Beta lives - some statistical perspectives on the capital asset pricing model

This note summarizes some technical issues relevant to the use of the idea of excess return in empirical modelling. We cover the case where the aim is to construct a measure of expected return on an asset and a model of the CAPM type is used. We review some of the problems and show examples where the basic CAPM may be used to develop other results which relate the expected returns on assets both to the expected return on the market and other factors

Stocks, Bonds, T-Bills and Inflation Hedging

We analyze the inflation-hedging properties of US stocks, bonds, and T-bills at the subindex level during the 1983 “ 2012 period, for investment horizons between 1 month and 10 years. Bonds other than T-bills turn out poor inflation hedges during the entire sample period, regardless of the investment horizon. Stocks in both cyclical and non-cyclical industries have virtually no hedging ability until the fall of Lehman Brothers in September 2008. From that moment on, equity subindices particularly in the cyclical industries started to develop statistically significant hedging ability, even in the short run. Hence, the extent to which investors can benefit from the hedging ability of stocks and bonds varies over time and across industries, maturities and investment horizons

Target company cross-border effects in acquisitions into the UK

We analyse the abnormal returns to target shareholders in crossborder and domestic acquisitions of UK companies. The crossborder effect during the bid month is small (0.84%), although crossborder targets gain significantly more than domestic targets during the months surrounding the bid. We find no evidence for the level of abnormal returns in crossborder acquisitions to be associated with market access or exchange rate effects, and only limited support for an international diversification effect. However, the crossborder effect appears to be associated with significant payment effects, and there is no significant residual crossborder effect once various bid characteristics are controlled for

Dynamic linkages between stock markets : the effects of crises and globalization

This paper investigates changes in the dynamics of linkages between selected national stock markets during the period 1995–2009. The analysis focuses on the possible effects of globalization and differences between crisis and non-crisis periods. We model the dynamics of dependencies between the series of daily returns on selected stock indices over different time periods, and compare strength of the linkages. Our tools are dynamic copula models and a formal sequential testing procedure based on the model confidence set methodology. We consider two types of dependencies: regular dependence measured by means of the conditional Spearman’s rho, and dependencies in extremes quantified by the conditional tail dependence coefficients. The main result consists of a collection of rankings created for the considered subperiods, which show how the mean level of strength of the dependencies have been changing in time. The rankings obtained for Spearman’s rho and tail dependencies differ, which allows us to distinguish between the results of crises and the effect of globalization.info:eu-repo/semantics/publishedVersio

Phylogeography of mtDNA haplogroup R7 in the Indian peninsula.

BACKGROUND: Human genetic diversity observed in Indian subcontinent is second only to that of Africa. This implies an early settlement and demographic growth soon after the first 'Out-of-Africa' dispersal of anatomically modern humans in Late Pleistocene. In contrast to this perspective, linguistic diversity in India has been thought to derive from more recent population movements and episodes of contact. With the exception of Dravidian, which origin and relatedness to other language phyla is obscure, all the language families in India can be linked to language families spoken in different regions of Eurasia. Mitochondrial DNA and Y chromosome evidence has supported largely local evolution of the genetic lineages of the majority of Dravidian and Indo-European speaking populations, but there is no consensus yet on the question of whether the Munda (Austro-Asiatic) speaking populations originated in India or derive from a relatively recent migration from further East. RESULTS: Here, we report the analysis of 35 novel complete mtDNA sequences from India which refine the structure of Indian-specific varieties of haplogroup R. Detailed analysis of haplogroup R7, coupled with a survey of approximately 12,000 mtDNAs from caste and tribal groups over the entire Indian subcontinent, reveals that one of its more recently derived branches (R7a1), is particularly frequent among Munda-speaking tribal groups. This branch is nested within diverse R7 lineages found among Dravidian and Indo-European speakers of India. We have inferred from this that a subset of Munda-speaking groups have acquired R7 relatively recently. Furthermore, we find that the distribution of R7a1 within the Munda-speakers is largely restricted to one of the sub-branches (Kherwari) of northern Munda languages. This evidence does not support the hypothesis that the Austro-Asiatic speakers are the primary source of the R7 variation. Statistical analyses suggest a significant correlation between genetic variation and geography, rather than between genes and languages. CONCLUSION: Our high-resolution phylogeographic study, involving diverse linguistic groups in India, suggests that the high frequency of mtDNA haplogroup R7 among Munda speaking populations of India can be explained best by gene flow from linguistically different populations of Indian subcontinent. The conclusion is based on the observation that among Indo-Europeans, and particularly in Dravidians, the haplogroup is, despite its lower frequency, phylogenetically more divergent, while among the Munda speakers only one sub-clade of R7, i.e. R7a1, can be observed. It is noteworthy that though R7 is autochthonous to India, and arises from the root of hg R, its distribution and phylogeography in India is not uniform. This suggests the more ancient establishment of an autochthonous matrilineal genetic structure, and that isolation in the Pleistocene, lineage loss through drift, and endogamy of prehistoric and historic groups have greatly inhibited genetic homogenization and geographical uniformity.RIGHTS : This article is licensed under the BioMed Central licence at http://www.biomedcentral.com/about/license which is similar to the 'Creative Commons Attribution Licence'. In brief you may : copy, distribute, and display the work; make derivative works; or make commercial use of the work - under the following conditions: the original author must be given credit; for any reuse or distribution, it must be made clear to others what the license terms of this work are

Salmonella enterica serotype Virchow associated with human infections in Switzerland: 2004-2009

BACKGROUND: Salmonellosis is one of the most important foodborne diseases and a major threat to public health. Salmonella serotype Virchow ranks among the top five serovars in Europe. METHOD: A total of 153 strains isolated from different patients from 2004 through 2009 in Switzerland were further characterized by (i) assessing phenotypic antibiotic resistance profiles using the disk diffusion method and (ii) by genotyping using pulsed-field gel electrophoresis (PFGE) after macrorestriction with XbaI in order to evaluate strain relationship. RESULTS: The relative frequency of S. Virchow among other Salmonella serovars varied between 4th to 8th rank. The annual incidence ranged from 0.45/100'000 in 2004 to 0.40/100'000 in 2009. A total of 48 strains (32%) were resistant to one to 3 antimicrobials, 54 strains (36%) displayed resistance patterns to more than three antibiotics. No trend was identifiable over the years 2004 to 2009. We found a high prevalence (62%) of nalidixic acid resistant strains, suggesting an equally high rate of decreased fluoroqionolone susceptibility, whereas intermediate resistance to ciprofloxacin was negligible. Two strains were extended spectrum β-lactamase (ESBL) producers. Analysis of PFGE patterns uncovered a predominant cluster (similarity coefficient above 80%) consisting of 104 of the 153 strains. CONCLUSION: The worldwide increase of antibiotic resistances in Salmonella is an emerging public health problem. For Switzerland, no clear trend is identifiable over the years 2004 to 2009 for S. Virchow. Antimicrobial susceptibility and resistance profiles varied considerably within this period. Nevertheless, the situation in Switzerland coincided with findings in other European countries. Genotyping results of this strain collection revealed no evidence for an undetected outbreak within this time period