Common liquidity shocks and market collapse: Lessons from the market for perps

We show how a high degree of commonality in investor liquidity shocks can diminish incentives for intermediaries to keep markets open and lead to market collapse, even without information asymmetry or news affecting fundamentals. We motivate our model using the perpetual floating-rate note market where two years of explosive growth – in which issues by high quality borrowers were placed with institutional investors and traded in a liquid secondary market – were followed by a precipitous collapse when market intermediaries withdrew due to large order imbalances. We shed new light on the trade-off between ownership concentration and market liquidity.     

Evaluation of a patient self-directed mealtime insulin titration algorithm: a US payer perspective

Objective To model the potential economic impact of implementing the AUTONOMY once daily (Q1D) patient self-titration mealtime insulin dosing algorithm vs standard of care (SOC) among a population of patients with Type 2 diabetes living in the US.

Methods Three validated models were used in this analysis: The Treatment Transitions Model (TTM) was used to generate the primary results, while both the Archimedes (AM) and IMS Core Diabetes Models (IMS) were used to test the veracity of the primary results produced by TTM. Models used data from a ‘real world’ representative sample of patients (2012 US National Health and Nutrition Examination Survey) that matched the characteristics of US patients enrolled in the randomized controlled trial ‘AUTONOMY’ cohort. The base-case time horizon was 10 years.

Results The modeling results from TTM demonstrated that total costs in the base-case were reduced by $1732, with savings predicted to occur as early as year 1. Results from the three models were consistent, showing a reduction in total costs for all sensitivity analyses.

Limitations Data from short-term clinical trials were used to develop long-term projections. The nature of such extrapolation leads to increased uncertainty.

Conclusion The results from all three models indicate that the AUTONOMY Q1D algorithm has the potential to abate total costs as early as the first year.     

Psychophysiological Responses to Background Brand Placements in Video Games

Researchers have typically employed cognitive and affective measures to study the effectiveness of brand placements in video games. A psychophysiological approach to measuring effectiveness has been sorely lacking and is necessary to help both academics and practitioners further their understanding of how brand placements work. The current study measures individuals’ orienting responses in terms of increased skin conductance and decreased heart rate upon exposure to brands in video games. Results indicate that game players register background advertisements subconsciously even though they may not be able to explicitly recall them later. There were no differences between gamers and nongamers in the recall and recognition of brands from the video game. Furthermore, brands with preexisting favorable attitudes automatically received further processing, suggesting orienting response is an indicator of initial perception rather than further elaboration.     

Property price effects of a national wildlife refuge: Great Meadows National Wildlife Refuge in Massachusetts

The amenity value of proximity to a National Wildlife Refuge (NWR) in central Middlesex County, Massachusetts is estimated and compared to the values of proximity to five other open space types, including agricultural land, cemeteries, conservation land, golf courses, and sport/recreation parks. A hedonic model is used to explore the relationships among residential property values and proximity to these distinct types of open space. Open space characteristics in the empirical model include measures of continuous distance from each property to the nearest open space of each type and an index describing the diversity of open space types within neighborhoods of 100 and 1000 meters around a home. Results reveal that a property located 100 meters closer to the NWR than a neighboring property has a price premium of $984. Further, proximity to the NWR is valued more than proximity to agricultural land, cemeteries, and conservation land. No significant differences are found among the values of proximity to the NWR, golf courses, and sport/recreation parks.     

The relationship between recent gasoline price fluctuations and transit ridership in major US cities

The unprecedented increase in gasoline costs between August 2005 and July 2008 has become a major public issue in the US. Of the contentions and potential solutions surrounding higher gasoline costs, one receiving relatively little attention has been the role of public transit. This research examines that question by analyzing the relationship between gasoline prices and transit ridership from January 2002 to April 2008 in nine major US cities. Regression analysis is used to assess the degree to which variability in rail and bus transit ridership is attributable to gasoline costs and fluctuations in gasoline cost, controlling for service changes, seasonality, and inherent trending. The results indicate that a small but statistically significant amount of ridership fluctuation is due to changes in gasoline prices. The results are discussed in light of the policy and practical implications of higher gasoline prices for mass transit and the potential for long term changes in US travel behavior.     

TRANSMISSION OF CONDITIONAL STOCK RETURN VOLATILITY ACROSS NORTH AMERICAN MARKETS: Evidence from Pre- and Post-NAFTA

There has been considerable interest in whether stock market volatility is predictable and the extent to which cross-market relationships exist. This article examines the transmission of conditional stock price return volatility across the U.S., Canadian, and Mexican markets. Using daily data over the period 6/2/92-10/28/99 we provide empirical evidence on the extent to which cross-market relationships exist in the pre- and post-NAFTA periods.     

Symmetric and Asymmetric Stationarity Tests of Productivity

Studies of productivity in the operations and engineering management literature have typically focused on identifying the drivers of productivity and how best to manage resources. To date, the issues of the time-series behavior and the stochastic structure of productivity have largely been overlooked. This article examines the times-series properties of productivity utilizing several unit root and stationarity tests including one that allows for asymmetric adjustments to equilibrium. The findings suggest that productivity is a nonstationary process and first-differencing is necessary to render a stationary series. Moreover, we find some evidence of an asymmetric adjustment process in the productivity growth rates of manufacturing.