One-Way Arbitrage-Based Interest Parity

This study is motivated by two major considerations. First, the Fletcher andTaylor (1996) approach has yet to be applied to short-date markets to assess thediminishing role of transaction costs in explaining the devjatjons of observed forwardforeign exchange prices from interest parity forward prices. Second, the role oftransaction costs in one-way arbitrage-based interest parity has not been examined.Applying the Fletcher and Taylor approach to one-way arbitrage-based interest parity inshort-date capital markets, we document three major findings: (i) a narrower neutralband around interest parity line, as implied by one-way arbitrage, does not diminish therole of transaction costs; (ii) the varjances of the estimated deviations are a decreasingfunction of the time spent outside the transactions cost band; and (iii) the magnitude ofarbitrage profits tends to be small and economically insignificant though profitableopportunities are not rare in the short-date markets studied

Executive Incentive Compensation and Economic Prosperity

This paper analyzes the existence of a potential link between the prevalence of long term incentive compensation schemes and the economic prosperity of a country. This issue is previously not addressed in the literature. In a panel regression with fixed effects a strongly significant, positive effect is found between growth of GDP/capita in real terms and this prevalence, while controlling for general investment and institutional variables. However, when the 22 countries of the study are divided into European and non-European, the growth effect found for the entire material accrues only to the non-European countries. It is concluded that long term incentive contracts seem to have no effect in the European countries due to labor market and cultural reasons

Combining Asian and European genome-wide association studies of colorectal cancer improves risk prediction across racial and ethnic populations

Polygenic risk scores (PRS) have great potential to guide precision colorectal cancer (CRC) prevention by identifying those at higher risk to undertake targeted screening. However, current PRS using European ancestry data have sub-optimal performance in non-European ancestry populations, limiting their utility among these populations. Towards addressing this deficiency, we expand PRS development for CRC by incorporating Asian ancestry data (21,731 cases; 47,444 controls) into European ancestry training datasets (78,473 cases; 107,143 controls). The AUC estimates (95% CI) of PRS are 0.63(0.62-0.64), 0.59(0.57-0.61), 0.62(0.60-0.63), and 0.65(0.63-0.66) in independent datasets including 1681-3651 cases and 8696-115,105 controls of Asian, Black/African American, Latinx/Hispanic, and non-Hispanic White, respectively. They are significantly better than the European-centric PRS in all four major US racial and ethnic groups (p-values < 0.05). Further inclusion of non-European ancestry populations, especially Black/African American and Latinx/Hispanic, is needed to improve the risk prediction and enhance equity in applying PRS in clinical practice

Intra-day Arbitrage Opportunities in Foreign Exchange and Eurocurrency Markets.

The authors have two primary objectives in this study. First, they examine the frequency of attaining simultaneous equilibrium on spot and forward foreign exchange markets and on domestic and foreign securities markets. Second, they measure the profitability of covered interest arbitrage and one-way arbitrage. The authors' empirical analysis has been conducted using real-time quotations. The empirical results indicate that the markets are efficient in the sense that profit opportunities from traditional covered interest arbitrage are rarely available and the frequency of attaining simultaneous market equilibrium is surprisingly low, thus opening the door for one-way arbitrage. Copyright 1992 by American Finance Association.

The Currency of Denomination Decision for Debt Financing

This paper examines the currency-of-denomination decision for long-term debt financing in the presence of corporate income taxes and flotation costs. The numerical analysis provides convincing evidence that the “tax effect” dominates the “flotation cost effect” unless the firm operates in tax haven countries. Hence, the conventional decision rule still applies to the choice of currency in which to borrow or to lend: Borrow in the weakest currency and lend in the strongest.© 1985 JIBS. Journal of International Business Studies (1985) 16, 143–150

How does the call market method affect price efficiency? Evidence from the Singapore Stock Market

On August 21, 2000, the Singapore Exchange (SGX) adopted the call market method to open and close the market while the remainder of the day's trading continued to rely on the continuous auction method. The call method significantly improved the price discovery process and market quality. A positive spillover effect is observed from the opening and closing calls. Day-end price manipulation also declined after the introduction of the call market method. However, the beneficial impact from the call market method is asymmetric, benefiting liquid stocks more than illiquid stocks.Market mechanism Call method Price efficiency Trading noise Return reversals Price manipulation Singapore Exchange

The Cost of Guaranteed Income: Demystifying the Value Proposition of Variable Annuities with Guaranteed Lifetime Withdrawal Benefit (GLWB) Riders

Variable annuities (VAs) are among the most complex and controversial products in the investment universe. Although a fair amount of research regarding the merits of VAs with guaranteed lifetime withdrawal benefit (GLWB) riders has been published over the past decade, to date, few of these papers have been of practical usefulness in guiding consumer decision-making. This paper begins to fill this information gap by (1) identifying the circumstances under which VA contracts with GLWBs seem most rational, and (2) helping consumers and practitioners assess the relative merits of various “real-world” guaranteed lifetime withdrawal riders. Our analysis applies bootstrapping techniques to compare a spectrum of three common forms of GLWB riders and two non-guaranteed index model portfolios. The primary underlying assumption in the study is that the GLWBs are utilized exactly as they are marketed – with a 10-year accumulation period followed by lifetime fixed withdrawals. The results of this analysis are surprising and may reshape practitioners’ product recommendations, as well as the public perception of annuity expenses