The diminishing liquidity premium

Previous evidence suggests that less liquid stocks entail higher average returns. Using NYSE data, we present evidence that both the sensitivity of returns to liquidity and liquidity premia have significantly declined over the past four decades to levels that we cannot statistically distinguish from zero. Furthermore, the profitability of trading strategies based on buying illiquid stocks and selling illiquid stocks has declined over the past four decades, rendering such strategies virtually unprofitable. Our results are robust to several conventional liquidity measures related to volume. When using liquidity measure that is not related to volume, we find just weak evidence of a liquidity premium even in the early periods of our sample. The gradual introduction and proliferation of index funds and exchange traded funds is a possible explanation for these results

Do firms buy their stock at bargain prices? : Evidence from actual stock repurchase disclosure

We use new data from SEC filings to investigate how S&P 500 firms execute their open market repurchase programs. We find that smaller S&P 500 firms repurchase less frequently than larger firms, and at a price which is significantly lower than the average market price. Their repurchase activity is followed by a positive and significant abnormal return which lasts up to three months after the repurchase. These findings do not hold for large S&P 500 firms. Our interpretation is that small firms repurchase strategically, whereas the repurchase activity of large firms is more focused on the disbursement of free cash. JEL Classification: G14, G30, G35 Keywords: Stock Repurchases, Stock Buybacks, Payout Policy, Timing, Bid-Ask Spread, Liquidit

Technical Market Indicators: An Overview

The purpose of this study is to review the evidence in the scientiic literature on technical analysis applications in financial markets. In the empirical literature are the irst studies to analyze the usefulness of technical analysis, more recent studies applied to the international market and finally, studies developed for the Colombian market. Some of these studies provide important implications for market eficiency.El propósito de este estudio es revisar las evidencias en la literatura cientíica sobre las aplicaciones del análisis técnico en los mercados financieros. En la literatura empírica se encuentran los primeros estudios que analizan la utilidad del análisis técnico, estudios más recientes aplicados al mercado internacional, y por último, estudios desarrollados para el mercado colombiano. Algunos de estos estudios proporcionan implicaciones importantes sobre la eiciencia del mercado.Le but de cette étude est d’examiner les éléments de preuve dans la littérature scientiique sur les applications d’analyse technique des marchés financiers. Dans la littérature empirique sont les premières études pour analyser l’utilité de l’analyse technique, des études plus récentes appliquées sur le marché international et, enin, les études développées pour le marché colombien. Certaines de ces études fournissent des implications importantes pour l’eficacité du marché.O objetivo deste estudo é revisar as evidências na literatura cientíica sobre a aplicação da análise técnica nos mercados inanceiros. Na literatura empírica são os primeiros estudos que analisam o utilitário de análise técnica, estudos mais recentes aplicadas ao mercado internacional e por último, estudos desenvolvidos para o mercado colombiano. Alguns desses estudos fornecem importantes implicações sobre a eiciência do mercado

A simple-to-use nomogram to predict long term survival of patients undergoing coronary artery bypass grafting (CABG) using bilateral internal thoracic artery grafting technique.

BACKGROUND:Several risk scores have been created to predict long term mortality after coronary artery bypass grafting (CABG). Several studies demonstrated a reduction in long-term mortality following bilateral internal thoracic arteries (BITA) compared to single internal thoracic artery. However, these prediction models usually referred to long term survival as survival of up to 5 years. Moreover, none of these models were built specifically for operation incorporating BITA grafting. METHODS:A historical cohort study of all patients who underwent isolated BITA grafting between 1996 and 2011 at Tel-Aviv Sourasky medical center, a tertiary referral university affiliated medical center with a 24-bed cardio-thoracic surgery department. Study population (N = 2,935) was randomly divided into 2 groups: learning group which was used to build the prediction model and validation group. Cox regression was used to predict death using pre-procedural risk factors (demographic data, patient comorbidities, cardiac characteristics and patient's status). The accuracy (discrimination and calibration) of the prediction model was evaluated. METHODS AND FINDINGS:The learning (1,468 patients) and validation (1,467 patients) groups had similar preoperative characteristics and similar survival. Older age, diabetes mellitus, chronic obstructive lung disease, congestive heart failure, chronic renal failure, old MI, ejection fraction ≤30%, pre-operative use of intra-aortic balloon, and peripheral vascular disease, were significant predictors of mortality and were used to build the prediction model. The area under the ROC curves for 5, 10, and 15-year survival ranged between 0.742 and 0.762 for the learning group and between 0.766 and 0.770 for the validation group. The prediction model showed good calibration performance in both groups. A nomogram was built in order to introduce a simple-to-use tool for prediction of 5, 10, and 15-year survival. CONCLUSIONS:A simple-to-use validated model can be used for a prediction of 5, 10, and 15-year mortality after CABG using the BITA grafting technique