Can An Investor Profit from Return Predictability in Real Time?

This study shows that the poor out-of-sample performance of the real-time adjusted dividend-price ratio reported in Lettau and Nieuwerburgh (2008) is mainly a result of the gap period between the occurrence of a break and its detection, which implies that the poor out-of-sample performance of the adjusted dividend-price ratio is due to the requirement in Bai and Perron`s (1998) proce-dure that breaks must be away from the boundaries of the sample. A substantial improvement in the out-of-sample performance of the adjusted dividend-price ratio during the gap period is shown with the use of Andrews`s (2003) procedure in the real-time adjustment of the dividend-price ratio. The newly suggested procedure for the adjusted dividend-price ratio in this study has better out-of-sample performance than the simple sample mean, although it is not significant.

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The Momentum Gap and Return Predictability

Review of Financial Studies ◽

10.1093/rfs/hhab093 ◽

2021 ◽

Author(s):

Simon Huang

Keyword(s):

Standard Deviation ◽

Real Time ◽

International Markets ◽

Return Predictability ◽

Time Varying ◽

Standard Deviation Increase ◽

Momentum Profits ◽

Return Difference ◽

The U.S ◽

Period Return

Abstract The formation period return difference between past winners and losers, which I call the momentum gap, negatively predicts momentum profits. I document this for the U.S. stock market and find consistent results across 21 major international markets. A one-standard-deviation increase in the momentum gap predicts a 1.25$\%$ decrease in the monthly momentum return after controlling for existing predictors. This predictability extends up to 5 years for static momentum portfolios, consistent with time-varying investor biases. Following the simple real-time strategy of investing in momentum only when the momentum gap is below the 80th percentile delivers a Sharpe ratio of 0.78.

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Some Recent Results in Quiescent Prominence Spectrometry

International Astronomical Union Colloquium ◽

10.1017/s0252921100065179 ◽

1979 ◽

Vol 44 ◽

pp. 41-47

Author(s):

Donald A. Landman

Keyword(s):

Real Time ◽

Computer System ◽

Spectral Response ◽

Absolute Intensity ◽

Solar Observatory ◽

Target Size ◽

Small Target ◽

Signal Averaging ◽

Quiescent Prominence

This paper describes some recent results of our quiescent prominence spectrometry program at the Mees Solar Observatory on Haleakala. The observations were made with the 25 cm coronagraph/coudé spectrograph system using a silicon vidicon detector. This detector consists of 500 contiguous channels covering approximately 6 or 80 Å, depending on the grating used. The instrument is interfaced to the Observatory’s PDP 11/45 computer system, and has the important advantages of wide spectral response, linearity and signal-averaging with real-time display. Its principal drawback is the relatively small target size. For the present work, the aperture was about 3″ × 5″. Absolute intensity calibrations were made by measuring quiet regions near sun center.

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Video real-time imaging of artificial membranes during freeze-drying by cryo-electron microscopy

Proceedings, annual meeting, Electron Microscopy Society of America ◽

10.1017/s042482010010216x ◽

1988 ◽

Vol 46 ◽

pp. 16-17

Author(s):

Alan S. Rudolph ◽

Ronald R. Price

Keyword(s):

Real Time ◽

Self Assembly ◽

Freeze Drying ◽

Video Capture ◽

Drying Process ◽

Artificial Membranes ◽

The Past ◽

Cryo Electron Microscopy ◽

Spherical Structures ◽

Capture Techniques

We have employed cryoelectron microscopy to visualize events that occur during the freeze-drying of artificial membranes by employing real time video capture techniques. Artificial membranes or liposomes which are spherical structures within internal aqueous space are stabilized by water which provides the driving force for spontaneous self-assembly of these structures. Previous assays of damage to these structures which are induced by freeze drying reveal that the two principal deleterious events that occur are 1) fusion of liposomes and 2) leakage of contents trapped within the liposome [1]. In the past the only way to access these events was to examine the liposomes following the dehydration event. This technique allows the event to be monitored in real time as the liposomes destabilize and as water is sublimed at cryo temperatures in the vacuum of the microscope. The method by which liposomes are compromised by freeze-drying are largely unknown. This technique has shown that cryo-protectants such as glycerol and carbohydrates are able to maintain liposomal structure throughout the drying process.

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An Interactive Minicomputer Program for the Indexing and Simulation of Electron Diffraction Patterns

Proceedings, annual meeting, Electron Microscopy Society of America ◽

10.1017/s0424820100092670 ◽

1976 ◽

Vol 34 ◽

pp. 542-543

Author(s):

R.P. Goehner ◽

W.T. Hatfield ◽

Prakash Rao

Keyword(s):

Electron Diffraction ◽

Real Time ◽

Pattern Analysis ◽

Flow Diagram ◽

Hard Copy ◽

Time Analysis ◽

Real Time Analysis ◽

Transmission Electron ◽

One Step ◽

Diffraction Patterns

Computer programs are now available in various laboratories for the indexing and simulation of transmission electron diffraction patterns. Although these programs address themselves to the solution of various aspects of the indexing and simulation process, the ultimate goal is to perform real time diffraction pattern analysis directly off of the imaging screen of the transmission electron microscope. The program to be described in this paper represents one step prior to real time analysis. It involves the combination of two programs, described in an earlier paper(l), into a single program for use on an interactive basis with a minicomputer. In our case, the minicomputer is an INTERDATA 70 equipped with a Tektronix 4010-1 graphical display terminal and hard copy unit.A simplified flow diagram of the combined program, written in Fortran IV, is shown in Figure 1. It consists of two programs INDEX and TEDP which index and simulate electron diffraction patterns respectively. The user has the option of choosing either the indexing or simulating aspects of the combined program.

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Microstructural investigation of surface roughness in MBE-grown AlAs

Proceedings, annual meeting, Electron Microscopy Society of America ◽

10.1017/s0424820100138646 ◽

1995 ◽

Vol 53 ◽

pp. 454-455

Author(s):

R. Rajesh ◽

R. Droopad ◽

C. H. Kuo ◽

R. W. Carpenter ◽

G. N. Maracas

Keyword(s):

Thin Film ◽

Real Time ◽

Growth Control ◽

Native Oxide ◽

Effusion Cell ◽

Surface Oxide Layer ◽

Microstructural Investigation ◽

Mbe Growth ◽

Film Substrate ◽

And Control

Knowledge of material pseudodielectric functions at MBE growth temperatures is essential for achieving in-situ, real time growth control. This allows us to accurately monitor and control thicknesses of the layers during growth. Undesired effusion cell temperature fluctuations during growth can thus be compensated for in real-time by spectroscopic ellipsometry. The accuracy in determining pseudodielectric functions is increased if one does not require applying a structure model to correct for the presence of an unknown surface layer such as a native oxide. Performing these measurements in an MBE reactor on as-grown material gives us this advantage. Thus, a simple three phase model (vacuum/thin film/substrate) can be used to obtain thin film data without uncertainties arising from a surface oxide layer of unknown composition and temperature dependence.In this study, we obtain the pseudodielectric functions of MBE-grown AlAs from growth temperature (650°C) to room temperature (30°C). The profile of the wavelength-dependent function from the ellipsometry data indicated a rough surface after growth of 0.5 μm of AlAs at a substrate temperature of 600°C, which is typical for MBE-growth of GaAs.

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