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Low Volatility (low + volatility)
Selected AbstractsHOW DO MANAGERS BEHAVE IN STOCK OPTION PLANS?THE JOURNAL OF FINANCIAL RESEARCH, Issue 2 2009CLINICAL EVIDENCE FROM EXERCISE AND SURVEY DATA Abstract We use unique case study data to analyze the behavior of top managers in an executive stock option plan. We gather questionnaire data on the managers' traits and combine it with exercise data. Managers in our sample expect low volatilities (compared to historical estimates) and are well diversified and modestly risk averse. This implies that the value,cost wedge of options can be smaller than usually assumed. The exercise decisions vary with expected volatility, managerial wealth, and mental accounting. Managers expecting lower volatility exercise earlier. This result is consistent with the predictions of expected utility models using our managers' survey parameters. [source] Differential inhibition in vivo of ammonia monooxygenase, soluble methane monooxygenase and membrane-associated methane monooxygenase by phenylacetyleneENVIRONMENTAL MICROBIOLOGY, Issue 5 2000Sonny Lontoh Phenylacetylene was investigated as a differential inhibitor of ammonia monooxygenase (AMO), soluble methane monooxygenase (sMMO) and membrane-associated or particulate methane monooxygenase (pMMO) in vivo. At phenylacetylene concentrations >,1 µM, whole-cell AMO activity in Nitrosomonas europaea was completely inhibited. Phenylacetylene concentrations above 100 µM inhibited more than 90% of sMMO activity in Methylococcus capsulatus Bath and Methylosinus trichosporium OB3b. In contrast, activity of pMMO in M. trichosporium OB3b, M. capsulatus Bath, Methylomicrobium album BG8, Methylobacter marinus A45 and Methylomonas strain MN was still measurable at phenylacetylene concentrations up to 1000 µM. AMO of Nitrosococcus oceanus has more sequence similarity to pMMO than to AMO of N. europaea. Correspondingly, AMO in N. oceanus was also measurable in the presence of 1000 µM phenylacetylene. Measurement of oxygen uptake indicated that phenylacetylene acted as a specific and mechanistic-based inhibitor of whole-cell sMMO activity; inactivation of sMMO was irreversible, time dependent, first order and required catalytic turnover. Corresponding measurement of oxygen uptake in whole cells of methanotrophs expressing pMMO showed that pMMO activity was inhibited by phenylacetylene, but only if methane was already being oxidized, and then only at much higher concentrations of phenylacetylene and at lower rates compared with sMMO. As phenylacetylene has a high solubility and low volatility, it may prove to be useful for monitoring methanotrophic and nitrifying activity as well as identifying the form of MMO predominantly expressed in situ. [source] Isolation and characterization of naphthalene-degrading bacteria from sediments of Cadiz area (SW Spain)ENVIRONMENTAL TOXICOLOGY, Issue 5 2008D. Nair Abstract Petroleum hydrocarbon contamination of harbor sediments from shipping activity, fuel oil spills, and runoffs are becoming a great concern because of the toxicity and recalcitrance of many of the fuel components. Polycyclic aromatic hydrocarbons (PAHs) are of most concern due to their toxicity, low volatility, resistance to degradation, and high affinity for sediments. Microorganisms, especially bacteria, play an important role in the biodegradation of these hydrocarbons. The objective of the present study was to characterize and isolate PAH-(naphthalene) degrading bacteria in the coastal sediments of Cadiz (SW Spain), since this area is mostly polluted by PAH occurrence. A total of 16 naphthalene-utilizing bacteria were isolated from these sites. Introduction of bacteria isolated from contaminated sediments into mineral medium contributed to the increased rate of hydrocarbon utilization. The bacterial isolates obtained from these sites are very potent in utilizing naphthalene and crude oil. It would be interesting to assess if the selected naphthalene-degrading isolates may degrade other compounds of similar structure. Hence these isolates could be very helpful in bioremediating the PAH-contaminated sites. Further pursue on this work might represent eco-friendly solution for oil contamination on sea surface and coastal area. © 2008 Wiley Periodicals, Inc. Environ Toxicol, 2008. [source] Short Rate Dynamics and Regime Shifts,INTERNATIONAL REVIEW OF FINANCE, Issue 3 2009HAITAO LI ABSTRACT We characterize the dynamics of the US short-term interest rate using a Markov regime-switching model. Using a test developed by Garcia, we show that there are two regimes in the data: In one regime, the short rate behaves like a random walk with low volatility; in another regime, it exhibits strong mean reversion and high volatility. In our model, the sensitivity of interest rate volatility to the level of interest rate is much lower than what is commonly found in the literature. We also show that the findings of nonlinear drift in Aït-Sahalia and Stanton, using nonparametric methods, are consistent with our regime-switching model. [source] Forecasting high-frequency financial data with the ARFIMA,ARCH modelJOURNAL OF FORECASTING, Issue 7 2001Michael A. Hauser Abstract Financial data series are often described as exhibiting two non-standard time series features. First, variance often changes over time, with alternating phases of high and low volatility. Such behaviour is well captured by ARCH models. Second, long memory may cause a slower decay of the autocorrelation function than would be implied by ARMA models. Fractionally integrated models have been offered as explanations. Recently, the ARFIMA,ARCH model class has been suggested as a way of coping with both phenomena simultaneously. For estimation we implement the bias correction of Cox and Reid (1987). For daily data on the Swiss 1-month Euromarket interest rate during the period 1986,1989, the ARFIMA,ARCH (5,d,2/4) model with non-integer d is selected by AIC. Model-based out-of-sample forecasts for the mean are better than predictions based on conditionally homoscedastic white noise only for longer horizons (, > 40). Regarding volatility forecasts, however, the selected ARFIMA,ARCH models dominate. Copyright © 2001 John Wiley & Sons, Ltd. [source] Simultaneous determination of 103 pesticide residues in tea samples by LC-MS/MSJOURNAL OF SEPARATION SCIENCE, JSS, Issue 9 2009Zhiqiang Huang Abstract A simple and sensitive method was developed and validated for the simultaneous determination of 103 pesticide residues in tea by LC-MS/MS. For the analysis of the pesticide with polarity, thermal lability or low volatility, this LC-MS/MS method has an advantage over GC. In this work, residual pesticides were extracted from the tea sample with ACN and then purified using Carb-NH2 SPE cartridges. Using the multiple reaction monitoring mode, the pesticides were quantified and identified by the most abundant and characteristic fragment ions. The recoveries obtained for each pesticide ranged between 65 and 114% at three spiked concentration levels. The intra-day precisions were lower than 19.6%. Good linear relationships were observed with the correlation coefficients r2 >0.996 for all analytes. The established method was successfully applied to the determination of pesticide residues in real tea samples. [source] Approaches to identifying and quantifying polycyclic aromatic hydrocarbons of molecular weight 302 in diesel particulatesJOURNAL OF SEPARATION SCIENCE, JSS, Issue 1-2 2004Jean-Jacques Sauvain Abstract Among the PAH class of compounds, high molecular weight PAH are now considered as relevant cancer inducers, but not all of them have the same biological activity. However, their analysis is difficult, mainly due to the presence of numerous isomers and due to their low volatility. Retention indices (Ri) for 13 dibenzopyrenes and homologues were determined by high-resolution capillary gas chromatography (GC) with four different stationary phases: a 5% phenyl-substituted methylpolysiloxane column (DB-5 ms), a 35% phenyl-substituted methylpolysiloxane column (BPX-35), a 50% phenyl-substituted methylpolysiloxane column (BPX-50), and a 35% trifluoropropylmethyl polysiloxane stationary phase (Rtx-200). Correlations for retention on each phase were investigated by using 8 independent molecular descriptors. Ri has been shown to be linearly correlated to PAH volume, polarisability ,, Hückel-, energy on the four examined columns. Ionisation potential Ip is a fourth variable which improves the regression model for DB-5ms, BPX-35, and BPX-50 column. Correlation coefficients ranging from r 2 = 0.935 to r 2 = 0.952 are then observed. Application of these indices to the identification and quantification of PAH with MW 302 in certified diesel particulate matter SRM 1650a is presented and discussed. [source] Capacity expansion under a service-level constraint for uncertain demand with lead timesNAVAL RESEARCH LOGISTICS: AN INTERNATIONAL JOURNAL, Issue 3 2009Rahul R. Marathe Abstract For a service provider facing stochastic demand growth, expansion lead times and economies of scale complicate the expansion timing and sizing decisions. We formulate a model to minimize the infinite horizon expected discounted expansion cost under a service-level constraint. The service level is defined as the proportion of demand over an expansion cycle that is satisfied by available capacity. For demand that follows a geometric Brownian motion process, we impose a stationary policy under which expansions are triggered by a fixed ratio of demand to the capacity position, i.e., the capacity that will be available when any current expansion project is completed, and each expansion increases capacity by the same proportion. The risk of capacity shortage during a cycle is estimated analytically using the value of an up-and-out partial barrier call option. A cutting plane procedure identifies the optimal values of the two expansion policy parameters simultaneously. Numerical instances illustrate that if demand grows slowly with low volatility and the expansion lead times are short, then it is optimal to delay the start of expansion beyond when demand exceeds the capacity position. Delays in initiating expansions are coupled with larger expansion sizes. © 2009 Wiley Periodicals, Inc. Naval Research Logistics, 2009 [source] Yet Another View on Why a Home Is One's CastleREAL ESTATE ECONOMICS, Issue 1 2009Fuad Hasanov We compute equity-based real after-tax rates of return for homeowners and landlords in the United States for 1952,2005. The study confirms that a combined aggregate for residential housing provides a high average net return and low volatility, has low correlation with financial assets and can provide hedge against inflation. The efficient frontier analysis shows that the optimal portfolio for a household with a coefficient of relative risk aversion of four to five is one which contains a bit larger amount of housing than stocks, close to what one observes in the real world. [source] Illiquidity and Pricing Biases in the Real Estate MarketREAL ESTATE ECONOMICS, Issue 3 2007Zhenguo Lin This article addresses the micro-analytic foundations of illiquidity and price dynamics in the real estate market by integrating modern portfolio theory with models describing the real estate transaction process. Based on the notion that real estate is a heterogeneous good that is traded in decentralized markets and that transactions in these markets are often characterized by costly searches, we argue that the most important aspects defining real estate illiquidity in both residential and commercial markets are the time required for sale and the uncertainty of the marketing period. These aspects provide two sources of bias in the commonly adopted methods of real estate valuation, which are based solely on the prices of sold properties and implicitly assume immediate execution. We demonstrate that estimated returns must be biased upward and risks downward. These biases can be significant, especially when the marketing period is highly uncertain relative to the holding period. We also find that real estate risk is closely related to investors' time horizons, specifically that real estate risk decreases when the holding period increases. These results are consistent with the conventional wisdom that real estate is more favorable to long-term investors than to short-term investors. They also provide a theoretical foundation for the recent econometric literature, which finds evidence of smoothing of real estate returns. Our findings help explain the apparent risk-premium puzzle in real estate,that is, that ex post returns appear too high, given their apparent low volatility,and can lead to the formal derivation of adjustments that can define real estate's proper role in the mixed-asset portfolio. [source] Degradation of xenobiotics in a partitioning bioreactor in which the partitioning phase is a polymerBIOTECHNOLOGY & BIOENGINEERING, Issue 4 2003Brian G. Amsden Abstract Two-phase partitioning bioreactors (TPPBs) are characterized by a cell-containing aqueous phase and a second immiscible phase that contains toxic and/or hydrophobic substrates that partition to the cells at subinhibitory levels in response to the metabolic demand of the organisms. To date, the delivery phase in TPPBs has been a hydrophobic solvent that traditionally needed to possess a variety of important properties including biocompatibility, nonbioavailability, low volatility, and low cost, among others. In the present work we have shown that the organic solvent phase can be replaced by inexpensive polymer beads that function in a similar fashion as organic solvents, delivering a toxic substrate to cells based on equilibrium considerations. Specifically, 3.4 mm diameter beads of poly(ethylene-co-vinyl acetate) (EVA) were used to reduce the aqueous concentration of phenol in a bioreactor from toxic levels ( ,2,000 mg/L) to subinhibitory levels (,750 mg/L), after which Pseudomonas putida ATCC 11172 was added to the system and allowed to consume the total phenol loading. Thus, the beads absorbed the toxic substrate and released it to the cells on demand. The EVA beads, which could be reused, were able to absorb 14 mg phenol/g EVA. This work has opened the possibility of using widely mixed cultures in TPPB systems without concern for degradation of the delivery material and without concern of contamination. © 2003 Wiley Periodicals. Biotechnol Bioeng84: 399,305, 2003. [source] | |||||||||||||