How do quotes and prices evolve around isolated informed trades?

This article investigates the order imbalance and price behavior of trades and quotes around isolated informed trades intraday. Different patterns of order flows around informed trades are documented because of the originating stock exchange, the type of informed trader, the size of the order, and the type of the firm whose shares are traded. The informed trader acts contrarian to prior trades. Informed purchases follow price declines, and sales are after price increases. The informed trade is recognized by the market maker. The purchase is executed at a significantly higher price, while the sale is executed at a significantly lower price. Trades contain more information if the insiders are at small firms. Larger orders and orders by top executives also contain more information. The order imbalance changes around an informed trade. Orders are seller-initiated prior to the purchase and become buyer-initiated after the trade. On the other hand, the order imbalance changes from buyer- to seller-initiated right around insider sales. Reversals in order imbalance are more pronounced for informed trades in small firms, for larger trades, and by top executives. There are important policy implications of the results. The recognition of informed trades by market makers justifies more scrutiny by the Securities and Exchange Commission in order to ensure fair trading.     

Management information system for a research institute in a developing country: a case study

Abstract: An information system which is designed for and is being implemented at Marmara Scientific and Industrial Research Institute, Turkey, is described. The basic objectives of the system are to provide for a continuous review of the activities carried out at the Institute based on quantitative as well as qualitative information and to facilitate the gathering of timely and accurate information required by the organizations with which the Institute is affiliated.     

Degree of Integration Between Brent Oil Spot and Futures Markets: Intraday Evidence

We investigate the integration of oil spot and futures markets using matched, intraday data to avoid nonsynchronous trading issues. Our evidence indicates highly integrated spot and futures markets. Economic shocks that arise in spot markets are quickly transmitted to the futures markets approximately one-for-one. Most of the reaction occurs within minutes. Similarly, economic shocks arriving in futures markets are transmitted to spot markets one-for-one, once again, within minutes consistent with market efficiency. In general, our findings indicate well-functioning, well-integrated spot and futures oil markets that are informationally efficient and that perform the functions of both price discovery and risk transfer. To the best of our knowledge, this is the first article to work with precisely matched customized data in futures markets, specifically oil futures markets.     

Does Post-Earnings-Announcement Drift in Stock Prices Reflect A Market Inefficiency? A Stochastic Dominance Approach

This paper uses a stochastic dominance approach to test for market efficiency following earnings announcements. We find that the stocks that recently announced good earnings news stochastically dominate those that recently announced bad news. The results cast serious doubt on any belief that asset pricing model misspecifications might explain post-earnings-announcement drift.     

Expert panel on practice patterns in the management of cow’s milk protein allergy and associated economic burden of disease on health service in Turkey

Aims: To evaluate practice patterns in the management of cow’s milk protein allergy (CMPA) and associated economic burden of disease on health service in Turkey.

Materials and methods: This study was based on experts’ views on the practice patterns in management of CMPA manifesting with either proctocolitis or eczema symptoms and, thereby, aimed to estimate economic burden of CMPA. Practice patterns were determined via patient flow charts developed by experts using the modified Delphi method for CMPA presented with proctocolitis and eczema. Per patient total 2-year direct medical costs were calculated, including cost items of physician visits, laboratory tests, and treatment.

Results: According to the consensus opinion of experts, 2-year total direct medical cost from a payer perspective and societal perspective was calculated to be $US2,116.05 and $US2,435.84, respectively, in an infant with CMPA presenting with proctocolitis symptoms, and $US4,001.65 and $US4,828.90, respectively, in an infant with CMPA presenting with eczema symptoms. Clinical nutrition was the primary cost driver that accounted for 89–92% of 2-year total direct medical costs, while the highest total direct medical cost estimated from a payer perspective and societal perspective was noted for the management of an exclusively formula-fed infant presenting either with proctocolitis ($US3,743.85 and $US4,025.63, respectively) or eczema ($US6,854.10 and $US7,917.30, respectively). The first line use of amino acid based formula (AAF) was associated with total direct cost increment $US1,848.08 and $US3,444.52 in the case of proctocolitis and eczema, respectively.

Limitations: Certain limitations to this study should be considered. First, being focused only on direct costs, the lack of data on indirect costs or intangible costs of illness seems to be a major limitation of the present study, which likely results in a downward bias in the estimates of the economic cost of CMPA. Second, given the limited number of studies concerning epidemiology and practice patterns in CMPA in Turkey, use of expert clinical opinion of the panel members rather than real-life data on practice patterns that were used to identify direct medical costs might raise a concern with the validity and reliability of the data. Also, while this was a three-step study with six experts included in the first stage (developing local guidelines for diagnosis, treatment, and follow-up of infants with CMPA in Turkey) and 410 pediatricians included in the second stage (a cross-sectional questionnaire-survey to determine pediatricians’ awareness and practice of CMPA in infants and children), only four members were included in the present Delphi panel, which allows a limited discussion. Third, lack of sensitivity analyses and exclusion of indirect costs and costs related to alterations in quality of life, behavior of infants, and general well-being of infants and their parents from the cost-analysis seems to be another limitation that may have caused under-estimation of relative cost-effectiveness of the formulae. Fourth, calculation of costs per local guidelines rather than real-life practice patterns is another limitation that, otherwise, would extend the knowledge achieved in the current study. Notwithstanding these limitations, the present expert panel provided practice patterns in the management of CMPA and an estimate of the associated costs, depending on the symptom profile at initial admission for the first time in Turkey.

Conclusions: In conclusion, in providing the first health economic data on CMPA in Turkey, the findings revealed that CMPA imposes a substantial burden on the Turkish healthcare system from both a payer perspective and societal perspective, and indicated clinical nutrition as a primary cost driver. Management of infants presenting with eczema, exclusively formula-fed infants, and first line use of AAF were associated with higher estimates for 2-year direct medical costs.