Microstructure Effects on Daily Return Volatility in Financial Markets

We simulate a series of daily returns from intraday price movements initiated by microstructure elements. Significant evidence is found that daily returns and daily return volatility exhibit first order autocorrelation, but trading volume and daily return volatility are not correlated, while intraday volatility is. We also consider GARCH effects in daily return series and show that estimates using daily returns are biased from the influence of the level of prices. Using daily price changes instead, we find evidence of a significant GARCH component. These results suggest that microstructure elements have a considerable influence on the return generating process.Comment: 15 pages, as presented at the Complexity Workshop in Aix-en-Provenc

The growth companies puzzle: can growth opportunities measures predict firm growth?

While numerous empirical studies include proxies for growth opportunities in their analyses, there is limited evidence as to the validity of the various growth proxies used. Based on a sample of 1942 firm-years for listed UK companies over the 1990-2004 period, we assess the performance of eight growth opportunities measures. Our results show that while all the growth measures show some ability to predict growth in company sales, total assets, or equity, there are substantial differences between the various models. In particular, Tobin's Q performs poorly while dividend-based measures generally perform best. However, none of the measures has any success in predicting earnings per share growth, even when controlling for mean reversion and other time-series patterns in earnings. We term this the 'growth companies puzzle'. Growth companies do grow, but they do not grow in the key dimension (earnings) theory predicts. Whether the failure of 'growth companies' to deliver superior earnings growth is attributable to increased competition, poor investments, or behavioural biases, it is still a puzzle why growth companies on average fail to deliver superior earnings growth

The effect of asymmetries on stock index return value-at-risk estimates

It is widely accepted that equity return volatility increases more following negative shocks rather than positive shocks. However, much of value-at-risk (VaR) analysis relies on the assumption that returns are normally distributed (a symmetric distribution). This article considers the effect of asymmetries on the evaluation and accuracy of VaR by comparing estimates based on various models

Target company cross-border effects in acquisitions into the UK

We analyse the abnormal returns to target shareholders in crossborder and domestic acquisitions of UK companies. The crossborder effect during the bid month is small (0.84%), although crossborder targets gain significantly more than domestic targets during the months surrounding the bid. We find no evidence for the level of abnormal returns in crossborder acquisitions to be associated with market access or exchange rate effects, and only limited support for an international diversification effect. However, the crossborder effect appears to be associated with significant payment effects, and there is no significant residual crossborder effect once various bid characteristics are controlled for

Will 2000-Era Retirees Experience the Worst Retirement Outcomes in U.S. History? A Progress Report after 10 Years

We find evidence that retirees in 2000, in particular, are on course to potentially experience the worst retirement outcomes of any retiree since 1926. This holds for a wide variety of asset allocations and withdrawal rate strategies. Wealth depletion is taking place more rapidly for 2000-era retirees than for retirees who even endured the Great Depression or the stagflation of the 1970s. Though moderate inflation during the past decade has resulted in current withdrawal rates that are a bit less for the 2000 retiree than for some retirees in the 1960s, this is hardly reassuring with further analysis based on the required future asset returns needed for sustainability. Our findings cast doubt as to whether the 4 percent withdrawal rate rule will be sustainable for turn-of-the-century retirees

IgE Mediated Autoallergy against Thyroid Peroxidase – A Novel Pathomechanism of Chronic Spontaneous Urticaria?

Chronic spontaneous urticaria (csU), which is characterized by recurrent episodes of mast cell-driven wheal and flare-type skin reactions, is often associated with elevated total IgE levels and thyroid autoimmunity. We speculate that some csU patients express IgE autoantibodies against thyroid antigens such as thyroid peroxidase (TPO), which could bind to skin mast cells and induce their activation.We developed and used a site-directed human IgE capture ELISA to quantify IgE-anti-TPO. We used this assay and investigated csU patients (n = 478) and healthy control subjects (n = 127) for IgE-anti-TPO and then assessed IgE-anti-TPO-positive and -negative csU patients for clinical and serological differences. ( = 61%, IgE-anti-TPO: median 6.67, interquartile range 5.39–8.24). IgE-anti-TPO-positive and -negative csU patients had very similar distributions of age and gender as well as disease activity and duration. IgE-anti-TPO-positive csU patients exhibited significantly higher IgG-anti-TPO levels and lymphocyte counts as well as decreased C4 complement levels.Our findings show that a sizeable subgroup of csU patients expresses IgE antibodies against thyroid peroxidase. These autoantibodies could cause “autoallergic” mast cell activation, a novel pathomechanism of chronic spontaneous urticaria