The friday the thirteenth effect in stock prices: international evidence using panel data

This examination of the Friday the 13th effect, in 62 international stock indices for the period 2000 to 2008, characterises the degree that the effect is influenced by: (i) the GDP of the economy and (ii) the sign of the return on the prior day. These effects are assessed by the use of an EGLS panel regression model incorporating panel corrected standard errors. The turn of the month effect on Fridays is also examined. Three important results relating to the Friday the 13th effect are observed. First, the depressed Friday the 13th effect is present when the return on the prior day is negative. Second, when the return on the prior day is positive, the depressed Friday the 13th effect is absent. Third, the depressed Friday the 13th effect is independent of the GDP of the country when the returns on control Fridays are used as the yardstick

Tests for weak form market efficiency in stock prices: Monte Carlo evidence

Efficiency in financial markets is tested by applying variance ratio (VR)tests, but unit root tests are also used by many, sometimes in addition to the VR tests. There is a lack of clarity in the literature about the implication of these test results when they seem to disagree. We distinguish between two different types of predictability, called "structural predictability" and "error predictability". Standard unit root tests pick up structural predictability. VR tests pick up both structural and error predictability

Miller's (2009) WACC model: An extension

Miller (2009a) presents an analysis of the weighted average cost of capital WACC model. The paper attracts debate which uses a variety of repayment schedules to support the arguments raised. We present an extension of Miller's (2009a) WACC model in a world where interest is tax deductible and debt principal is paid at maturity. We also present the corresponding model for the required rate of return on levered equity which is a vital input to the WACC model. Since these models are unwieldy, we explore an alternative definition of the WACC. These models provide insights into the debate on Miller's (2009a) paper

A note resolving the debate on “The weighted average cost of capital is not quite right”

Miller (2009a) derives a weighted average cost of capital for the special case where the cash flows to equity and the cashflows to debt are annuities. The paper attracts debate. We show that the weighted average cost of capital is redundant in a world where interest paid is not tax deductible. The required rate of return on unlevered equity will consistently and reliably estimate the net present value of any project no matter the idiocyncratic beliefs of the analyst as to the year-by-year leverage of the project, or of the firm. We recommend that the weighted average cost of capital method is discarded. Our recommendation also applies to a world where interest paid is tax deductible

Virtual Texture Generated using Elastomeric Conductive Block Copolymer in Wireless Multimodal Haptic Glove.

Haptic devices are in general more adept at mimicking the bulk properties of materials than they are at mimicking the surface properties. This paper describes a haptic glove capable of producing sensations reminiscent of three types of near-surface properties: hardness, temperature, and roughness. To accomplish this mixed mode of stimulation, three types of haptic actuators were combined: vibrotactile motors, thermoelectric devices, and electrotactile electrodes made from a stretchable conductive polymer synthesized in our laboratory. This polymer consisted of a stretchable polyanion which served as a scaffold for the polymerization of poly(3,4-ethylenedioxythiophene) (PEDOT). The scaffold was synthesized using controlled radical polymerization to afford material of low dispersity, relatively high conductivity (0.1 S cm-1), and low impedance relative to metals. The glove was equipped with flex sensors to make it possible to control a robotic hand and a hand in virtual reality (VR). In psychophysical experiments, human participants were able to discern combinations of electrotactile, vibrotactile, and thermal stimulation in VR. Participants trained to associate these sensations with roughness, hardness, and temperature had an overall accuracy of 98%, while untrained participants had an accuracy of 85%. Sensations could similarly be conveyed using a robotic hand equipped with sensors for pressure and temperature

The rings of n-dimensional polytopes

Points of an orbit of a finite Coxeter group G, generated by n reflections starting from a single seed point, are considered as vertices of a polytope (G-polytope) centered at the origin of a real n-dimensional Euclidean space. A general efficient method is recalled for the geometric description of G- polytopes, their faces of all dimensions and their adjacencies. Products and symmetrized powers of G-polytopes are introduced and their decomposition into the sums of G-polytopes is described. Several invariants of G-polytopes are found, namely the analogs of Dynkin indices of degrees 2 and 4, anomaly numbers and congruence classes of the polytopes. The definitions apply to crystallographic and non-crystallographic Coxeter groups. Examples and applications are shown.Comment: 24 page

Weather and Financial Risk-Taking: Is Happiness the Channel?

Weather variables, and sunshine in particular, are found to be strongly correlated with financial variables. I consider self-reported happiness as a channel through which sunshine affects financial variables. I examine the influence of happiness on risk-taking behavior by instrumenting individual happiness with regional sunshine, and I find that happy people appear to be more risk-averse in financial decisions, and accordingly choose safer investments. Happy people take more time for making decisions and have more self-control. Happy people also expect to live longer and accordingly seem more concerned about the future than the present, and expect less inflation

Mechanisms of Size Control and Polymorphism in Viral Capsid Assembly

We simulate the assembly dynamics of icosahedral capsids from subunits that interconvert between different conformations (or quasi-equivalent states). The simulations identify mechanisms by which subunits form empty capsids with only one morphology but adaptively assemble into different icosahedral morphologies around nanoparticle cargoes with varying sizes, as seen in recent experiments with brome mosaic virus (BMV) capsid proteins. Adaptive cargo encapsidation requires moderate cargo-subunit interaction strengths; stronger interactions frustrate assembly by stabilizing intermediates with incommensurate curvature. We compare simulation results to experiments with cowpea chlorotic mottle virus empty capsids and BMV capsids assembled on functionalized nanoparticles and suggest new cargo encapsidation experiments. Finally, we find that both empty and templated capsids maintain the precise spatial ordering of subunit conformations seen in the crystal structure even if interactions that preserve this arrangement are favored by as little as the thermal energy, consistent with experimental observations that different subunit conformations are highly similar

Increased Expression of the Auxiliary β(2)-subunit of Ventricular L-type Ca(2+) Channels Leads to Single-Channel Activity Characteristic of Heart Failure

BACKGROUND: Increased activity of single ventricular L-type Ca(2+)-channels (L-VDCC) is a hallmark in human heart failure. Recent findings suggest differential modulation by several auxiliary β-subunits as a possible explanation. METHODS AND RESULTS: By molecular and functional analyses of human and murine ventricles, we find that enhanced L-VDCC activity is accompanied by altered expression pattern of auxiliary L-VDCC β-subunit gene products. In HEK293-cells we show differential modulation of single L-VDCC activity by coexpression of several human cardiac β-subunits: Unlike β(1) or β(3) isoforms, β(2a) and β(2b) induce a high-activity channel behavior typical of failing myocytes. In accordance, β(2)-subunit mRNA and protein are up-regulated in failing human myocardium. In a model of heart failure we find that mice overexpressing the human cardiac Ca(V)1.2 also reveal increased single-channel activity and sarcolemmal β(2) expression when entering into the maladaptive stage of heart failure. Interestingly, these animals, when still young and non-failing (“Adaptive Phase”), reveal the opposite phenotype, viz : reduced single-channel activity accompanied by lowered β(2) expression. Additional evidence for the cause-effect relationship between β(2)-subunit expression and single L-VDCC activity is provided by newly engineered, double-transgenic mice bearing both constitutive Ca(V)1.2 and inducible β(2) cardiac overexpression. Here in non-failing hearts induction of β(2)-subunit overexpression mimicked the increase of single L-VDCC activity observed in murine and human chronic heart failure. CONCLUSIONS: Our study presents evidence of the pathobiochemical relevance of β(2)-subunits for the electrophysiological phenotype of cardiac L-VDCC and thus provides an explanation for the single L-VDCC gating observed in human and murine heart failure