Measuring equity market integration using uncorrelated information flows: Tokyo, London and New York

Equity markets do not pass all overnight information into prices instantly at the opening of trade. We adjust open-to-close return series for non-instantaneous information absorption and then use adjusted series to measure integration among three major equity markets. Because the adjusted daytime return series are uncorrelated, we can accurately measure the size, and identify the sources, of transmissions. Overnight news, as represented by foreign open-to-close returns, explains 13% of opening price variation (close-toopen returns) in NewYork, 14% in Tokyo and 30% in London. ForNewYork and Tokyo, the largest influences come from the market that trades immediately prior (London and New York respectively) whereas opening price variation in London is linked closer with New York than Tokyo. Foreign volatility spillovers are also significant, and subject to asymmetric effects

Annuitization and asset allocation with HARA utility

A new explanation for the well-known reluctance of retirees to buy life annuities is due to Milevsky and Young (2002, 2003): Since the decision to purchase longevity insurance is largely irreversible, in uncertain environments a real option to delay annuitization (RODA) generally has value. Milevsky and Young analytically identify and numerically estimate the RODA in a setting of constant relative risk aversion. This paper presents an extension to the case of HARA (or GLUM) preferences, the simplest representation of a consumption habit. The precise date of annuitization can no longer be ascertained with certainty in advance. This paper derives an approximation whereby the agent precommits. The effect of increasing the subsistence consumption rate on the timing of annuity purchase is similar to the effect of increasing the curvature parameter of the utility function. As in the CRRA case studied by Milevsky and Young, delayed annuitization is associated with optimistic predictions of the Sharpe ratio and divergence between annuity purchaser and provider predictions of mortality.24 page(s

Valuing volatility spillovers

We show that volatility spillovers are large enough to matter to investors. We demonstrate that standard deviations of returns to mean-variance portfolios of European equities fall by 11.5% at daily, weekly, and monthly rebalancing horizons when volatility spillovers are included in covariance forecasts. We estimate the conditional second moment matrix of (synchronized) daily index returns for the London, Frankfurt and Paris stock markets via two asymmetric dynamic conditional correlation models (A-DCC): the unrestricted model includes volatility spillovers and the restricted model does not. We combine covariance forecasts from the restricted and unrestricted models with a wide range of assumed returns relatives via a polar co-ordinates method, and compute out-of-sample realized portfolio returns and variances for testing. DieboldMariano tests confirm that most risk reductions are statistically significant. Stochastic dominance tests indicate that portfolios accounting for volatility spillover would be preferred by risk adverse agents

Financialization, crisis and commodity correlation dynamics

We study conditional volatility and correlation dynamics for returns to commodity fu- tures, stocks and bonds, from May 1990-July 2009 using DSTCC- GARCH. The models allow correlation to vary smoothly between extreme states via transition functions. Expected stock volatility (VIX) and money manager open interest in futures markets are relevant transition variables. Results show increasing integration between commodity futures and stocks: com- modity returns volatility is predicted by common factors but also by .nancial traders.open positions. We observe higher and more variable correlations between commodity futures and stock returns from mid-sample, with many series showing a structural break in the conditional correlation processes from the late 1990s

The Private Value of Public Pensions

As individual retirement savings accounts replace public pensions and defined benefit schemes, more retirees will decumulate using commercial income streams rather than public or corporate annuities. Here we use an approximation to the retirement income problem [Huang, H., Milevsky, M.A., Wang, J., 2004. Ruined moments in your life: How good are the approximations? Insurance: Math. Econom. 34, 421447] to compute the cost of replicating a public real life annuity (the Australian Age Pension) using commercial decumulation products. We treat the public pension as a phased withdrawal plan, matching insurance and payment features, and back out the stochastic present value of the plan under an arbitrarily small ruin probability. To reproduce the pension payment with 99% certainty, a male retiree needs 3.6 times the current average retirement savings account balance, and a female retiree needs more than 10 times the average female account balance. At 95% certainty, required wealth falls by around 25%. We measure separately the impact of gender, investment strategy, retirement age and management fees on this valuatio

Choices and Constraints Over retirement Income Streams: Comparing Rules and Regulations

The new Simplified Superannuation regulations for Australian superannuation provide tax concessions to retirement income streams which comply with legislated minimum drawdown rules. We evaluate these new drawdown rules against four alternatives, including three formula-based `rules of thumb used by financial planners. We find that the new regulations are a substantial improvement on the previous rules for allocated pensions and, when compared with the formula-based rules, are a good compromise in terms of simplicity, adequacy and risk. We also find that welfare is lower for most individuals who follow the Simplified Superannuation rules compared with welfare under an optimal path or a simple fixed percentage drawdown rule, but that outcomes could be improved through a further simplification of the new rules

Unobservable shocks as carriers of contagion

We propose an identified structural GARCH model to disentangle the dynamics of financial market crises. We distinguish between the hypersensitivity of a domestic market in crisis to news from foreign non-crisis markets, and the contagion imported to a tranquil domestic market from foreign crises. The model also enables us to connect unobserved structural shocks with their source markets using variance decompositions and to compare the size and dynamics of impulses during crises periods with tranquil period impulses. To illustrate, we apply the method to data from the 19971998 Asian financial crisis which consists of a complicated set of interacting crises. We find significant hypersensitivity and contagion between these markets but also show that links may strengthen or weaken. Impulse response functions for an equally-weighted equity portfolio show the increasing dominance of Korean and Hong Kong shocks during the crises and covariance responses demonstrate multiple layers of contagion effects

A randomised feasibility study to investigate the impact of education and the addition of prompts on the sedentary behaviour of office workers

Abstract Background Office workers have been identified as being at risk of accumulating high amounts of sedentary time in prolonged events during work hours, which has been associated with increased risk of a number of long-term health conditions. There is some evidence that providing advice to stand at regular intervals during the working day, and using computer-based prompts, can reduce sedentary behaviour in office workers. However, evidence of effectiveness, feasibility and acceptability for these types of intervention is currently limited. Methods A 2-arm, parallel group, cluster-randomised feasibility trial to assess the acceptability of prompts to break up sedentary behaviour was conducted with office workers in a commercial bank (n = 21). Participants were assigned to an education only group (EG) or prompt and education group (PG). Both groups received education on reducing and breaking up sitting at work, and the PG also received hourly prompts, delivered by Microsoft Outlook over 10 weeks, reminding them to stand. Objective measurements of sedentary behaviour were made using activPAL monitors worn at three time points: baseline, in the last 2 weeks of the intervention period and 12 weeks after the intervention. Focus groups were conducted to explore the acceptability of the intervention and the motivations and barriers to changing sedentary behaviour. Results Randomly generated, customised prompts, delivered by Microsoft Outlook, with messages about breaking up sitting, proved to be a feasible and acceptable way of delivering prompts to office workers. Participants in both groups reduced their sitting, but changes were not maintained at follow-up. The education session seemed to increase outcome expectations of the benefits of changing sedentary behaviour and promote self-regulation of behaviour in some participants. However, low self-efficacy and a desire to conform to cultural norms were barriers to changing behaviour. Conclusions Prompts delivered by Microsoft Outlook were a feasible, low-cost way of prompting office workers to break up their sedentary behaviour, although further research is needed to determine whether this has an additional impact on sedentary behaviour, to education alone. The role of cultural norms, and promoting self-efficacy, should be considered in the design of future interventions. Trial registration This study was registered retrospectively as a clinical trial on ClinicalTrials.gov (ID no. NCT02609282 ) on 23 March 2015

Patterns of impact resulting from a 'sit less, move more' web-based program in sedentary office employees.

PURPOSE: Encouraging office workers to 'sit less and move more' encompasses two public health priorities. However, there is little evidence on the effectiveness of workplace interventions for reducing sitting, even less about the longer term effects of such interventions and still less on dual-focused interventions. This study assessed the short and mid-term impacts of a workplace web-based intervention (Walk@WorkSpain, W@WS; 2010-11) on self-reported sitting time, step counts and physical risk factors (waist circumference, BMI, blood pressure) for chronic disease. METHODS: Employees at six Spanish university campuses (n=264; 42±10 years; 171 female) were randomly assigned by worksite and campus to an Intervention (used W@WS; n=129; 87 female) or a Comparison group (maintained normal behavior; n=135; 84 female). This phased, 19-week program aimed to decrease occupational sitting time through increased incidental movement and short walks. A linear mixed model assessed changes in outcome measures between the baseline, ramping (8 weeks), maintenance (11 weeks) and follow-up (two months) phases for Intervention versus Comparison groups. RESULTS: A significant 2 (group) × 2 (program phases) interaction was found for self-reported occupational sitting (F[3]=7.97, p=0.046), daily step counts (F[3]=15.68, p=0.0013) and waist circumference (F[3]=11.67, p=0.0086). The Intervention group decreased minutes of daily occupational sitting while also increasing step counts from baseline (446±126; 8,862±2,475) through ramping (+425±120; 9,345±2,435), maintenance (+422±123; 9,638±3,131) and follow-up (+414±129; 9,786±3,205). In the Comparison group, compared to baseline (404±106), sitting time remained unchanged through ramping and maintenance, but decreased at follow-up (-388±120), while step counts diminished across all phases. The Intervention group significantly reduced waist circumference by 2.1cms from baseline to follow-up while the Comparison group reduced waist circumference by 1.3cms over the same period. CONCLUSIONS: W@WS is a feasible and effective evidence-based intervention that can be successfully deployed with sedentary employees to elicit sustained changes on "sitting less and moving more"