants are not effective at removing EDCs. Studies show wastewater effluent contains synthetic hormones and other potential EDCs. Because many water treatment plants treat surface water that receives wastewater effluent, EDCs come full circle back into drinking water. Unfortunately, very few community water systems employ membrane treatment or activated carbon leaving the majority of the public at risk for consumption of EDCs through their drinking water. Currently Congress appropriates only a tenth of the funding required to assist states in meeting existing water and wastewater infrastructure needs. The lack of Congressional support for funding water and wastewater infrastructure projects is indicative of the lack of traction and prescience of the issue at the federal level and ignores the concern expressed by the public. Regulatory reforms are required both the appropriate funds for water and wastewater infrastructure but also to require treatment for removal of EDCs as a chemical class

Stock Returns Following Profit Warnings: A Test of Models of Behavioural Finance.

Models in behavioural finance have been developed to explain apparent anomalies in stock returns. A property common to a number of these models is that agents under react in the short run to public signals about future earnings. This contrasts sharply with the popular informal belief that stock prices overreact to news. A behavioural model also predicts returns reversals over longer horizons. We examine stock returns following profit warnings to test which, if any, of these hypotheses stands up to scrutiny on a new data set which was generated by a process which corresponds closely to that assumed in the behavioural models.

How stable is the underlying process of stock prices? Empirical evidence of structural breaks in the firm-level dividend of the U.S. firms

In this paper, we present empirical evidence of instability in the form of structural breaks in dividend at the firm level of the U.S. firms. We perform the Bai and Perron (2003) structural break program that estimates multiple breaks based on deterministic econometric approach. We also observe for links between any specific episodes in the economic and financial history of the U.S and structural breaks detected in the dividend process of the U.S firms