Price–Dividend Ratios and Stock Price Predictability

A long‐standing puzzle to financial economists is the difficulty of outperforming the benchmark random walk model in out‐of‐sample contests. Using data from the USA over the period of 1872–2007, this paper re‐examines the out‐of‐sample predictability of real stock prices based on price–dividend (PD) ratios. The current research focuses on the significance of the time‐varying mean and nonlinear dynamics of PD ratios in the empirical analysis. Empirical results support the proposed nonlinear model of the PD ratio and the stationarity of the trend‐adjusted PD ratio. Furthermore, this paper rejects the non‐predictability hypothesis of stock prices statistically based on in‐ and out‐of‐sample tests and economically based on the criteria of expected real return per unit of risk. Copyright © 2011 John Wiley & Sons, Ltd.     

Exploring Survey‐Based Inflation Forecasts

This paper first shows that survey‐based expectations (SBE) outperform standard time series models in US quarterly inflation out‐of‐sample prediction and that the term structure of survey‐based inflation forecasts has predictive power over the path of future inflation changes. It then proposes some empirical explanations for the forecasting success of survey‐based inflation expectations. We show that SBE pool a large amount of heterogeneous information on inflation expectations and react more flexibly and accurately to macro conditions both contemporaneously and dynamically. We illustrate the flexibility of SBE forecasts in the context of the 2008 financial crisis. Copyright © 2011 John Wiley & Sons, Ltd.     

Orb‐web spiders (Araneae: Araneomorphae; Orbiculariae) captured by hunting‐wasps (Hymenoptera: Sphecidae) in an area of Atlantic Forest in south‐eastern Brazil

Members of two hunting‐wasp families, Pompilidae and Sphecidae, are among the major predators of orb‐web spiders. In this study, we collected paralysed spiders from natural nests and trap‐nests provisioned by sphecids in an area of Brazilian Atlantic Forest, and compared these data with the composition of species collected by visual searching during one year. Prey preferences were analysed based on the relative abundance of spider species, their size and web characteristics. We also compiled a list of orb‐weavers captured by four sphecid genera reported in 40 other studies. A large number of prey was obtained from natural nests of Trypoxylon (Trypargilum) albonigrum in Parque Estadual Intervales, especially species of Eustala, Parawixia, and Araneus (Araneidae). Other prey, stored in trap‐nests by T. lactitarse and unidentified hunting‐wasp species, included Nephila (Tetragnathidae), Parawixia, Ocrepeira, Mecynogea, Acacesia (Araneidae), and other spider species that were less abundant. All the species that were heavily preyed upon had a relatively lower abundance in our samples of prey availability. The range of body sizes of spiders captured by Trypoxylon in our study area include the size of some abundant orb‐weavers always absent in their nests. These results indicate that factors other than abundance in the field and the spider's size influence prey selection or susceptibility to attack.     

Three new species of free‐living marine nematodes from the Bohai Sea and Yellow Sea,China

Three new species of marine nematodes belonging to the genera Paranticoma (family Anticomidae) and Parodontophora (family Axonolaimidae) are described from the Bohai Sea and Yellow Sea. Paranticoma tricerviseta sp. nov. is similar to P. bandaenseMicoletzky and Kreis, in the spicules, but can be distinguished by the presence of a ventral projection on the spicules, three regularly arranged cervical setae in both the male and female, and two distinct ventral setae behind the anus. Parodontophora deltensis sp. nov. is close to P. paragranulifera (Timm, ) in the length of the amphids, with the ventral arm of the amphid extending past the base of the stoma, but can be separated by the ratio of dorsal arm length to ventral arm (0.36–0.55 versus 0.20–0.25) and the position of the excretory pore (at the middle level versus top level of the stoma), distinctive cervical setae arrangement and a longer renette cell. Parodontophora wuleidaowanensis sp. nov. is close to P. danker Belogurov and Kartavtseva, in the form of the amphids, but can be distinguished by the longer length of the ventral arm of the amphids and the distinctive arrangement of cervical setae.     

Radiolarians from the British North‐Polar Expedition (1875–1876): re‐examination of the H. B. Brady (1878) collection

The earliest report on radiolarians from the Arctic Ocean (north of the Arctic Circle) was provided by H. B. Brady (1878 Brady, H. B. 1878. On the reticularian and radiolarian Rhizopoda (Foraminifera and Polycystina) of the North‐Polar Expedition of 1875–76.. Annals and Magazine of Natural History, Series 5, 1: 425–440. [Taylor & Francis Online] , [Google Scholar]). He documented the occurrences of 10 genera from soundings in northern Baffin Bay and north of Greenland, but he did not illustrate any specimens in his report. We have re‐examined Brady's original slide collection, housed at the Natural History Museum, London (NHM), in order to refine his radiolarian identifications to species level. We have identified 11 radiolarian taxa in his slides, but some are definitely more characteristic of tropical oceans rather than high northern latitudes. We conclude that this is most likely due to sample contamination or misidentification of samples. Therefore, the actual occurrence of tropically affiliated radiolarians recorded from the Arctic is uncertain and should be regarded with suspicion.     

Microhabitat use and feeding habits of Crossodactylus bokermanni Caramaschi and Sazima, 1985 (Anura,Hylodidae) at a site in south‐eastern Brazil

We studied a population of Crossodactylus bokermanni in a stream at the Reserva Particular do Patrimônio Natural, Santuário do Caraça, south‐eastern Brazil, with respect to microhabitat use and diet. We characterized microhabitats based on substrate, distance to water and exposure level of the occupying individual (exposed or sheltered), and adjacent aquatic microhabitats (evaluated as potential nesting sites based on observed nests), according to water current (absent, slow or fast), substrate and depth. Calling males, silent males, ovigerous females, non‐ovigerous females and juveniles showed spatial niche overlap higher than that expected by chance, with calling males showing the strongest preference for microhabitats close to potential nesting sites (with intermediate depths, fast current and sandy bottom). Only 14 males out of 48 individuals examined for stomach contents had prey in their stomachs. The food items with the highest electivity values were Coleoptera and Diptera, but preys with both high and low mobility were exploited.     

Forecasting regional house price inflation: a comparison between dynamic factor models and vector autoregressive models

This paper uses the dynamic factor model framework, which accommodates a large cross‐section of macroeconomic time series, for forecasting regional house price inflation. In this study, we forecast house price inflation for five metropolitan areas of South Africa using principal components obtained from 282 quarterly macroeconomic time series in the period 1980:1 to 2006:4. The results, based on the root mean square errors of one to four quarters ahead out‐of‐sample forecasts over the period 2001:1 to 2006:4 indicate that, in the majority of the cases, the Dynamic Factor Model statistically outperforms the vector autoregressive models, using both the classical and the Bayesian treatments. We also consider spatial and non‐spatial specifications. Our results indicate that macroeconomic fundamentals in forecasting house price inflation are important. Copyright © 2010 John Wiley & Sons, Ltd.     

An ensemble of LSTM neural networks for high‐frequency stock market classification

We propose an ensemble of long–short‐term memory (LSTM) neural networks for intraday stock predictions, using a large variety of technical analysis indicators as network inputs. The proposed ensemble operates in an online way, weighting the individual models proportionally to their recent performance, which allows us to deal with possible nonstationarities in an innovative way. The performance of the models is measured by area under the curve of the receiver operating characteristic. We evaluate the predictive power of our model on several US large‐cap stocks and benchmark it against lasso and ridge logistic classifiers. The proposed model is found to perform better than the benchmark models or equally weighted ensembles.