A study of data-driven momentum and disposition effects in the Chinese stock market by functional data analysis

We apply a functional data analysis approach to decompose the cross-sectional Fama–French three-factor model residuals in the Chinese stock market. Our results indicate that other than Fama–French three factors, there are two orthonormal asset pricing factors describing the behavioral biases in their historical performances: between winner and loser stocks, and extreme and mediocre-performing stocks, respectively. We explain these two factors through investors’ overreaction, overconfidence and the lead-lag effect. These findings empirically show the existence of momentum and disposition effects in the Chinese stock market. A buy-and-hold mean-variance optimized portfolio incorporating these two market anomalies boosts the Sharpe ratio to 1.27

Implied cost of capital investment strategies - evidence from international stock markets

Investors can generate excess returns by implementing trading strategies based on publicly available equity analyst forecasts. This paper captures the information provided by analysts by the implied cost of capital (ICC), the internal rate of return that equates a firm's share price to the present value of analysts' earnings forecasts. We find that U.S. stocks with a high ICC outperform low ICC stocks on average by 6.0% per year. This spread is significant when controlling the investment returns for their risk exposure as proxied by standard pricing models. Further analysis across the world's largest equity markets validates these results

Earnings quality and stock returns

An exclusive focus on bottom-line income misses important information contained in accruals ( the difference between accounting earnings and cash flow) about the quality of earnings. Earnings increases that are accompanied by high accruals, suggesting low-quality earnings, are associated with poor future returns. We explore various hypotheses earnings manipulation, extrapolative biases about future growth, and under-reaction to changes in business conditions-to explain accruals' predictive power. Checks for robustness using withinindustry comparisons and data on U. K. stocks are also provided

Magnetic resonance imaging/ultrasound fusion guided prostate biopsy detects more clinically significant prostate cancer than conventional systematic biopsy method

Session - Extra Free Paper: no. FP6This free journal suppl. entitled: Special Issue: RCSEd/CSHK Conjoint Scientific Congress 2016, Making Wise Choices in Surgery, 17–18 September 2016, Aberdeen, Hong KongAIM: To investigate the outcome of multiparametric magnetic resonance imaging (mpMRI)/ transrectal ultrasound (TRUS) fusion-guided prostate biopsy using an elastic fusion system compared with conventional TRUS biopsy in the Chinese population. METHODS: From January 2015 to April 2016, 318 Chinese men with elevated serum prostate-specific antigen of ≤ 20 ng/mL undergoing prostate biopsy were reviewed. 68 had pre-biopsy multiparametric magnetic resonance imaging, of whom 57 men with 98 Prostate Imaging – Reporting and Data System (PIRADS) 2–5 lesions underwent fusion biopsy (targeted + 12-core template biopsy) using the ArtemisTM fusion platform system. The biopsy outcomes where compared with 11 imaging-negative and 250 patients without pre-biopsy imaging who had 12-core systematic biopsy …link_to_OA_fulltex