This paper evaluates the performance of glamour and value strategies and tests the extrapolation model for the Japanese equity market. In general, value stocks outperform glamour stocks by between 6 and 12 percent per annum for the five years after portfolio formation. Evidence from past, future and expected growth provides strong support for the story developed in Lakonishok, Shleifer and Vishny (1994). It is difficult to attribute the value premia to the difference, if any, in risk factors. In addition, the book-to-market premium is much closer to an arbitrage opportunity than the size premium. 相似文献
This paper studies a time-varying coefficient time series model with a time trend function and serially correlated errors to characterize the nonlinearity, nonstationarity, and trending phenomenon. A local linear approach is developed to estimate the time trend and coefficient functions. The asymptotic properties of the proposed estimators, coupled with their comparisons with other methods, are established under the α-mixing conditions and without specifying the error distribution. Further, the asymptotic behaviors of the estimators at the boundaries are examined. The practical problem of implementation is also addressed. In particular, a simple nonparametric version of a bootstrap test is adapted for testing misspecification and stationarity, together with a data-driven method for selecting the bandwidth and a consistent estimate of the standard errors. Finally, results of two Monte Carlo experiments are presented to examine the finite sample performances of the proposed procedures and an empirical example is discussed. 相似文献
Aims: To model direct medical costs associated with reductions in cardiovascular disease (CVD) events in T2DM patients reported in the CANVAS and EMPA-REG trials, which assessed the cardiovascular safety of canagliflozin and empagliflozin, respectively.
Materials and methods: Costs were modeled from a US managed care organization (MCO) perspective for the CVD outcomes included in both trials: three-point major adverse cardiovascular event (MACE) and its components (cardiovascular-related death, nonfatal myocardial infarction, nonfatal stroke), as well as heart failure requiring hospitalization. The rate of CVD events averted (difference between study drug and placebo) was projected to the portion of an MCO T2DM population matching the respective trial’s inclusion criteria. A targeted literature search for paid amounts directly associated with each CVD event provided the unit costs, which were applied to the projected number of events averted, to calculate costs avoided per member per year (PMPY). One-way sensitivity analyses were performed on events averted, unit costs, and percentages of trial-applicable patients.
Results: Based on three-point MACE events averted, costs avoided PMPY of $6.17 (range: $1.27–$10.94) for CANVAS and $2.75 ($0.19–$4.83) for EMPA-REG were estimated. Costs avoided for individual components of MACE ranged from $0.77 to $3.84 PMPY for CANVAS and from -$0.97 (additional costs) to $1.54 for EMPA-REG. PMPY costs avoided for heart failure were $2.72 for CANVAS and $1.32 for EMPA-REG.
Limitations and conclusions: Models assumed independent, non-recurrent outcomes and were restricted to medical costs directly associated with the trial-reported events. The reductions in CVD events in T2DM patients reported for both CANVAS and EMPA-REG project to a positive cost avoidance for these events in an MCO population. The analysis did not include an assessment of the impact on total cost, as the costs associated with adverse events, drug utilization or other clinical outcomes were not examined. 相似文献
I.IntroductionSincethelate1990s,China’slabor market has comeundergreat pressure,asreflected by anincreasing unemployment rate,and adeclining labor force participation rate.The causesofthe severe unemployment are threefold.First,due to the macro-economic downturn andrapid industrial structural change in the late1990s,state-owned enterprises(SOEs),whichlost their comparative advantage and competitiveness,have been unable to fully utilizetheir production capacity,and have become loss-makers.Se… 相似文献
