Return Movement Research Articles

Architecture-Aware Real-Time Compression of Execution Traces

In recent years, on-chip trace generation has been recognized as a solution to the debugging of increasingly complex software. An execution trace can be seen as the most fundamentally useful type of trace, allowing the execution path of software to be determined post hoc. However, the bandwidth required to output such a trace can be excessive. Our architecture-aware trace compression (AATC) scheme adds an on-chip branch predictor and branch target buffer to reduce the volume of execution trace data in real time through on-chip compression. Novel redundancy reduction strategies are employed, most notably in exploiting the widespread use of linked branches and the compiler-driven movement of return addresses between link register, stack, and program counter. In doing so, the volume of branch target addresses is reduced by 52%, whereas other algorithmic improvements further decrease trace volume. An analysis of spatial and temporal redundancy in the trace stream allows a comparison of encoding strategies to be made for systematically increasing compression performance. A combination of differential, Fibonacci, VarLen, and Move-to-Front encodings are chosen to produce two compressor variants: a performance-focused xAATC that encodes 56.5 instructions/bit using 24,133 gates and an area-efficient fAATC that encodes 48.1 instructions/bit using only 9,854 gates.

Investor heterogeneity and commonality in stock return and liquidity

This paper examines how the trading activities of different investor types are related to common return and liquidity movements. Using a unique dataset, we decompose the daily return and liquidity of individual stocks into price impact components attributable to trades of institutional investors and retail investors. We then investigate the variation of each component relative to market-wide return and liquidity. We show that institutional trades contribute more than retail trades to liquidity commonality. However, retail trades contribute more strongly to return co-movement. The incremental contribution of retail trades to the co-variability of stock returns is more pronounced for firms with high information asymmetry.

The Time-Series Linkages between US Fiscal Policy and Asset Prices

This paper studies the interplay of fiscal policy and asset price returns of the United States in a time-varying-parameter vector autoregressive model. Using annual data from 1890 to 2013, we study the effects of dynamic shocks to both fiscal policy and asset returns on asset returns and fiscal policy. Distinguishing between low volatility (bull market) and high volatility (bear market) regimes together with a time-varying-parameter vector autoregressive model enables us to isolate the different size and sign of responses to shocks during different time periods. The results indicate that increases in the primary deficit to GDP ratio decrease house returns over the entire sample and at each impulse horizon. Unlike the house return response, stock returns only decrease in the first year after the fiscal shock, but then increase for the following eight years. Furthermore, the findings show that asset return movements affect fiscal policy, whereby fiscal policy responds more to equity returns than to house returns. The response of fiscal policy to asset returns proves relatively stable and constant over time while controlling for and identifying various asset return regimes. Asset returns respond uniformly to fiscal policy shocks since the 1900's.

The Relationship between Indian Realty Stocks and Online Searches

We examine the relationship between online real estate searches by investors and the future returns of publicly traded real estate stocks in India. We find evidence that the relevant online search volume indices are significantly related to the future movements in real estate stock returns. However, the association between online searches and stock returns diminishes quickly. The findings suggest that the significance of the online searches is driven by the online investor’s attention to real estate stocks rather than the searches’ representativeness of the fundamental shifts in the market. JEL Classification: R3, G11, G12, G14

Patch-use dynamics by a large herbivore.

BackgroundAn adaption of the optimal foraging theory suggests that herbivores deplete, depart, and finally return to foraging patches leaving time for regrowth [van Moorter et al., Oikos 118:641–652, 2009]. Inter-patch movement and memory of patches then produce a periodic pattern of use that may define the bounds of a home range. The objective of this work was to evaluate the underlying movements within home ranges of elk (Cervus elaphus) according to the predictions of this theory. Using a spatial temporal permutation scan statistic to identify foraging patches from GPS relocations of cow elk, we evaluated return patterns to foraging patches during the 2012 growing season. Subsequently, we used negative binomial regression to assess environmental characteristics that affect the frequency of returns, and thereby characterize the most successful patches.ResultsWe found that elk return to known patches regularly over a season, on average after 15.4 (±5.4 SD) days. Patches in less-rugged terrain, farther from roads and with high productivity were returned to most often when controlling for the time each patch was known to each elk.ConclusionsInstead of diffusion processes often used to describe animal movement, our research demonstrates that elk make directed return movements to valuable foraging sites and, as support for Van Moorter et al.’s [Oikos 118:641–652, 2009] model, we submit that these movements could be an integral part of home-range development in wild ungulates.

Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction

Many recent modeling advances in finance topics ranging from the pricing of volatility-based derivative products to asset management are predicated on the importance of jumps, or discontinuous movements in asset returns. In light of this, a number of recent papers have addressed volatility predictability, some from the perspective of the usefulness of jumps in forecasting volatility. Key papers in this area include Andersen et al. (2003), Corsi (2004), Andersen et al. (2007), Corsi et al. (2008), Barndorff et al. (2010), Patton and Shephard (2011), and the references cited therein. In this paper, we review the extant literature and then present new empirical evidence on the predictive content of realized measures of jump power variations (including upside and downside risk, jump asymmetry, and truncated jump variables), constructed using instantaneous returns, i.e., |rt|q,0≤q≤6 in the spirit of Ding et al. (1993) and Ding and Granger (1996). We also present new empirical evidence on the predictive content of realized measures of truncated large jump variations, constructed using truncated squared instantaneous return, i.e., rt2×I|rt|>γ, where γ is the threshold jump size. Our prediction experiments use high frequency price returns constructed using S&P500 futures data as well as stocks in the Dow 30, and our empirical implementation involves estimating linear and nonlinear heterogeneous autoregressive realized volatility (HAR-RV) type models. We find that past “large” jump power variations help less in the prediction of future realized volatility, than past “small” jump power variations. Additionally, we find evidence that past realized signed jump power variations, which have not previously been examined in this literature, are strongly correlated with future volatility, and that past downside jump variations matter in prediction. Finally, incorporation of downside and upside jump power variations does improve predictability, albeit to a limited extent.

Uncovering International Cross-Border Investment Trend: A Revisit

As cross border investment flow has grown significantly in the recent years, especially after 2008-2009 global financial crisis where liquidities started to flood the market which made global-seeking opportunities beyond border becomes growingly essential, it remains important for one to uncover the current international investment trend. Home bias phenomena and country’s income classification has strongly been responsible to movement in international investment trend and therefore becomes the strongest emphasize used in this paper. Specifically, this paper attempts to revisit current literatures and tries to use the existing literature to examine whether the current trend in investors’ domestic and foreign holding across the country groups has expressed optimum principle and if the principle can be applied in nowadays condition. Using equity market as sample, this paper finds the literature can explain what has been behind investors decision in diversifying internationally by dividing the factors into four broad categories (fundamental aspect, behavioural anomaly, governance or institutional constraints, and liquidity premia). On the optimisation principle side, literature shows that there lies positive but diminishing gap in actual and optimum domestic holding both in high and middle income countries, justified by return (equity index) movement and trade cost. This result, however, strongly needs to be improved as it has poor relevance with current condition.

THE EFFECT OF LABOR AND FINANCIAL FRICTIONS ON AGGREGATE FLUCTUATIONS

This paper embeds labor market search frictions into a New Keynesian model with financial frictions. The econometric estimation establishes that labor market frictions substantially improve the empirical fit of the model. The effect of the interaction between labor and financial frictions on aggregate fluctuations depends on the nature of the shock. For monetary policy, technology, and entrepreneurial wealth shocks, labor market frictions amplify the effect of financial frictions, because robust changes in hiring lead to persistent movements in employment and return on capital that reinforce the original effect of financial frictions. For cost-push, labor supply, marginal efficiency of investment, and preference shocks, labor market frictions dampen the effect of financial frictions by reducing the real cost of repaying existing debt, which lowers the external finance premium.

Timely Revolutions: On the Timelessness of the Unconscious

Julia Kristeva’s work on the concept of revolt is marked by a temporal analysis that takes revolt to be a movement of return into the past that makes possible change, rebirth, and an open future. Such temporal revolt is, according to Kristeva, intimate, in that it touches on unconscious psychic structures and operates on the level of thought and creativity. But Kristeva simultaneously inherits Freud’s notion that the unconscious is timeless. How, I ask, can revolt be defined as a temporal movement of return while at the same time being rooted in timelessness? I examine both Freud’s and Kristeva’s discussions of the timelessness of the unconscious and suggest that it needs to be understood not as non-temporal or outside of time, but rather as a temporal structure that challenges traditional philosophical conceptions of time. As such, the timelessness of the unconscious is far from being yet another instantiation of metaphysical presence. Rather, I see it as offering a challenge to both metaphysical presence and linear time, and indeed as making possible the retrospective movement of return that revolt for Kristeva must be.

The Curious Chasidic Pilgrimage to Lelov, Poland

Abstract This paper discusses a Chasidic pilgrimage movement focused on Lelov, which lies south of Cracow. Pilgrimage has always been a major part of Jewish tradition, but for many years during the Cold War it was possible only for a devoted few to return to Poland. With the collapse of Communism, however, pilgrimage sites in Central and Eastern Europe have become much more accessible and consequently ultra-orthodox Jews have created a ‘return movement’.

Explaining Undocumented Migration to the U.S.

Using data from the Mexican Migration Project and the Latin American Migration Project, we find that undocumented migration from Mexico reflects U.S. labor demand and access to migrant networks and is little affected by border enforcement, which instead sharply reduces the odds of return movement. Undocumented migration from Central America follows primarily from political violence associated with the U.S. intervention of the 1980s, and return migration has always been unlikely. Mass undocumented migration from Mexico appears to have ended because of demographic changes there, but undocumented migration from Central America can be expected to grow slowly through processes of family reunification.

Effects of task context during standing reach on postural control in young and older adults: A pilot study

Reaching is an important component of daily activities with goals to interact and acquire objects in the environment. The task context of reaching, as determined by the behavioral goal and the properties of the object, can influence the control of posture and movements. This study examined age differences in postural stability during a forward reach under two task contexts, grasping versus pointing to a target. Young and older participants living in the community performed the tasks from the standing position. They reached forward, grasped or pointed to a target, and then returned to an upright posture as fast as possible. Postural stability was analyzed using the center of pressure (COP) during two phases of the task: the reaching movement phase and the returning movement phase. In the grasping context, the COP path deviations were significantly larger in older compare to young participants during both the reach and the return movement phases. In addition, during the return movement phase, only older participants showed a context-dependent increase in COP path deviations after grasping compared to pointing. The results highlight the impact of task context on postural stability during standing reach in young and older adults. Interventions for older adults with balance problems should consider incorporating activities that involve the interaction with objects of various properties in the environment. Future studies are necessary to investigate the factors underlying the person-environment interplay of postural control and the adaptation of anticipatory postural control associated with object interaction during functional tasks in older adults.

Interest rate changes and stock returns in Spain: A wavelet analysis

This paper investigates the relationship between changes in interest rates and the Spanish stock market at the industry level over the period from January 1993 to December 2012 using a wavelet-based approach. The empirical results indicate that Spanish industries exhibit, in general, a significant interest rate sensitivity, although the degree of interest rate exposure differs considerably across industries and depending on the time horizon under consideration. In particular, regulated industries such as Utilities, highly indebted industries such as Real Estate, Utilities or Technology and Telecommunications, and the Banking industry emerge as the most vulnerable to interest rates. Further, the link between movements in interest rates and industry equity returns is stronger at the coarsest scales. This finding is consistent with the idea that investors with long-term horizons are more likely to follow macroeconomic fundamentals, such as interest rates, in their investment decisions.

THE RISK OF BEING UNSYSTEMATIC AND STOCK RETURNS: THE EMPIRICAL TEST ON CAPITAL VALIDITY OF CAPITAL ASSET PRICING MODEL

The objective of this research is to analyze the effect of idiosyncratic risk to stock return on Indonesia Stock Exchange. To test these variables, the study applied two pass regression with time series data of stock return LQ45 and stock price index from January 2014 - December 2014. The estimation method used in the first pass regression was selected by characteristics of the return data, that is EGARCH (1,1) method for heterokedasticity data and Ordinary Least Squares for constant variance data. Specifications on the second pass regression models using cross section data, that is month by month cross sectional regression of 30 stock portfolios, which aim to identify unsystematic risk role in explaining the behavior of the return from stock portfolio. The findings of this study indicate that unsystematic risk has insignificant effect on stock return. These findings support the statement postulated in Capital Asset Pricing Model (CAPM), that the only relevant risk in explaining the return of stock only systematic risk, so there is no statistical evidence is strong enough to declare that the unsystematic risk can play a role in explaining the movement of stock return.

Portuguese Diaspora: Life Stories / Documentaries

The return is a change that is configured at various levels - relationships , routines , roles - and can interfere with the self - concept and the concept that individuals have about the other . (Schlossberg , Waters & Goodman , 1995).The mobility in this case the return is a transition and / or a crisis in that the individual initiates an adaptation process . This process is influenced by several variables , including the subjective perception regarding the event and the different characteristics of the contexts of exit and reception and the characteristics of the actors in this event. (Pine and Ferreira , 2002; Evans & Forney , Guido DiBrito , 1998). If migrations occur regularly , this process can not interferewithf the return movement of the Portuguese diaspora since decolonization that constituted for the Portuguese a transition not expected and , but configuring contexts breakthrough.The intention is to understand the contexts of life of the people involved in the process ( rupture, integration , opportunities , etc. ) through the documentaries made for the purpose. DOI: 10.5901/mjss.2014.v5n22p533

PERANINCOME SMOOTHING DALAM MENINGKATKAN EARNINGS INFORMATIVENESS

The purpose of this study was to obtain empirical evidence of income smoothing effect on earnings informativeness. Earnings informativeness is the information content of future returns that reflected from return (Tucker and Zarowin, 2006). This study will develop a CKSS concept that developed by Collins et al. (1994), which tested the earnings informativeness through future earnings response coefficients (future earnings response coefficient / FERC) in measuring the influence of the stock return movement in future earnings. The samples in the study were determined by using purposive sampling, which took samples of non-financial companies, with years of observation from 2004 to 2011. The research sample includes 104 non-financial companies listed on the Indonesia Stock Exchange. This study using SPSS 20 version, as multiple regression analysis (multiple regression). Tests conducted on the interaction effect of income smoothing with future earnings to return. The test results in this study showed a significant positive value, indicated that income smoothing action able to strengthening the relationship of earnings and return. This proves that income smoothing action is not always biased (garbles), but this action is aimed as efficient communication, because the information generated by company is significantly can be used as a prediction of future information. These results are consistent with Zarowin (2002), Tucker and Zarowin (2006), Cahan et al., (2008), as well as Hamzawi and Alfatooni (2011).

Housing market volatility in the OECD area: Evidence from VAR based return decompositions

Vector-autoregressive models are used to decompose housing returns in 18 OECD countries into cash flow (rent) news and discount rate (return) news over the period 1970–2011. For the majority of countries news about future returns is the main driver, and both real interest rates and risk-premia play an important role in accounting for housing market volatility. Bivariate cross-country correlations and principal components analyses indicate that part of the return movements have a common factor among the majority of countries. We explain the results in terms of global changes in credit constraints and transactions costs as well as changes in monetary policy over this period. Among other things, our results shed new light on whether excessively low interest rates by the monetary authorities was a major cause for the housing boom up to 2006.

The Stock-Bond Return Relation, the Term Structure’s Slope, and Asset-Class Risk Dynamics

AbstractWe study whether asset-class risk dynamics can help explain the predominantly negative stock-bond return relation and movements in the term structure’s slope over 1997–2011. Using option-derived implied volatilities to measure risk, we find i) the negative stock-bond return relation largely disappears when controlling for risk movements, at both monthly and weekly horizons; ii) the partial relation between equity-risk changes and 10-year T-bond excess returns (term-slope movements) is reliably positive (negative); and iii) a stronger link between equity risk and stock returns implies a more negative stock-bond return correlation. Our results suggest a flight-to-quality influence between equity-risk dynamics and longer-term Treasury pricing.

Impaired Capital Reallocation and Productivity

The level of private sector labour productivity has been particularly weak since the start of the crisis. In this paper we explore whether impairment to capital reallocation has been contributing to this weakness. The recent increase in the dispersion of output, prices and rates of return across firms and sectors is stark, and suggests that resources have had incentives to move. Efficient allocation requires that capital moves to firms and sectors where rates of return are relatively high. And the change in capital levels across sectors has been particularly low, suggesting there has been an unusually slow process of capital reallocation since 2008 compared to previous UK recessions and other banking crises. This result is also apparent within sectors. We use a simple and general model to show that increased price dispersion can be a consequence of frictions to efficient capital allocation. And the size of this dispersion can usefully inform us about the size of the associated output and productivity loss. We then find that – using firm level data – the relationship between rates of return and subsequent capital movements has changed since the financial crisis. Overall, our results suggest that impaired capital reallocation across the UK economy is likely to have been one factor contributing to the recent weakness in productivity growth.

Expected return, time-varying risk, and hedging demand in the US REITs market

This paper explores the time-varying relationship between the return and risk for the portfolios in the US real estate investment trusts (REITs) market. Three classes of REITs portfolios are sorted on size, momentum and book-to-market. The empirical results place a positive trade-off between the return and predictable covariation in all REITs portfolios. Furthermore, this paper examines the significance of intertemporal hedging demand in each REITs portfolio by extending the Intertemporal Capital Asset Pricing model (ICAPM) with a set of prevailing macroeconomic variables and financial market indicators, which indicate that the predictable movements in return could be attributed to the change in covariances with these innovations. The conclusive results show that innovations in inflation rate, de-trended short-term interest rate, Fama-French momentum factor, S&P/Case-Shiller home price index, and Barclay Capital long-term government/corporate bond index play a crucial role in hedging demand for REITs portfolios.