Pseudo Market Timing and Predictive Regressions

A number of studies claim that aggregate managerial decision variables, such as aggregate equity issuance, have power to predict stock or bond market returns. Recent research argues that these results may be driven by an aggregate time-series version of Schultz's (2003) pseudo market timing bias. We use standard simulation techniques to estimate the size of the aggregate pseudo market timing bias for a variety of predictive regressions based on managerial decision variables. We find that the bias can explain only about one percent of the predictive power of the equity share in new issues, and that it is also much too small to overturn prior inferences about the predictive power of corporate investment plans, insider trading, dividend initiations, or the maturity of corporate debt issues.

Pseudo Market Timing and Predictive Regressions

A number of studies claim that aggregate managerial decision variables, such as aggregate equity issuance, have power to predict stock or bond market returns. Recent research argues that these results may be driven by an aggregate time-series version of Schultz’s (2003) pseudo market timing bias. We use standard simulation techniques to estimate the size of the aggregate pseudo market timing bias for a variety of predictive regressions based on managerial decision variables. We find that the bias can explain only about one percent of the predictive power of the equity share in new issues, and that it is also much too small to overturn prior inferences about the predictive power of corporate investment plans, insider trading, dividend initiations, or the maturity of corporate debt issues

The Low Beta Anomaly: A Decomposition into Micro and Macro Effects

Low beta stocks have offered a combination of low risk and high returns. We decompose the anomaly into micro and macro components. The micro component comes from the selection of low beta stocks. The macro component comes from the selection of low beta countries or industries. The two parts both contribute to the low beta anomaly, with important implications for the construction of managed volatility portfolios

Predictive regressions based on managerial decision variables: Is there a small-sample bias?

Many studies find that aggregate managerial decision variables, such as aggregate equity issuance, predict stock or bond market returns. Recent research argues that these findings may be driven by an aggregate time-series version of Schultz’s (2003, Journal of Finance 58, 483–517) pseudo market-timing bias. Using standard simulation techniques, we find that the bias is much too small to account for the observed predictive power of the equity share in new issues, corporate investment plans, insider trading, dividend initiations, or the maturity of corporate debt issues

Design and development of a peptide-based adiponectin receptor agonist for cancer treatment

<p>Abstract</p> <p>Background</p> <p>Adiponectin, a fat tissue-derived adipokine, exhibits beneficial effects against insulin resistance, cardiovascular disease, inflammatory conditions, and cancer. Circulating adiponectin levels are decreased in obese individuals, and this feature correlates with increased risk of developing several metabolic, immunological and neoplastic diseases. Thus, pharmacological replacement of adiponectin might prove clinically beneficial, especially for the obese patient population. At present, adiponectin-based therapeutics are not available, partly due to yet unclear structure/function relationships of the cytokine and difficulties in converting the full size adiponectin protein into a viable drug.</p> <p>Results</p> <p>We aimed to generate adiponectin-based short peptide that can mimic adiponectin action and be suitable for preclinical and clinical development as a cancer therapeutic. Using a panel of 66 overlapping 10 amino acid-long peptides covering the entire adiponectin globular domain (residues 105-254), we identified the 149-166 region as the adiponectin active site. Three-dimensional modeling of the active site and functional screening of additional 330 peptide analogs covering this region resulted in the development of a lead peptidomimetic, ADP 355 (H-DAsn-Ile-Pro-Nva-Leu-Tyr-DSer-Phe-Ala-DSer-NH₂). In several adiponectin receptor-positive cancer cell lines, ADP 355 restricted proliferation in a dose-dependent manner at 100 nM-10 μM concentrations (exceeding the effects of 50 ng/mL globular adiponectin). Furthermore, ADP 355 modulated several key signaling pathways (AMPK, Akt, STAT3, ERK1/2) in an adiponectin-like manner. siRNA knockdown experiments suggested that ADP 355 effects can be transmitted through both adiponectin receptors, with a greater contribution of AdipoR1. <it>In vivo</it>, intraperitoneal administration of 1 mg/kg/day ADP 355 for 28 days suppressed the growth of orthotopic human breast cancer xenografts by ~31%. The peptide displayed excellent stability (at least 30 min) in mouse blood or serum and did not induce gross toxic effects at 5-50 mg/kg bolus doses in normal CBA/J mice.</p> <p>Conclusions</p> <p>ADP 355 is a first-in-class adiponectin receptor agonist. Its biological activity, superior stability in biological fluids as well as acceptable toxicity profile indicate that the peptidomimetic represents a true lead compound for pharmaceutical development to replace low adiponectin levels in cancer and other malignancies.</p

Insights: Live Prices and Stale Quantities: T+1 Accounting and Mutual Fund Mispricing

Most mutual funds use day-old fund holdings but current-day prices to calculate net asset values. This practice, sanctioned under SEC Rule 2a-4, results in deviations between reported net asset values (NAVs) and returns and the economic values of those quantities. Using a sample of 26 funds' trading data, we establish that small distortions in both NAVs and returns were fairly common in the early 2000s, and distortions were much more pronounced in the volatile markets of 2008. We discuss policy implications of this pricing rule, including mandating same-day pricing or ex post disclosure of pricing discrepancies

Live prices and stale quantities: T+1 Accounting and Mutual Fund Mispricing

In this paper, we examine a little known aspect of mutual fund accounting, whereby funds do not use contemporaneous fund holdings to calculate net asset values. This practice, sanctioned under SEC Rule 2a-4, uses stale portfolio holdings and gives rise to deviations between reported net asset values (NAVs) and returns and the economic values of those quantities. Using both simulations and a new sample of fund transaction data, we establish that distortions in both NAVs and returns are fairly common, and we discuss the implications of this observation for fund practice and regulation

Optimal Tilts

We examine the optimal weighting of four characteristic tilts in US equity markets over the period from 1968 through 2014. We define a “tilt” as a positive-Sharpe-ratio, characteristicbased portfolio strategy that requires relatively low annual turnover and a “trade” as a characteristic-based portfolio strategy that requires relatively high annual turnover and liquidity demands. Size is a tilt, because of its very low turnover; high frequency reversal is a trade. This dichotomy is necessary to make practical use of Fama-French style factor regressions. Unlike low-turnover tilts, a full history of transaction costs and an estimate of capacity is critical to determine the expected return, and hence the optimal allocation and explanatory power of trades. The mean-variance optimal tilts toward value (20%), size (26%), and profitability (23%) are roughly equal to each other and to the optimal low beta tilt (24%). The remaining 7% is allocated to bond market factors. Notably, in an apples-to-apples comparison, the low beta tilt is not subsumed by other tilts. Rather, it is the second highest of the four