Development and measurement of guidelines-based quality indicators of caesarean section care in the Netherlands: A RAND-modified delphi procedure and retrospective medical chart review

Background There is an ongoing discussion on the rising CS rate worldwide. Suboptimal guideline adherence may be an important contributor to this rise. Before improvement of care can be established, optimal CS care in different settings has to be defined. This study aimed to develop and measure quality indicators to determine guideline adherence and identify target groups for improvement of care with direct effect on caesarean section (CS) rates. Method Eighteen obstetricians and midwives participated in an expert panel for systematic CS quality indicator development according to the RAND-modified Delphi method. A multi-center study was performed and medical charts of 1024 women with a CS and a stratified and weighted randomly selected group of 1036 women with a vaginal delivery were analysed. Quality indicator frequency and adherence were scored in 2060 women with a CS or vaginal delivery. Results The expert panel developed 16 indicators on planned CS and 11 indicators on unplanned CS. Indicator adherence was calculated, defined as the number of women in a specific obstetrical situation in which care was performed as recommended in both planned and unplanned CS settings. The most frequently occurring obstetrical situations with low indicator adherence were: 1) suspected fetal distress (frequency 17%, adh

Euro-zone equity returns: country versus industry effects

This paper investigates whether Euro-zone equity returns are driven by country or industry effects over the 1990 to 2008 period. Using a style analysis approach, we find that before the introduction of the Euro country effects dominate, while industry effects prevail after 1999. This reversal at the aggregate level is driven mainly by countries that were least integrated in the EMU and world markets prior to the Euro launch. For markets with stronger economic linkages, such as Germany and France, industry effects dominate both in the nine years before and in the nine years after the introduction of the Euro

Testing for Mean-Variance Spanning with Short Sales Constraints and Transaction Costs: The Case of Emerging Markets

We propose regression-based tests for mean-variance spanning in the case where investors face market frictions such as short sales constraints and transaction costs. We test whether U.S. investors can extend their efficient set by investing in emerging markets when accounting for such frictions. For the period after the major liberalizations in the emerging markets, we find strong evidence for diversification benefits when market frictions are excluded, but this evidence disappears when investors face short sales constraints or small transaction costs. Although simulations suggest that there is a possible small-sample bias, this bias appears to be too small to affect our conclusions. Copyright The American Finance Association 2001.

International portfolio diversification: currency, industry and country effects revisited

We examine the relative importance of country, industry, world market and currency risk factors for international stock returns. Our approach focuses on testing the mean-variance efficiency of the various factor portfolios. An unconditional analysis does not detect significant differences between country, industry and world portfolios, nor any role for currency risk factors. However, when we allow expected returns, volatilities and correlations to vary over time, we find that equity returns are mainly driven by global industry and currency risk factors. We propose a novel test to evaluate the relative benefits of alternative investment strategies and find that including currencies is critical to take full advantage of the diversification benefits afforded by international markets

Testing for Mean-Variance Spanning: A Survey

In this paper we present a survey on the various approaches that can be used to test whether the mean-variance frontier of a set of assets spans or intersects the frontier of a larger set of assets. We analyze the restrictions on the return distribution that are needed to have mean-variance spanning or intersection. The paper explores the duality between mean-variance frontiers and volatility bounds, analyzes regression based test procedures for spanning and intersection, and shows how these regression based tests are related to tests for mean-variance efficiency, performance measurement, optimal portfolio choice, and specification error bounds

Time-Varying Market Integration and Expected Returns in Emerging Markets

We use a simple model in which the expected returns in emerging markets depend on their systematicrisk as measured by their beta relative to the world portfolio as well as on the level ofintegration in that market. The level of integration is a time-varying variable that depends on themarket value of the assets that can be held by domestic investors only versus the market value ofthe assets that can be traded freely. Our empirical analysis for 30 emerging markets shows thatthere are strong effects of the level of integration or segmentation on the expected returns inemerging markets. The expected returns depend both on the level of segmentation of the emergingmarket itself and on the regional segmentation level. We also find that there is significanttime-variation in the betas relative to the world portfolio because of the level of segmentation.For the composite index of the emerging markets we find an annual increase in beta of 0.09due to decreased segmentation of the emerging markets in our sample period. In terms ofexpected returns the total effect on the composite index translates into an average decreaseof 4.5 percent per annum. As predicted by our model, the noninvestable assets are moresensitive to the local and less to the regional level of segmentation than the investable assets.These conclusions do not change when using additional control variables. We do not find aclear pattern between volatility and segmentation, however.

Does Borrowing from the Private Bond Market Cost More than Borrowing from the Public Bond Market?

We investigate the pricing of private versus public placement bonds in the primary market and test the effect of covenants on yield spreads. The yield spread premium of 116 basis points is partially explained by credit risk but equally important, by covenants. We provide evidence of a U-shape effect of covenant intensity on spread, the downward sloping part explained by investment covenants, the upward sloping part by financing covenants. The use of covenants has as much explanatory power beyond credit risk as liquidity and market conditions together, providing direct evidence of firm’s willingness to pay for options providing renegotiation flexibility

Analyzing Specification Errors in Models for Futures Risk Premia with Hedging Pressure

In this paper we present a simple multifactor model in which futures risk premia are determined by the covariance of the futures returns with the market return, as well as by hedging pressure variables. The model does not only identify the futures own hedging pressure as a determinant of the futures risk premium, but also hedging pressures from other futures markets, referred to as cross hedging pressures. For a set of 20 futures markets, that are divided into four groups (financial, agricultural, mineral, and currency futures), we analyze the model using both standard test procedures as well as the specification error bounds introduced by Hansen & Jagannathan (1997). We show that the futures own hedging pressure as well as cross hedging pressures from within the same group have a significant effect on the futures returns after controlling for market risk. We also show that the inclusion of hedging pressure variables induces a substantial reduction in the estimated specification error bounds

A Study on the Efficiency of the Market for Dutch Long Term Call Options

We investigate the efficiency of the market for 5 year call options which are traded on the European Options Exchange in Amsterdam.We study both delta, delta-vega, and delta-gamma neutral arbitrage portfolios.We do not detect any serious inefficiencies in the market for long term call options.This result is in line with previous studies on different kinds of call options and warrants. The results for the delta-vega and delta-gamma neutral arbitrage strategies differ from the results of the simple delta-neutral strategies in two ways: they lead to positive results more often, but the variance of these results is also larger.

Evaluating Style Analysis

In this paper we analyze the use and implications of (return based) style analysis. First, style analysis may be used to estimate the relevant factor exposures of a fund. We use a simple simulation experiment to show that imposing portfolio and positivity constraints in style analysis leads to significant efficiency gains if the factor loadings are indeed positively weighted portfolios, in particular when the factors have low cross-correlations. If this is not the case though, imposing the constraints can lead to biased exposure estimates. Second, style analysis may be used in performance measurement. If the actual factor exposures are a positively weighted portfolio and if the risk free rate is one of the benchmarks, then the intercept coincides with the Jensen measure. In general, the intercept in the style regression can only be interpreted as a special case of the familiar Jensen measure. Third, style estimates may be compared with actual portfolio holdings. We show that the actual portfolio holdings will in general not reveal the actual investment style of a fund because of cross exposures between the asset classes and because fund managers may hold securities that on average do not have a beta of one relative to their own asset class. Although return based style analysis is less suitable to predict future portfolio holdings, our empirical analysis suggests that it performs better than holding based style analysis in predicting future fund returns