Oleg Rytchkov

Filtering Out Expected Dividends and Expected Returns

This paper applies a state space approach to the analysis of stock return predictability. It acknowledges that expected returns and expected dividends are unobservable and uses the Kalman filter to extract them from the observed history of realized dividends and returns. The suggested approach explicitly takes into account the time variation in expected dividend growth rates and exploits the present value relation. The obtained predictors for future returns are robust to structural breaks in the means of expected dividends and returns and more efficient than the dividend–price ratio. The likelihood ratio test reliably rejects the hypothesis of constant expected returns.

Forecasting the forecasts of others: Implications for asset pricing

We study the properties of rational expectation equilibria (REE) in dynamic asset pricing models with heterogeneously informed agents. We show that under mild conditions the state space of such models in REE can be infinite dimensional. This result indicates that the domain of analytically tractable dynamic models with asymmetric information is severely restricted. We also demonstrate that even though the serial correlation of returns is predominantly determined by the dynamics of stochastic equity supply, under certain circumstances asymmetric information can generate positive autocorrelation of returns.

Note on the massive Rarita-Schwinger field in the AdS / CFT correspondence

Abstract We consider a massive Rarita-Schwinger field on the Anti-de Sitter space and solve the corresponding equations of motion. We show that appropriate boundary terms calculated on-shell give two-point correlation functions for spin-3/2 fields of the conformal field theory on the boundary. The relation between Rarita-Schwinger field masses and conformal dimensions of corresponding operators is established.

Properties of intersecting p-branes in various dimensions

General properties of intersecting extremal p-brane solutions of gravity coupled with dilatons and several different d-form fields in arbitrary space-time dimensions are considered. It is shown that heuristically expected properties of the intersecting p-branes follow from the explicit formulae for solutions. In particular, harmonic superposition and S-duality hold for all p-brane solutions. Generalized T-duality takes place under additional restrictions on the initial theory parameters.

UV/IR mixing for noncommutative complex scalar field theory interacting with gauge fields

Abstract We consider noncommutative analogs of scalar electrodynamics and N = 2 D = 4 SUSY Yang-Mills theory. We show that one-loop renormalizability of noncommutative scalar electrodynamics requires the scalar potential to be an anticommutator squared. This form of the scalar potential differs from the one expected from the point of view of noncommutative gauge theories with extended SUSY containing a square of commutator. We show that fermion contributions restore the commutator in the scalar potential. This provides one-loop renormalizability of noncommutative N = 2 SUSY gauge theory. We demonstrate a presence of non-integrable IR singularities in noncommutative scalar electrodynamics for general coupling constants. We find that for a special ratio of coupling constants these IR singularities vanish. Also we show that IR poles are absent in noncommutative N = 2 SUSY gauge theory.

Chaos in M(atrix) theory

Abstract We consider the classical and quantum dynamics in M(atrix) theory. Using a simple ansatz we show that a classical trajectory exhibits a chaotic motion. We argue that the holographic feature of M(atrix) theory is related with the repulsive feature of energy eigenvalues in quantum chaotic system. Chaotic dynamics in N = 2 supersymmetric Yang—Mills theory is also discussed. We demonstrate that after the separation of “slow” and “fast” modes there is a singular contribution from the “slow” modes to the Hamiltonian of the “fast” modes.

Non-extremal localized branes and vacuum solutions in M-theory

Non-extremal overlapping p-brane supergravity solutions localized in their relative transverse coordinates are constructed. The construction uses an algebraic method of solving the bosonic equations of motion. It is shown that these non-extremal solutions can be obtained from the extremal solutions by means of the superposition of two deformation functions defined by vacuum solutions of M-theory. Vacuum solutions of M-theory including irrational powers of harmonic functions are discussed.

Renormalizability and UV/IR mixing in noncommutative theories with scalar fields

Abstract We consider a quantum theory of noncommutative selfinteracting complex scalar field as well as noncommutative analogs of scalar electrodynamics and N =2 D=4 SUSY Yang–Mills theory and prove their one-loop renormalizability. Noncommutative scalar field theory and scalar electrodynamics with general values of coupling constants suffer from non-integrable IR singularities. We find that for a special ratio of coupling constants these IR singularities vanish. Also we show that IR poles are absent in noncommutative N =2 SUSY gauge theory.

Aggregation of Information About the Cross Section of Stock Returns: A Latent Variable Approach

We propose a new approach for estimating expected returns on individual stocks from a large number of firm characteristics. We treat expected returns as latent variables and apply the partial least squares (PLS) estimator that filters them out from the characteristics under an assumption that the characteristics are linked to expected returns through one or few common latent factors. The estimates of expected returns constructed by our approach from twenty six firm characteristics generate a wide cross-sectional dispersion of realized returns and outperform estimates obtained by alternative techniques. Our results also provide evidence of commonality in asset pricing anomalies.

Asset Pricing with Index Investing

We provide a novel theoretical analysis of how index investing affects capital market equilibrium. We consider a dynamic exchange economy with heterogeneous investors and two Lucas trees and find that indexing can either increase or decrease the correlation between stock returns and in general increases (decreases) volatilities and betas of stocks with larger (smaller) market capitalizations. Indexing also decreases market volatility and interest rates, although those effects are weak. The impact of index investing is particularly strong when stocks have heterogeneous fundamentals. Our results highlight that indexing changes not only how investors can trade but also their incentives to trade.