Intraday stock returns and performance of a simple market model

With enhancements in information technology, increased institutional and automated trading, and previously unmatched availability of online trading grew the attention to intraday movements of security prices and tests associated with them. This study analyses the properties of both observed 5-minute stock returns and of excess returns obtained by using a variety of alternative models common to event studies. Using observed 5-minute returns, various event study methodologies are simulated and repeatedly applied to samples which have been created by random selection of securities and random assignment of event dates to each security. The study examines the probability of rejecting the null hypothesis of no average abnormal performance when it is true and the probability of detecting a given abnormal performance, which is introduced to the data at the randomly selected event dates.

Pragmatic problems in using beta for managerial finance applications

Any faculty member with experience in teaching managerial finance and investment courses can cite occasional awkward findings by students about required rates of returns. Unfortunately, many times the explanations for such unexpected findings are not as simple as outlier problems in the sample or an offer by a modified version of the model to correct the problem. Our purpose is to explore a broad sample to demonstrate the frequency of cases where Capital Asset Pricing Model (CAPM)-generated marginal costs of equity are less than zero; less than the risk-free rate and less than the company's marginal cost of debt capital. In addition to several robustness checks, the results are very similar with either Internet or calculated betas suggesting that the data used in the analysis does not present unusual characteristics. However, we do not offer further modifications to CAPM or other asset pricing models.

Avaliação da memória sob anestesia venosa total Evaluación de la memoria bajo anestesia venosa total The assessment of memory under total intravenous anesthesia

JUSTIFICATIVA E OBJETIVOS: Neste estudo, objetivamos avaliar a memória implícita e explícita em pacientes submetidos à cirurgia abdominal sob anestesia venosa total (AVT) com propofol e remifentanil, na qual o nível de anestesia foi controlado pelo monitoramento do índice bispectral (BIS). MÉTODO: Anestesia venosa total foi administrada a 60 pacientes adultos para obter níveis de BIS de 40-60. Os pacientes foram randomicamente divididos em três grupos, de acordo com as gravações que ouviram. Os pacientes do grupo categoria (CT) ouviram uma fita gravada contendo cinco nomes de animais. Os pacientes do grupo recordar palavras (RP) ouviram uma fita gravada contendo cinco palavras de frequência média na língua turca, depois de adaptadas. Os pacientes do grupo controle (GC) ouviram os sons do mar até o fim da cirurgia. Duas horas após a cirurgia, os testes foram administrados a cada paciente na sala de recuperação para avaliar a memória. RESULTADOS: Houve uma diferença entre os escores dos grupos CT e GC no Miniexame do Estado Mental (MMSE); todos os escores foram > 20. Os resultados dos testes de categoria e recordar palavras, aplicados para avaliar a memória implícita, não foram estatisticamente diferentes entre os grupos. Não houve evidência de memória implícita em nenhum dos pacientes. Um paciente lembrou-se de ouvir "o som de água" como uma prova de memória explícita. Onze pacientes declararam não ter sonhado. CONCLUSÕES: Apesar de não termos encontrado nenhuma evidência de memória implícita sob anestesia adequada com AVT, um paciente apresentou memória explícita. Embora a profundidade adequada da anestesia fornecida pelo monitoramento do BIS corrobore nossos resultados para a memória implícita, ela não explica os resultados para a memória explícita.JUSTIFICATIVA Y OBJETIVOS: En este estudio evaluamos la memoria implícita y explícita en pacientes sometidos a la cirugía abdominal bajo anestesia venosa total (AVT), con propofol y remifentanilo, en la cual el nivel de anestesia fue controlado por el monitoreo del índice bispectral (BIS). MÉTODO: Anestesia venosa total que fue administrada a 60 pacientes adultos para obtener niveles de BIS de 40-60. Los pacientes fueron aleatoriamente divididos en tres grupos de acuerdo con las grabaciones que oyeron. Los pacientes del grupo categoría (CT) oyeron una cinta grabada que contenía cinco nombres de animales. Los pacientes del grupo recordar palabras (RP), escucharon una cinta grabada que contenía cinco palabras de frecuencia media en lengua turca, después de haber sido adaptadas. Los pacientes del grupo control (GC) oyeron los sonidos del mar hasta el final de la cirugía. Dos horas después de la cirugía, los test fueron administrados a cada paciente en la sala de recuperación para evaluar la memoria. RESULTADOS: Hubo una diferencia entre las puntuaciones de los grupos CT y GC en el Mini Examen del Estado Mental (MMSE) y todas las puntuaciones fueron > 20. Los resultados de los test de categoría y recordar palabras aplicados para evaluar la memoria implícita no fueron estadísticamente diferentes entre los grupos. No hubo evidencia de memoria implícita en ninguno de los pacientes. Un paciente recordó escuchar "el sonido del agua" como una prueba de memoria explícita. Once pacientes dijeron que no habían soñado. CONCLUSIONES: A pesar de no haber encontrado ninguna evidencia de memoria implícita bajo anestesia adecuada con AVT, un paciente tuvo memoria explícita. Aunque la profundidad adecuada de la anestesia suministrada por el monitoreo del BIS corrobore nuestros resultados para la memoria implícita, ella no explica los resultados para la memoria explícita.BACKGROUND AND OBJECTIVES: In this study, we aimed to assess implicit and explicit memory in patients who had abdominal surgery under total intravenous anesthesia (TIVA) with propofol and remifentanil, in which anesthesia level was controlled by bispectral index (BIS) monitoring. METHOD: Total intravenous anesthesia was administered to 60 adult patients, to obtain BIS levels of 40-60. Patients were randomly allocated to three groups according to tapes they listened to. Patients in the category group (CT) listened to a tape containing five animal names. Patients in the word recognition group (WM) listened to a tape containing five intermediate-frequency words, adapted into Turkish. Patients in the control group (CG) listened to sea sounds until the end of surgery. Two hours after surgery, tests were administered to each patient in the recovery room to assess memory. RESULTS: There was a difference between the CT and CG groups in their Mini-Mental State Examination scores, all values were > 20. The results of the category and word recognition tests that were applied to assess implicit memory were not statistically different among the groups. There was no evidence of implicit memory in any of the patients. One patient remembered hearing 'the sound of water' as a proof of explicit memory. Eleven patients said they had dreamt. CONCLUSIONS: Although no evidence of implicit memory under adequate anesthesia with TIVA was found, one patient showed explicit memory. Although adequate depth of anesthesia provided by BIS monitoring supports our implicit memory results, it does not explain the explicit memory results

Avaliação da memória sob anestesia venosa total

JUSTIFICATIVA E OBJETIVOS: Neste estudo, objetivamos avaliar a memória implícita e explícita em pacientes submetidos à cirurgia abdominal sob anestesia venosa total (AVT) com propofol e remifentanil, na qual o nível de anestesia foi controlado pelo monitoramento do índice bispectral (BIS). MÉTODO: Anestesia venosa total foi administrada a 60 pacientes adultos para obter níveis de BIS de 40-60. Os pacientes foram randomicamente divididos em três grupos, de acordo com as gravações que ouviram. Os pacientes do grupo categoria (CT) ouviram uma fita gravada contendo cinco nomes de animais. Os pacientes do grupo recordar palavras (RP) ouviram uma fita gravada contendo cinco palavras de frequência média na língua turca, depois de adaptadas. Os pacientes do grupo controle (GC) ouviram os sons do mar até o fim da cirurgia. Duas horas após a cirurgia, os testes foram administrados a cada paciente na sala de recuperação para avaliar a memória. RESULTADOS: Houve uma diferença entre os escores dos grupos CT e GC no Miniexame do Estado Mental (MMSE); todos os escores foram > 20. Os resultados dos testes de categoria e recordar palavras, aplicados para avaliar a memória implícita, não foram estatisticamente diferentes entre os grupos. Não houve evidência de memória implícita em nenhum dos pacientes. Um paciente lembrou-se de ouvir "o som de água" como uma prova de memória explícita. Onze pacientes declararam não ter sonhado. CONCLUSÕES: Apesar de não termos encontrado nenhuma evidência de memória implícita sob anestesia adequada com AVT, um paciente apresentou memória explícita. Embora a profundidade adequada da anestesia fornecida pelo monitoramento do BIS corrobore nossos resultados para a memória implícita, ela não explica os resultados para a memória explícita

The Assessment of Memory under Total Intravenous Anesthesia

Background and objectives: In this study, we aimed to assess implicit and explicit memory in patients who had abdominal surgery under total intravenous anesthesia (TIVA) with propofol and remifentanil, in which anesthesia level was controlled by bispectral index (BIS) monitoring. Method: Total intravenous anesthesia was administered to 60 adult patients, to obtain BIS levels of 40-60. Patients were randomly allocated to three groups according to tapes they listened to. Patients in the category group (CT) listened to a tape containing five animal names. Patients in the word recognition group (WM) listened to a tape containing five intermediate-frequency words, adapted into Turkish. Patients in the control group (CG) listened to sea sounds until the end of surgery. Two hours after surgery, tests were administered to each patient in the recovery room to assess memory. Results: There was a difference between the CT and CG groups in their Mini-Mental State Examination scores, all values were > 20. The results of the category and word recognition tests that were applied to assess implicit memory were not statistically different among the groups. There was no evidence of implicit memory in any of the patients. One patient remembered hearing ‘the sound of water’ as a proof of explicit memory. Eleven patients said they had dreamt. Conclusions: Although no evidence of implicit memory under adequate anesthesia with TIVA was found, one patient showed explicit memory. Although adequate depth of anesthesia provided by BIS monitoring supports our implicit memory results, it does not explain the explicit memory results. Keywords: Memory, Short-Term, Consciousness Monitors, Anesthesia, Intravenous, Propofol, Piperidines/remifentanil

Systematic factors, information release and market volatility

Recent several months have demonstrated historical levels of market volatility; sometimes attributed to changes in previously hypothesized systematic risk factors, however many times without any known reason other than the overreaction by market participants. Times like these make it even more important that we have a better understanding of how markets receive and evaluate new information about systematic risk factors such as macroeconomic variables. Despite a strong intuitive notion and established theoretical relationships that these risk factors should influence equity values, few studies have been able to establish this relationship empirically. Previous research has used cash-market prices for equity indices, but perhaps options on those indices are more sensitive to the new information released to the market by the announcement of macroeconomic variables, as suggested by numerous empirical studies supporting the hypothesis that option traders might be a better informed segment of the population. In this study, I examine the impact of a broad set of macroeconomic announcements on equity index options, in search of candidates for priced factors. The data set includes 19 macro announcement series and daily option prices for the period from 1983 to 2002. I find that balance of trade, consumer price index, producer price index, employment, housing starts, money supply and retail sales are associated with higher volatility of index option returns.