Multifactor consumption based asset pricing model of the UK stock market: The US stock market as a wealth reference

Copyright @ 2011 University of BirminghamHere a multifactor model of UK stock returns is developed, replac- ingHere a multifactor model of UK stock returns is developed, replacing the conventional consumption habit reference by a relation that depends on US wealth. Two step Instrumental Variables and Generalized Method of Moments estimators are applied to reduce the impact of weak instruments. The standard errors are corrected for the generated regressor problem and the model is found to explain UK excess returns by UK consumption growth and expected US excess returns. Hence, controlling for nominal effects by subtracting a risk free rate and conditioning on real US excess returns provides an appealing explanation of the equity premium puzzle. US excess returns. Hence, controlling for nominal e¤ects by subtracting a risk free rate and conditioning on real US excess returns provides an appealing explanation of the equity premium puzzle

A multifactor consumption based asset pricing model of the UK stock market: The US stock market as a wealth reference

Here a multifactor model of UK stock returns is developed, replacing the conventional consumption habit reference by a relation that depends on US wealth. Two step Instrumental Variables and Generalized Method of Moments estimators are applied to reduce the impact of weak instruments. The standard errors are corrected for the generated regressor problem and the model is found to explain UK excess returns by UK consumption growth and expected US excess returns. Hence, controlling for nomina l effects by subtracting a risk free rate and conditioning on real US excess returns provides a coherent explanation of the equity premium puzzle

An empirical investigation of the relationship between the real economy and stock returns for the United States

This paper tests for the relationship between excess returns and economic growth rates in the U.S., using a Seemingly Unrelated Regression (SUR) approach. The system includes monthly data for inflation, consumption, narrow money supply and personal disposable income and each equation has up to 24-lagged Autoregressive terms. After removing the four major shocks associated with Black Monday, the Asian Crisis, “9·11” and its anniversary, we cannot find any ARCH behaviour in either the excess returns or the money series. The models are reduced to their parsimonious forms and the inflation and real consumption equations are corrected for ARCH. To make the result more robust we reduce our system to four equations by conditioning on income and testing the remaining equations for stability. The SUR model suggests strong long-run feedback between the financial sector and the real economy firstly through inflation, then consumption while the influence of real money supply appears transitory. Consumption is more sensitive to the economic variables in short and long run as compared with stock market windfalls

The influence of initial and surface boundary conditions on a model-generated January climatology

The influence on a model-generated January climate of various surface boundary conditions, as well as initial conditions, was studied by using the GISS coarse-mesh climate model. Four experiments - two with water planets, one with flat continents, and one with mountains - were used to investigate the effects of initial conditions, and the thermal and dynamical effects of the surface on the model generated-climate. However, climatological mean zonal-symmetric sea surface temperature is used in all four runs over the model oceans. Moreover, zero ground wetness and uniform ground albedo except for snow are used in the last experiments

A thermal, thermoelastic, and wear analysis of high-energy disk brakes

A thermomechanical investigation of the sliding contact problem encountered in high-energy disk brakes is described. The analysis includes a modelling, using the finite element method of the thermoelastic instabilities that cause transient changes in contact area to occur on the friction surface. In order to include the effect of wear at the contact surface, a wear criterion is proposed that results in the prediction of wear rates for disk brakes that are quite close to experimentally determined wear rates. The thermal analysis shows that the transient temperature distribution in a disk brake assembly can be determined more accurately by use of this thermomechanical analysis than by a more conventional analysis that assumes constant contact conditions. It also shows that lower, more desirable, temperatures in disk brakes can be attained by increasing the volume, the thermal conductivity, and, especially, the heat capacity of the brake components

Modeling Cell-to-Cell Communication Networks Using Response-Time Distributions.

Cell-to-cell communication networks have critical roles in coordinating diverse organismal processes, such as tissue development or immune cell response. However, compared with intracellular signal transduction networks, the function and engineering principles of cell-to-cell communication networks are far less understood. Major complications include: cells are themselves regulated by complex intracellular signaling networks; individual cells are heterogeneous; and output of any one cell can recursively become an additional input signal to other cells. Here, we make use of a framework that treats intracellular signal transduction networks as "black boxes" with characterized input-to-output response relationships. We study simple cell-to-cell communication circuit motifs and find conditions that generate bimodal responses in time, as well as mechanisms for independently controlling synchronization and delay of cell-population responses. We apply our modeling approach to explain otherwise puzzling data on cytokine secretion onset times in T cells. Our approach can be used to predict communication network structure using experimentally accessible input-to-output measurements and without detailed knowledge of intermediate steps

Signature of a spin-up magnetar from multi-band afterglow rebrightening of GRB 100814A

In recent years, more and more gamma-ray bursts with late rebrightenings in multi-band afterglows unveil the late-time activities of the central engines. GRB 100814A is a special one among the well-sampled events, with complex temporal and spectral evolution. The single power-law shallow decay index of the optical light curve observed by GROND between 640 s and 10 ks is $\alpha_{\rm opt} = 0.57 \pm 0.02$, which apparently conflicts with the simple external shock model expectation. Especially, there is a remarkable rebrightening in the optical to near infrared bands at late time, challenging the external shock model with synchrotron emission coming from the interaction of the blast wave with the surrounding interstellar medium. In this paper, we invoke a magnetar with spin evolution to explain the complex multi-band afterglow emission of GRB 100814A. The initial shallow decay phase in optical bands and the plateau in X-ray can be explained as due to energy injection from a spin-down magnetar. At late time, with the falling of materials from the fall-back disk onto the central object of the burster, angular momentum of the accreted materials is transferred to the magnetar, which leads to a spin-up process. As a result, the magnetic dipole radiation luminosity will increase, resulting in the significant rebrightening of the optical afterglow. It is shown that the observed multi-band afterglow emission can be well reproduced by the model.Comment: 14 pages, 2 figures, accepted by The Astrophysical Journa