Abstract The East African ‘short rains’ in October–December (OND) exhibit large interannual variability. Drought and flooding are not unusual, long-range rainfall forecasts can guide planning preparedness for such events. Although seasonal based on dynamical models making inroads, statistical sea surface temperature (SST) precursors still widely used, it important to better understand the stren...

Trading volume and the number of trades are both used as proxies for market activity, with disagreement as to which is the better proxy for market activity. This paper investigates this issue using high frequency data for Cisco and Intel in 1997. A number of econometric methods are used, including GARCH augmented with lagged trading volume and number of trades, tests based on moment restriction...

In this Internet Appendix, we provide further evidence on the determinants of corporate credit spreads and default risk through the lens of our investment-based model. Following the approach adopted in the main text, we present results from simulations of various calibrated model specifications. Unless otherwise noted, parameter values correspond to the baseline calibration in the main text. Se...

We analyze the network structure of lagged correlations among daily financial news sentiments and returns of financial market indices of 40 countries from 2002 to 2012. Using a spectral method, we decompose the network into bipartite sub-structures, and show that these sub-structures are relevant to the performance of prediction models, bridging concepts from network theory and time series anal...

Applying both the price-levels model and the lagged-price-deflated returns model, we investigated the incremental value relevance of the reconciliation of accounts from the Chinese Accounting Standards (CAS) to the International Accounting Standards (IAS) by those Chinese listed companies that have simultaneously issued A-shares and B-shares. In addition, we examined the usefulness of accountin...

1. We have examined the effects of iontophoresing specific antagonists to excitatory amino acid receptors on the visual responses of cells in lamina A or A1 of the cat's lateral geniculate nucleus (LGN). 2. Cells were classified as On- or Off-center, X or Y, and lagged or nonlagged. The effects of antagonists were studied while cells were stimulated with spots of the appropriate contrast coveri...

Purpose This article examines whether deviations from fundamental value or closed-end country fund's discounts premiums forecast future share price returns net asset returns. Design/methodology/approach The main empirical (econometric) tool is a vector autoregressive (VAR) model. authors model and as function of their lagged values, the premiums, control variable for local market also conduct D...

Distributed lag (DL) models relate lagged covariates to a response and are a popular statistical model used in a wide variety of disciplines to analyze exposure-response data. However, classical DL models do not account for possible interactions between lagged predictors. In the presence of interactions between lagged covariates, the total effect of a change on the response is not merely a sum ...

We study 6,686 IPOs spanning the period 1981-2005 and find that the new issues puzzle disappears in a Fama-French three-factor framework. IPOs do not underperform in the aftermarket on a risk-adjusted basis and do not underperform a matched sample of non-issuers. IPO underperformance is concentrated in the 1980’s and early 1990’s, and IPO’s either perform the same as the market, or outperform o...