Asset Pricing Restrictions on Predictability

U.S. stock portfolios sorted on size, momentum, transaction costs, M/B, I/A and ROA ratios, and industry classication show considerable levels and variation of return predictability, inconsistent with asset pricing models. This means that a predictable risk premium is not equal to compensation for systematic risk as implied by asset pricing theory (Kirby 1998). We show that introducing market frictions relaxes these asset pricing moments from a strict equality to a range. Empirically, it is not short sales constraints but transaction costs (below 35 basis points) that help to reconcile the observed predictability with the Fama-French-Carhart four- factor model and the Chen-Novy-Marx-Zhang three factor model, and partly with the Durable Consumption model. Across the sorts, predictability in industry returns can be reconciled with all models considered with only 25 basis points transaction costs, whereas for momentum and ROA portfolios up to 115 basis points are needed

Evaluating Style Analysis

In this paper we evaluate applications of (return based) style analysis. The portfolio and positivity constraints imposed by style analysis are useful in constructing mimicking portfolios without short positions. Such mimicking portfolios can be used e.g. to construct efficient portfolios of mutual funds with desired factor loadings if the factor loadings in the underlying factor model are positively weighted portfolios. Under these conditions style analysis may also be used to determine a benchmark portfolio for performance measurement. Attribution of the returns on portfolios of which the actual composition is unobserved to specific asset classes on the basis of return based style analysis is attractive if moreover there are no additional cross exposures between the asset classes and if fund managers hold securities that on average have a beta of one relative to their own asset class. If such restrictions are not met, and in particular if the factor loadings do not generate a positively weighted portfolio, the restrictions inherent in return based style analysis distort the outcomes of standard regression approaches rather than that the analysis is improved. The size of the distortions is illustrated by considering empirical results on style analysis of US mutual funds

Currency Hedging for International Stock Portfolios

This paper tests whether hedging currency risk improves the performance of international stock portfolios. We use a generalized performance measure which allows for investor-dependencies such as different utility functions and the presence of nontraded risks. In addition we show that an auxiliary regression, similar to the Jensen regression, provides a wealth of information about the optimal portfolio holdings for investors for the non mean-variance case. This is analogous to the information provided by the Jensen regression about optimal portfolio holdings for the mean-variance case. Our empirical results show that static hedging with currency forwards does not lead to improvements in portfolio performance for a US investor that holds a stock portfolio from the G5 countries. On the other hand, hedges that are conditional on the current interest rate spread do lead to significant performance improvements. Also, when an investor has a substantial exogenous exposure to one of the currencies, currency hedging clearly improves his portfolio performance. While these results hold for investors with power utility as well as with mean-variance utility functions, the optimal hedge ratios for these investors are different

Vaart houden in het strategisch proces

Hoe behoudt het bestuur van een grote complexe organisatie vaart in het bedenken en uitvoeren van strategische veranderingen? Dat is geen gemakkelijke opgave als er geen aanwijsbare dreigingen van buitenaf zijn en er geen duidelijke aanleiding is om algemene strategische maatregelen te nemen. De auteurs onderzoeken de inherente spanningen tussen stabiliteit en verandering. Verandering is noodzakelijk, wil men op langere termijn succes boeken, maar te veel verandering is desastreus. Volgens de auteurs zijn er verscheidene mogelijke oplossingen voor deze paradox. Een daarvan is het genereren van uiterst actieve perioden, gevolgd door relatief stabiele perioden en perioden waarin de vooruitgang gestaag verloopt. Aan de hand van de bezinningen van een bestuursvoorzitter van Unilever - die deze functie van 1984 tot 1994 uitoefende - onderzoeken de auteurs hoe men met deze spanningen omgaat en een oplossing zoekt

Seminar sejarah lokal stratifikasi sosial dan pola kepemimpinan lokal

Buku ini merupakan kumpulan tulisan dari seminar sejarah lokal dengan tema stratifikasi sosial dan pola kepemimpinan lokal

Cartilage intermediate layer protein 1 (CILP1): a novel mediator of cardiac extracellular matrix remodelling

Heart failure is accompanied by extracellular matrix (ECM) remodelling, often leading to cardiac fibrosis. In the present study we explored the significance of cartilage intermediate layer protein 1 (CILP1) as a novel mediator of cardiac ECM remodelling. Whole genome transcriptional analysis of human cardiac tissue samples revealed a strong association of CILP1 with many structural (e.g. COL1A2 r2¿=¿0.83) and non-structural (e.g. TGFB3 r2¿=¿0.75) ECM proteins. Gene enrichment analysis further underscored the involvement of CILP1 in human cardiac ECM remodelling and TGFß signalling. Myocardial CILP1 protein levels were significantly elevated in human infarct tissue and in aortic valve stenosis patients. CILP1 mRNA levels markedly increased in mouse heart after myocardial infarction, transverse aortic constriction, and angiotensin II treatment. Cardiac fibroblasts were found to be the primary source of cardiac CILP1 expression. Recombinant CILP1 inhibited TGFß-induced ¿SMA gene and protein expression in cardiac fibroblasts. In addition, CILP1 overexpression in HEK293 cells strongly (5-fold p¿<¿0.05) inhibited TGFß signalling activity. In conclusion, our study identifies CILP1 as a new cardiac matricellular protein interfering with pro-fibrotic TGFß signalling, and as a novel sensitive marker for cardiac fibrosis

Development and multicenter validation of a multiparametric imaging model to predict treatment response in rectal cancer

Funding Information: This study has received funding from the Dutch Cancer Society (project number 10138). Publisher Copyright: © 2023, The Author(s).Objectives: To develop and validate a multiparametric model to predict neoadjuvant treatment response in rectal cancer at baseline using a heterogeneous multicenter MRI dataset. Methods: Baseline staging MRIs (T2W (T2-weighted)-MRI, diffusion-weighted imaging (DWI) / apparent diffusion coefficient (ADC)) of 509 patients (9 centres) treated with neoadjuvant chemoradiotherapy (CRT) were collected. Response was defined as (1) complete versus incomplete response, or (2) good (Mandard tumor regression grade (TRG) 1–2) versus poor response (TRG3-5). Prediction models were developed using combinations of the following variable groups: (1) Non-imaging: age/sex/tumor-location/tumor-morphology/CRT-surgery interval (2) Basic staging: cT-stage/cN-stage/mesorectal fascia involvement, derived from (2a) original staging reports, or (2b) expert re-evaluation (3) Advanced staging: variables from 2b combined with cTN-substaging/invasion depth/extramural vascular invasion/tumor length (4) Quantitative imaging: tumour volume + first-order histogram features (from T2W-MRI and DWI/ADC) Models were developed with data from 6 centers (n = 412) using logistic regression with the Least Absolute Shrinkage and Selector Operator (LASSO) feature selection, internally validated using repeated (n = 100) random hold-out validation, and externally validated using data from 3 centers (n = 97). Results: After external validation, the best model (including non-imaging and advanced staging variables) achieved an area under the curve of 0.60 (95%CI=0.48–0.72) to predict complete response and 0.65 (95%CI=0.53–0.76) to predict a good response. Quantitative variables did not improve model performance. Basic staging variables consistently achieved lower performance compared to advanced staging variables. Conclusions: Overall model performance was moderate. Best results were obtained using advanced staging variables, highlighting the importance of good-quality staging according to current guidelines. Quantitative imaging features had no added value (in this heterogeneous dataset). Clinical relevance statement: Predicting tumour response at baseline could aid in tailoring neoadjuvant therapies for rectal cancer. This study shows that image-based prediction models are promising, though are negatively affected by variations in staging quality and MRI acquisition, urging the need for harmonization. Key Points: This multicenter study combining clinical information and features derived from MRI rendered disappointing performance to predict response to neoadjuvant treatment in rectal cancer. Best results were obtained with the combination of clinical baseline information and state-of-the-art image-based staging variables, highlighting the importance of good quality staging according to current guidelines and staging templates. No added value was found for quantitative imaging features in this multicenter retrospective study. This is likely related to acquisition variations, which is a major problem for feature reproducibility and thus model generalizability.Peer reviewe

Age at first birth in women is genetically associated with increased risk of schizophrenia

Prof. Paunio on PGC:n jäsenPrevious studies have shown an increased risk for mental health problems in children born to both younger and older parents compared to children of average-aged parents. We previously used a novel design to reveal a latent mechanism of genetic association between schizophrenia and age at first birth in women (AFB). Here, we use independent data from the UK Biobank (N = 38,892) to replicate the finding of an association between predicted genetic risk of schizophrenia and AFB in women, and to estimate the genetic correlation between schizophrenia and AFB in women stratified into younger and older groups. We find evidence for an association between predicted genetic risk of schizophrenia and AFB in women (P-value = 1.12E-05), and we show genetic heterogeneity between younger and older AFB groups (P-value = 3.45E-03). The genetic correlation between schizophrenia and AFB in the younger AFB group is -0.16 (SE = 0.04) while that between schizophrenia and AFB in the older AFB group is 0.14 (SE = 0.08). Our results suggest that early, and perhaps also late, age at first birth in women is associated with increased genetic risk for schizophrenia in the UK Biobank sample. These findings contribute new insights into factors contributing to the complex bio-social risk architecture underpinning the association between parental age and offspring mental health.Peer reviewe