How Risk Averse are Fund Managers? Evidence from Irish Mutual Funds

This paper investigates the degree of risk aversion exhibited by Irish fund managers. Assuming a mean-variance optimising manager, we employ the dynamic conditional correlation specification (Engle, 2002) of the multivariate GARCH model to estimate the coefficient of relative risk aversion. We find that fund managers whose remit is to “aggressively” manage their portfolios have coefficients lying between 1.69 and 2.42, while the risk aversion parameter of “balanced” managed funds range from 3.24 to 3.69. Finally we discuss the implications of these numbers on the likelihood of these managers partaking in risky investments.Risk aversion; Fund managers; Dynamic conditional correlations.

The sequencing of stock market liberalization events and corporate financing decisions

We examine if the sequence of stock market liberalization events matters for corporate financing choices. We contrast firms who attain ‘investable’ status through domestic reforms with those who do so by issuing American Depository Receipt programs. We find that the first liberalization event prompts similar corporate responses regardless of the path followed. However, we find differential effects between firms who issue ADRs after realizing financial liberalization and those who use ADR initiations to achieve this status. Here, the sequence matters and the capital structure choices of the two groups are very different.Financing choices; Debt structure; Investability; Cross listing

Detecting shift and pure contagion in East Asian equity markets: A Unified Approach.

We test for contagion between pairs of East Asian equity markets over the period 1990-2007.We develop an econometric methodology that allows us to test for both 'shift'and 'pure' contagion within a unified framework. Using both Hong Kong and Thailand as potential shock sources, we find strong evidence of both types of contagion. Therefore during episodes of high-volatility, equity returns are influenced by changes in the transmission of common shocks and additionally by the diffusion of idiosyncratic shocks through linkages which do not exist during normal times.Shift contagion; Pure contagion; Financial market crises; Regime switching

Fiscal Policy and the Term Premium in Real Interest Rate Differentials

This paper seeks to identify the source of the risk premium in real interest rate differentials across European countries. In particular, we examine the link between real interest rate differentials, existing between various European countries and Germany, and domestic fiscal policy as proxied by the Debt/GDP ratios in these countries. Our results provide strong evidence that this variable exerts a significant influence on the determination of both the level and the volatility of the differential for both long term and short term interest rates. This is a noteworthy result bearing in mind the Maastricht criteria for European Monetary Union and the importance attached to convergence of Debt/GDP ratios.Fiscal policy, interest rate differentials.

On the stability of domestic financial market linkages in the presence of time-varying volatility

We analyze the stability of domestic financial linkages between periods of calm and turbulent market conditions. Our model develops a simultaneous test of shift contagion and bi-directional pure contagion, which is applied to the equity and currency markets of a group of East Asian emerging economies. Our results show a great deal of instability in these markets with widespread evidence of pure contagion in both directions. There is less evidence of shift contagion with the transmission of common shocks unchanged between regimes for the majority of countries.Shift contagion; Pure contagion; Financial market crises; Regime switching

Do long-term bonds hedge equity risk? Evidence from Spain

Flavin, J. f. , Lagoa-Varela, D. (2016). Do long-term bonds hedge equity risk? Evidence from Spain[Abstract:] We analyze the relationship between returns on equity and long-term government bonds in the Spanish economy. In particular, we are interested in the stability of the relationship across differing market conditions and if long-term bonds deliver diversification benefits during periods of equity market turbulence. Employing a Markov-switching vector autoregression model with three regimes, we find that Spanish bond returns become more positively correlated with domestic equity returns during periods of financial distress. A sectoral analysis reveals that two sectors – Financials and Oil & Gas – are responsible for this positive comovement with the former being relatively more important

Predictive Modeling of the Effects of Skew and Imbalance on Radiated EMI from Cables

This paper provides an approach for predicting the effects of skew and imbalance on radiated emission of cables inside a commercial 19-inch rack-based cabinet. Scattering parameters (S-parameters) for two sets of cable assembly are measured with a four-port vector network analyzer (VNA) and converted into mixed mode S-parameters. Time-domain input signals with different slew rates and different amount of skew are transferred into frequency-domain using fast Fourier transform (FFT). The spectra of radiation emission associated with different inputs are then estimated

ret/PTC-1 expression alters the immunoprofile of thyroid follicular cells

<p>Abstract</p> <p>Background</p> <p>Hashimoto Thyroiditis (H.T.) is a destructive autoimmune thyroid condition whose precise molecular pathogenesis remains unclear. <it>ret</it>/PTC-1 is a chimeric transcript which has been described in autoimmune thyroid disease (AITD) and thyroid neoplasia. The purpose of this study was to observe the immunogenic effect exposure to H.T. and control lymphocyte supernatant would have on normal (Nthy-ori) and <it>ret</it>/PTC-1 (TPC-1) expressing thyroid cell line models.</p> <p>Results</p> <p>A 2 × 2 matrix comprising Nthy-ori and TPC-1 cell lines and H.T. and control lymphocyte supernatant was designed and utilised as follows; activated lymphocytic supernatant from a H.T. and normal control were co-cultured with a cell line derived from normal thyroid (Nthy-ori) and also a cell line derived from a papillary thyroid carcinoma that endogenously expresses <it>ret</it>/PTC-1 (TPC-1). The co-cultures were harvested at 0, 6 and 18 hour time points. Gene expression analysis was performed on RNA extracted from thyrocytes using TaqMan^®Immune profiling Low-Density Arrays (Applied Biosystems, CA, USA) comprising gene expression markers for 93 immune related targets plus 3 endogenous controls.</p> <p>Stimulation of the normal thyroid cell line model with activated T cell supernatant from the H.T. donor yielded global up-regulation of immune targets when compared with control supernatant stimulation. In particular, a cohort of targets (granzyme B, CD3, CD25, CD152, CD45) associated with cytotoxic cell death; T cell receptor (TCR) and T cell signaling were up-regulated in the normal cell line model. When the <it>ret</it>/PTC-1 expressing thyroid cell line was co-cultured with H.T. lymphocyte supernatant, in comparison to control supernatant stimulation, down-regulation of the same subset of immune targets was seen.</p> <p>Conclusion</p> <p>Co-culturing H.T. lymphocyte supernatant with a normal thyroid cell line model leads to over-expression of a subset of targets which could contribute to the pathogenesis of H.T. via cytotoxic cell death and TCR signalling. Stimulation of the <it>ret</it>/PTC-1 positive cell line with the same stimulus led to a down-regulated shift in the gene expression pattern of the cohort of immune targets. We hypothesize that <it>ret</it>/PTC-1 activation may dampen immunogenic responses in the thyroid, which could possibly facilitate papillary thyroid carcinoma development.</p

Comparison of miRNA expression patterns using total RNA extracted from matched samples of formalin-fixed paraffin-embedded (FFPE) cells and snap frozen cells

<p>Abstract</p> <p>Background</p> <p>Archival formalin-fixed paraffin-embedded (FFPE) tissues have limited utility in applications involving analysis of gene expression due to mRNA degradation and modification during fixation and processing. This study analyzed 160 miRNAs in paired snap frozen and FFPE cells to investigate if miRNAs may be successfully detected in archival specimens.</p> <p>Results</p> <p>Our results show that miRNA extracted from FFPE blocks was successfully amplified using Q-RT-PCR. The levels of expression of miRNA detected in total RNA extracted from FFPE were higher than that extracted from snap frozen cells when the quantity of total RNA was identical. This phenomenon is most likely explained by the fact that larger numbers of FFPE cells were required to generate equivalent quantities of total RNA than their snap frozen counterparts.</p> <p>Conclusion</p> <p>We hypothesise that methylol cross-links between RNA and protein which occur during tissue processing inhibit the yield of total RNA. However, small RNA molecules appear to be less affected by this process and are recovered more easily in the extraction process. In general miRNAs demonstrated reliable expression levels in FFPE compared with snap frozen paired samples, suggesting these molecules might prove to be robust targets amenable to detection in archival material in the molecular pathology setting.</p