The Efficient Market Hypothesis, Price Multiples, And The German Stock Market

One of the great exercises of financial research is to examine the efficiency of the stock markets. There are many reasons for this endeavor. One is due to the importance efficiency has on the allocation of capital and the impact on economic activity. Others center on the desire to find an exploitable anomaly for active investment management. This paper sought to do both. The paper explores the German stock market over a five year period ending December 31, 2007. The objective was to examine the value of price multiples in developing portfolios that would not only question the efficient market hypothesis for the market but provide an investment tool to achieve above market risk adjusted returns for an active investment style. The paper explored this by creating portfolios of (1) top ranked (low) price multiples and (2) bottom ranked (high) price multiples. Three multiples were chosen. These were (1) Price to Book (PBK); (2) Price to Current Earnings (PEC), and (3) Price to Normalized Earnings (PER). The hypotheses were that low price multiples would outperform, on a risk adjusted basis, high price multiples, and hedged (long/short) would likewise outperform the market on a risk adjusted basis. Support for either of these hypotheses questions the efficiency of the markets and could provide a pragmatic investment strategy. The results of the study suggest not only that the efficiency of the German stock market can be questioned but that a workable investment strategy involving price multiples could be implemented. The results noted that low price multiples outperformed high price multiples in all cases but not necessarily on a risk adjusted basis. Hedged portfolios likewise outperformed the universe and population. Hedged PBK had an Adjusted Sharpe Ratio of 0.50; the Hedged PEC had an Adjusted Sharpe Ratio of 0.30; and the Hedged PER had an Adjusted Sharpe Ratio of 0.23. These should be compared against an Adjusted Sharpe Ratio for the market of 0. Finally, an equally-weighted Hedged position of PBK, PEC, and PER had an Adjusted Sharpe Ratio of 0.44.  

Coral Colonisation of an Artificial Reef in a Turbid Nearshore Environment, Dampier Harbour, Western Australia

A 0.6 hectare artificial reef of local rock and recycled concrete sleepers was constructed in December 2006 at Parker Point in the industrial port of Dampier, western Australia, with the aim of providing an environmental offset for a nearshore coral community lost to land reclamation. Corals successfully colonised the artificial reef, despite the relatively harsh environmental conditions at the site (annual water temperature range 18-32°C, intermittent high turbidity, frequent cyclones, frequent nearby ship movements). Coral settlement to the artificial reef was examined by terracotta tile deployments, and later stages of coral community development were examined by in-situ visual surveys within fixed 25 x 25 cm quadrats on the rock and concrete substrates. Mean coral density on the tiles varied from 113 ± 17 SE to 909 ± 85 SE per m2 over five deployments, whereas mean coral density in the quadrats was only 6.0 ± 1.0 SE per m2 at eight months post construction, increasing to 24.0 ± 2.1 SE per m2 at 62 months post construction. Coral taxa colonising the artificial reef were a subset of those on the surrounding natural reef, but occurred in different proportions-Pseudosiderastrea tayami, Mycedium elephantotus and Leptastrea purpurea being disproportionately abundant on the artificial reef. Coral cover increased rapidly in the later stages of the study, reaching 2.3 ± 0.7 SE % at 62 months post construction. This study indicates that simple materials of opportunity can provide a suitable substrate for coral recruitment in Dampier Harbour, and that natural colonisation at the study site remains sufficient to initiate a coral community on artificial substrate despite ongoing natural and anthropogenic perturbations. © 2013 Blakeway et al

Is the Dow Jones Industrial Average Even Weak-Form Market Efficient?

The Efficient Market Hypothesis (EMH), in its weak-form, postulates that future returns cannot be predicted by strategies involving mechanical and technical trading rules. This study investigates the weak-form of the EMH on DJIA component stocks using two mechanical trading strategies: 1) Price gain over the previous twelve months and 2) Contrarian twelve months reversal strategy. The current forty-four-year study ending in 2018 exhibits no anomaly or a pocket of inefficiency in the EMH either before or after transaction costs. The DJIA appears to be fully efficient with regard to the weak-form hypothesis of two possible price momentum strategies

Using pre-surgical suspicion to guide insula implantation strategy

Rationale: Insular epilepsy can be a challenging diagnosis due to overlapping semiology and scalp EEG findings with frontal, temporal, and parietal lobe epilepsies. Stereotactic electroencephalography (sEEG) provides an opportunity to better localize seizure onset. The possibility of improved localization is balanced by implantation risk in this vascularly rich anatomic region. We review both safety and pre-implantation factors involved in insular electrode placement across four years at an academic medical center. Methods: Presurgical data, operative reports, and invasive EEG summaries were retrospectively reviewed for patients undergoing invasive epilepsy monitoring on the insula from 2016 through 2019. EEG reports were reviewed to record the presence of insula ictal and interictal involvement. We recorded which presurgical findings suggested insular involvement (insula lesion on MRI, insula changes on PET/SPECT/scalp EEG, characteristic semiology, or history of failed anterior temporal lobectomy). The likelihood of pre-sEEG insular onset was categorized as low suspicion if no presurgical findings were present (“rule out”), moderate suspicion if one finding was present, and high suspicion if two or more findings were present. Results: 76 patients received 189 insular electrodes as part of their implantation strategy for 79 surgical cases. Seven patients (8.9%) had insular ictal onset. One clinically significant complication (left hemiparesis) occurred in a patient with moderate suspicion for insular onset. There were 38 low suspicion cases, 36 moderate suspicion cases, and 5 high suspicion cases for pre-sEEG insula ictal onset. Two low suspicion (5.3%), three moderate suspicion (8.6%), and two high suspicion (40%) cases had insular ictal onset. Conclusions: The insula can safely receive sEEG. Having two or more presurgical factors indicating insular onset is a strong, albeit incomplete, predictor of insular seizure onset. Using pre-implantation clinical findings can offer clinicians predictive value for targeting the insula during invasive EEG monitoring

Living high-training low increases hypoxic ventilatory response of well-trained endurance athletes

This study determined whether “living high-training low” (LHTL)-simulated altitude exposure increased the hypoxic ventilatory response (HVR) in well-trained endurance athletes. Thirty-three cyclists/triathletes were divided into three groups: 20 consecutive nights of hypoxic exposure (LHTLc, n = 12), 20 nights of intermittent hypoxic exposure (four 5-night blocks of hypoxia, each interspersed with 2 nights of normoxia, LHTLi, n = 10), or control (Con, n = 11). LHTLc and LHTLi slept 8–10 h/day overnight in normobaric hypoxia (∼2,650 m); Con slept under ambient conditions (600 m). Resting, isocapnic HVR (ΔV˙e/ΔSpO2 , whereV˙e is minute ventilation and SpO2 is blood O2 saturation) was measured in normoxia before hypoxia (Pre), after 1, 3, 10, and 15 nights of exposure (N1, N3, N10, and N15, respectively), and 2 nights after the exposure night 20 (Post). Before each HVR test, end-tidal Pco 2(Pet CO2 ) and V˙e were measured during room air breathing at rest. HVR (l · min−1 · %−1) was higher ( P &lt; 0.05) in LHTLc than in Con at N1 (0.56 ± 0.32 vs. 0.28 ± 0.16), N3 (0.69 ± 0.30 vs. 0.36 ± 0.24), N10 (0.79 ± 0.36 vs. 0.34 ± 0.14), N15 (1.00 ± 0.38 vs. 0.36 ± 0.23), and Post (0.79 ± 0.37 vs. 0.36 ± 0.26). HVR at N15 was higher ( P &lt; 0.05) in LHTLi (0.67 ± 0.33) than in Con and in LHTLc than in LHTLi. Pet CO2 was depressed in LHTLc and LHTLi compared with Con at all points after hypoxia ( P &lt; 0.05). No significant differences were observed for V˙e at any point. We conclude that LHTL increases HVR in endurance athletes in a time-dependent manner and decreases Pet CO2 in normoxia, without change inV˙e. Thus endurance athletes sleeping in mild hypoxia may experience changes to the respiratory control system. </jats:p