Raw Returns Research Articles

Consistency of UK Pension Fund Investment Performance

Transition matrix techniques are used to relate the past and present performance of pension fund portfolios. In particular, funds are ranked to study the tendency of portfolios to remain in the same quartile of the ranking as they were in the previous period. For raw returns, funds in both of the top quartiles are found to be more likely to remain in the same quartile than would be expected by chance. This result can be taken as limited evidence for the consistency of performance. Similar systemic effects are observed on a risk‐adjusted basis. There appears to be clear evidence that some fund managers can offer a degree of consistent good performance.

Use of contact tank to enhance denitrification in oxidation ditches

Poor denitrification in a Pasveeer oxidation ditch is attributed to a lack of carbon sources available in the anoxic zone as it is essential to maintain a high C/N ratio for denitrification. Influent of sewage directly into the anoxic zone is not useful to maintain a high C/N ratio. The adsorptive capacity of activated sludge can rapidly increase the C/N ratio. Similar to a contact-stabilization process, a contact tank can be combined with the Pasveer ditch; it provides contact time (zone) between raw sewage and return sludge before entering the ditch. In principle, insoluble organic substrate can be easily adsorbed onto the floc surfaces and enmeshed in the floc structure at a short retention time. After the contact, mixed influent is introduced into the anoxic zone. As a result, a high C/N ratio is obtained which enhances denitrification. Using this set up, the Pasveer ditch was operated. The experimental results show that the efficiency of denitrification has been enhanced from 45 to 83% for NO−3-N removal. The corresponding denitrification capacity of the sludge is increased by 240%. The contact tank has also the same principle as a ‘selector’ to control bulking sludge caused by filamentous bacteria. The SVI data and microscopic examination indicated improved settleability of the sludge. Further enhancement of denitrification needs an exact control of the dissolved oxygen level in the ditch and/or a concentration increase of denitrifying microorganisms.

Subscriber return, underpricing, and long-term performance of U.K. privatization initial public offers

This study distinguishes between issuer underpricing and subscriber returns, and estimates their magnitudes for U.K. privatization initial public offers (PIPOs). It proposes and tests empirical models which incorporate theoretical, institutional, and other factors which interact to explain subscriber returns and issuer underpricing. The estimates reveal that, on average, issuer underpricing, which is measured relative to the total equity market value on the first day of trading, is 23.62%, whereas the average raw return available to subscribers is up to 41%. Regression analysis shows that underwriters' commission, market volatility, regulatory situation of the company, proportion of share clawback, and demand for shares taken together explain up to 70% of the variation in issuer underpricing and 64% of subscribers' returns. The evaluation of the long-run performance of PIPOs to assess the extent to which initial gains to subscribers persist for longer periods concludes that U.K. PIPOs, on average, provide long-run holding gains to investors, unlike their private sector counterparts.

Comparative study of time-frequency and time-scale transforms for ultra-wideband radar transient signal detection

The application of various time frequency and time-scale transformations to the detection of raw ultra-wideband radar returns in the presence of strong RFI is investigated. The A-trous implementation of the continuous wavelet transform is best matched to the signals considered as the return is most consistently localised in the scalogram.

Tests for cumulative abnormal returns over long periods: Simulation evidence

The usual test of cumulative abnormal returns for multiple-day periods assumes that abnormal returns are serially independent. The assumption imparts an upward bias to test statistics even when raw returns are serially independent. In simulation, the usual test rejects true null hypotheses too frequently in the longest cumulation periods and in shorter periods when events are clustered in calendar time. Excessively frequent rejection implies that the nominal significance level understates the actual significance level. A corrected statistic, derived without the serial independence assumption, rejects true null hypotheses with a frequency less than or equal to the nominal significance level. However, the corrected test is not very powerful in the longest event periods.

Patterns in Three Centuries of Stock Market Prices

This article applies autoregression and rescaled range statistics to very long stock market series to test the hypothesis that long-term temporal dependencies are present in financial data. For the annual capital appreciation returns to the London Stock Exchange, evidence of persistence in raw returns greater than five years and of mean reversion in deviations from rolling twenty-year averages is found. Similar patterns are observed for the New York Stock Exchange; however, they are not significant at traditional confidence levels. Copyright 1993 by University of Chicago Press.

Oscillation of interspike interval length in substantia nigra dopamine neurons: effects of nicotine and the dopaminergic D2 agonist LY 163502 on electrophysiological activity.

The rates and patterns of discharge activity exhibited by 16 spontaneously active substantia nigra pars compacta dopamine neurons were studied in halothane-anesthetized rats using three types of quantitative measures: 1) mean discharge rates, 2) population characteristics of interspike interval samples, and 3) interspike interval time-series measures which were used to examine patterns in the ordering of interspike intervals. The mean discharge rate of these 16 cells was 2.9 +/- 0.3 spikes/sec, and each cell was classified as bursting (25% of the cells) or non-bursting (75%). The distribution of interspike intervals of non-bursting neurons were more normally distributed. Time-series analyses (raw time-series plots, return maps, and phase portraits) revealed a substantial oscillatory tendency in the magnitudes of consecutive interspike intervals in these neurons under baseline conditions: Successive interspike intervals tended to alternate between short and long durations, although short bursts often occurred. Under baseline conditions, these cells exhibited both multispike bursts and consecutive long intervals less frequently than would have been predicted by chance ordering of the interspike intervals. These results imply that there are mechanisms acting to reduce the probability of these types of events. Locally infused nicotine enhanced discharge rates in these neurons. Burst firing increased in four neurons, while five neurons did not show any change in burst firing. LY 163502 induced significant decreases in both discharge rate and bursting activity in all cells tested. The variation coefficient, skew, and kurtosis of the interspike interval distributions were not consistently altered by either drug. The local infusion of either nicotine or LY 163502 decreased the oscillatory phenomenon seen in the baseline condition. Neither the nicotine or LY 163502 time-series data exhibited a larger proportion of long-short and short-long pairs (relative to the median interval) than would be expected by chance. It is hypothesized that these neurons have intrinsic mechanisms, made manifest under anesthesia, which induce oscillations in interspike interval length. The oscillatory effect of these mechanisms can be overridden by tonic increases in either excitatory or inhibitory tone.

Mutual fund types, ratings, and performance during the 1987 stock market “crash”

An issue of concern to mutual fund investors is the information content of various descriptors, which they may use in an attempt to select funds meeting their investment objectives. In this study the authors examine the extent to which two such descriptors, mutual fund types (“objectives”) and historical performance ratings, would have predicted which funds would perform the best during the 1987 stock market crash. Results suggest that while both descriptors were useful in predicting raw mutual fund returns, neither descriptor was particularly useful in predicting risk-adjusted performance during the crash.

Acoustic imagery using a multibeam bathymetric system

Abstract Historically, measurement and collection of deep‐ocean acoustic imagery are accomplished by towed sidescan systems. Recently, work has been performed to extract acoustic imagery from current hull‐mounted wide‐swath bathymetric sonars with minimal hardware modification. Past work of deriving acoustic imagery from swath sonars has been performed primarily with SeaBeam's sixteen 22/3 ° preformed beams. The Navy is investigating the feasibility of extracting an acoustic image from the Sonar Array Survey Systems (SASS), a high‐resolution (1o beams) wide‐fan (90°) bathymetric system. Due to the large data volume (approximately 1 MB per ping), SASS normally discards the raw acoustic returns once bathymetry is calculated. In early 1991 the Naval Air Development Center (NADC) installed the hardware on board the USNS Maury to capture and record the raw acoustic signal (inphase and quadrature) from the SASS's 144 hydrophones for later inversion to a backscatter image. Preliminary qualitative mosaics of the ...

Is There a Gift from Small-Stock Investing?

Small stocks are widely believed to provide higher rates of return than larger-capitalization stocks. But early research into small-stock returns failed to consider certain economic aspects of small-stock investing-namely, the extra risk and additional illiquidity associated with small stocks. These may very well explain the mysterious return to smallness. Adjusting the returns on a broad universe of equity portfolios for risk and transaction costs gives a more realistic picture of the returns actually available to small-stock portfolios. While adjustment for risk significantly reduces the raw total returns to small-stock portfolios, transaction costs do the most damage. This result is a function, not only of the higher cost of trading smaller, less liquid stocks, but of the turnover required. Turnover rates increase systematically as portfolio market capitalization decreases and as rebalancing frequency increases. For all but the very smallest decile of market capitalization, a strategy of rebalancing every six months results in zero or negative excess returns. The actual returns available to practicable small-stock portfolios are much smaller than those documented in previous studies and apparently expected in practice.

Regulator selection and financial performance for public utilities: Selection method and the returns experienced by common equity owners

This paper extends the work of others who have analysed the relationship between regulatory process and regulatory outcome, and examines the hypothesis that there is a difference in regulatory treatment received by public utilities depending on whether their regulators are elected directly by the public or appointed. The hypothesis of differential treatment is tested using the market-based returns and risks realized by the utility's common stockholders. The relevance of these measures is based on the premise that share prices incorporate all information about the future expected cash flows of the firm and thus reveal any perceived differences in the treatment received or expected to be received from the two subsets of regulators. Raw return and risk measures indicate higher returns and lower risks for equity owners of electric utilities regulated by appointed commissioners for the periods 1964–1968 and 1970–1979. The outcome was reversed for the period 1980–1984 with the equity owners of electric utilities regulated by elected commissioners earning higher returns than owners of firms regulated by appointed commissioners. When standard statistical testswere applied, the only significant differences in risk-adjusted returns were those for 1964–1968, when the owners of firms under appointed commissioners earned higher risk-adjusted returns than did owners of firms regulated by elected commissioners.

Relation between Market Model Prediction Errors and Omitted Variables: A Methodological Note

A number of accounting studies have examined market model prediction errors to evaluate the share price effects of various events, such as voluntary or mandatory accounting changes. A common approach is to examine the prediction errors around the event date of a portfolio of potentially affected firms. This approach has been extended recently through the use of cross-sectional regressions (e.g., Leftwich [1981], Holthausen [1981], Collins, Rozeff, and Dhaliwal [1981], Sepe [1982], and Chow [1983]) in which prediction errors or raw returns are regressed on firm-specific variables such as size.' The purpose of this paper is to examine the implications of some recent findings in finance for the various finance-based empirical accounting studies. In general, two types of omitted variables from the standard capital assets pricing model have been identified. First, several studies have reported that certain firm-specific variables such as size (Banz [1981] and Reinganum [1981]), earnings yield (Basu [1975; 1983]), and dividend-payout ratio (Litzenberger and Ramaswamy [1979]) may be omitted variables from the standard CAPM. In addition, other studies have found some special time-series characteristics of stock returns, such