Is Volatility the Best Predictor of Market Crashes?

The objective of this paper is to determine the best predictor of equity market crashes by focusing particularly on volatility and market liquidity. In finance, volatility has traditionally been regarded as the best measure of market risk. However, this paper shows that the forecast value of market liquidity, in particular our modified calculated market depth, predicts equity market crashes much more accurately than does the forecast values of EGARCH or Implied Volatility.     

Market domain and structure in regional manufacturing instability

A decomposition of regional sectoral manufacturing employment variances is used as a basis for allocating instability to the markets in which the instability originates, including national, regional and internal. The effects of such attributes of industry structure as market power and economies of scale upon manufacturing sector instability is also investigated. Using data for Arizona over the years 1965–1985, 43% of Arizona's manufacturing instability is attributable to instability in national markets. The hypothesis that Arizona's instability can be attributed to market power differentials is rejected, but the effect of scale economy differentials is supported.     

Empirical analysis of factors promoting the Japanese 3G mobile phone

This paper aims to specify factors promoting the 3G mobile in Japan. The factors are represented by value-added services such as FeliCa, which enables e-payment, data roaming services, and full music downloads. Panel data from the three main carriers, which occupy over 90% of the Japanese mobile market, is utilized. In order to control network effects as well as the endogeneity of variables, the Arellano–Bond dynamic panel estimation is adopted. As a result, the launch of the iPhone 3G, FeliCa, data roaming, full music downloads, and the flat rate are revealed to have affected the diffusion of the 3G mobile in Japan. The results, reflecting the importance of value-added services, can be applied not only to the next generation mobile development, but also to the promotion of 3G networks in other countries.     

Positive return premia in Japan

This paper examines Jensen's [J. Finance, 1968, 23, 389–416] alphas and the time-varying return premia unexplained by standard risk factors in Japan and presents several new findings. First, in contrast to the US experience, positive alphas remain after Fama and French's three factors are applied to excess stock returns in Japan. Second, positive alphas remain in Japan, even if the Fama–French three factors combined with momentum and reversal factors are applied to excess stock returns. Third, the positive return premia unexplained by these five factors bear little relation to the dynamics of the Japanese macroeconomy. Fourth, the time series evolution of the positive return premia indicates autonomous dynamics with at least three regimes. Fifth, we can predict or time the acquisition of the positive return premia for small-size portfolios in Japan by observing the direction and effect of the return premia of large-size portfolios and high-book equity to market equity (BE/ME) portfolios. Finally, application of the self-exciting threshold autoregressive (SETAR) model shows that the size effects are stronger than the BE/ME effects in Japan, given that the return premia from small-size portfolios in the SETAR model are bounded by positive thresholds, while the return premia from high-BE/ME portfolios are bounded by negative thresholds.     

Long-Term Memory and Applying the Multi-Factor ARFIMA Models in Financial Markets

Exploiting the classical R/S and modified R/S analysis, we first reveal theevidence of long-term memory in liquidity, volume, and volatility. Thereafter,we estimate the fractionally integrated autoregressive movingaverage ARFIMA models by both the exact-maximum likelihood (EML) and themodified-profile likelihood (MPL) methods. Furthermore, based on the theoryof financial economics, we extend the simple ARFIMA models to the Multi-FactorARFIMA models by incorporating the mutual relationships among financial marketvariables and present the effectiveness of the Multi-Factor ARFIMA models infinancial markets.     

Strategic technology editing of the patent stage: lesson from a case of inkjet printer development

Patents are conventionally regarded as representing post-procurement of rights based on results of research and development (R&D). Patents can also be regarded as factors promoting R&D itself. In this study, the author examines the strategic meaning of patents in R&D through analyses of the R&D processes at Canon Inc., which is widely considered to submit patents strategically. The author identified characteristic behaviour related to patent acquisition in the R&D of inkjet printers. Canon constructed a strong patent group precisely by editing patents submitted earlier. Characteristic patent submissions were also identified: they elevated the obtained R&D results to higher concepts as milestones of R&D. These findings are discussed from the viewpoint of the meaning of patents for R&D and the possibility of effective R&D at the patent stage.     

Do industries contain predictive information for the Fama–French factors?

We examine whether the returns of US industry portfolios predict the returns and volatility of Fama and French's small-minus-big (SMB) and high-minus-low (HML) factors. The analysis reveals that all 30 industry returns strongly forecast one-month-ahead SMB factor returns. Moreover, a significant number of industry returns predict the volatility of the SMB and HML factors by up to two or three months. These findings suggest that US industry returns contain profitable information on Fama–French SMB and HML factors, and since most investors cannot extract the profitable information contained in industry returns in a timely manner, this information gradually diffuses in equity markets.     

Clinical and economic impact of rivaroxaban on the burden of atrial fibrillation: The case study of Japan

Objectives: Atrial fibrillation (AF) affects an estimated 1.5 million individuals in Japan, increasing their stroke risk and imposing considerable costs on the Japanese healthcare system. To reduce stroke incidence, guidelines recommend using anticoagulants in moderate-to-high risk non-valvular AF (NVAF) patients; however, many patients receive no treatment, aspirin only, or remain poorly-controlled on vitamin K antagonists (VKAs) due to high VKA discontinuation rates and non-adherence to guidelines. A prevalence-based Markov model was developed to estimate the clinical and budgetary impact of treating these patients with Xarelto^TM (rivaroxaban, Bayer AG) in Japan.

Methods: Population, baseline risk of events, and associated management costs were estimated using data from Japanese publications where available. Treatment efficacy and safety were derived from published data and the J-ROCKET AF trial. Drug and physician visit costs were based on data from the Ministry of Health, Labor, and Welfare, the J-ROCKET AF trial, and Japanese clinical guidelines.

Results: This model demonstrates that increased use of rivaroxaban in inadequately-managed NVAF patients could avoid 456 081 non-fatal ischemic strokes (IS) and 76 975 cardiovascular deaths over 10 years in Japan. This clinical benefit offsets the increased incidence of myocardial infarctions and anticoagulant-related bleeding. Decreased event costs could lead to a ¥188.4 billion decrease in net spending over the analysis time horizon.

Conclusions: Introducing rivaroxaban may decrease the burden of NVAF in Japanese society. From a clinical perspective, the reduction in IS and embolic events outweighs the increased risk of anticoagulant-related bleeding; from an economic perspective, reduced event costs offset drug and physician visit costs, resulting in cost savings.     

Cost-effectiveness of rivaroxaban versus warfarin for stroke prevention in non-valvular atrial fibrillation in the Japanese healthcare setting

Abstract

Aims: This article aimed to examine the cost-effectiveness of rivaroxaban in comparison to warfarin for stroke prevention in Japanese patients with non-valvular atrial fibrillation (NVAF), from a public healthcare payer’s perspective.

Materials and methods: Baseline event risks were obtained from the J-ROCKET AF trial and the treatment effect data were taken from a network meta-analysis. The other model inputs were extracted from the literature and official Japanese sources. The outcomes included the number of ischaemic strokes, myocardial infarctions, systemic embolisms and bleedings avoided, life-years, quality-adjusted life-years (QALYs), incremental costs and incremental cost-effectiveness ratio (ICER). The scenario analysis considered treatment effect data from the same network meta-analysis.

Results: In comparison with warfarin, rivaroxaban was estimated to avoid 0.284 ischaemic strokes per patient, to increase the number of QALYs by 0.535 per patient and to decrease the total costs by ¥118,892 (€1,011.11) per patient (1 JPY = 0.00850638 EUR; XE.com, 7 October 2019). Consequently, rivaroxaban treatment was found to be dominant compared to warfarin. In the scenario analysis, the ICER of rivaroxaban versus warfarin was ¥2,873,499 (€24,446.42) per QALY.

Limitations: The various sources of data used resulted in the heterogeneity of the cost-effectiveness analysis results. Although, rivaroxaban was cost-effective in the majority of cases.

Conclusion: Rivaroxaban is cost-effective against warfarin for stroke prevention in Japanese patients with NVAF, giving the payer WTP of 5,000,000 JPY.