Discrete time Wishart term structure models

This paper reveals that the class of Affine Term Structure Models (ATSMs) introduced by Duffie and Kan (1996) is larger than previously considered in the literature. In the framework of risk factors following a Wishart autoregressive process, we define the Wishart Term Structure Model (WTSM) as an extension of a subclass of Quadratic Term Structure Models (QTSMs), derive simple parameter restrictions that ensure positive bond yields at all maturities, and observe that the usual constraint on affine processes requiring that the volatility matrix be diagonal up to a path independent linear invertible transformation can be considerably relaxed.     

Spatial Statistics and Real Estate

Real estate has historically employed statistical tools designed for independent observations while simultaneously noting the violation of these assumptions in the form of clustering of same sign residuals by neighborhood, along roads, and near facilities such as airports. Spatial statistics takes these dependencies into account to provide more realistic inference (OLS has biased standard errors), better prediction, and more efficient parameter estimation. This article provides an overview of the field and directs readers to the relevant literature and software.     

季度现金流量的信息含量研究

本文选择沪深两市共85家在2004年4月28日公布季度报表的A股上市公司为样本,采用事件法检验累计报酬率与非预期现金流量的关系。结果发现,我国的证券市场对于季度现金流量信息反应较弱,投资者基本上不关注季度现金流量信息。根据未预期盈余对样本进行分组,重新检验了市场对于不同盈余公司的现金流信息的市场反应,发现市场对于好消息公司的现金流信息的反应比坏消息公司更为敏感。     

场外市场会计盈余的信息含量

以万德数据库提供的新三板企业为样本,检验场外主体市场的会计盈余信息含量。混合样本检验显示,盈余信息披露对投资者超额收益有显著影响。分期检验中,2009年披露的盈余信息还不具备有效的信息含量;2010年披露的盈余信息具有信息含量,可能预示着场外市场的完善和成熟。此外,样本检验结果没有找到场外市场具有半强势有效的证据,但可以推断该市场处于弱势有效状态。     

Paradigm Conflict and the Wealth Effects of Blockholder Formation in Private Target Acquisitions

Decision making in public companies follows an organized structure dominated by risk aversion. The decisions in private entrepreneurial firms tend to be driven by overconfidence and reliance on trial and error. Such entrepreneurial attitudes are reinforced by high levels of profitability. The authors argue that this difference in decision-making paradigms limits the wealth effect of blockholder formation by the profitable private target's owners in mergers and acquisitions. Blockholder formation by private target owners is associated with substantial acquirer shareholder gains in the acquisitions of targets with relatively low and moderate profitability levels. To the opposite, the market reacts to blockholder formation by the owners of highly profitable targets with skepticism. Such announcements are associated with insignificant wealth effects overall and substantial acquirer losses in acquisitions in human capital-intensive sectors whereby disagreements are likely to be consequential. Acquirers understand these wealth effects and reduce the extent of stock financing when acquiring highly profitable targets.     

Cost-effectiveness of axicabtagene ciloleucel for adult patients with relapsed or refractory large B-cell lymphoma in the United States

Abstract

Purpose: Axicabtagene ciloleucel (axi-cel) was recently approved for treatment of relapsed or refractory (R/R) large B-cell lymphoma (LBCL) following two or more prior therapies. As the first CAR T-cell therapy available for adults in the US, there are important questions about clinical and economic value. The objective of this study was to assess the cost-effectiveness of axi-cel compared to salvage chemotherapy using a decision model and a US payer perspective.

Materials and methods: A decision model was developed to estimate life years (LYs), quality-adjusted life years (QALYs), and lifetime cost for adult patients with R/R LBCL treated with axi-cel vs salvage chemotherapy (R-DHAP). Patient-level analyses of the ZUMA-1 and SCHOLAR-1 studies were used to inform the model and to estimate the proportion achieving long-term survival. Drug and procedure costs were derived from US average sales prices and Medicare reimbursement schedules. Future healthcare costs in long-term remission was derived from per capita Medicare spending. Utility values were derived from patient-level data from ZUMA-1 and external literature. One-way and probabilistic sensitivity analyses evaluated uncertainty. Outcomes were calculated over a lifetime horizon and were discounted at 3% per year.

Results: In the base case, LYs, QALYs, and lifetime costs were 9.5, 7.7, and $552,921 for axi-cel vs 2.6, 1.1, and $172,737 for salvage chemotherapy, respectively. The axi-cel cost per QALY gained was $58,146. Cost-effectiveness was most sensitive to the fraction achieving long-term remission, discount rate, and axi-cel price. The likelihood that axi-cel is cost-effective was 95% at a willingness to pay of $100,000 per QALY.

Conclusion: Axi-cel is a potentially cost-effective alternative to salvage chemotherapy for adults with R/R LBCL. Long-term follow-up is necessary to reduce uncertainties about health outcomes.     

基于数据挖掘思想下的中国证券市场内幕信息操纵判别研究

本文以证券市场上发生过内幕信息操纵的案件为样本,并选取同时期同行业相似资产规模的没有或可能没有发生过内幕信息操纵的股票作为基准样本,通过Logistic逐步回归和均值差异检验,发现变量贝塔系数(BETA)和变量累积超常收益率(CAR)能有效地识别出内幕信息操纵的发生,并且变量BETA在识别能力上要优于变量CAR.通过Logistic和BP神经网络两个判别模型的对比分析,肯定了BP神经网络模型更优越的判别能力;同时还发现加入各自变量的交叉项后均能提高两个模型的判别率特别是对内幕信息操纵的正确判别率.     

上市公司“股权分置”改革市场效应分析——来自医药行业的经验数据

文章采用市场收益模型和多元回归模型对医药行业的股权分置改革所产生的市场效应进行了分析。研究表明，股改前后累积非正常收益呈先上升后下降趋势，在所研究的事件期间对价支付率对累积非正常收益具有最为显著的影响，我们所关心的股改后的流通股比例对累积非正常收益没有显著影响。     

我国企业集团整体上市中的内幕交易研究

采用我国2004～2007年30家整体上市公司作为样本,以事件研究法为基础,进行了超额累计收益率波动分析、公告效应和内幕交易效应分析,结果表明我国企业整体上市中存在严重的内幕交易行为。