Optimal execution with uncertain order fills in Almgren–Chriss framework

The classical price impact model of Almgren and Chriss is extended to incorporate the uncertainty of order fills. The extended model can be recast as alternatives to uncertain impact models and stochastic liquidity models. Optimal strategies are determined by maximizing the expected final profit and loss (P&L) and various P&L-risk tradeoffs including utility maximization. Closed form expressions for optimal strategies are obtained in linear cases. The results suggest a type of adaptive volume weighted average price, adaptive percentage of volume and adaptive Almgren–Chriss strategies. VWAP and classical Almgren–Chriss strategies are recovered as limiting cases with a different characteristic time scale of liquidation for the latter.     

Investor attention,firm-specific characteristic,and momentum: A case of the Korean stock market

This study examines the sources of negative momentum profits by combining investor attention and the properties of common and firm-specific factors. We choose the Korean stock market as a good case to characterize the negative momentum profits identified in Asia. In both portfolio and stock analyses, a method is devised to generate return data involving the property of each common and firm-specific factor within stock groups by investor attention. This study found significant negative momentum profits within the stock group with high investor attention. This momentum effect is highly dependent on the reversed performance of the past loser portfolio, not the continued performance of the past winner portfolio, and this reversal is strongly attributable to the properties of firm-specific factors, and not those of common factors. These results are robustly consistent regardless of changes in empirical design and the consideration of influence factors, market dynamics, and other stock markets.     

Two currencies,one model? Evidence from the Wall Street Journal forecast poll

We use the foreign exchange forecasts of the Wall Street Journal (WSJ) poll to analyze the expectation formation process of forecasters for the exchange rates of the euro and the yen vis-à-vis the U.S. dollar for the period 1999–2005. We also compare the expectation formation process with the actual exchange rate process. We find that most forecasters have contrarian exchange rate expectations, but our results also indicate significant heterogeneity between forecasters. While the actual exchange rate process of the yen/dollar exchange rate shows negative autocorrelation, the dollar/euro exchange rate exhibits positive autocorrelation.     

On the utility premium of Friedman and Savage

We re-examine the utility premium of Friedman–Savage [Friedman, Milton and Savage, Leonard J., “The Utility Analysis of Choices Involving Risk.” Journal of Political Economy 56, 1948, pp. 279–304.]. This measure is useful in understanding risky choices. For instance its reaction to an increased wealth equates to a precautionary demand for saving. We also analyze its two components.     

CEO Pay,Shareholder Returns,and Accounting Profits

We assess the impact on CEO pay (including salary, cash bonus, and benefits in kind) of changes in both accounting and shareholder returns in 99 British companies in the years 1972-89. After correcting for heterogeneity biases inherent in the standard specifications of the problem, we find a strong positive relationship between CEO pay and within-company changes in shareholder returns, and no statistically significant relationship between CEO pay and within-company changes in accounting returns. Differences between firms in long-term average profitability do appear to have a substantial effect on CEO pay, while differences between firms in shareholder returns add nothing to the within-firm pay dynamics.These findings call into question the rationale for explicitly share-based incentive schemes.     

中国开行地方政府债券的先决条件研究

是否允许地方政府发行债券是一个颇具争议的话题。本文通过运用宪政经济学和新公共管理理论的分析方法,对开行地方政府债券发行权利的先决条件进行了论述。结合目前中国实际,文章认为目前开行地方政府债券的条件尚不完全具备,并建议下一步推进政府债券的关键在于可行性建设。     

Understanding attributes affecting meal choice decisions in a bundling context

This study examined attributes that contribute to consumer meal choice decisions within a prix fixe menu. Drawing on typologies of consumer purchase behavior, factors potentially influencing consumers’ meal choice are identified and empirically tested. The results showed that consumers consider value for price as the most important consideration for their meal bundle choices. The results also indicated that familiar and healthy foods also contribute to the selection process. However, consumers tend to avoid the risk of choosing new menu items.     

我国上市公司关联交易的实证研究--基于2002年及2003年第一季度的数据分析

本文通过统计分析我国上市公司2002年和2003年第一季度的关联交易,对关联交易特征进行了实证分析,指出在证券监管加强的情况下上市公司的索取型关联交易具有更强的季度性和可操作性.本文认为非公平关联交易存在的内在动力是上市公司高管人员为了获得效用最大化,同时,高管人员从上市公司或关联方获得效用的大小决定了非公平关联交易的利益流向.     

Utility decrements associated with side effects in schizophrenia

Objective:

Most of the existing studies investigating the impact of schizophrenia on utility have focused on the different stages of the disease. The objective of this study was to describe and quantify the impact of treatment-related side-effects on utility in patients with schizophrenia, using data from an observational study.

Methods:

This study used data from the European Schizophrenia Cohort (EuroSC), a multi-center 2-year cohort study conducted in France, England, and Germany. The EQ-5D questionnaire was completed every 6 months, as well as the Subjective Side Effect Rating Scale, assessing patient distress over extrapyramidal symptoms (EPS), weight gain, sedation, and sexual dysfunction, used to assess whether or not the patient experienced the side-effect. At first a bivariate analysis was conducted to describe utility values with and without side-effects. Then, a random effects regression analysis was performed on utility, where random effects were controlled for repeated measures on the same subjects, with potential confounding factors. Finally, findings were compared with those of previous publications.

Results:

This sample consisted of 1208 patients with schizophrenia. At the baseline visit, the most reported side-effect was EPS (almost 60% of patients), followed by sedation and weight gain (～50% of patients for each), and sexual dysfunction (almost 30% of patients). Significant association with severity of symptoms, functioning abilities, and utility were found. Patients reporting none of the studied side-effects had an average EQ-5D index score of 0.81, found to be higher than scores of patients reporting EPS (0.70), sexual dysfunction (0.67), sedation (0.70), or weight gain (0.72). The random effects model reported a utility decrement of 0.042 for EPS, 0.022 for weight gain, 0.022 for sexual dysfunction, and 0.019 for sedation. Although the external validation was difficult due to the different methods or definitions of the side-effects, as well as the paucity of data for weight gain, sedation and sexual dysfunction, the results were generally consistent with previous studies.

Conclusion:

This study aimed at quantifying the direct impact of main side-effects associated with antipsychotics on patients’ utility. Results suggested a significant direct impact of side-effects, with EPS being the most impactful.