of aggregate returns indexes and size-sorted portofolios. Although the rejections are due largely to the behavior of small stocks, they cannot be attributed completely to the effects of infrequent trading or timevarying volatilities. Moreover, the rejection of the random walk for weekly returns does

This paper proposes a two factor model for asset pricing. We formulate a model of asset returns that in addition to the traditional market return term includes also the square of the market return to account for risk originating from coskewness with the market portofolio. The quadratic term is able

The World Wide Web has not only revolutionized the area of traditional hypermedia, it is also starting to influence adaptive hypermedia research. The main feature of the World Wide Web has been simplicity, standards based protocols and formats, and open environments and systems. In this paper we will investigate the potential of these aspects for adaptive hypermedia systems, based on a discussion of existing standards useful for adaptive hypermedia and on experiences we have gained through an RDF-based P2P infrastructure we have been developing in the context of several projects.

A basic idea in parallel query processing is that one is prepared to do more computation than strictly necessary at individual sites in order to reduce the elapsed time, the network traffic, or both in the evaluation of the query. We develop this idea for the evaluation of boolean XPath queries over a tree that is fragmented, both horizontally and vertically over a number of sites. The key idea is to send the whole query to each site which partially evaluates, in parallel, the query and sends the results as compact boolean functions to a coordinator which combines these to obtain the result. This approach has several advantages. First, each site is visited only once, even if several fragments of the tree are stored at that site. Second, no prior constraints on how the tree is decomposed are needed, nor is any structural information about the tree required, such as a dtd. Third, there is a satisfactory bound on the total computation performed on all sites and on the total network traffic. We also develop a simple incremental maintenance algorithm that requires communication only with the sites at which changes have taken place; moreover the network traffic depends neither on the data nor on the update. These results, we believe, illustrate the usefulness and potential of partial evaluation in distributed systems as well as centralized xml stores for evaluating XPath queries and beyond. 1.

Abstract: Modelling choice in multi-period asset pricing requires assumptions about how prior outcomes affect risk attitude. We present an experimental study of the influence of prior outcomes on risky choice. We document a strong framing effect. By manipulating the presentation format of the decision problem we can induce increased risk taking following a gain, i.e. the house-money effect (Thaler and Johnson 1990) or, alternatively, increased risk taking following a loss, i.e. escalation of commitment (Staw 1976). Maximization of a value function from prospect theory can explain some of our results. Escalation of commitment in our experiment does not appear to be driven by a need to justify or rationalize the initial decision. We gratefully acknowledge financial support from the Deutsche Forschungsgemeinschaft, through SFB504 and the Graduiertenkolleg at Mannheim, and from the European Commission through the RTN “Understanding

. On the other hand, Benford’s law is known to be invariant under scale and base transformation. Therefore, as a further test, of both such data and Benford’s law use, the yearly financial reports are nonlinearly remapped through a sort of Theil transformation, i.e. based on a log-transformation. The resulting

This article is a modified version of a presentation given at the Federal Reserve Bank of

sorted on the basis of a two-way classification – accruals and one of the information production measures, we find evidence showing that accruals mis-pricing is more conspicuous for stocks with high bid-ask spread, high analysts ’ forecast error, and low presence of sophisticated institutional investors

Abstract. This paper proposes several operational approaches for solving fair allocation problems in the context of multiagent optimization. These problems arise in various contexts such as assigning conference papers to referees or sharing of indivisible goods among agents. We present and discuss various social welfare functions that might be used to maximize the satisfaction of agents while maintaining a notion of fairness in the distribution. All these welfare functions are in fact non-linear, which precludes the use of classical min-cost max-flow algorithms for finding an optimal allocation. For each welfare function considered, we present a Mixed Integer Linear Programming formulation of the allocation problem that can be efficiently solved using standard solvers. The results of numerical tests we conducted on realistic cases are given at the end of the paper to confirm the practical feasibility of the proposed approaches. 1

(very preliminary version) I. Introduction: A period of "transition " with lasting effects? Over the past two decades major structural changes have affected the economic growth of developed economies. For one, a cluster of radically new technologies centred around information and communication technologies, have emerged. Other notable changes include the (far ranging) internationalization of markets, financial capital and production processes; and the transformation