. We are grateful for helpful discussions with David Hirshleifer, Mitz Igarashi, and Scott Benner. All errors are our responsibility.
ABSTRACTWe conduct an empirical analysis of electricity forward prices using a high-frequency data set of hourly spot and day-ahead forward prices. We find that there are significant risk premia in electricity forward prices. These premia vary systematically throughout the day and are directly related to economic risk factors such as the volatility of unexpected changes in prices and demand as well as the risk of price spikes. In contrast to the popular post-Enron view that electricity markets are easily manipulated, these results support the hypothesis that electricity forward prices are determined rationally by risk-averse economic agents.
A simple valuation model that allows for time variation in investment opportunities is developed and estimated. The model assumes that the investment opportunity set is completely described by two state variables, the real interest rate and the maximum Sharpe ratio, which follow correlated Ornstein-Uhlenbeck processes. The model parameters and time series of the state variables are estimated using data on US Treasury bond yields and inflation for the period January 1952 to December 2000. The estimated state variables are shown to be related to the equity premium and to the level of stock prices as measured by the dividend yield. Innovations in the estimated state variables are shown to be related to the returns on the Fama-French arbitrage portfolios, HML and SMB, providing a possible explanation for the risk premia on these portfolios. When tracking portfolios for the state variable innovations are constructed using returns on 6 size and book-to market equity sorted portfolios, the tracking portfolios explain the risk premia on HML and SMB, and these state variable tracking portfolios perform about as well as HML and SMB in explaining the cross-section of returns on the 25 size and book-to market equity sorted value weighted portfolios. An additional test of the ICAPM using returns on 30 industrial portfolios does not reject the model while the CAPM and the Fama-French 3 factor model are rejected using the same data.
Deriving more benefit from one's experience with prostate cancer is associated with a healthier diurnal cortisol rhythm. Through its potential to enhance PA, the relationship of BF and physiological processes underscores the health relevant value of BF in prostate cancer survivors.
We show that, when stock prices are subject to stochastic mispricing errors, expected rates of return may depend not only on the fundamental risk that is captured by a standard asset pricing model, but also on the type and degree of asset mispricing, even when the mispricing is zero on average. Empirically, the mispricing induced return premium, either estimated using a Kalman filter or proxied by the volatility and variance ratio of residual returns, is shown to be significantly associated with realized risk adjusted returns.
Objective: Cancer, particularly, during young adulthood, can evoke difficult emotions, interfere with normative developmental activities, and challenge coping responses. Emotion-regulating coping efforts aimed at active emotional processing (EP) and emotional expression (EE) can be beneficial to cancer adjustment and perceptions of positive growth. However, it may be that EP and EE work differently to influence well-being. This study examines relationships of EP and EE with psychological distress, posttraumatic growth (PTG), and resilience. We expect that EP will be positively associated with PTG and resilience, whereas EE will be negatively associated with psychological distress. Methods: Young adults with cancer (M age ¼ 34.68, N ¼ 57) completed measures of emotional; approach coping (EP and EE), psychological distress (depressive symptoms, fear of cancer; recurrence [FCR]) and indicators of positive adjustment and growth (resilience and PTG). Results: Greater use of EP was associated with higher resilience (β ¼ 0.48, p ¼ 0.003) and PTG (β ¼ 0.27, p ¼ 0.05), whereas greater use of EE was associated with lower resilience (β ¼ À 0.33, p ¼ 0.04). The EE � EP interaction was significant for FCR (β ¼ 0.29, p ¼ 0.04) such that low EE was associated with lower FCR in those with high EP. Interaction effects were not significant for depressive symptoms, resilience, or PTG. Conclusions: Findings highlight differing relationships between EP and EE among young adults with cancer. Interventions aimed at increasing emotion-regulating coping strategies may prove useful in facilitating positive adjustment and growth, strengthening young adults' ability to cope with the diverse effects of disease, treatment, and survivorship.
We provide novel evidence that hedge fund performance is persistent following weak hedge fund markets, but is not persistent following strong markets. Specifically, we construct two performance measures, DownsideReturns and UpsideReturns, conditioned on the level of overall hedge fund sector returns. After adjusting for risks, funds in the highest DownsideReturns quintile outperform funds in the lowest quintile by about 7% in the subsequent year, whereas funds with better UpsideReturns do not outperform subsequently. The DownsideReturns can predict future fund performance over a horizon as long as 3 years, for both winners and losers, and for funds with few share restrictions.
JEL classification: G10, G23
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