The Diminishing Benefits Of Nae International Portfolio Diversification Following The 1997 Asian Financial Crisis

Nae international diversification has been fundamental to portfolio management over the past 30 years, but the benefits appear to be significantly diminished following the 1997 Asian financial crisis. Using monthly return data covering the period from 1970 through 2004, we found rising correlations between U.S. and international equity markets exceeding 0.85 since July 1997. Even the return correlation of emerging countries recently has reached almost 0.80. We also found a significant reduction in the variance of the international return correlation after the financial crisis. Portfolio managers should not expect to receive the same benefits from international portfolio diversification as that obtained prior to the Asian financial crisis

The Valuation of Mortgage Loan Commitments Using Option Pricing Estimates

This paper values mortgage loan commitments in the context of the option pricing theory developed by Black and Scholes, and Merton. A valuation model is derived and empirical results are presented.

A Note on the Valuation of Mortgage Loan Commitments: Incorporating the Commitment Cost in the Mortgage Rate

Kutner and Seifert recently found that mortgage loan commitments have significant financial value. This note presents a procedure that may be used to incorporate this value in the nominal lending rate. The findings indicate that typical lending rates should be augmented by approximately 8 to 44 basis points in order to adequately capture this additional cost.

Refining trait resilience: identifying engineering, ecological, and adaptive facets from extant measures of resilience

The current paper presents a new measure of trait resilience derived from three common mechanisms identified in ecological theory: Engineering, Ecological and Adaptive (EEA) resilience. Exploratory and confirmatory factor analyses of five existing resilience scales suggest that the three trait resilience facets emerge, and can be reduced to a 12-item scale. The conceptualization and value of EEA resilience within the wider trait and well-being psychology is illustrated in terms of differing relationships with adaptive expressions of the traits of the five-factor personality model and the contribution to well-being after controlling for personality and coping, or over time. The current findings suggest that EEA resilience is a useful and parsimonious model and measure of trait resilience that can readily be placed within wider trait psychology and that is found to contribute to individual well-bein

Evacetrapib and Cardiovascular Outcomes in High-Risk Vascular Disease

BACKGROUND: The cholesteryl ester transfer protein inhibitor evacetrapib substantially raises the high-density lipoprotein (HDL) cholesterol level, reduces the low-density lipoprotein (LDL) cholesterol level, and enhances cellular cholesterol efflux capacity. We sought to determine the effect of evacetrapib on major adverse cardiovascular outcomes in patients with high-risk vascular disease. METHODS: In a multicenter, randomized, double-blind, placebo-controlled phase 3 trial, we enrolled 12,092 patients who had at least one of the following conditions: an acute coronary syndrome within the previous 30 to 365 days, cerebrovascular atherosclerotic disease, peripheral vascular arterial disease, or diabetes mellitus with coronary artery disease. Patients were randomly assigned to receive either evacetrapib at a dose of 130 mg or matching placebo, administered daily, in addition to standard medical therapy. The primary efficacy end point was the first occurrence of any component of the composite of death from cardiovascular causes, myocardial infarction, stroke, coronary revascularization, or hospitalization for unstable angina. RESULTS: At 3 months, a 31.1% decrease in the mean LDL cholesterol level was observed with evacetrapib versus a 6.0% increase with placebo, and a 133.2% increase in the mean HDL cholesterol level was seen with evacetrapib versus a 1.6% increase with placebo. After 1363 of the planned 1670 primary end-point events had occurred, the data and safety monitoring board recommended that the trial be terminated early because of a lack of efficacy. After a median of 26 months of evacetrapib or placebo, a primary end-point event occurred in 12.9% of the patients in the evacetrapib group and in 12.8% of those in the placebo group (hazard ratio, 1.01; 95% confidence interval, 0.91 to 1.11; P=0.91). CONCLUSIONS: Although the cholesteryl ester transfer protein inhibitor evacetrapib had favorable effects on established lipid biomarkers, treatment with evacetrapib did not result in a lower rate of cardiovascular events than placebo among patients with high-risk vascular disease. (Funded by Eli Lilly; ACCELERATE ClinicalTrials.gov number, NCT01687998 .)

The Behavior Of The Bank Repurchase Agreement Market: 1981-1983

This paper investigates the bank repurchase agreement (repo) market over the period 1981 to 1983.  Individual bank repo rates were, on average, 200 basis points less than the closely related federal funds rate.  The effects of the Drysdale Securities, Penn Square, and Lombard-Wall failures were investigated.  Although no immediate effect was found, repo rates did increase 100 basis points relative to the federal funds rate approximately six months after the first such incident and immediately following the October, 1983 change in monetary policy

Territorial Tax System Reform and Corporate Financial Policies

We examine the effect of a permanent change to a country income repatriation tax system on a set of corporate financial policies. In 2009 Japan and UK switched from a worldwide system to a territorial system for the taxation of earnings repatriated by their multinational firms. Due to the relatively high corporate tax rate in Japan and UK, the new system effectively reduced the tax liabilities of most multinational firms when repatriating earnings. We find that after the change Japanese and UK firms accumulate less cash, pay out larger amounts to shareholders through dividends and share repurchases, and invest less abroad. We do not find that the tax system change has significantly affected corporate domestic investments