214 research outputs found
Herding Behavior among Exchange-Traded Funds
No full textThe author examines whether the trading behavior of exchange-traded funds (ETFs) is biased by any herding effect. Return data of a sample of 66 and 34 large-cap and small-cap ETFs, respectively, are used over the period 2012–2016 to assess whether these funds herd and whether herding is more pronounced during extreme markets, during down markets, and during days with extreme trading activity and volatility. The results show that herding is not the case for ETFs. However, some evidence is obtained on a decreasing return dispersion among ETFs on days with negative market returns. Trading activity seems not to induce herding. On the contrary, the author obtains evidence that shows that the higher the trading volumes are, the higher the return dispersion among ETFs is. When it comes to herding during highly volatile markets, the author finds that return dispersion among ETFs decreases on days with extremely high intraday volatility. However, when assessing the relationship between return dispersion and volatility without focusing on days with extremely high risk, the author obtains strong evidence of a linear relation between the 2 variables. This contradicting finding suggests that the stronger the intraday volatility in the ETF market is, the wider the dispersion in returns among ETFs is. © 2018, © 2018 The Institute of Behavioral Finance
Searches for Beyond Standard Model Higgs Bosons with ATLAS
No full textThe search for evidence of beyond Standard Model Higgs Bosons is an integral part of the Higgs bosons studies at the LHC. This article reviews recent beyond Standard Model Higgs searches using 2--5 fb of 7 TeV LHC proton-proton collision data recorded by the ATLAS detector. No significant deviations from the background expectations are found and corresponding constraints on physics beyond the Standard Model are obtained
BSM Higgs Searches at the LHC
No full textThis presentation summarizes recent Beyond Standard Model (BSM) Higgs searches with 2011 LHC data collected by ATLAS and CMS experiments. The searches described here include MSSM Higgs, Higgs in SM with a 4th generation of fermions, fermiophobic Higgs, doubly charged Higgs, light scalar Higgs and Higgs decaying to long lived particles
Beyond-the-Standard-Model Higgs physics with the ATLAS experiment
No full textThe discovery of a Higgs boson with a mass of about 125 GeV has prompted the question of whether or not this particle is part of a larger and more complex Higgs sector than that envisioned in the Standard Model. In this talk, the current results from the ATLAS Experiment on Beyond-the-Standard Model (BSM) Higgs searches are outlined. Searches for additional Higgs bosons are presented and interpreted in BSM Higgs frameworks, such as two-Higgs-doublet Models, Minimal Supersymmetric Standard Model and Higgs portal models
Exploration of extended higgs sectors with run-2 proton–proton collision data at the lhc
No full textOne doublet of complex scalar fields is the minimal content of the Higgs sector in order to achieve spontaneous electroweak symmetry breaking and, in turn, to generate the masses of fundamental particles in the Standard Model. However, several theories beyond the Standard Model predict a nonminimal Higgs sector and introduce additional singlets, doublets or even higher-order weak isospin representations, thereby yielding additional Higgs bosons. With its high proton–proton collision energy (13 TeV during Run-2), the Large Hadron Collider opens a new window towards the exploration of extended Higgs sectors. This review article summarises the current state-of-the-art experimental results recently obtained in searches for new neutral and charged Higgs bosons with a partial or full Run-2 dataset
The ESG ETFs in the UK
No full textThis study examines the performance of 49 so-called ESG ETFs in the UK. These funds apply environmental, social and governance criteria in their investing strategies. Raw and risk-adjusted returns are estimated with standard methodology including the Capital Assets Pricing Model, the Fama and French (Journal of Financial Economics 116:1–22, 2015) Five-Factor Model, and the Sharpe and Treynor ratios. On average terms, no significant alpha is achieved by ESG ETFs in the UK, whereas there are not differences in Sharpe and Treynor ratios between ETFs and their benchmarks. However, some empirical evidence obtained indicates that ESG ETFs outperform the FTSE 100 Index, which stands as a proxy for the UK stock market. Along with performance, we examine whether investors award responsible ETFs by entrusting more money to them. However, no significant relationship is found between the ESG rating of ETFs and their assets. On the contrary, it is revealed that the return of ETFs is negatively related to their ESG metrics. © 2021, The Author(s), under exclusive licence to Springer Nature Limited
Predictable patterns in ETFs' return and tracking error
No full textThe purpose of this paper is to assess whether exchange-traded funds (ETFs) can beat the market, as it is expressed by the Standard and Poor (S&P) 500 Index, examine the outperformance persistence, calculate tracking error, assess the tracking error persistence, investigate the factors that induce tracking error and assess whether there are predictable patterns in ETFs' performance. The author uses a sample of 50 iShares during the period 2002-2007 and calculates the simple raw return, the Sharpe ratio and the Sortino ratio, regresses the performance differences between ETFs and market index, calculates tracking error as the standard deviation in return differences between ETFs and benchmarks, assesses tracking error's persistence in the same fashion used to assess the ETFs' outperformance persistence, examines the impact of expenses, risk and age on tracking error and applies dummy regression analysis to study whether the performance of ETFs is predictable. The results reveal that the majority of the selected iShares beat the S&P 500 Index, both at the annual and the aggregate levels while the return superiority of ETFs strongly persists at the short-term level. The tracking error of ETFs also persists at the short-term level. The regression analysis on tracking error reveals that the expenses charged by ETFs along with the age and risk of ETFs are some of the factors that can explain the persistence in tracking error. Finally, the dummy regression analysis indicates that the performance of ETFs can be somehow predictable. The findings of this paper may be of help to investors seeking investment choices that will help them to gain above market returns. In addition, tracking error-concerned investors will be helped by the findings of the paper. Finally, the findings on return predictability can also be helpful to investors. © 2011, Emerald Group Publishing Limited
Generalized Langevin equation for solids. II. Stochastic boundary conditions for nonequilibrium molecular dynamics simulations
No full textThe generalized Langevin equation (GLE) [L. Kantorovich, Phys. Rev. B 78, 094304 (2008)], which describes dynamics of a finite and possibly highly anharmonic subsystem surrounded by an extended harmonic solid, is simplified here assuming short-range interactions between atoms. We show that in this case quite naturally the GLE can be worked into a form which corresponds to considering central atoms of the finite region as governed by usual Newtonian mechanics, while the boundary atoms are treated as Langevin atoms, i.e., they experience friction and random forces [the so-called stochastic boundary conditions (SBCs)]. We show that the random forces constitute a stationary Gaussian random process with the dispersion directly related to the friction coefficient in a usual way. Next, we rigorously demonstrate that, even though not all atoms are stochastic within the SBC model, the system should still arrive at canonical distribution at long times. Since the SBC model follows directly from the general GLE description and can perform as a correct NVT thermostat, we propose that the SBC is a method of choice if one wants to do nonequilibrium molecular dynamics simulations correctly. Our derivation of SBC is physically more acceptable than given previously when the central region atoms were assumed to be much heavier than those in the surrounding lattice (the zero-frequency approximation)
The impact of taxation on firm performance and risk: Evidence from Greece
No full textIn this paper, I examine the relationship of taxation with performance and risk with the usage of a sample of 76 non-financial companies traded on the Athens Stock Exchange. The period covered by my study spans from 2018 to 2022, while correlation and panel data analysis is conducted. Both financial performance and stock return are considered, while risk concerns the volatility of the companies’ share prices. The explanatory variables used concern figures reported both in the balance sheet and the profit and loss statement and include net deferred tax, deferred tax asset, deferred tax liability, total tax expense/revenue, income tax, and deferred tax expense/revenue. The empirical results reveal a positive relationship of financial performance with net deferred tax, total tax expense/revenue, income tax and deferred tax expense/revenue. Moreover, deferred tax asset is found to affect financial performance in a negative fashion, while deferred tax liability bears a positive influence on financial performance. The opposite relationships with deferred tax asset and deferred tax liability are detected in the case of stock return and risk. Finally, evidence of a negative relationship of total tax and income tax with stock risk is obtained. © 2024 the Author, licensee AIMS Press
Predictable patterns in ETFs' return and tracking error
No full textPurposeThe purpose of this paper is to assess whether exchange‐traded funds (ETFs) can beat the market, as it is expressed by the Standard and Poor (S&P) 500 Index, examine the outperformance persistence, calculate tracking error, assess the tracking error persistence, investigate the factors that induce tracking error and assess whether there are predictable patterns in ETFs' performance.Design/methodology/approachThe author uses a sample of 50 iShares during the period 2002‐2007 and calculates the simple raw return, the Sharpe ratio and the Sortino ratio, regresses the performance differences between ETFs and market index, calculates tracking error as the standard deviation in return differences between ETFs and benchmarks, assesses tracking error's persistence in the same fashion used to assess the ETFs' outperformance persistence, examines the impact of expenses, risk and age on tracking error and applies dummy regression analysis to study whether the performance of ETFs is predictable.FindingsThe results reveal that the majority of the selected iShares beat the S&P 500 Index, both at the annual and the aggregate levels while the return superiority of ETFs strongly persists at the short‐term level. The tracking error of ETFs also persists at the short‐term level. The regression analysis on tracking error reveals that the expenses charged by ETFs along with the age and risk of ETFs are some of the factors that can explain the persistence in tracking error. Finally, the dummy regression analysis indicates that the performance of ETFs can be somehow predictable.Originality/valueThe findings of this paper may be of help to investors seeking investment choices that will help them to gain above market returns. In addition, tracking error‐concerned investors will be helped by the findings of the paper. Finally, the findings on return predictability can also be helpful to investors.</jats:sec
- …
