Volatility Smirk as an Externality of Agency Conflict and Growing Debt

Since Black (1976), the source of the stock price volatility smirk has remained a controversy. The volatility smirk is a side effect of agency conflict. An important distinction is that the smirk occurs in the optimum, even after agency conflict has been resolved. The slope of the smirk is found to increase with the severity of the initial agency conflict between management and investors. It is predicted that the higher is the compensation of the manager, the steeper will be the volatility smirk, both for time series and cross sections of companies. These results may help to disentangle the leverage effect from other potential explanations like volatility feedback, the time-varying risk premium, and a down-market effect

Estimating Implied Recovery Rates from the Term Structure of CDS Spreads

Credit risk models should reflect the observation that the relevant value of collateral is generally not the average value of the asset over all possible states of nature. In most cases, the relevant value of collateral for the lender is its secondary market value in bad states of nature, where marginal utilities are high. Although the negative correlation between recovery rates and default probabilities is well documented, the majority of pricing models does not allow for correlation between the two. In this paper, we propose a relatively parsimonious reduced-form continuous time model that estimates expected recovery rates and default probabilities from the term structure of CDS spreads. The parameters of the model and latent factors driving recovery risk and default risk are estimated using a Bayesian MCMC algorithm. We nd that the Bayesian deviance information criterion (DIC) favors the model with stochastic recovery over constant recovery. We also observe that for companies with a good rating, implied constant recovery rates do not dier much from stochastic recovery. However, if a company is very risky, then forward stochastic recovery rates are signicantly lower at longer maturities

Comparison of capillary zone and immunosubtraction with agarose gel and immunofixation electrophoresis for detecting and identifying monoclonal gammopathies

Journal ArticleCapillary zone electrophoresis (CZE) and immunosubtraction electrophoresis (ISE) were evaluated for ability to detect and immunotype monoclonal proteins, compared with agarose gel electrophoresis (AGE) and immunofixation electrophoresis (IFE), respectively. Six hundred seventeen serum samples were analyzed with CZE and AGE to determine sensitivity and specificity in detecting TFE-confirmed monoclonal gammopathies. Both techniques detected all monoclonal spikes due to lgM (n - 8), igG (n = 38), and free light chains (n = 3). Agarose gel electrophoresis, however, detected only 11 of 1.4 (79%) IgA monoclonal spikes detected with CZE. Jn a second study, 78 serum samples, 48 of which had a monoclonal gammopathy confirmed with IFE, were evaluated with ISE. Only 60% to 75% of the monoclonal gammopathies were correctly immunotyped with ISE by 4 readers blinded to the IFE immunotype. Thus CZE was more sensitive than AGE in detecting low concentrations of monoclonal proteins, but ISE is less accurate than IFE in determining the immunotype of the monoclonal gammopathy

Spurious Cross-Sectional Dependence in Credit Spread Changes

In order to understand the lingering credit risk puzzle and the apparent segmentation of the stock market from credit markets, we need to be able to assess the strength of the cross-sectional dependence in credit spreads. This turns out to be a non-trivial task due to the extreme data sparsity that is typical for any panel of credit spreads that is extracted from corporate bond transactions. The problem of data sparsity has led to some erroneous conclusions in the literature, including inferences that have been drawn from spurious cross-sectional dependence in credit spread changes. Understanding the pitfalls leads to a new and improved estimator of the latent factor in credit spread changes and its characteristics

Data set for transcriptome analysis of pituitary galnd in cattle breeds

Transcriptome data presented in this article is associated with the research article entitled “Single nucleotide polymorphism discovery in bovine pituitary gland using RNA-seq technology” published in PLOS One [1]. Herein, we provide raw and analysed RNA-seq data of pituitary gland tissues from three cattle breeds, viz., Polish-HF, Polish Red and Hereford cattle breeds. Bioinformatics pipelines of high-quality RNA-seq data includes the FastQC tools for quality controls, Trimmomatic cutadapt tools for trimming RNA-seq data, and BWA version 0.7.5-r404 for mapping and alignment to the Bos taurus reference genome, SAMtools for SNPs identifications in bovine pituitary gland transcriptome. Raw FASTq files for the RNA-seq libraries of bovine pituitary gland were deposited in the NCBI Sequence Read Archive (SRA) and have been assigned BioProject accession PRJNA312148

Data set for transcriptome analysis of liver in cattle breeds

Transcriptome analysis using high-throughput next-generation sequencing (HT-NGS) technology provides the capability to understand global gene expression variations through a wide range of tissue samples in domesticated animals. We provide raw and analysed data for transcriptomic analysis of liver tissues from Polish-HF, Polish Red and Hereford cattle breeds, obtained by RNA-seq. High-quality sequencing data have been analysed using our bioinformatics pipeline which consists of FastQC for quality controls, Trimmomatic for trimming, and BWA version 0.7.5-r404 for alignment to the Bos taurus reference genome, SAMtools for SNPs identifications, and differentially expressed genes (DEGs) identification using DEseq and edgeR pipelines after adjustment for false-discovery rate (FDR) with adjusted two-sided p values <0.01 and the trimmed mean of M values (TMM) normalisation method. The data accompanying the published manuscript describing the SNPs and DEGs identification in the bovine liver transcriptome of cattle breeds. Raw FASTq files for the RNA-seq libraries are deposited in the NCBI Sequence Read Archive (SRA) and have been assigned BioProject accession PRJNA312148. Raw and processed RNA-seq data were deposited and made publicly available on the Gene Expression Omnibus (GEO; GSE114233)

Biases in the perceived timing of perisaccadic perceptual and motor events

Subjects typically experience the temporal interval immediately following a saccade as longer than a comparable control interval. One explanation of this effect is that the brain antedates the perceptual onset of a saccade target to around the time of saccade initiation. This could explain the apparent continuity of visual perception across eye movements. Thisantedating account was tested in three experiments in which subjects made saccades of differing extents and then judged either the duration or the temporal order of key events. Postsaccadic stimuli underwent subjective temporal lengthening and had early perceived onsets. A temporally advanced awareness of saccade completion was also found, independently of antedating effects. These results provide convergent evidence supporting antedating and differentiating it from other temporal biases

A Fast and Reliable Method for Simultaneous Waveform, Amplitude and Latency Estimation of Single-Trial EEG/MEG Data

The amplitude and latency of single-trial EEG/MEG signals may provide valuable information concerning human brain functioning. In this article we propose a new method to reliably estimate single-trial amplitude and latency of EEG/MEG signals. The advantages of the method are fourfold. First, no a-priori specified template function is required. Second, the method allows for multiple signals that may vary independently in amplitude and/or latency. Third, the method is less sensitive to noise as it models data with a parsimonious set of basis functions. Finally, the method is very fast since it is based on an iterative linear least squares algorithm. A simulation study shows that the method yields reliable estimates under different levels of latency variation and signal-to-noise ratioÕs. Furthermore, it shows that the existence of multiple signals can be correctly determined. An application to empirical data from a choice reaction time study indicates that the method describes these data accurately

Mirikizumab as Induction and Maintenance Therapy for Ulcerative Colitis

;irikizumab, a p19-directed antibody against interleukin-23, showed efficacy in the treatment of ulcerative colitis in a phase 2 trial. Methods: We conducted two phase 3, randomized, double-blind, placebo-controlled trials of mirikizumab in adults with moderately to severely active ulcerative colitis. In the induction trial, patients were randomly assigned in a 3:1 ratio to receive mirikizumab (300 mg) or placebo, administered intravenously, every 4 weeks for 12 weeks. In the maintenance trial, patients with a response to mirikizumab induction therapy were randomly assigned in a 2:1 ratio to receive mirikizumab (200 mg) or placebo, administered subcutaneously, every 4 weeks for 40 weeks. The primary end points were clinical remission at week 12 in the induction trial and at week 40 (at 52 weeks overall) in the maintenance trial. Major secondary end points included clinical response, endoscopic remission, and improvement in bowel-movement urgency. Patients who did not have a response in the induction trial were allowed to receive open-label mirikizumab during the first 12 weeks of the maintenance trial as extended induction. Safety was also assessed. Results: A total of 1281 patients underwent randomization in the induction trial, and 544 patients with a response to mirikizumab underwent randomization again in the maintenance trial. Significantly higher percentages of patients in the mirikizumab group than in the placebo group had clinical remission at week 12 of the induction trial (24.2% vs. 13.3%, P<0.001) and at week 40 of the maintenance trial (49.9% vs. 25.1%, P<0.001). The criteria for all the major secondary end points were met in both trials. Adverse events of nasopharyngitis and arthralgia were reported more frequently with mirikizumab than with placebo. Among the 1217 patients treated with mirikizumab during the controlled and uncontrolled periods (including the open-label extension and maintenance periods) in the two trials, 15 had an opportunistic infection (including 6 with herpes zoster infection) and 8 had cancer (including 3 with colorectal cancer). Among the patients who received placebo in the induction trial, 1 had herpes zoster infection and none had cancer. Conclusions: Mirikizumab was more effective than placebo in inducing and maintaining clinical remission in patients with moderately to severely active ulcerative colitis. Opportunistic infection or cancer occurred in a small number of patients treated with mirikizuma