Risk measurement of the bond mutual funds operating in Greece

The present article aims to measure and analyze the systematic risk undertaken by the Greek bond mutual funds. The capital asset pricing model is applied using as an approximation of the market portfolio the General Index of the Athens Stock Exchange, and a specific Bond Index. The performance of twenty-eight mutual funds is affected, and can be explained to a satisfactory level by the movements in the Bond Index. On the contrary, in only fifteen mutual funds the performance is affected, and can be explained to a satisfactory level by the movements in the General Index of the ASE. The empirical evidence suggests that the Bond Index approximates the market portfolio much closer than the General Index of the Athens Stock Exchange.peer-reviewe

Deep forecasting of translational impact in medical research.

The value of biomedical research-a $1.7 trillion annual investment-is ultimately determined by its downstream, real-world impact, whose predictability from simple citation metrics remains unquantified. Here we sought to determine the comparative predictability of future real-world translation-as indexed by inclusion in patents, guidelines, or policy documents-from complex models of title/abstract-level content versus citations and metadata alone. We quantify predictive performance out of sample, ahead of time, across major domains, using the entire corpus of biomedical research captured by Microsoft Academic Graph from 1990-2019, encompassing 43.3 million papers. We show that citations are only moderately predictive of translational impact. In contrast, high-dimensional models of titles, abstracts, and metadata exhibit high fidelity (area under the receiver operating curve [AUROC] > 0.9), generalize across time and domain, and transfer to recognizing papers of Nobel laureates. We argue that content-based impact models are superior to conventional, citation-based measures and sustain a stronger evidence-based claim to the objective measurement of translational potential

Deep forecasting of translational impact in medical research

The value of biomedical research--a $1.7 trillion annual investment--is ultimately determined by its downstream, real-world impact. Current objective predictors of impact rest on proxy, reductive metrics of dissemination, such as paper citation rates, whose relation to real-world translation remains unquantified. Here we sought to determine the comparative predictability of future real-world translation--as indexed by inclusion in patents, guidelines or policy documents--from complex models of the abstract-level content of biomedical publications versus citations and publication meta-data alone. We develop a suite of representational and discriminative mathematical models of multi-scale publication data, quantifying predictive performance out-of-sample, ahead-of-time, across major biomedical domains, using the entire corpus of biomedical research captured by Microsoft Academic Graph from 1990 to 2019, encompassing 43.3 million papers across all domains. We show that citations are only moderately predictive of translational impact as judged by inclusion in patents, guidelines, or policy documents. By contrast, high-dimensional models of publication titles, abstracts and metadata exhibit high fidelity (AUROC > 0.9), generalise across time and thematic domain, and transfer to the task of recognising papers of Nobel Laureates. The translational impact of a paper indexed by inclusion in patents, guidelines, or policy documents can be predicted--out-of-sample and ahead-of-time--with substantially higher fidelity from complex models of its abstract-level content than from models of publication meta-data or citation metrics. We argue that content-based models of impact are superior in performance to conventional, citation-based measures, and sustain a stronger evidence-based claim to the objective measurement of translational potential

RISK MEASUREMENT OF THE BOND MUTUAL FUNDS OPERATING IN GREECE

The present article aims to measure and analyze the systematic risk undertaken by the Greek bond mutual funds. The capital asset pricing model is applied using as an approximation of the market portfolio the General Index of the Athens Stock Exchange, and a specific Bond Index. The performance of twenty-eight mutual funds is affected, and can be explained to a satisfactory level by the movements in the Bond Index. On the contrary, in only fifteen mutual funds the performance is affected, and can be explained to a satisfactory level by the movements in the General Index of the ASE. The empirical evidence suggests that the Bond Index approximates the market portfolio much closer than the General Index of the Athens Stock Exchange.Mutual funds, bond, bond index, capital asset pricing model

Fixed capital Depreciations and tfP Growth: Evidence from Firm's Economic Balances

Mediante el analisis de la evidencia sobre el valor de los activos fijos, este articulo utiliza conjuntos de datos sobre depreciacion de capital �\a nivel de compania manufacturera, para un grupo de paises de la OCDE y en el periodo 1990-2008�\ junto con datos panel, para investigar su asociacion con la productividad total de los factores (TFP), ya que diferentes perfiles de depreciacion de capital implican diferentes tasas de acumulacion de capital y, por tanto, diferentes estimaciones de la productividad total de los factores. Los resultados empiricos obtenidos, basados en metodologias de cointegracion y correccion del error con datos de panel, indican la presencia de una relacion positiva entre la depreciacion del capital y la productividad total de los factores. Este resultado implica bien instituciones fuertes que reducen el nivel de corrupcion, una produccion que incorpora logros relacionados con la alta tecnologia que reducen el coste de mantenimiento del capital, decisiones de politica eficaces que minimizan el impacto de la incertidumbre en las inversiones, o ausencia de ciertas distorsiones derivadas de las politicas gubernamentales de financiacion, tales como creditos fiscales especiales para las inversiones empresariales y las subvenciones a prestamos de inversionBy exploring evidence on the value of fixed assets, this paper uses firm-level data sets from manufacturing on capital depreciations spanning the period 1990-2008 from a group of OECD countries, along with panel data to investigate their association with total factor productivity (TFP), since different capital depreciation profiles imply different rates of capital accumulation and, therefore, different estimates of TFP. Our empirical findings, based on panel cointegration and error correction methodologies, indicate the presence of a positive relationship between capital depreciations and TFP. This result implies either the presence of strong institutions reducing levels of corruption, the presence of production embodying high technological achievements reducing the cost of capital maintenance, that the effectiveness of policy making minimizes the impact of uncertainty on investments, or the absence of certain distortions stemming from government financing policies, such as special tax credits to corporate investments and subsidies to investment loan

The role of fixed capital depreciations for TFP growth: evidence from firm level panel data estimates

The role of accounting depreciation rates and the stocks of fixed capital has been well established in the literature. By exploring available evidence on the value of fixed assets in certain countries, this paper makes use of firm level data on fixed capital depreciations over the period 1990–2008 from a group of OECD countries along with panel data estimations to investigate their role for total factor productivity (TFP) as it is defined through growth accounting, since different capital depreciation profiles imply different rates of capital accumulation and, therefore, different estimates of TFP. The empirical results indicate a positive relationship between the two variables under study.N/

Asset Pricing and Foreign Exchange Risk

According to the International Capital Asset Pricing Model (ICAPM), the covariance of assets with foreign exchange currency returns should be a risk factor that must be priced when the purchasing power parity is violated. The goal of this study is to re-examine the relationship between stock returns and foreign exchange risk. The novelties of this work are: (a) a data set that makes use of daily observations for the measurement of the foreign exchange exposure and volatility of the sample firms and (b) data from a Eurozone country. The methodology we make use in reference to the estimation of the sensitivity of each stock to exchange rate movements is that it allows regressing stock returns against factors controlling for market risk, size, value, momentum, foreign exchange exposure and foreign exchange volatility. Stocks are then classified according to their foreign exchange sensitivity portfolios and the return of a hedge (zero-investment) portfolio is calculated. Next, the abnormal returns of the hedge portfolio are regressed against the return of the factors. Finally, we construct a foreign exchange risk factor in such manner as to obtain a monotonic relation between foreign exchange risk and expected returns. The empirical findings show that the foreign exchange risk is priced in the cross section of the German stock returns over the period 2000–2008. Furthermore, they show that the relationship between returns and foreign exchange sensitivity is nonlinear, but it takes an inverse U-shape and that foreign exchange sensitivity is larger for small size firms and value stocks

Accounting information and excess stock returns: the role of the cost of capital – new evidence from US firm-level data

The goal of this article is to investigate the impact of accounting information on the cost of capital as well as how the latter influences excess returns. The analysis has certain novelties: first, it extends prior works by investigating how certain components of accounting information affect stock returns through its direct effect on the cost of capital by incorporating influential components of accounting information; second, it makes use of a sample of 330 US manufacturing firms spanning the period 1990Q1 to 2009Q2, while it makes use, for the first time in this literature, of the methodology of panel cointegration. The empirical findings display that accounting information affects directly the firm's cost of capital. This, in turn, tends to exert a negative effect on the firm's excess stock returns, an empirical documentation not captured in case researchers attempt to directly link the cost of capital and excess stock returns.N/