In this paper we present new empirical evidence on the agency based asset pricing model of Brennan (1993). We find strong evidence that in the recent period stocks whose returns covary more with the idiosyncratic component of the S&P500 return have significantly lower returns, holding constant either the market beta or the loadings on the Fama-French factors. The effect is confined mainly to la...

Let IM and IN be defining ideals of toric varieties such that IM is a projection of IN , i.e. IN ⊆ IM . We give necessary and sufficient conditions for the equality IM = rad(IN + (f1, . . . , fs)), where f1, . . . , fs belong to IM . Also a method for finding toric varieties which are set-theoretic complete intersection is given. Finally we apply our method in the computation of the arithmetica...

in this paper, we have proposed a new iterative method for finding the solution of ordinary differential equations of the first order. in this method we have extended the idea of variational iteration method by changing the general lagrange multiplier which is defined in the context of the variational iteration method.this causes the convergent rate of the method increased compared with the var...

Fama (1970) defined an efficient market as one in which prices always ’fully reflect’ available information. This paper formalizes this definition and provides various characterizations relating to equilibrium models, profitable trading strategies, and equivalent martingale measures. These various characterizations facilitate new insights and theorems relating to efficient markets. In particula...

We propose and study a block-iterative projections method for solving linear equations and/or inequalities. The method allows diagonal component-wise relaxation in conjunction with orthogonal projections onto the individual hyperplanes of the system, and is thus called diagonally-relaxed orthogonal projections (DROP). Diagonal relaxation has proven useful in accelerating the initial convergence...

In this paper, seventh-order iterative methods for the solution ofnonlinear equations are presented. The new iterative methods are developed byusing weight function method and using an approximation for the last derivative,which reduces the required number of functional evaluations per step. Severalexamples are given to illustrate the eciency and the performance of the newiterative methods.