Asymptotics for Panel Models with Common Shocks

This article develops a novel asymptotic theory for panel models with common shocks. We assume that contemporaneous correlation can be generated by both the presence of common regressors among units and weak spatial dependence among the error terms. Several characteristics of the panel are considered: cross-sectional and time-series dimensions can either be fixed or large; factors can either be observable or unobservable; the factor model can describe either a cointegration relationship or a spurious regression, and we also consider the stationary case. We derive the rate of convergence and the limit distributions for the ordinary least square (OLS) estimates of the model parameters under all the aforementioned cases

Schizophrenia trials in China: a survey

OBJECTIVE: China's biomedical research activity is increasing and this literature is becoming more accessible online. Our aim was to survey all randomized control schizophrenia trials (RCTs) in one Chinese bibliographic database. METHOD: Chinese Academic Journals was electronically searched for RCTs and all relevant citations were also sought on PubMed to ascertain global accessibility. RESULTS: The search identified 3275 records, of which 982 were RCTs relevant to schizophrenia. A total of 71% (699) could be found by using English phrases. All the main body of text of the 982 papers was in Mandarin. On average, these trials involved about 100 people, with interventions and outcome measures familiar to schizophrenia trialists worldwide. Four of the 982 records (<1%) were identified on PubMed. CONCLUSION: Those undertaking systematic reviews should search the Chinese literature for relevant material. Failing to do this will leave the results of systematic reviews prone to random error or bias, or both

Exciton entanglement in two coupled semiconductor microcrystallites

Entanglement of the excitonic states in the system of two coupled semiconductor microcrystallites, whose sizes are much larger than the Bohr radius of exciton in bulk semiconductor but smaller than the relevant optical wavelength, is quantified in terms of the entropy of entanglement. It is observed that the nonlinear interaction between excitons increases the maximum values of the entropy of the entanglement more than that of the linear coupling model. Therefore, a system of two coupled microcrystallites can be used as a good source of entanglement with fixed exciton number. The relationship between the entropy of the entanglement and the population imbalance of two microcrystallites is numerically shown and the uppermost envelope function for them is estimated by applying the Jaynes principle.Comment: 16 pages, 6 figure

Combination Forecasts of Bond and Stock Returns: An Asset Allocation Perspective

We investigate the out-of-sample forecasting ability of the HML, SMB, momentum, short-term and long-term reversal factors along with their size and value decompositions on U.S. bond and stock returns for a variety of horizons ranging from the short run (1 month) to the long run (2 years). Our findings suggest that these factors contain significantly more information for future bond and stock market returns than the typically employed financial variables. Combination of forecasts of the empirical factors turns out to be particularly successful, especially from an an asset allocation perspective. Similar findings pertain to the European and Japanese markets

The Performance of Private Equity Funds: Does Diversification Matter?

This paper is the first systematic analysis of the impact of diversification on the performance of private equity funds. A unique data set allows the exact evaluation of diversification across the dimensions financing stages, industries, and countries. Very different levels of diversification can be observed across sample funds. While some funds are highly specialized others are highly diversified. The empirical results show that the rate of return of private equity funds declines with diversification across financing stages, but increases with diversification across industries. Accordingly, the fraction of portfolio companies which have a negative return or return nothing at all, increase with diversification across financing stages. Diversification across countries has no systematic effect on the performance of private equity funds

Expected cost of equity and the expected risk premium in the UK

Discussion paper. Final version published in Review of Behavioral Finance, Vol. 3 Iss: 1, pp.1 - 26In this paper, it is argued that previous estimates of the expected cost of equity and the expected arithmetic risk premium in the UK show a degree of upward bias. Given the importance of the risk premium in regulatory cost of capital in the UK, this has important policy implications. There are three reasons why previous estimates could be upward biased. The first two arise from the comparison of estimates of the realised returns on Government Bond (“Gilt”) to realised and expected returns on equities. These estimates are frequently used to infer a risk premium relative to either the current yield on index-linked gilts or an “adjusted” current yield measure. This is incorrect on two counts; first, inconsistent estimates of the risk free rate are implied on the right hand side of the CAPM (Jenkinson, 1993); second, they compare realised returns from a bond which carried inflation risk with realised and expected returns from equities which may be expected to have at least some protection from inflation risk. The third, and most important, source of bias arises from uplifts to expected returns. If markets exhibit “excess volatility” (Shiller 1981), or if part of the historical return arises because of revisions to expected future cash flows, then estimates of variance derived from historical returns or price growth must be used with great care when uplifting average expected returns to derive simple discount rates. Adjusting expected returns for the effect of such biases leads to lower expected cost of equity and risk premia than those that are typically quoted

Disease-specific, neurosphere-derived cells as models for brain disorders

There is a pressing need for patient-derived cell models of brain diseases that are relevant and robust enough to produce the large quantities of cells required for molecular and functional analyses. We describe here a new cell model based on patient-derived cells from the human olfactory mucosa, the organ of smell, which regenerates throughout life from neural stem cells. Olfactory mucosa biopsies were obtained from healthy controls and patients with either schizophrenia, a neurodevelopmental psychiatric disorder, or Parkinson's disease, a neurodegenerative disease. Biopsies were dissociated and grown as neurospheres in defined medium. Neurosphere-derived cell lines were grown in serum-containing medium as adherent monolayers and stored frozen. By comparing 42 patient and control cell lines we demonstrated significant disease-specific alterations in gene expression, protein expression and cell function, including dysregulated neurodevelopmental pathways in schizophrenia and dysregulated mitochondrial function, oxidative stress and xenobiotic metabolism in Parkinson's disease. The study has identified new candidate genes and cell pathways for future investigation. Fibroblasts from schizophrenia patients did not show these differences. Olfactory neurosphere-derived cells have many advantages over embryonic stem cells and induced pluripotent stem cells as models for brain diseases. They do not require genetic reprogramming and they can be obtained from adults with complex genetic diseases. They will be useful for understanding disease aetiology, for diagnostics and for drug discovery