The dynamic and stochastic instability of betas: Implications for forecasting stock returns

The purpose of this paper is to simultaneously investigate several important issues that feature the dynamic and stochastic behavior of beta coefficients for individual stocks and affect the forecasting of stock returns. The issues include randomness, nonstantionarity, and shifts in the mean and variance parameters of the beta coefficient, and are addressed within the framework of variable-mean-response (VMR) random coefficients models in which the problem of heteroscedasticity is present. Estimation is done using a four-step generalized least squares method. The hypotheses concerning randomness and nonstationarity of betas are tested. The time paths, sizes, and marginal rates of mean shifts are determined. The issue of variance shift is examined on the basis of five special tests, called T*, B, S', G and W. Then the impacts of the dynamic and stochastic instability on the estimation of betas is tested by a nonparametric procedure. Finally, the VMR models' ability of forecasting stock returns is evaluated against the standard capital asset pricing model. The empirical findings shed new light on the continuing debate as to whether the beta coefficient is random and nonstationary and have important implications for modeling and forecasting the measurement of performance and the determination of stock returns.     

富营养化水体中的溶源性浮游细菌分布与环境因子的关系

使用非侵害性根吸收硝酸盐检测系统,在较低NO3-浓度下,测定10 m mol/L的蔗糖、葡萄糖、果糖、半乳糖、棉子糖、D-甘露醇、甘露糖、阿拉伯糖、乳糖对水稻品种"汕优63"硝酸盐吸收的影响,以10 min为间隔连续测定4 h,结果表明:加入蔗糖后对水稻硝酸盐的吸收有显著的、立即的、持续的促进作用,与加入蔗糖前相比,硝酸盐净吸收率上升了298%,葡萄糖、半乳糖、果糖、棉子糖对水稻硝酸盐的吸收亦有明显的促进作用,上升幅度140%～223%;乳糖、D-甘露醇、阿拉伯糖无明显影响;甘露糖则有抑制作用.蔗糖可能足作为主要的信号分子参与植物硝酸盐吸收的正反馈调控.