Investors' horizon and stock prices

Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2011.Cataloged from PDF version of thesis.Includes bibliographical references (p. 140-150).This dissertation consists of three essays on the relation between investors' trading horizon and stock prices. The first chapter explores the theoretical relation between the horizon of traders and the negative externality generated by their activity on the information revealed by stock prices. The last two chapters focus on the empirical relation between institutional investors trading frequency and stock prices behaviour. The first chapter examines how short term trading impacts the aggregation of information in financial markets. I develop a model where short-term traders, in an attempt to learn about the average beliefs of future market participants, make the price relatively more noisy. This typically introduces a negative informational externality on long-term investors. I show that (i) as the horizon of the informed traders decreases, the price becomes relatively less precise; (ii) an inflow of informed traders in the market can decrease the informativeness of the price when the traders have a relatively short horizon or the market is expected to be thin in the future; (iii) finally, as rational informed short-term traders have access to an extra source of information about the future price, they end up creating more noise and a decrease in the informativeness of the price might result. Thus, paradoxically, more informed trading could lead to a less informative price. Among scholars, practitioners and policy makers, investor short-termism and high frequency trading have been associated with excess volatility in financial markets and with a disconnect between asset prices and fundamentals. Motivated by this observation, in Chapter 2 I construct a novel measure of the intrinsic frequency of trading for each of the large US institutional investors (13-F institutions) using Thomson-Reuters Institutional Holdings quarterly data for the period 1980-2005. This measure controls for the market and portfolio characteristics and identifies an investor-specific fixed effect in the frequency of trading. I then study how the composition of these fixed effects impacts stock price behavior through their forecasting role in explaining the return and the return on equity (cash flow of a company) in the short run as well as the long run. I show that (i) the securities in which investors exhibit higher intrinsic trading frequency exhibit higher volatility, but (ii) this volatility is mainly driven by the cashflow component of the security prices. Further, (iii) the prices of the securities held by investors with a higher intrinsic trading frequency do not forecast the long-run return as opposed to the securities held by investors with a lower intrinsic trading frequency. As such, the prices mainly respond to the long-run return on equity. Overall, the results challenge the view that higher frequency of trading-a commonly used proxy for investor short-termnism-causes a disconnect between asset prices and fundamentals. Finally, in Chapter 3 (co-auhtored with Fernando Duarte) we show a novel relation between the institutional investors' intrinsic trading frequency-a commonly used proxy for the investors's investment horizon- and the cross-section of stock returns. We show that the 20$ of stocks with the lowest trading frequency earn mean returns that are 6 percentage points per year higher than the 20% of stocks that have the highest trading frequency. The magnitude and predictability of these returns persist or even increase when risk-adjusted by common indicators of systematic risks such as the Fama-French, liquidity or momentum factors. Our results show that the characteristics of stockholders affect expected returns of the very securities they hold, supporting the view that heterogeneity among investors is an important dimension of asset prices.by Sahar Parsa.Ph.D

Information aggregation in a financial market with general signal structure

We study a financial market with asymmetric, multidimensional trader signals that have general correlation structure. Each of a continuum of traders belongs to one of finitely many “information groups.” There is a multidimensional aggregate signal for each group. Each trader observes an idiosyncratic signal about the fundamental, built from this group signal. Correlations across group signals are arbitrary. Several existing models serve as special cases, and new applications become possible. We establish existence and regularity of linear equilibrium, and demonstrate that the equilibrium price aggregates information perfectly as noise trade vanishes

Acute Esophageal Necrosis as a Result of Taking Herbal Medicine

Nowadays People use herbal medicines to try to maintain or improve their health but sometimes they cause side-effects and some herbal drug may also interact with medication. We reported a 37 -year-old man who presented to the emergency department with sever watery diarrhea, vomiting, dysphagia, bicytopenia, renal failure and Acute esophageal necrosis, also known as black esophagus which is a rare syndrome characterized by a striking diffuse circumferential black appearance of the esophageal mucosa that universally affects the distal esophagus, 2-days after use of herbal drug named suranjan. Suranjan is a herbal formulation used to treat Rheumatoid arthritis

Effect of nifedipine with and without sildenafil citrate for the management of preterm labor in pregnant women: A randomized clinical trial

Background: Preterm labor is one of the main causes of neonatal mortality and its treatment is still challenging. Objective: The study aimed to compare the effectiveness of nifedipine (Nif) with and without sildenafil citrate (SC) for the treatment of preterm labor in pregnant women. Materials and Methods: In this clinical trial study, 126 pregnant women referred to the Fatemieh hospital, Hamadan, Iran with a complaint of preterm labor were evaluated. Participants were randomly divided into 2 groups of Nif 20 mg orally (single dose), then 10 mg every 6-hr, and at the same time vaginal SC 25 mg every 8 hr (Nif + SC) or Nif alone. Treatment was continued for 48-72 hr if uterine contractions did not resolve in both groups. Delivery rates at the time of hospitalization and neonatal outcome were compared between the 2 groups. Results: No statistically significant difference was observed between the 2 study groups in terms of mean age, gestational age, body mass index, and parity. 76.2% of Nif + SC participants in the first 72 hr of hospitalization and 57.2% of Nif participants remained without delivery (p = 0.02). The neonatal hospitalization rate of the Nif + SC group in the neonatal intensive care unit was 25.4% and in the Nif group was 42.9% (p = 0.03). Conclusion: Nif with SC is superior to Nif alone in women at risk of preterm labor due to increasing gestational age and better neonatal outcomes. Key words: Nifedipine, preterm labor, Sildenafil citrate, Randomized trial

The wound healing effect of Iris forentina on full thickness excisional skin wounds: A histomorphometrical study

Iris florentina is an ancient herbal remedy which was prescribed by many physicians due to its positive effects on dermatological problems, specifically skin wounds. Hence, we aimed to investigate the effects of this agent on full-thickness excisional skin wounds in laboratory rats. Three groups of rats (180 ± 20 g; n=8) with 1 cm diameter full-thickness excisional skin wound received daily treatment with I. florentina 10% ointment, and a group with no treatment. By using histomorphometrical methods, the amount of fibroblast population, collagen bundle synthesis, and vascularization (length density, mean diameter and volume density of the vessels) were estimated. Outcome of the study exhibited that the increase in fibroblast proliferation rate, collagen bundle synthesis, vascular density and vascular mean diameter in I. florentina-treated group were significant in comparison to the untreated group (p<0.05). Results indicated that I. florentina can be prescribed as a herbal medicine for treatment of skin wounds or be used as an additional agent for today's common medicines

Protocol for the Provision of Amplification

This Protocol addresses the provision of amplification (hereafter: \u27Amplification\u27) to infants and pre-school children who are receiving services from the Ontario Infant Hearing Program (IHP). Providing amplification includes the process of prescribing a hearing aid based on appropriate assessment information, verification that the specified acoustical performance targets have been achieved, fitting the device on the child, and evaluation of device effectiveness in daily life

Protocol for the Provision of Amplification v 2023.01

This Protocol addresses the provision of amplification (hereafter: \u27Amplification\u27) to infants and children who are receiving services from the Ontario Infant Hearing Program (IHP). For the purposes of this protocol, providing amplification includes the processes of prescribing a hearing aid (air or bone conduction) and/or other hearing assistance technologies based on appropriate assessment information, verification that the specified acoustical performance targets have been achieved, fitting the device on the child, and ongoing evaluation of device effectiveness in daily life. Amplification within the IHP does not include the provision of cochlear implants

X-chromosome and kidney function:evidence from a multi-trait genetic analysis of 908,697 individuals reveals sex-specific and sex-differential findings in genes regulated by androgen response elements

X-chromosomal genetic variants are understudied but can yield valuable insights into sexually dimorphic human traits and diseases. We performed a sex-stratified cross-ancestry X-chromosome-wide association meta-analysis of seven kidney-related traits (n = 908,697), identifying 23 loci genome-wide significantly associated with two of the traits: 7 for uric acid and 16 for estimated glomerular filtration rate (eGFR), including four novel eGFR loci containing the functionally plausible prioritized genes ACSL4, CLDN2, TSPAN6 and the female-specific DRP2. Further, we identified five novel sex-interactions, comprising male-specific effects at FAM9B and AR/EDA2R, and three sex-differential findings with larger genetic effect sizes in males at DCAF12L1 and MST4 and larger effect sizes in females at HPRT1. All prioritized genes in loci showing significant sex-interactions were located next to androgen response elements (ARE). Five ARE genes showed sex-differential expressions. This study contributes new insights into sex-dimorphisms of kidney traits along with new prioritized gene targets for further molecular research.</p

Genome-wide association meta-analyses and fine-mapping elucidate pathways influencing albuminuria

Abstract: Increased levels of the urinary albumin-to-creatinine ratio (UACR) are associated with higher risk of kidney disease progression and cardiovascular events, but underlying mechanisms are incompletely understood. Here, we conduct trans-ethnic (n = 564,257) and European-ancestry specific meta-analyses of genome-wide association studies of UACR, including ancestry- and diabetes-specific analyses, and identify 68 UACR-associated loci. Genetic correlation analyses and risk score associations in an independent electronic medical records database (n = 192,868) reveal connections with proteinuria, hyperlipidemia, gout, and hypertension. Fine-mapping and trans-Omics analyses with gene expression in 47 tissues and plasma protein levels implicate genes potentially operating through differential expression in kidney (including TGFB1, MUC1, PRKCI, and OAF), and allow coupling of UACR associations to altered plasma OAF concentrations. Knockdown of OAF and PRKCI orthologs in Drosophila nephrocytes reduces albumin endocytosis. Silencing fly PRKCI further impairs slit diaphragm formation. These results generate a priority list of genes and pathways for translational research to reduce albuminuria

Target genes, variants, tissues and transcriptional pathways influencing human serum urate levels.

Elevated serum urate levels cause gout and correlate with cardiometabolic diseases via poorly understood mechanisms. We performed a trans-ancestry genome-wide association study of serum urate in 457,690 individuals, identifying 183 loci (147 previously unknown) that improve the prediction of gout in an independent cohort of 334,880 individuals. Serum urate showed significant genetic correlations with many cardiometabolic traits, with genetic causality analyses supporting a substantial role for pleiotropy. Enrichment analysis, fine-mapping of urate-associated loci and colocalization with gene expression in 47 tissues implicated the kidney and liver as the main target organs and prioritized potentially causal genes and variants, including the transcriptional master regulators in the liver and kidney, HNF1A and HNF4A. Experimental validation showed that HNF4A transactivated the promoter of ABCG2, encoding a major urate transporter, in kidney cells, and that HNF4A p.Thr139Ile is a functional variant. Transcriptional coregulation within and across organs may be a general mechanism underlying the observed pleiotropy between urate and cardiometabolic traits.The Genotype-Tissue Expression (GTEx) Project was supported by the Common Fund of the Office of the Director of the National Institutes of Health, and by NCI, NHGRI, NHLBI, NIDA, NIMH, and NINDS. Variant annotation was supported by software resources provided via the Caché Campus program of the InterSystems GmbH to Alexander Teumer