We examine international stock return comovements using country-industry and country-style portfolios. We first establish that parsimonious risk-based factor models capture the covariance structure of the data better than the popular Heston-Rouwenhorst (1994) model. We then establish the following stylized facts regarding stock return comovements. First, we do not find evidence for an upward tr...

Water resources design has widely used the average return period as a concept to inform management and communication of the risk of experiencing an exceedance event within a planning horizon. Even though nonstationarity is often apparent, in practice hydrologic design often mistakenly assumes that the probability of exceedance, p, is constant from year to year which leads to an average return p...

Stock return is usually considered to be affected by firm’s financial ratios as well as economic variables. Fundamental method assume that stock returns is not solely related to the stock market. Most result come from the company condition , industry situation and whole economy. In this paper, this relationship between stock return and fundamentals is studied using the data for 22 pharmaceutica...

Distributed generation equipment improves renewable energy utilization and economic benefits through an storage system (ESS). However, dominated by short-term data, the configuration of long-period ESS capacity is absent based on dynamic change load, which leads to a large deviation from expected return. Considering characteristics lack data less information, after introducing grey theory, we p...

using the treynor and mazoy model (expanded by fama to evaluate management performance for asset allocation among investment units), this paper examines the management’s performance in funds and investment companies in tehran stock exchange during 2004-2010. the results do not support the application of management market timing during the study period and managers were only able to create addit...

Several studies have indicated that the social, economic and other impacts of global warming can be linked with changes in frequency intensity extreme weather/climate events. Developing countries, particularly African region, are highly affected by events such as high temperature, usually followed/accompanied drought. Therefore, studying probability occurrence return period temperatures, possib...

With the rapid urbanization, waterlogging losses caused by rainstorm are becoming increasingly severe. In order to reveal correlations between characteristic elements, and make calculation of return period more reasonable objective, this study established joint distribution models elements using copula theory based on rainfall data in a Chinese megacity, Zhengzhou. Then their combined design va...