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Systematic Component (systematic + component)
Selected AbstractsMany zeros does not mean zero inflation: comparing the goodness-of-fit of parametric models to multivariate abundance dataENVIRONMETRICS, Issue 3 2005David I. Warton Abstract An important step in studying the ecology of a species is choosing a statistical model of abundance; however, there has been little general consideration of which statistical model to use. In particular, abundance data have many zeros (often 50,80 per cent of all values), and zero-inflated count distributions are often used to specifically model the high frequency of zeros in abundance data. However, in such cases it is often taken for granted that a zero-inflated model is required, and the goodness-of-fit to count distributions with and without zero inflation is not often compared for abundance data. In this article, the goodness-of-fit was compared for several marginal models of abundance in 20 multivariate datasets (a total of 1672 variables across all datasets) from different sources. Multivariate abundance data are quite commonly collected in applied ecology, and the properties of these data may differ from abundances collected in autecological studies. Goodness-of-fit was assessed using AIC values, graphs of observed vs expected proportion of zeros in a dataset, and graphs of the sample mean,variance relationship. The negative binomial model was the best fitting of the count distributions, without zero-inflation. The high frequency of zeros was well described by the systematic component of the model (i.e. at some places predicted abundance was high, while at others it was zero) and so it was rarely necessary to modify the random component of the model (i.e. fitting a zero-inflated distribution). A Gaussian model based on transformed abundances fitted data surprisingly well, and rescaled per cent cover was usually poorly fitted by a count distribution. In conclusion, results suggest that the high frequency of zeros commonly seen in multivariate abundance data is best considered to come from distributions where mean abundance is often very low (hence there are many zeros), as opposed to claiming that there are an unusually high number of zeros compared to common parametric distributions. Copyright © 2005 John Wiley & Sons, Ltd. [source] Risk and Return Around Bond Rating Changes: New Evidence From the Spanish Stock MarketJOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 5-6 2006Pilar Abad-Romero Abstract:, This study analyzes the effect of corporate bond rating changes on stock prices in the Spanish stock market. We explore their effects on excess of returns and systematic risk. Rating changes by Moody's, Standard and Poor's and FitchIBCA are analyzed. On an efficient market, these changes will only have some effect if they contain some new information or if they are associated to a redistribution of wealth between shareholders and bondholders. We use an extension of the event study dummy approach. Our results support the redistribution of wealth hypothesis in the abnormal returns behavior. We also find that changes in both directions cause a rebalancing effect in the total risk of the firm, with significant reductions on their systematic component. [source] The Role of Uncertainty in Investment: An Examination of Competing Investment Models Using Commercial Real Estate DataREAL ESTATE ECONOMICS, Issue 1 2000A. Steven Holland Neoclassical investment decision criteria suggest that only the systematic component of total risk affects the rate of investment, as channeled through the built-asset price. Alternatively, option-based investment models suggest a direct role for total uncertainty in investment decisionmaking. To sort out uncertainty's role in investment, we specify and empirically estimate a structural model of asset-market equilibrium. Commercial real estate time-series data with two distinct measures of asset price and uncertainty are used to assess the competing investment models. Empirical results generally favor predictions of the option-based model and hence suggest that irreversibility and delay are important considerations to investors. Our findings also have implications for macroeconomic policy and for forecasts of cyclical investment activity. [source] Political Institutions and Constrained Response to Economic SanctionsFOREIGN POLICY ANALYSIS, Issue 3 2008Susan Hannah Allen Institutional constraints within the target state not only influence a leader's ability to resist economic sanctions, but they also affect the decision-making process within the target state and the nature of information that a sender can ascertain about likely response. Autocratic leaders, who are less constrained, send noisier signals about their probable behavior. This lack of constraint also allows more freedom to resist sanctions, as they can shunt the costs of sanctions off onto the general public, who have little influence over policy outcomes or leadership retention. Democratic leaders are more constrained and more susceptible to sanctions pressure. As result, there is less uncertainty for senders about probable response. Using a heteroskedastic probit model to explore potential systematic components of the variation surrounding sanctions response, the impact of sanctions is shown to differ by regime type,both in the response to coercion as well as in the variance surrounding that response. The results presented here suggest that as expected, democracies are more susceptible to sanctions pressure, but the response of mixed and authoritarian systems are more difficult to predict. These findings have implications for the design of future sanctions policy as well as suggesting which states make the best targets for economic coercion. [source] Aggregate Earnings and Asset PricesJOURNAL OF ACCOUNTING RESEARCH, Issue 5 2009RAY BALL ABSTRACT A principal-components analysis demonstrates that common earnings factors explain a substantial portion of firm-level earnings variation, implying earnings shocks have substantial systematic components and are not almost fully diversifiable as prior literature has concluded. Furthermore, the principal components of earnings and returns are highly correlated, implying aggregate earnings risks and return risks are related. In contrast to previous studies, the correlation we report between the systematic components of earnings and returns is stable over time. We also show that the earnings factors are priced, in the sense that the sensitivities of securities' returns to the earnings factors explain a significant portion of the cross-sectional variation in returns, even controlling for return risk. This suggests earnings performance is an underlying source of priced risk. Our evidence that the information sets of returns and earnings are jointly determined implies cash flow risk and return risk are not fully separable, and raises the possibility that it is the common variation of earnings and returns that is priced. [source] | ||||||||||