An analytic method for longitudinal mortality studies

Our knowledge of mortality risks comes largely from longitudinal (cohort) studies. The most commonly used analytic tool is the Cox proportional hazards model for survival analysis. An alternative approach is a simple cross-sectional analysis of person-years. The key to the method is logistic regression, where the outcome variable is lived/died in the given year and the explanatory variables are age, sex, and other potential risk factors. This approach can be used to model any dichotomous outcome and has several important advantages over the more traditional survival analysis. As an example, we compare the two methods using a large data base of patients with spinal cord injury.     

The open economy consequences of U.S. monetary policy

We consider the open economy consequences of U.S. monetary policy, extending the identification approach of Romer and Romer (2004) and adapting it for use with asset prices. Intended policy changes are orthogonalized against the economy’s expected future path, which captures any effects from open economy variables. Estimated from a set of bilateral VARs, the dynamic responses of the exchange rate, foreign interest rate, and foreign output are consistent with recent work that identifies U.S. policy via futures market changes and a priori impulse response bounds. We compare the two approaches, finding important commonalities. We also outline some advantages of our approach.     

Different open book accounting practices for different purchasing strategies

Extant studies of open book accounting focus primarily on data disclosure in long-term, committed purchasing arrangements. We extend research beyond that context by exploring the association between open book practices (in terms of nature and uses of disclosed data as well as conditions of data disclosure) and two different purchasing strategies. Three case studies are performed. Results indicate that within market procurement characterized by a transactional purchasing strategy, cost data primarily serve to reduce purchase price. Therefore, data disclosure is limited in scope and scale, occurs primarily during supplier evaluation and selection, and is characterized by an adversarial atmosphere. Incentives for suppliers to open their books focus on short-term tangible gains. Within a hybrid exchange arrangement characterized by a relational purchasing strategy, data disclosure supports cost reduction, e.g., through joint product development, and is more comprehensive. The atmosphere is less adversarial and suppliers reap long-term benefits.     

Loan officers and loan ‘delinquency’ in Microfinance: A Zambian case

The paper seeks to promote greater understanding of the importance of loan officers in group-based microfinance by explaining their actual roles, dilemmas and tensions when working with poor clients. Few existing studies have used data outside Bangladesh and most focus upon relatively well-performing institutions. Using data from Zambia this study focuses on the recent crisis of Christian Enterprise Trust of Zambia (CETZAM) and the effects of its practices for accounting for and dealing with defaulters. The findings firstly show that loan officers faced powerful hierarchical accountability pressures and pursued inappropriate methods to compel further repayments to resolve this crisis. Its approach to borrower default was found to be stressful for loan officers and potentially detrimental for CETZAM's own short and long-term survival by reducing client loyalty and trust.     

Endovascular repair of abdominal aortic aneurysms

Endovascular abdominal aortic repair (EVAR) offers a less invasive approach to treatment of abdominal aortic aneurysms (AAA) compared to traditional open repair. EVAR is illustrated with before and post-repair CT angiographic images. Procedure indications, usage and available outcomes data are summarized; however, the long-term outcome of current endografts is not known.     

DETECTING ABNORMAL RETURNS USING THE MARKET MODEL WITH PRE-TESTED DATA

The current literature suggests various alternative procedures for increasing the power of tests to detect abnormal returns in event studies. Using randomly constructed portfolios, we simulate events and compare the results of tests using three alternative procedures: traditional, cross-sectional, and cross-sectional with standardized residuals. For each test, we compare results when all observations are included with results when the observations with high trading volume are omitted from the estimation period. The simulation results indicate that both the traditional approach with omitted observations and the cross-sectional approach using standardized residuals with all observations yield approximately the correct test sizes and significantly improve the power of tests to detect abnormal returns. However, the cross-sectional approach using standardized residuals is clearly dominant among the three procedures.     

Market Dependence and Economic Events

Recent studies on stock market pricing have rejected the random walk model for short-term periods and have concentrated on long-term persistent or mean-reverting dependence. The problem with these studies is that their statistical results can be biased by the shorter term dependence. Rather than trying to develop a unified theory that explains both short- and long-term dependence, current studies use different methodologies to correct for the short-term dependence while trying to test for long-term dependence. This paper uses a sequential information theory to focus attention on short-term dependence effects. This theory states that the market process is a nonstationary mean process surrounded by a nonstationary autocovariance error process. A nonstationary mean process implies short-term dependence resulting from changing economic events (new information). Long-term persistent dependence then derives from nonperiodic economic cycles. A new empirical approach, a cross-sectional autocorrelation coefficient is used since it is free from the stationarity problems of previous techniques.     

Futures studies’ backcasting method used for strategic sustainable city planning

Achieving a sustainable city requires long-term visions, integration and a system-oriented approach to addressing economic, environmental and social issues. This paper case studies a sustainable city planning project, Göteborg 2050, that uses the backcasting method. Visionary images of a long-term sustainable future can stimulate an accelerated movement towards sustainability. The paper describes a special kind of scenario methodology to build a future model for city development as a planning tool in facilitating a sustainable society. Backcasting in futures studies is widely discussed together with the comparison of three selected backcasting approaches, including Robinson's approach, The Natural Step Framework, and the Sustainable Technology Development approach. The purposes of this paper are to examine and discuss the use of the backcasting method within the Project Göteborg 2050, lessons learned and findings drawn from the experience. The case study shows that backcasting is an appropriate method in developing action plans for achieving urban sustainability. This work can be served as a model for sustainable city planning in Thailand as well as other countries.     

Structural models of corporate bond pricing with maximum likelihood estimation

This paper empirically examines the proxy, volatility-restriction (VR) and maximum likelihood (ML) approaches to implementing structural corporate bond pricing models, and documents that ML estimation is the best among the three implementation methods. Empirical studies using either the proxy approach or the VR method conclude that barrier-independent models significantly underestimate corporate bond yields. Although barrier-dependent models tend to overestimate the yield on average, they generate a sizable degree of underestimation. The present paper shows that the proxy approach is an upwardly biased estimator of the corporate assets and makes the empirical framework work systematically against structural models of corporate bond pricing. The VR approach may generate inconsistent corporate bond prices or may fail to give a positive corporate bond price for some structural models. When the Merton, LS, BD and LT models are implemented with ML estimation, we find substantial improvement in their performances. Our empirical analysis shows that the LT model is very accurate for predicting short-term bond yields, whereas the LS and BD models are good predictors for medium-term and long-term bonds. The Merton model however significantly overestimates short-term bond yields and underestimates long-term bond yields. Unlike empirical studies in the past, the Merton model implemented with ML estimation does not consistently underestimate corporate bond yields.     

Performance measurement of pension strategies: a case study of Danish life cycle products

The Danish pension markets of life cycle products have expanded considerably since its introduction in the beginning of the millennium. The market is maturing and pensioners have the choice between a wide area of different products. It is therefore about time that financial insurance technology is developed to guide the performance measurement of available products. In this paper we develop a simple first version of such a method and we investigate life cycle products recommended on the web of the four biggest commercial Danish pension companies on one day in February 2007. All considered products are outperformed by trivial benchmark products with constant stock proportion over time. Our approach is the following: for each life cycle product we first find a trivial benchmark product with the same long-term risk and then we compare the long-term return of the two equivalent products. We primarily consider value at risk and tail value at risk as risk measures, but we also include a study where the fair value of an interest guarantee is used as risk measure. We consider both long-term mean returns and long-term median returns. We hope that our new method will be regarded as a first step towards a scientifically based ranking of the quality of pension products.     

A robust optimization approach to asset-liability management under time-varying investment opportunities

This paper presents an asset liability management model based on robust optimization techniques. The model explicitly takes into consideration the time-varying aspect of investment opportunities. The emphasis of the proposed approach is on computational tractability and practical appeal. Computational studies with real market data study the performance of robust-optimization-based strategies, and compare it to the performance of the classical stochastic programming approach.     

Critical and strategic factors for scenario development and discontinuity tracing

This paper discusses the contribution of critical and strategic factors to three open questions in scenario development and futures research: discontinuities, multi-dimensionality in scenarios, and communicating and learning about change and complexity. It is observed that discontinuities do not necessarily take the form of rapid breaks within one single field. The term “hidden discontinuity” is employed to describe developments that arise from (a) the combination of several trends that may each be unspectacular or (b) gradual, long-term processes. The second open question concerns the tension between the need to work in multi-dimensional spaces while also keeping complexity manageable and selecting “representative” futures. The third problem concerns difficulties to recognize, accept and communicate the above two effects (a) and (b). After discussing these questions, two examples of recent scenario studies are used to illustrate how the identification of critical factors can contribute to identifying meaningful discontinuities and meaningful subsets within the multidimensional space of possibilities, and to learning about the scale and scope dimensions of long-term change processes and the impact of the interplay between different fields.     

Spanish Stock Returns: Where is the Weather Effect?

Psychological studies support the existence of an influence of weather on mood. Saunders (1993) and Hirshleifer and Shumway (2001) argue that the weather could affect the behaviour of market traders and, therefore, it should be reflected in the stock returns. This paper investigates the possible relation between weather and market index returns in the context of the Spanish market. In 1989, this market changed its open outcry trading system into a computerised and decentralised trading system. Therefore, it is possible to check the influence of weather variables (sunshine hours and humidity levels) on index returns in an open outcry trading system, and to compare it with a screen traded environment. The empirical evidence indicates that, independently of the trading system, there is no influence of weather on stock prices. Thus, these findings do not contest the notion of efficient markets.     

Trading activity and price reversals in futures markets

We use the standard contrarian portfolio approach to examine short-horizon return predictability in 24 US futures markets. We find strong evidence of weekly return reversals, similar to the findings from equity market studies. When interacting between past returns and lagged changes in trading activity (volume and/or open interest), we find that the profits to contrarian portfolio strategies are, on average, positively associated with lagged changes in trading volume, but negatively related to lagged changes in open interest. We also show that futures return predictability is more pronounced if interacting between past returns and lagged changes in both volume and open interest. Our results suggest that futures market overreaction exists, and both past prices and trading activity contain useful information about future market movements. These findings have implications for futures market efficiency and are useful for futures market participants, particularly commodity pool operators.     

The future quantified

The results reported in this paper demonstrate that the qualitative (group) research and quantitative (individual) survey techniques that have been developed now offer a viable means for mapping current expectations and the possible future directions these will take. Sensible use of these should provide governments, and large organisations in general, with a powerful new set of tools for positively managing the future. In terms of the issues themselves, the group which emerged most strongly from the quantified responses of the individuals are those which might be seen as relating to the ‘green' environment. On the other hand, our qualitative groups looked upon these key issues as representing matters of survival for humanity as a whole. Such a focus on survival may seem selfish, but it can also be seen as altruistic not concerned with personal survival. It also represents a sound, rational approach to long-term planning, where the respondents focused instead on how governments might positively, and safely, manage all the long-term issues threatening the future of humankind. If we move away from ‘green' issues, it is also clear that even individuals recognize the globalisation of issues in particular the globalisation of business, the possibility of a global financial crash and the (threat of) domination by Pacific Rim countries. At the opposite end of the spectrum are worries about the significant problems faced by the underclasses—and, in turn, the significant threat these present to society as a whole. In general though, apart from technological issues, the emphasis was—across almost all areas—on survival in the face of events ranging down from catastrophes to mere crises and stresses!     

公开市场操作与利率期限结构行为——基于混频数据信息的研究视角

在混频数据信息环境中,精准识别公开市场操作(央行政策利率)和国债收益率曲线(基准利率体系)之间的关联机制至关重要,其影响了货币政策期限结构传导的有效性。本文在混频Nelson-Siegel(N-S)利率期限结构模型框架下,引入央行政策利率,揭示公开市场操作与利率期限结构(水平、斜率、曲度)因子之间的作用机制。实证结果表明:混频数据信息条件下,引入的公开市场操作信息显著改进国债收益率曲线的拟合效果;斜率因子冲击对公开市场操作具有显著的正向影响,而利率期限结构因子对政策调控的反应不敏感。进一步研究表明,2015年以来,公开市场操作对斜率因子的影响逐渐扩大,政策利率向国债收益率曲线的传导效率得到显著提高,我国现代货币政策框架日益健全。     

Performance of Cross Listed Dual-Class Firms: Evidence from Chinese Firms Cross Listed on US Exchanges

We compare operating and market performance of Chinese single- and dual-class firms cross listed on US exchanges. We find evidence in line with researchers who argue that a dual-class structure allows insiders to invest in long-term value-enhancing projects. We find that dual-class firms underperform prior to their initial public offering (IPO) and then improve and have better operating performance than single-class firms in the second year after IPO. We find that dual-class firms also have better market performance than single-class firms beginning in the initial year, which is contrary to the finding in most other studies. The reason for this might be that firms that list on US exchanges show a credible commitment to shareholder rights.     

Risk Analysis of Pension Fund Investment Choices

We provide a comprehensive and more consistent approach to analyse and compare the risk-return relationships of Australian superannuation investment options for the period January 1990 to December 2016. In estimating the risk profiles of the investment options, we allow for the movement of the asset classes over time by employing a varying coefficient panel estimation technique. We find that while risk increases across different investment options from moderate to aggressive options, using different percentages of identifying a balanced fund does not impact the long-term risk measurement. We equally find that the risk-return relationships of investment options are not sensitive to the modelling framework, except for the crisis analysis, in which the Fama-French five-factor model provides greater sensitivity.     

Estimating the reaction of Bitcoin prices to the uncertainty of fiat currency

Recent studies have found that investors move from fiat currencies to Bitcoin cryptocurrency in environments with low trust and high uncertainty. This paper investigates the reaction of Bitcoin prices to uncertainty concerning fiat currencies by introducing a complete ensemble empirical mode decomposition with adaptive noise (CEEMDAN)-based event analysis approach. The 2013 Cyprus bailout is used as an event over the uncertainty of fiat currencies. With the proposed approach, the original Bitcoin price series is decomposed into high-frequency, low-frequency, and trend components, thus disentangling the short-, medium-, and long-term effects of the events on Bitcoin prices, respectively. We find that the low-frequency component is dominant and increased because of the event. In addition, the announcement significantly increased the intensity of short-term fluctuations in Bitcoin prices. However, there was no structural change in Bitcoin prices in the long-term trend. This paper provides a way to show the reaction of Bitcoin prices to the uncertainty of fiat currencies at different time scales and suggests that the reaction is mainly captured by the medium-term trend.     

Wellness strategies for smaller businesses

While innovative smaller companies are implementing employee wellness programs, many smaller firms may point to a lack of resources, such as staffing and financial resources, to establish and sustain a wellness program. The uncertain economy and rising health care costs have caused many smaller businesses to focus on core business strategies to keep the doors open and the business going. However, innovative companies realize that building a culture of health is a long-term business strategy directly related to improving the bottom line. This article highlights one company's approach to wellness and the results of the company's programs. It also outlines the components of a successful wellness program and suggests practical implementation steps for smaller businesses.