Surprises in scheduled releases: why do they move the bond market?

It is well known that information arrival has an impact on prices volatility, and trading volume in financial markets (see e.g., Goodhart and O?Hara 1997). Scheduled macroeconomic announcements, such as monthly employment figures, consumer prices, or building permits, stand out from the steady flow of information.1 Several studies (e.g. Fleming and Remolona 1997) show that these releases have a very distinct impact on prices. While most of these studies try to find out which releases are significant, considerably less effort has been devoted to the question what makes some releases so important in contrast to others that seem to attract no attention. Papers addressing this question emphasize the content of releases. For example, Edison (1996) discriminates between news related to unexpected inflation and those related to unexpected changes in economic activity. Investigating intraday T-bond futures price responses to surprises in scheduled macroeconomic releases, this paper presents evidence that the type of information is relevant. More specifically, the results suggest that the sequence of releases within a given content category helps to explain their relative importance. In other words, if market participants have already observed some figures on which they can base their assessment of a particular aspect of the economy, then the additional information of another related report should be small, and thus, its impact on prices. --Macroeconomic news,scheduled announcements,public information,price formation,Treasury bonds,futures market

A mean variance king? Creation and resolution of uncertainty under the employment report's reign

This paper delineates the simultaneous impact of non-anticipated information on first and second moments of the intraday price process by including appropriate variables accounting for the news flow into both the mean and the variance function. This allows us to differentiate between the consistent price reaction to surprising news and traders? uncertainty about the precise price impact of this information. Analyzing the US employment report, we find that headline information is almost instantaneously incorporated into T-bond futures prices. Nevertheless, large surprises create considerable uncertainty, in particular ?bad? news. In contrast, if surprises in related headlines cross-validate each other, less room for differences of opinion is left, and hence volatility is decreased. --Information processing,trading process,volatility,macroeconomic announcements,Treasury bond futures,high-frequency data

Accounting for stock-based compensation: an extended clean surplus relation

Residual income valuation is based on the assumption that the clean surplus relation holds. As pointed out by Ohlson (2000), among others, the standard clean surplus relation is frequently violated. Moreover, standard residual income valuation models rest on the implicit assumption that future stated earnings belong to current shareholders only. This is clearly invalid for companies granting employee options. In order to overcome these deficiencies, this paper establishes an extension of the clean surplus relation and derives simple analytical solutions for the value of outstanding stocks in terms of already known accounting information. --Residual income valuation,clean surplus accounting,US-GAAP,employee stock option programs

New economy accounting : why are broad-based stock option plans so attractive?

Several studies indicate that stock option plans are becoming more and more a substantial part of compensation schemes in U.S. companies. This paper shows the tax implications and accounting rules for stock option plans. By comparison of the tax and accounting rules for different compensation schemes we show that the popularity of stock options may be mainly due to the U.S. Generally Accepted Accounting Principles (US-GAAP) which require no charge to earnings for speciffically designed stock option plans if a company opts for footnote disclosure. Thus, for these companies the stated earnings are higher than their economical situations justify. Based on a case study of 20 companies out of the S&P 500 which rely heavily on employee stock options we arrive at the conclusion that the amount of hidden compensation cost can reach economically signifficant amounts. Since this topic seems to be widely neglected it is questionable whether stock prices reflect these hidden cost. --Accounting,US-GAAP,stock option programs

Fighting cartels: some economics of council regulation (EC) 1/2003

This paper investigates the effectiveness of the new Council Regulation (EC) 1/2003 which replaces the mandatory notification and authorization system by a legal exception system. Effectiveness is operationalized via the two subcriteria compliance to Art. 81 EC Treaty and the probabilities of type I and type II errors committed by the European Commission. We identify four different types of Perfect Bayesian Nash Equilibria: fullcompliance, zero-compliance, positive-compliance and full-deterrence. We show that the Commission can, in principle, hit the full-compliance equilibrium, where the cartelizing firms fully obey the requirements of Art 81(3) EC Treaty and both error probabilities are zero. --competition law,cartel law enforcement,legal exception,imperfect

Effects of Evidence-Based Fall Reduction Programing on the Functional Wellness of Older Adults in a Senior Living Community: A Clinical Case Study.

BACKGROUND: Older adults at a high risk of falls may be referred to a physical therapist. A physical therapy episode of care is designed for the transition of an older adult from a high fall risk to a moderate to low fall risk. However, these episodes of care are limited in time and duration. There is compelling evidence for the efficacy of group-based exercise classes to address risk, and transitioning an older adult from physical therapy to a group-based program may be an effective way to manage risk through the continuum of care. OBJECTIVES: The purpose of this study was to translate research findings into a real world setting, and demonstrate the efficacy of integrating evidence-based fall prevention exercises into pre-existing exercise classes at a senior living facility as a proof of concept model for future programing. METHODS: Twenty-four participants aged 65 years and older living in a senior living community and the community were stratified into group-based exercise classes. Cutoff scores from functional outcome measures were used to stratify participants. Exercises from The Otago Exercise Program were implemented into the classes. Functional outcome measures collected included the 10-Meter Walk Test, 30-Second Sit to Stand, and Timed Up and Go (TUG). Number of falls, hospitalizations, and physical therapy episodes of care were also tracked. Data were compared to a control group in a different senior living community that offered classes with similar exercises aimed at improving strength and mobility. The classes were taught by an exercise physiologist and were of equal duration and frequency. RESULTS: Participants demonstrated significant improvements in all functional outcome measures. TUG mean improved from 13.5 to 10.4 s (p = 0.034). The 30-Second Sit to Stand mean improved from 10.5 to 13.4 (p = 0.002). The 10-Meter Walk Test improved from 0.81 to 0.98 m/s (p \u3c 0.0001). Participants did not experience any falls or hospitalizations, and two participants required physical therapy episodes of care. CONCLUSION: Implementing an evidence-based fall reduction program into a senior living program has a positive effect on strength, balance, fall risk, gait speed, fall rate, hospitalizations, and amount of physical therapy intervention

Urinary cholesterol: its association with a macromolecular protein- lipid complex

The cholesterol-containing complexes in the urine of normal subjects and patients with diseases accompanied by hyperexcretion of urinary cholesterol were characterized. In normal subjects, the major portion of the recovered urinary cholesterol was eluted in the void volume fractions after gel chromatography on Bio-Gel A-5m; this suggested an association with a macromolecular complex above 5 X 10(6) daltons. A comparable elution pattern was seen in most of the urines of the patients with benign or malignant diseases of the kidneys or the urogenital tract. However, in single patients with hyperexcretion of urinary cholesterol, considerable amounts of cholesterol were detected in the included volume of the column. This was caused by additional excretion of high density lipoproteins or both high and low density lipoproteins in the urine which could be identified in these fractions by agarose electrophoresis and immunodiffusion. These results indicate that the macromolecular complex represents the majority of the recovered urinary cholesterol in normal subjects and in disease states with known hyperexcretion. Macroscopically, the isolated cholesterol- containing complex in the void volume fractions was turbid, and electron microscopy showed lipoprotein-like particles with diameters ranging from 300 to 700 A. The chemical analysis revealed median values of protein (46.0%), triglycerides (16.3%), cholesterol (8.2%), and phospholipids (29.5%) in normal subjects and comparable results in the patients with benign or malignant diseases of the kidney and the urogenital tract. Ethanolamine glycerophospholipids, phosphatidylcholine, sphingomyelin, and phosphatidylserine were the main phospholipid components. After ultracentrifugation in a CsCl gradient, the cholesterol-containing complex was found between densities 1.1 and 1.3 g/ml. By SDS polyacrylamide electrophoresis, up to 17 protein subunits in the molecular weight range of 14,000 to 87,500 were separated. Immunodiffusion studies showed in about 40% precipitin lines against anti-human albumin, but no reactions against anti-human apoHDL and anti-human apoLDL. However, immunodiffusion of the macromolecular complex against anti-liver-specific and anti-kidney- specific lipoproteins revealed single precipitin lines. In conclusion, the isolated cholesterol-containing urinary complex showed many characteristics of membrane-associated protein-lipid particles of the human kidney and even the liver. These proteolipids are the major source of urinary cholesterol in normal and disease states