Monotonicity in asset returns: New tests with applications to the term structure,the CAPM,and portfolio sorts

Many theories in finance imply monotonic patterns in expected returns and other financial variables. The liquidity preference hypothesis predicts higher expected returns for bonds with longer times to maturity; the Capital Asset Pricing Model (CAPM) implies higher expected returns for stocks with higher betas; and standard asset pricing models imply that the pricing kernel is declining in market returns. The full set of implications of monotonicity is generally not exploited in empirical work, however. This paper proposes new and simple ways to test for monotonicity in financial variables and compares the proposed tests with extant alternatives such as t-tests, Bonferroni bounds, and multivariate inequality tests through empirical applications and simulations.     

Estimating the Economic Impact of Event Tourism

Abstract

Tourism has become an important economic sector in many parts of the world, and many regions, states, and local areas have identified expenditures by visitors as a potential source of economic growth. Because visitor spending can contribute to the local economy, many communities seek to enhance tourism and visitor-oriented activities. As a result, estimates of the economic impact of event tourism are of interest to a wide variety of interested parties. Economic impact analyses of sports facilities and other entertainment events have come under increasing criticism in recent years. At the same time, visitors to sports events, festivals, and other visitor-oriented and event related activities can produce very substantial economic impacts for host communities. This article examines key considerations and issues that affect and are critical to reliable estimates of the economic impacts of events and event tourism.     

Are microfinance markets monopolistic?

Do microfinance institutions (MFIs) operate in a monopoly, monopolistic competition environment or are their revenues derived under perfect competition markets? We employ the Panzar–Rosse revenue test on a global panel data to assess the competitive environment in which MFIs of five selected countries operate: Ecuador, India, Indonesia, Peru and Philippines, over the period 2005–2009. We estimate the static and the dynamic revenue tests, with analyses of the interest rate and the return on assets. We control for microfinance-specific variables such as capital-assets-ratio, loans-assets and the size of the MFI. The analyses also account for the endogeneity problem by employing the fixed-effects two-stage least squares and the fixed-effects system generalized method of moments. Our results suggest that MFIs in Peru and India operate in a monopolistic environment. We also find weak evidence that the microfinance industry in Ecuador, Indonesia and Philippines may operate under perfect competition.     

Market Response to Investor Sentiment

This paper reconsiders the effect of investor sentiment on stock prices. Our main contribution is that, in addition to the intermediate term return predictability, we also analyze the immediate price reaction to the publication of survey‐based investor sentiment indicators. We find that the sign of the immediate market response is the same as that of the predictability at intermediate time horizons. This is consistent with underreaction to cash flow news or with investor sentiment being related to mispricing. It is inconsistent with the alternative explanations of a rational response to cash flow news or sentiment indicators providing information about future expected returns.     

Cost of skeletal-related events in European patients with solid tumours and bone metastases: data from a prospective multinational observational study

Abstract

Objectives:

Patients with bone metastases often experience skeletal-related events (SREs: radiation or surgery to bone, pathologic fracture, and spinal cord compression). This study examined health resource utilization and costs associated with SREs.

Methods:

Data presented are from the European cohort (Germany, Italy, Spain, and the UK) of patients with solid tumours enrolled in a multi-national, prospective, observational study in patients with solid tumours or multiple myeloma. Patients with Eastern Cooperative Oncology Group score 0–2 and life expectancy ≥6 months, who experienced an SRE up to 97 days before enrolment, were eligible. Health resource utilization associated with SREs (including number/length of inpatient stays, numbers of procedures and outpatient visits) were collected through chart review for up to 97 days before enrolment and prospectively during follow-up. Country-specific cost calculations were performed.

Results:

In total, 478 eligible patients contributed 893 SREs to this analysis. Radiation to bone occurred most frequently (66% of total). Spinal cord compression (7%) and surgery to bone (10%) were the least common events, but most likely to require inpatient stays. The most costly SREs were also spinal cord compression (mean per SRE across countries, €4884–€12,082) and surgery to bone (€3348–€9407). Inpatient stays were the main cost drivers.

Limitations:

Health resource utilization used to calculate the costs associated with SREs may have been under-estimated as a result of exclusion of patients with low performance status or life expectancy; unavailable information and exclusion of resource consumption associated with pain. Thus, the estimate of associated costs is likely to be conservative.

Conclusions:

SREs result in considerable health resource utilization, imposing a substantial financial burden driven by inpatient stays. Treatments that prevent/delay SREs may help ease this burden, thereby providing cost savings across European healthcare systems.     

压力测试及其在金融机构风险管理中的运用

本文研究和评价了目前被国际大型金融机构积极采用的风险管理工具:压力测试。作者通过将压力测试与VaR作比较等方法详细阐述了压力测试的特征、使用方法和缺陷,并且进一步分析指出压力测试在金融机构风险管理中的作用及其最新发展状况和趋势,最后着重分析了压力测试在我国运用和发展的前景并提出建议。     

Efficient rank tests for semiparametric competing risk models

We consider a semiparametric competing risk model given by k independent survival times. The paper offers an asymptotic treatment of tests for the semiparametric null hypothesis of equality of the underlying risks. It turns out that modified rank tests are asymptotically efficient for certain semiparametric submodels, where the baseline hazard is a nuisance parameter. In addition, the asymptotic relative efficiency of the present tests is derived. A comparison of asymptotic power functions can then be used to classify various tests proposed earlier in the literature. For instance a chi-square type test is efficient for proportional hazards. Data driven tests of likelihood ratio type are proposed for cones of alternatives. We will consider certain stochastically increasing alternatives as a special example. The paper shows how the concept of local asymptotic normality of Le Cam works for hazard oriented models.     

由“安然”事件引发我国审计执业的新思考

“安然”事件震动了审计界 ,它的影响力也许会使整个审计业发生变迁。从其事件产生的背景出发 ,着重分析了事件发生的原因 ,进一步强调了我国在此事件中应汲取的教训 ,以便及时改变与审计不相称的形象。     

股权分置改革的效率及其影响因素

本文选取全面股改前40批939家公司作为有效样本,以超常收益率作为基础度量指标,利用事件研究法,探讨了上市公司股权分置改革的效率,通过对比不同批次、不同交易所和不同板块股权分置改革效率的差别,深入研究了股改效率的影响因素。研究结果表明:股权分置改革对证券市场和上市公司市场价值均产生了积极的影响。高质量公司较多的批次存在较高的超常收益率,深市股东平均要比沪市股东获得较高的超常收益,中小企业板的平均超常收益率要远远大于主板市场。     

Attitudes toward Use of Advertising and Various Media Practices by Physicians

Advertising by physicians is a relatively recent phenomenon. The purposes of this study were to determine (a) consumers’ attitudes toward advertising by physicians; (b) whether certain potential consumer demographic variables account for any significant difference in attitudes toward physicians who advertise; and (c) which media consumers feel are appropriate for physicians’ advertising. The intent was to discover information that would be useful to physicians in planning promotional strategies and improving the quality of their advertising. The study seems to confirm the belief of many professionals that advertising and promotion clearly have a place in the future of health care services.