A Hidden Markov Model Approach to Information‐Based Trading: Theory and Applications

This paper develops a novel approach to information‐based securities trading by characterizing the hidden state of the market, which varies following a Markov process. Extensive simulation demonstrates that the approach can successfully identify market states and generate dynamic measures of information‐based trading that outperform prevailing models. A sample of 120 NYSE stocks further verifies that it can better depict trading dynamics. With this sample, we characterize the features of information asymmetry and belief dispersion around earnings announcements. The sample is also applied to the study of the co‐movements of trading activities due to private information or disputable public information. Copyright © 2014 John Wiley & Sons, Ltd.     

Quality-adjusted survival with combination nab-paclitaxel + gemcitabine vs gemcitabine alone in metastatic pancreatic cancer: a Q-TWiST analysis

Objectives:

To use the Quality-Adjusted Time Without Symptoms or Toxicities (Q-TWiST) methodology to compare the quality-of-life and survival benefits associated with the combination of albumin-bound (nab)-paclitaxel and gemcitabine vs gemcitabine alone in the first-line treatment of metastatic pancreatic adenocarcinoma.

Methods:

Total survival time through 45 months was partitioned into time before disease progression without toxicity grade ≥3 (TWiST), time with adverse event grade ≥3 (TOX), and time of disease progression (REL). Mean Q-TWiST was calculated by multiplying time spent in each health state by its respective utility (i.e., TWiST?=?1.00; TOX/REL?=?0.50, 0–1 in sensitivity analyses). Non-parametric bootstrap 95% confidence intervals (CI) were derived to assess the significance of between-treatment differences in TOX, TWiST, REL, and Q-TWiST. A relative gain in Q-TWiST (vs mean overall survival of gemcitabine) of ≥10% and ≥15% was defined as clinically important and clearly clinically important, respectively.

Results:

Patients on nab-paclitaxel?+?gemcitabine spent a significantly longer time in every state and experienced significantly greater overall Q-TWiST (+1.7 months [95% CI?=?0.8, 2.7]) than those receiving gemcitabine alone (8.2 months [95% CI?=?7.5, 8.9] vs 6.5 months [95% CI?=?5.8, 7.0]), assuming base-case utilities of TOX/REL?=?0.50. This Q-TWiST gain ranged from 1.0 month (95% CI?=?0.1, 1.9), when REL/TOX utilities were both 0, to 2.5 months (95% CI?=?1.3, 3.7), when REL/TOX utilities were both 1. Relative gains in Q-TWiST were 21% in favor of nab-paclitaxel?+?gemcitabine in the base case, and ranged from 12–30% in sensitivity analyses.

Conclusions:

There are limitations to Q-TWiST analyses, e.g., imprecision when defining duration/severity of TOX and lack of prospective collection of utilities. This analysis addressed these issues via sensitivity analyses and conservative assumptions to show that nab-paclitaxel?+?gemcitabine results in statistically significant and clinically important gains in quality-adjusted survival, when compared to gemcitabine alone, in treatment-naive metastatic pancreatic adenocarcinoma patients.     

Does Foreign Venture Capital Provide More Value‐added Services to Initial Public Offering Companies in China?

This paper uses all 1404 initial public offerings (IPO) undertaken between 2002 and 2012 in China to analyze whether venture capital (VC) investment, especially foreign VC investment, brings more or less value‐added services to the invested companies during the 3 years following the IPO. The results show that venture capitalists choose to invest in companies with higher value potential, and, in turn, the value of the companies increases after the IPO is undertaken; foreign VC adds more value to companies than domestic venture capital. However, the profitability of VC‐backed and non VC‐backed companies after IPO does not differ significantly. Nevertheless, it is shown that VC plays an active role in China.     

Stock Option Schedules and Managerial Opportunism

This study investigates some of the most important avenues that mangers use to manipulate the value of stock option grants. It also compares the use of these avenues in firms that issue scheduled options and in firms that issue irregular options. We document that before the Sarbanes‐Oxley Act (SOX), cumulative abnormal returns were significantly negative in the 30‐day window before an option grant, but cumulative abnormal returns turned significantly positive after the option grant. This pattern is more pronounced for irregular options, and the evidence supports the hypothesis that opportunistic manipulation of strike prices by CEOs maximized the value of the option grants. We find the disclosure requirement of option grants included in SOX successfully curtails opportunistic behavior in firms that issue scheduled options, but has a lesser effect stopping opportunistic behavior in firms that issue irregular options. Firms granting irregular options take larger negative discretionary accruals in advance of the grant than firms that grant scheduled options, and the degree of downward earnings management increases with the size of the subsequent grant. We further show that firms are more likely to issue irregular options when they offer larger option grants, have a less independent board, receive less analyst coverage, have a new CEO, exhibit poor prior performance, have higher stock return volatility and are smaller in size.     

女大学生参与课外体育活动状况调查与分析

课外体育是学校体育的重要组成部分,是体育课的延伸和补充,参加课外体育锻炼的意义不能仅停留在态度和理解上,只有切实投身于课外体育活动中才能真正体会到其价值所在。本研究就女大学生参与课外体育活动的状况进行调查与分析,并提出相应对策,以期切实改善和提高其课外体育活动的质量,促进身体健康。     

加强考风建设 确保高校人才培养质量

良好的考风是一所学校教学效果、教学管理的综合反映,是确保人才培养质量的关键,本文针对高校考风出现的问题,提出了加强考风建设的途径。     

基于社会资本视角的企业自主创新能力建设

建立以企业为主体的自主创新体系是我国科学发展战略的必然选择。本文使用近年来不断发展的社会资本理论去探讨企业自主创新的内在机理和规律,并提出相应的政策建议。     

基于循环经济的环境管理会计投资决策方法探讨

企业运行循环经济模式是可持续发展的要求,然而传统管理会计投资决策方法理论仅考虑投资项目运营对本企业经营状况和财务成果所造成的影响,忽视了循环经济条件下的环境保护和资源利用、社会可持续发展等因素,存在一定缺陷,因此要建立面向循环经济的环境管理会计投资决策方法,从经济系统、生态环境系统和社会系统对项目进行全面的评价,以达到将宏观的循环经济模式与微观的企业环境管理会计投资决策相结合的可持续发展目标.     

“拼”消费，时尚又节约

在全球经济下滑的大背景下.现在买一件贵的东西都能让人心疼半天.于是"拼"生活开始渗透到一些年轻人的生活当中.这种俗称为"搭伙、凑份子"的消费方式已经被延伸到越来越多的生活领域.只要是身边的消费,几乎都可以"拼"一下.     

新形势下的房地产企业的战略转型

面对新形势和房地产宏观调控政策，房地产企业应该尽快调整战略目标。完成战略转型，以此提高核心竞争力。在新形势下房地产企业应该从经营理念、赢利模式和产品结构上尽快完成企业的战略转型。