A Factor-Adjusted Multiple Testing Procedure with Application to Mutual Fund Selection

In this article, we propose a factor-adjusted multiple testing (FAT) procedure based on factor-adjusted p-values in a linear factor model involving some observable and unobservable factors, for the purpose of selecting skilled funds in empirical finance. The factor-adjusted p-values were obtained after extracting the latent common factors by the principal component method. Under some mild conditions, the false discovery proportion can be consistently estimated even if the idiosyncratic errors are allowed to be weakly correlated across units. Furthermore, by appropriately setting a sequence of threshold values approaching zero, the proposed FAT procedure enjoys model selection consistency. Extensive simulation studies and a real data analysis for selecting skilled funds in the U.S. financial market are presented to illustrate the practical utility of the proposed method. Supplementary materials for this article are available online

A Continuously Growing Dataset of Sentential Paraphrases

A major challenge in paraphrase research is the lack of parallel corpora. In this paper, we present a new method to collect large-scale sentential paraphrases from Twitter by linking tweets through shared URLs. The main advantage of our method is its simplicity, as it gets rid of the classifier or human in the loop needed to select data before annotation and subsequent application of paraphrase identification algorithms in the previous work. We present the largest human-labeled paraphrase corpus to date of 51,524 sentence pairs and the first cross-domain benchmarking for automatic paraphrase identification. In addition, we show that more than 30,000 new sentential paraphrases can be easily and continuously captured every month at ~70% precision, and demonstrate their utility for downstream NLP tasks through phrasal paraphrase extraction. We make our code and data freely available.Comment: 11 pages, accepted to EMNLP 201

Comment la condition économique agit-elle sur la qualité de la fertilité?

Rapport de recherche présenté à la Faculté des arts et des sciences en vue de l'obtention du grade de Maîtrise en sciences économiques.L’état de santé des enfants à la naissance n’est pas tiré du hasard; il varie selon la condition économique au moment de la conception. Avec une évidence empirique aux États-Unis, on étudie la relation entre le taux de chômage au moment de la conception et l’état de santé des bébés à la naissance, selon les caractéristiques maternelles et les comportements de santé adoptés par les femmes enceintes au cours de leur grossesse. Pour la période étudiée (de 1999 à 2009), l’amélioration de l’état de santé des enfants conçus pendant la récession et le perfectionnement des comportements de santé au cours de la récession ne sont pas observés. Nos résultats contredisent ceux de plusieurs études empiriques basées sur les pays riches, lesquelles soulèvent la contre-cyclicité entre la fluctuation économique et l’état de santé des enfants. Cette contradiction tire potentiellement son origine de la nature et de la dimension de la dernière récession