Rationalizing Momentum Interactions

Abstract :-
Momentum profitability concentrates in high information uncertainty and high credit risk firms and is virtually nonexistent otherwise. This paper rationalizes such momentum interactions in equilibrium asset pricing. In our paradigm, dividend growth is mean reverting, expected dividend growth is stochastic and highly persistent, the representative agent is endowed with stochastic differential utility of Duffie and Epstein (1992), and leverage, which proxies for credit risk, is modeled based on the Abel’s (1999) formulation. Using reasonable risk aversion levels we produce the observational momentum effects. Continue reading Rationalizing Momentum Interactions

An Exact Bayes Test of Asset Pricing Models with Application to International Markets

Abstract :-
This paper develops and implements an exact finite-sample test of asset pricing models with time varying risk premia using posterior probabilities. The strength of our approach is that it allows multiple conditional asset pricing specifications, both nested and non-nested, to be tested and compared simultaneously. We apply our procedure to international equity markets by testing and comparing the international CAPM and conditional ICAPM versions of Fama and French (1998). The empirical evidence suggests that the best performing model is the ICAPM with the value premium constructed based on global earnings-to-price ratio. Continue reading An Exact Bayes Test of Asset Pricing Models with Application to International Markets

Generating Climbing Plants Using L-Systems

Abstract :-
A novel method is proposed for procedurally generating climbing plants using L-systems. The goal is to generate geometry and textures for 3D-modelers, where procedurally generated content is used as a base for the final design. The algorithm is fast and efficiently simulates external tropisms such as gravitropism, heliotropism and other pseudo-tropisms. The structure of the generated climbing plants is discretized into strings of particles expressed using L-systems. The tips of the plant extend the branches by adding particles in its path, Continue reading Generating Climbing Plants Using L-Systems