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.  

Is Alpha Minus Beta A Simple Rule for A Smart Beta Strategy?

Thematic investment portfolios have been of interest to portfolio managers. They can take on a variety of names including Smart Beta. One such model was suggested by Minami and Wakatsaki. They suggested an investment rule of Alpha Minus Beta as a good method to build a factor tilt portfolio which is efficient in an absolute risk-return space. This paper addresses their model by empirically examining market data. The S&P 1500 was segmented into quintiles based on Alpha Minus Beta for a fifteen year period. The suggested model had value as the Coefficient of Variation was favorable compared to the index

Matrix-assisted ionisation in vacuum mass spectrometry and imaging on a modified quadrupole-quadrupole-time-of-flight mass spectrometer

Matrix-Assisted Ionisation in Vacuum (MAIV) is a new ionisation technique which ionises non-volatile compounds producing electrospray ionisation-like spectra. Its simple, matrix-assisted laser desorption/ionisation-like sample preparation allows for rapid analysis, with no requirement for external energy in the form of a laser or high voltage to produce ions. Ionisation occurs when the matrix (often 3-nitrobenzonitrile) is exposed to sub-ambient pressure. Here, the first use of this revolutionary new ionisation technique to image biological samples is reported. A commercial quadrupole-quadrupole-time-of-flight mass spectrometer was modified to incorporate control of the ion source pressure and a reduced sampling cone orifice diameter. In initial experiments, optimisation of source pressure and matrix composition was carried out to increase the longevity of ion formation. It was noted during these experiments that ion production was only observed when the sample was directly under the sampling cone. Optimisation of sample extraction into the MAIV matrix by the addition of 5 % chloroform enabled MAIV mass spectrometry imaging of lipids in rat brain sections to be carried out in raster imaging mode. Modification of the size and position of the sampling cone improved the selectivity obtainable in these images. Although the quality of these initial images is relatively poor, work is underway to improve the spatial resolution by further modification of the ion source and progress is reported

Hospital length of stay variation and comorbidity of mental illness: A retrospective study of five common chronic medical conditions

Background: With the increasing burden of mental illness globally, it is becoming common for hospitalised patients with chronic medical conditions to have a comorbidity of mental illness. This combination could prolong length of stay (LOS) of this patient cohort. We conducted an investigation in Tasmania, Australian hospitals to characterise this cohort and assess if co-morbidity of mental illness is a distinguishing factor that generates LOS variation across different chronic medical conditions. Methods: The retrospective study analysed 16,898 admissions of patients with a primary diagnosis of one of five chronic medical conditions: lung or colorectal cancer, chronic obstructive pulmonary disease (COPD), type II diabetes, ischaemic heart disease (IHD) and stroke. Data were from July 2010 to June 2015, across four hospitals that collectively cover 95% of public hospital admissions in Tasmania, Australia. Descriptive statistics were used to compare characteristics of patients between the scenarios of with and without co-morbidity of mental illness. We used negative binomial regression models to assess whether co-morbidity of mental illness, along with its sub-types, after adjustment for potential confounding variables, associated with LOS variation in patients of each medical condition. Based on the adjusted LOS variation, we estimated differences in bed days' use between patients with and without comorbidity of mental illness. Results: Patients with co-morbidity of mental illness were significantly younger in comparison to patients without mental illness. With each medical condition, patients with comorbidity of mental illness had incurred higher bed days' use than for those without mental illness. In cancer and stroke cohorts, co-morbidity of mental illness unfavourably affected the LOS variation by as high as 97% (CI: 49.9%-159%) and 109% (78%-146%), respectively. Though mental and behavioural disorders due to psychoactive substances was a dominant sub-type of mental illness across the medical conditions, it contributed significant unfavourable LOS variation only in the stroke patients i.e. 36.3% (CI: 16.2%-59.9%). Conclusions: Mental illness consistently produced unfavourable LOS variation. Upskilling of healthcare teams and greater reporting and analysis of LOS variation for this patient cohort, and the sub-cohorts within it, are necessary to provide improved medical care and achieve system efficiencies

Blending video-reflexive ethnography with solution-focused approach: A strengths-based approach to practice improvement in health care

Professionals seldom discuss those things that go well-rather the focus is often on problems, poor outcomes, and what does not go well. Exnovation is about illuminating the invisible or hidden strengths of existing practices in order to improve practice and is central to the contemporary, qualitative elicitation method: video-reflexive ethnography (VRE). VRE is a method to explore and articulate the taken for granted by means of short video clips of one’s own work practice that provides a basis for sharing experiences, assumptions, questions, and concerns about the way things are done in order to effect practice improvement. Reflexivity is key to the method. The creation of a safe space for this shared reflexivity is essential. Improvement activities frequently draw upon problem-focused approaches that imply blame and fault. Such approaches can serve to close down discussion, give rise to anxiety, and inhibit the very improvements sought. In contrast, a strengths-based, solution-focused approach serves to create the safe place where shared practices, rather than individuals, are the center of attention. By focusing on what works well practitioners are encouraged to identify and build on existing strengths. A solution-focused approach used alongside VRE provides a scaffold for building improvement that is relevant to context. In this article, we discuss exnovation, the elicitation method of video-reflexivity, and the incorporation of a strengths-based solution-focused approach with VRE. We highlight the transformative and complementary qualities of these methods and draw upon practical examples from health care to demonstrate how they serve to strengthen and enhance each other

A systematic review of school-based sexual health interventions to prevent STI/HIV in sub-Saharan Africa

Background The HIV/AIDS epidemic remains of global significance and there is a need to target (a) the adolescent age-groups in which most new infections occur; and (b) sub-Saharan Africa where the greatest burden of the epidemic lies. A focused systematic review of school-based sexual health interventions in sub-Saharan Africa to prevent HIV/AIDS and Sexually Transmitted Infections (STI) in this age group was therefore conducted. Methods Searches were conducted in Medline, Embase, Cinahl and PsychINFO according to agreed a priori criteria for studies published between 1986 and 2006. Further searches were conducted in UNAIDS and WHO (World Health Organization) websites, and 'Google'. Relevant journals were hand-searched and references cited in identified articles were followed up. Data extraction and quality assessment was carried out on studies selected for full text appraisal, and results were analysed and presented in narrative format. Results Some 1,020 possible titles and abstracts were found, 23 full text articles were critically appraised, and 12 articles (10 studies) reviewed, reflecting the paucity of published studies conducted relative to the magnitude of the HIV epidemic in sub-Saharan Africa. Knowledge and attitude-related outcomes were the most associated with statistically significant change. Behavioural intentions were more difficult to change and actual behaviour change was least likely to occur. Behaviour change in favour of abstinence and condom use appeared to be greatly influenced by pre-intervention sexual history. Conclusion There is a great need in sub-Saharan Africa for well-evaluated and effective school-based sexual health interventions

Groundwater shapes sediment biogeochemistry and microbial diversity in a submerged Great Lake sinkhole

For a large part of earth’s history, cyanobacterial mats thrived in lowâ oxygen conditions, yet our understanding of their ecological functioning is limited. Extant cyanobacterial mats provide windows into the putative functioning of ancient ecosystems, and they continue to mediate biogeochemical transformations and nutrient transport across the sedimentâ water interface in modern ecosystems. The structure and function of benthic mats are shaped by biogeochemical processes in underlying sediments. A modern cyanobacterial mat system in a submerged sinkhole of Lake Huron (LH) provides a unique opportunity to explore such sedimentâ mat interactions. In the Middle Island Sinkhole (MIS), seeping groundwater establishes a lowâ oxygen, sulfidic environment in which a microbial mat dominated by Phormidium and Planktothrix that is capable of both anoxygenic and oxygenic photosynthesis, as well as chemosynthesis, thrives. We explored the coupled microbial community composition and biogeochemical functioning of organicâ rich, sulfidic sediments underlying the surface mat. Microbial communities were diverse and vertically stratified to 12 cm sediment depth. In contrast to previous studies, which used lowâ throughput or shotgun metagenomic approaches, our highâ throughput 16S rRNA gene sequencing approach revealed extensive diversity. This diversity was present within microbial groups, including putative sulfateâ reducing taxa of Deltaproteobacteria, some of which exhibited differential abundance patterns in the mats and with depth in the underlying sediments. The biological and geochemical conditions in the MIS were distinctly different from those in typical LH sediments of comparable depth. We found evidence for active cycling of sulfur, methane, and nutrients leading to high concentrations of sulfide, ammonium, and phosphorus in sediments underlying cyanobacterial mats. Indicators of nutrient availability were significantly related to MIS microbial community composition, while LH communities were also shaped by indicators of subsurface groundwater influence. These results show that interactions between the mats and sediments are crucial for sustaining this hot spot of biological diversity and biogeochemical cycling.Peer Reviewedhttps://deepblue.lib.umich.edu/bitstream/2027.42/136330/1/gbi12215_am.pdfhttps://deepblue.lib.umich.edu/bitstream/2027.42/136330/2/gbi12215.pd