... a math-ematical bias stemming from one of the as-sumptions underlying the capital asset prici... more ... a math-ematical bias stemming from one of the as-sumptions underlying the capital asset pricingmodel (CAPM). ... Clearly, the length of the "true" in-vestment horizon affects asset prices under con ... In the various empirical tests, the investment horizon has been selected arbitrarily ...
3-end processing of nucleus-encoded mRNAs includes the addition of a poly(A) tail that is importa... more 3-end processing of nucleus-encoded mRNAs includes the addition of a poly(A) tail that is important for translation initiation. Since the vast majority of chloroplast mRNAs acquire their 3 termini by processing yet are not polyadenylated, we asked whether 3 end maturation plays a role in chloroplast translation. A general characteristic of the 3 untranslated regions of chloroplast mRNAs is an inverted repeat (IR) sequence that can fold into a stem-loop structure. These stem-loops and their flanking sequences serve as RNA 3-end formation signals. Deletion of the Chlamydomonas chloroplast atpB 3 IR in strain ⌬26 results in reduced accumulation of atpB transcripts and the chloroplast ATPase -subunit, leading to weakly photosynthetic growth. Of the residual atpB mRNA in ⌬26, approximately 1% accumulates as a discrete RNA of wild-type size, while the remainder is heterogeneous in length due to the lack of normal 3 end maturation. In this work, we have analyzed whether these unprocessed atpB transcripts are actively translated in vivo. We found that only the minority population of discrete transcripts of wild-type size is associated with polysomes and thus accounts for the ATPase -subunit which accumulates in ⌬26. Analysis of chloroplast rbcL mRNA revealed that transcripts extending beyond the mature 3 end were not polysome associated. These results suggest that 3-end processing of chloroplast mRNA is required for or strongly stimulates its translation.
This paper provides new evidence on the time-series predictability of stock market returns by int... more This paper provides new evidence on the time-series predictability of stock market returns by introducing a test of nonlinear mean reversion. The performance of extreme daily returns is evaluated in terms of their power to predict short-and long-horizon returns on various stock market indices and size portfolios. The paper shows that the speed of mean reversion is significantly higher during the large falls of the market. The parameter estimates indicate a negative and significant relation between the monthly portfolio returns and the extreme daily returns observed over the past one to eight months. Specifically, in a quarter in which the minimum daily return is À2% the expected excess return is 37 basis points higher than in a month in which the minimum return is only À1%. This result holds for the value-weighted and equal-weighted stock market indices and for each of the size decile portfolios. The findings are also robust to different sample periods, different indices, and investment horizons.
This paper examines the intertemporal relation between downside risk and expected stock returns. ... more This paper examines the intertemporal relation between downside risk and expected stock returns. Value at Risk (VaR), expected shortfall, and tail risk are used as measures of downside risk to determine the existence and significance of a risk-return tradeoff. We find a positive and significant relation between downside risk and the portfolio returns on NYSE/AMEX/Nasdaq stocks. VaR remains a superior measure of risk when compared with the traditional risk measures. These results are robust across different stock market indices, different measures of downside risk, loss probability levels, and after controlling for macroeconomic variables and volatility over different holding periods as originally proposed by Harrison and Zhang (1999). I. Introduction The cotiditional tnean and variance of return on the market portfolio play central roles in Merton's (1973) intertemporal capital asset pricing model (IC APM). Although theoretical models suggest a positive relation between risk and return for the aggregate stock market, the existing empirical literature fails to agree on the intertemporal relation between expected return and volatility. There is a long literature that has tried to identify the existence of such a tradeoff between risk and return, but the results are far from being conclusive (see the recent article by Guo and Whitelaw (2006) and the references therein).
Here we describe the characterization of a lipoprotein previously proposed as a potential Bacillu... more Here we describe the characterization of a lipoprotein previously proposed as a potential Bacillus anthracis virulence determinant and vaccine candidate. This protein, designated MntA, is the solute-binding component of a manganese ion ATP-binding cassette transporter. Coupled proteomic-serological screen of a fully virulent wild-type B. anthracis Vollum strain, confirmed that MntA is expressed both in vitro and during infection. Expression of MntA is shown to be independent of the virulence plasmids pXO1 and pXO2. An mnt A deletion, generated by allelic replacement, results in complete loss of MntA expression and its phenotypic analysis revealed: (i) impaired growth in rich media, alleviated by manganese supplementation; (ii) increased sensitivity to oxidative stress; and (iii) delayed release from cultured macrophages. The Δ Δ Δ Δ mnt A mutant expresses the anthraxassociated classical virulence factors, lethal toxin and capsule, in vitro as well as in vivo , and yet the mutation resulted in severe attenuation; a 10 4-fold drop in LD 50 in a guinea pig model. MntA expressed in trans allowed to restore, almost completely, the virulence of the Δ Δ Δ Δ mnt A B. anthracis strain. We propose that MntA is a novel B. anthracis virulence determinant essential for the development of anthrax disease, and that B. anthracis Δ Δ Δ Δ mnt A strains have the potential to serve as platform for future live attenuated vaccines.
In a recently published paper, Edmans, García, and Norli (2007) reveal a strong association betwe... more In a recently published paper, Edmans, García, and Norli (2007) reveal a strong association between results of soccer games and local stock returns. Inspired by their work, we propose a novel approach to exploit this effect on the aggregate international level with the following three unique features: (i) The aggregate effect does not depend on the games results; hence, the effect is an exploitable predictable effect. (ii) The aggregate effect is based on many games; hence, it is very large and highly significant. We find that the average return on the U.S. market over the World Cup's effect period is-2.58%, compared to +1.21% for alldays average returns over the same period length. (iii) Exploiting the aggregate effect is involved with trading in a single index for a relatively long period.
While Stochastic Dominance has been employed in various forms as early as 1932, it has only been ... more While Stochastic Dominance has been employed in various forms as early as 1932, it has only been since 1969-1970 that the notion has been developed and extensively employed in the area of economics, finance, agriculture, statistics, marketing and operations research. In ...
PLoS Neglected Tropical Diseases is an open-access journal publishing peer-reviewed research on t... more PLoS Neglected Tropical Diseases is an open-access journal publishing peer-reviewed research on the world\'s most neglected tropical diseases, such as elephantiasis, river blindness, leprosy, hookworm, schistosomiasis, and African sleeping sickness.
DIVERSIFICATION, PORTFOLIO ANALYSIS AND THE UNEASY CASE FOR CONGLOMERATE MERGERS Наш Levy* and Ma... more DIVERSIFICATION, PORTFOLIO ANALYSIS AND THE UNEASY CASE FOR CONGLOMERATE MERGERS Наш Levy* and Marshall SarnatI That horizontal and vertical mergers potentially can produce real economic gains is nowhere denied, but the economic case for a ...
... 2 The coefficient of correlation between railroad and public utility stock prices was 0.10 fo... more ... 2 The coefficient of correlation between railroad and public utility stock prices was 0.10 for the ... in year t. The returns have been calculated in dol-lars and, therefore, the indices have been ... raising the given portfolio return by half a percent and repeating the computation procedure ...
Empirically, co-skewness of asset returns seems to explain a substantial part of the cross-sectio... more Empirically, co-skewness of asset returns seems to explain a substantial part of the cross-sectional variation of mean return not explained by beta. This finding is typically interpreted in terms of a risk averse representative investor with a cubic utility function. This paper questions this interpretation. We show that the empirical tests fail to impose risk aversion and the implied utility function takes an inverse S-shape. Unfortunately, the first-order conditions are not sufficient to guarantee that the market portfolio is the global maximum for this utility function, and our results suggest that the market portfolio is more likely to represent the global minimum. In addition, if we do impose risk aversion, then co-skewness has minimal explanatory power.
Microscopic Simulation (MS) uses a computer to represent and keep track of individual ("micr... more Microscopic Simulation (MS) uses a computer to represent and keep track of individual ("microscopic") elements in order to investigate complex systems which are analytically intractable. A methodology that was developed to solve physics problems, MS has been used to study the relation between microscopic behavior and macroscopic phenomena in systems ranging from those of atomic particles, to cars, animals, and even humans. In finance, MS can help explain, among other things, the effects of various elements of investor behavior on market dynamics and asset pricing. It is these issues in particular, and the value of an MS approach to finance in general, that are the subjects of this book. The authors not only put their work in perspective by surveying traditional economic analyses of investor behavior, but they also briefly examine the use of MS in fields other than finance. Most models in economics and finance assume that investors are rational. However, experimental studies reveal systematic deviations from rational behavior. How can we determine the effect of investors' deviations from rational behavior on asset prices and market dynamics? By using Microscopic Simulation, a methodology originally developed by physicists for the investigation of complex systems, the authors are able to relax classical assumptions about investor behavior and to model it as empirically and experimentally observed. This rounded and judicious introduction to the application of MS in finance and economics reveals that many of the empirically-observed "puzzles" in finance can be explained by investors' quasi-rationality. Researchers use the book because it models heterogeneous investors, a group that has proven difficult to model. Being able to predict how people will invest and setting asset prices accordingly is inherently appealing, and the combination of computing power and statistical mechanics in this book makes such modeling possible. Because many finance researchers have backgrounds in physics, the material here is accessible. Emphasizes investor behavior in determining asset prices and market dynamics Introduces Microscopic Simulation within a simplified framework Offers ways to model deviations from rational decision-making
We present a model of the stock market based on the behavior of individual investors. Simulations... more We present a model of the stock market based on the behavior of individual investors. Simulations exhibit rich phenomena which include cycles, booms, and crashes. Low dividend yield and more homogeneous market participants are shown to induce crashes.
Microscopic Simulation (MS) uses a computer to represent and keep track of individual (" mic... more Microscopic Simulation (MS) uses a computer to represent and keep track of individual (" microscopic") elements in order to investigate complex systems which are analytically intractable. A methodology that was developed to solve physics problems, MS has been used to study the relation between microscopic behavior and macroscopic phenomena in systems ranging from those of atomic particles, to cars, animals, and even humans. In finance, MS can help explain, among other things, the effects of various elements of ...
Although the representative individual framework has been shown to be generally illegitimate and ... more Although the representative individual framework has been shown to be generally illegitimate and erroneous, it continues to be widely used for lack of a more suitable approach. In this paper, we present an alternative methodology for economic study-the microscopic simulation (MS) approach. We employ the MS methodology to study a basic model of the stock market formulated at the microscopic level-the level of the individual investor. We contrast macroscopic market behaviour arising from heterogenous as ...
... a math-ematical bias stemming from one of the as-sumptions underlying the capital asset prici... more ... a math-ematical bias stemming from one of the as-sumptions underlying the capital asset pricingmodel (CAPM). ... Clearly, the length of the "true" in-vestment horizon affects asset prices under con ... In the various empirical tests, the investment horizon has been selected arbitrarily ...
3-end processing of nucleus-encoded mRNAs includes the addition of a poly(A) tail that is importa... more 3-end processing of nucleus-encoded mRNAs includes the addition of a poly(A) tail that is important for translation initiation. Since the vast majority of chloroplast mRNAs acquire their 3 termini by processing yet are not polyadenylated, we asked whether 3 end maturation plays a role in chloroplast translation. A general characteristic of the 3 untranslated regions of chloroplast mRNAs is an inverted repeat (IR) sequence that can fold into a stem-loop structure. These stem-loops and their flanking sequences serve as RNA 3-end formation signals. Deletion of the Chlamydomonas chloroplast atpB 3 IR in strain ⌬26 results in reduced accumulation of atpB transcripts and the chloroplast ATPase -subunit, leading to weakly photosynthetic growth. Of the residual atpB mRNA in ⌬26, approximately 1% accumulates as a discrete RNA of wild-type size, while the remainder is heterogeneous in length due to the lack of normal 3 end maturation. In this work, we have analyzed whether these unprocessed atpB transcripts are actively translated in vivo. We found that only the minority population of discrete transcripts of wild-type size is associated with polysomes and thus accounts for the ATPase -subunit which accumulates in ⌬26. Analysis of chloroplast rbcL mRNA revealed that transcripts extending beyond the mature 3 end were not polysome associated. These results suggest that 3-end processing of chloroplast mRNA is required for or strongly stimulates its translation.
This paper provides new evidence on the time-series predictability of stock market returns by int... more This paper provides new evidence on the time-series predictability of stock market returns by introducing a test of nonlinear mean reversion. The performance of extreme daily returns is evaluated in terms of their power to predict short-and long-horizon returns on various stock market indices and size portfolios. The paper shows that the speed of mean reversion is significantly higher during the large falls of the market. The parameter estimates indicate a negative and significant relation between the monthly portfolio returns and the extreme daily returns observed over the past one to eight months. Specifically, in a quarter in which the minimum daily return is À2% the expected excess return is 37 basis points higher than in a month in which the minimum return is only À1%. This result holds for the value-weighted and equal-weighted stock market indices and for each of the size decile portfolios. The findings are also robust to different sample periods, different indices, and investment horizons.
This paper examines the intertemporal relation between downside risk and expected stock returns. ... more This paper examines the intertemporal relation between downside risk and expected stock returns. Value at Risk (VaR), expected shortfall, and tail risk are used as measures of downside risk to determine the existence and significance of a risk-return tradeoff. We find a positive and significant relation between downside risk and the portfolio returns on NYSE/AMEX/Nasdaq stocks. VaR remains a superior measure of risk when compared with the traditional risk measures. These results are robust across different stock market indices, different measures of downside risk, loss probability levels, and after controlling for macroeconomic variables and volatility over different holding periods as originally proposed by Harrison and Zhang (1999). I. Introduction The cotiditional tnean and variance of return on the market portfolio play central roles in Merton's (1973) intertemporal capital asset pricing model (IC APM). Although theoretical models suggest a positive relation between risk and return for the aggregate stock market, the existing empirical literature fails to agree on the intertemporal relation between expected return and volatility. There is a long literature that has tried to identify the existence of such a tradeoff between risk and return, but the results are far from being conclusive (see the recent article by Guo and Whitelaw (2006) and the references therein).
Here we describe the characterization of a lipoprotein previously proposed as a potential Bacillu... more Here we describe the characterization of a lipoprotein previously proposed as a potential Bacillus anthracis virulence determinant and vaccine candidate. This protein, designated MntA, is the solute-binding component of a manganese ion ATP-binding cassette transporter. Coupled proteomic-serological screen of a fully virulent wild-type B. anthracis Vollum strain, confirmed that MntA is expressed both in vitro and during infection. Expression of MntA is shown to be independent of the virulence plasmids pXO1 and pXO2. An mnt A deletion, generated by allelic replacement, results in complete loss of MntA expression and its phenotypic analysis revealed: (i) impaired growth in rich media, alleviated by manganese supplementation; (ii) increased sensitivity to oxidative stress; and (iii) delayed release from cultured macrophages. The Δ Δ Δ Δ mnt A mutant expresses the anthraxassociated classical virulence factors, lethal toxin and capsule, in vitro as well as in vivo , and yet the mutation resulted in severe attenuation; a 10 4-fold drop in LD 50 in a guinea pig model. MntA expressed in trans allowed to restore, almost completely, the virulence of the Δ Δ Δ Δ mnt A B. anthracis strain. We propose that MntA is a novel B. anthracis virulence determinant essential for the development of anthrax disease, and that B. anthracis Δ Δ Δ Δ mnt A strains have the potential to serve as platform for future live attenuated vaccines.
In a recently published paper, Edmans, García, and Norli (2007) reveal a strong association betwe... more In a recently published paper, Edmans, García, and Norli (2007) reveal a strong association between results of soccer games and local stock returns. Inspired by their work, we propose a novel approach to exploit this effect on the aggregate international level with the following three unique features: (i) The aggregate effect does not depend on the games results; hence, the effect is an exploitable predictable effect. (ii) The aggregate effect is based on many games; hence, it is very large and highly significant. We find that the average return on the U.S. market over the World Cup's effect period is-2.58%, compared to +1.21% for alldays average returns over the same period length. (iii) Exploiting the aggregate effect is involved with trading in a single index for a relatively long period.
While Stochastic Dominance has been employed in various forms as early as 1932, it has only been ... more While Stochastic Dominance has been employed in various forms as early as 1932, it has only been since 1969-1970 that the notion has been developed and extensively employed in the area of economics, finance, agriculture, statistics, marketing and operations research. In ...
PLoS Neglected Tropical Diseases is an open-access journal publishing peer-reviewed research on t... more PLoS Neglected Tropical Diseases is an open-access journal publishing peer-reviewed research on the world\'s most neglected tropical diseases, such as elephantiasis, river blindness, leprosy, hookworm, schistosomiasis, and African sleeping sickness.
DIVERSIFICATION, PORTFOLIO ANALYSIS AND THE UNEASY CASE FOR CONGLOMERATE MERGERS Наш Levy* and Ma... more DIVERSIFICATION, PORTFOLIO ANALYSIS AND THE UNEASY CASE FOR CONGLOMERATE MERGERS Наш Levy* and Marshall SarnatI That horizontal and vertical mergers potentially can produce real economic gains is nowhere denied, but the economic case for a ...
... 2 The coefficient of correlation between railroad and public utility stock prices was 0.10 fo... more ... 2 The coefficient of correlation between railroad and public utility stock prices was 0.10 for the ... in year t. The returns have been calculated in dol-lars and, therefore, the indices have been ... raising the given portfolio return by half a percent and repeating the computation procedure ...
Empirically, co-skewness of asset returns seems to explain a substantial part of the cross-sectio... more Empirically, co-skewness of asset returns seems to explain a substantial part of the cross-sectional variation of mean return not explained by beta. This finding is typically interpreted in terms of a risk averse representative investor with a cubic utility function. This paper questions this interpretation. We show that the empirical tests fail to impose risk aversion and the implied utility function takes an inverse S-shape. Unfortunately, the first-order conditions are not sufficient to guarantee that the market portfolio is the global maximum for this utility function, and our results suggest that the market portfolio is more likely to represent the global minimum. In addition, if we do impose risk aversion, then co-skewness has minimal explanatory power.
Microscopic Simulation (MS) uses a computer to represent and keep track of individual ("micr... more Microscopic Simulation (MS) uses a computer to represent and keep track of individual ("microscopic") elements in order to investigate complex systems which are analytically intractable. A methodology that was developed to solve physics problems, MS has been used to study the relation between microscopic behavior and macroscopic phenomena in systems ranging from those of atomic particles, to cars, animals, and even humans. In finance, MS can help explain, among other things, the effects of various elements of investor behavior on market dynamics and asset pricing. It is these issues in particular, and the value of an MS approach to finance in general, that are the subjects of this book. The authors not only put their work in perspective by surveying traditional economic analyses of investor behavior, but they also briefly examine the use of MS in fields other than finance. Most models in economics and finance assume that investors are rational. However, experimental studies reveal systematic deviations from rational behavior. How can we determine the effect of investors' deviations from rational behavior on asset prices and market dynamics? By using Microscopic Simulation, a methodology originally developed by physicists for the investigation of complex systems, the authors are able to relax classical assumptions about investor behavior and to model it as empirically and experimentally observed. This rounded and judicious introduction to the application of MS in finance and economics reveals that many of the empirically-observed "puzzles" in finance can be explained by investors' quasi-rationality. Researchers use the book because it models heterogeneous investors, a group that has proven difficult to model. Being able to predict how people will invest and setting asset prices accordingly is inherently appealing, and the combination of computing power and statistical mechanics in this book makes such modeling possible. Because many finance researchers have backgrounds in physics, the material here is accessible. Emphasizes investor behavior in determining asset prices and market dynamics Introduces Microscopic Simulation within a simplified framework Offers ways to model deviations from rational decision-making
We present a model of the stock market based on the behavior of individual investors. Simulations... more We present a model of the stock market based on the behavior of individual investors. Simulations exhibit rich phenomena which include cycles, booms, and crashes. Low dividend yield and more homogeneous market participants are shown to induce crashes.
Microscopic Simulation (MS) uses a computer to represent and keep track of individual (" mic... more Microscopic Simulation (MS) uses a computer to represent and keep track of individual (" microscopic") elements in order to investigate complex systems which are analytically intractable. A methodology that was developed to solve physics problems, MS has been used to study the relation between microscopic behavior and macroscopic phenomena in systems ranging from those of atomic particles, to cars, animals, and even humans. In finance, MS can help explain, among other things, the effects of various elements of ...
Although the representative individual framework has been shown to be generally illegitimate and ... more Although the representative individual framework has been shown to be generally illegitimate and erroneous, it continues to be widely used for lack of a more suitable approach. In this paper, we present an alternative methodology for economic study-the microscopic simulation (MS) approach. We employ the MS methodology to study a basic model of the stock market formulated at the microscopic level-the level of the individual investor. We contrast macroscopic market behaviour arising from heterogenous as ...
Uploads
Papers by Haim Levy