An asset’s sensitivity to stock market volatility carries a signi…cant risk premium across both equity and …xed income markets. Large-cap and growth stocks have less exposure to volatility risk. Their relatively greater ability to weather volatility surprises, such as those often associated with …nancial crises, accounts for their lower expected returns when compared to small-cap and value stoc...

Evidence suggests that the structure of psychosisproneness in the general population may involve three distinct related dimensions. Therefore we conducted a study, using a wider range of measures, to explore the factorial structure of schizotypy assessed by a mixed self-report Schizotypal Traits Questionnaire (mSTQ) in young French healthy individuals. Raine’s Schizotypal Personality Questionna...

This paper shows pricing and hedging efficiency of a three factor stochastic mean reversion Gaussian model of commodity prices using oil and copper futures and forward contracts. The model is estimated using NYMEX WTI (light sweet crude oil) and LME Copper futures prices and is shown to fit the data well. Furthermore, it shows how to hedge based on a three-factor model and confirms that using t...

We examine the yield curve behavior and the relative performance of affine term structure models using government bond yield data from Canada, Germany, Japan, UK, and US. We find strong predictability of forward rates for excess bond returns and reject the expectations hypothesis across all five countries. A three-factor model is sufficient to capture movements in the yield curve of Canada, Jap...

In multi-hop underwater acoustic sensor networks (UWASNs), packet collisions due to hidden and local nodes adversely affect throughput, energy efficiency and end-to-end delay. Existing medium access control (MAC) protocols try to solve the problem by utilizing a single-phase contention resolution mechanism, which causes a large number of control packet exchanges and energy overhead. In this pap...

It is a common wisdom that individual stocks’ returns are difficult to predict, though in many situations it is important to have such estimates at our disposal. In particular, they are needed to determine the cost of capital. Market equilibrium models posit that expected returns are proportional to the sensitivities to systematic risk factors. Fama and French (1993) three-factor model explains...