Investor heterogeneity and the cross-section of U.K. investment trust performance

We use the upper and lower bounds derived by Ferson and Lin (2010) to examine the impact of investor heterogeneity on the performance of U.K. investment trusts relative to alternative linear factor models. We find using the upper bounds that investor heterogeneity has an important impact for nearly all investment trusts. The upper bounds are large in economic terms and significantly different from zero. We find no evidence of any trusts where all investors agree on the sign of performance beyond what we expect by chance. Using the lower bound, we find that trusts with a larger disagreement about trust performance have a weaker relation between the trust premium and past Net Asset Value (NAV) performance

Decentralization and regional government size in Spain

The aim of this paper is to investigate the impact of fiscal decen- tralization on the size of regional governments in Spain, by controlling for economies of scale, interregional heterogeneity and institutional framework. We study it over 1985 to 2004 using a panel dataset of seventeen spanish regions. The results can be easily summarized. Firstly, it supports the classic public goods theory of a trade-off-between the economic benefits of size and the costs of heterogeneity. Secondly, it doesn’t reject the “Leviathan” hypoth- esis and neither does the “common pool” hypothesis. Thirdly, by contrast, the paper partly rejects the “Wallis”’ hypothesis. It argues that government size is mediated by financial resources obtained through intergovernmental grants, consistent with welfare economics and positive economic policies. We conclude that later advances in the decentralisation process must be compatible with the goal of reducing fiscal imbalances that emanate from the vertical structure of fiscal power.info:eu-repo/semantics/publishedVersio

Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models

A popular explanation of aggregate stock market behavior suggests that assets are priced as if there were a representative investor whose utility is a power function of the difference between aggregate consumption and a “habit” level, where the habit is some function of lagged and (possibly) contemporaneous consumption. But theory does not provide precise guidelines about the parametric functional relationship between the habit and aggregate consumption. This makes for- mal estimation and testing challenging; at the same time, it raises an empirical question about the functional form of the habit that best explains asset pricing data. This paper studies the ability of a general class of habit-based asset pricing models to match the conditional moment restrictions implied by asset pricing theory. Our approach is to treat the functional form of the habit as unknown, and to estimate it along with the rest of the model’s finite dimensional parameters. This semiparametric approach allows us to empirically evaluate a number of interesting hypotheses about the specification of habit-based asset pricing models. Using stationary quarterly data on consumption growth, assets returns and instruments, our empirical results indicate that the estimated habit function is nonlinear, the habit formation is internal, and the estimated time-preference parameter and the power utility parameter are sensible. In addition, our estimated habit function generates a positive stochastic discount factor (SDF) proxy and performs well in explaining cross-sectional stock return data. We find that an internal habit SDF proxy can explain a cross-section of size and book-market sorted portfolio equity returns better than (i) the Fama and French (1993) three-factor model, (ii) the Lettau and Ludvigson (2001b) scaled consumption CAPM model, (iii) an external habit SDF proxy, (iv) the classic CAPM, and (v) the classic consumption CAPM

Polymorphisms in NFkB, PXR, LXR and risk of colorectal cancer in a prospective study of Danes

<p>Abstract</p> <p>Background</p> <p>Transcription factors and nuclear receptors constitute a link between exposure to heterocyclic amines and polycyclic aromatic hydrocarbons from meat and tobacco smoke and colorectal cancer (CRC) risk. The aim of this study was to investigate if polymorphisms in nuclear factor kappa-B, pregnane X receptor, and liver X receptor were associated with risk of CRC, and to investigate possible interactions with lifestyle factors such as smoking, meat consumption, and NSAID use.</p> <p>Methods</p> <p>The polymorphisms nuclear factor kappa-B (<it>NFkB, NFKB1) </it>-94 insertion/deletion ATTG (rs28362491), pregnane X receptor (<it>PXR, NR1I2) </it>A-24381C (rs1523127), C8055T (rs2276707), A7635G (rs6785049), liver X receptor (<it>LXR-β, NR1H3) </it>C-rs1405655T, T-rs2695121C were assessed together with lifestyle factors in a nested case-cohort study of 378 CRC cases and 756 random participants from the Danish prospective Diet, Cancer and Health study of 57,053 persons.</p> <p>Results</p> <p>Carriers of <it>NFkB </it>-94deletion were at 1.45-fold higher risk of CRC than homozygous carriers of the insertion allele (incidence rate ratio (IRR) = 1.45, 95% confidence interval (95% CI): 1.10-1.92). There was interaction between this polymorphism and intake of red and processed meat in relation to CRC risk. Carriers of <it>NFkB </it>-94deletion were at 3% increased risk pr 25 gram meat per day (95% CI: 0.98-1.09) whereas homozygous carriers of the insertion were not at increased risk (p for interaction = 0.03). <it>PXR </it>and <it>LXR </it>polymorphisms were not associated with CRC risk. There was no interaction between use of nonsteroid antiinflammatory drugs (NSAID) or smoking status and <it>NFkB</it>, <it>PXR </it>or <it>LXR </it>polymorphisms.</p> <p>Conclusions</p> <p>A polymorphism in <it>NFkB </it>was associated with CRC risk and there was interaction between this polymorphism and meat intake in relation to CRC risk. This study suggests a role for NFkB in CRC aetiology.</p

Measuring and Modeling Risk Using High-Frequency Data

Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management. The recent availability of high-frequency data allows for refined methods in this field. In particular, more precise measures for the daily or lower frequency volatility can be obtained by summing over squared high-frequency returns. In turn, this so-called realized volatility can be used for more accurate model evaluation and description of the dynamic and distributional structure of volatility. Moreover, non-parametric measures of systematic risk are attainable, that can straightforwardly be used to model the commonly observed time-variation in the betas. The discussion of these new measures and methods is accompanied by an empirical illustration using high-frequency data of the IBM incorporation and of the DJIA index

Radiative Transfer for Exoplanet Atmospheres

Remote sensing of the atmospheres of distant worlds motivates a firm understanding of radiative transfer. In this review, we provide a pedagogical cookbook that describes the principal ingredients needed to perform a radiative transfer calculation and predict the spectrum of an exoplanet atmosphere, including solving the radiative transfer equation, calculating opacities (and chemistry), iterating for radiative equilibrium (or not), and adapting the output of the calculations to the astronomical observations. A review of the state of the art is performed, focusing on selected milestone papers. Outstanding issues, including the need to understand aerosols or clouds and elucidating the assumptions and caveats behind inversion methods, are discussed. A checklist is provided to assist referees/reviewers in their scrutiny of works involving radiative transfer. A table summarizing the methodology employed by past studies is provided.Comment: 7 pages, no figures, 1 table. Filled in missing information in references, main text unchange

Duration and compliance with antidepressant treatment in immigrant and native-born populations in Spain: a four year follow-up descriptive study

<p>Abstract</p> <p>Background</p> <p>Non-compliance with antidepressant treatment continues to be a complex problem in mental health care. In immigrant populations non-compliance is one of several barriers to adequate management of mental illness; some data suggest greater difficulties in adhering to pharmacological treatment in these groups and an increased risk of therapeutic failure.</p> <p>The aim of this study is to assess differences in the duration and compliance with antidepressant treatment among immigrants and natives in a Spanish health region.</p> <p>Methods</p> <p>Population-based (n=206,603), retrospective cohort study including all subjects prescribed ADT between 2007 and 2009 and recorded in the national pharmacy claims database. Compliance was considered adequate when the duration was longer than 4months and when patients withdrew more than 80% of the packs required.</p> <p>Results</p> <p>5334 subjects (8.5% of them being immigrants) initiated ADT. Half of the immigrants abandoned treatment during the second month (median for natives=3months). Of the immigrants who continued, only 29.5% presented good compliance (compared with 38.8% in natives). The estimated risk of abandoning/ending treatment in the immigrant group compared with the native group, adjusted for age and sex, was 1.28 (95%CI 1.16-1.42).</p> <p>Conclusions</p> <p>In the region under study, immigrants of all origins present higher percentages of early discontinuation of ADT and lower median treatment durations than the native population. Although this is a complex, multifactor situation, the finding of differences between natives and immigrants in the same region suggests the need to investigate the causes in greater depth and to introduce new strategies and interventions in this population group.</p

A simple, reproducible method for monitoring the treatment of tumours using dynamic contrast-enhanced MR imaging

Dynamic contrast-enhanced MR imaging (DCE-MRI) may act as a biomarker for successful cancer therapy. Simple, reproducible techniques may widen this application. This paper demonstrates a single slice imaging technique. The image acquisition is performed in less than 500 ms making it relatively insensitive to respiratory motion. Data from phantom studies and a reproducibility study in solid human tumours are presented. The reproducibility study showed a coefficient of variation (CoV) of 19.1% for Ktrans and 15.8% for the initial area under the contrast enhancement curve (IAUC). This was improved to 16 and 13.9% if tumours of diameter less than 3 cm were excluded. The individual repeatability (the range within which individual measurements are expected to fall) was 30.6% for Ktrans and 26.5% for IAUC for tumours greater than 3 cm diameter. This approach to DCE–MRI image acquisition can be performed with standard clinical scanners, and data analysis is straightforward. For treatment trials with 10 patients in a cohort, the CoV implies that the method would be sensitive to a treatment effect of greater than 18%. The individual repeatability is well inside the 40% change shown to be important in clinical studies using this DCE–MRI technique

A haplotype of polymorphisms in ASE-1, RAI and ERCC1 and the effects of tobacco smoking and alcohol consumption on risk of colorectal cancer: a danish prospective case-cohort study

<p>Abstract</p> <p>Background</p> <p>Single nucleotide polymorphisms (SNPs) are the most frequent type of genetic variation in the human genome, and are of interest for the study of susceptibility to and protection from diseases. The haplotype at chromosome 19q13.2-3 encompassing the three SNPs <it>ASE-1 </it>G-21A, <it>RAI </it>IVS1 A4364G and <it>ERCC1 </it>Asn118Asn have been associated with risk of breast cancer and lung cancer. Haplotype carriers are defined as the homozygous carriers of <it>RAI </it>IVS1 A4364G^A, <it>ERCC1 </it>Asn118Asn^Tand <it>ASE-1 </it>G-21A^G. We aimed to evaluate whether the three polymorphisms and the haplotype are associated to risk of colorectal cancer, and investigated gene-environment associations between the polymorphisms and the haplotype and smoking status at enrolment, smoking duration, average smoking intensity and alcohol consumption, respectively, in relation to risk of colorectal cancer.</p> <p>Methods</p> <p>Associations between the three individual polymorphisms, the haplotype and risk of colorectal cancer were examined, as well as gene-environment interaction, in a Danish case-cohort study including 405 cases and a comparison group of 810 persons. Incidence rate ratio (IRR) were estimated by the Cox proportional hazards model stratified according to gender, and two-sided 95% confidence intervals (CI) and p-values were calculated based on robust estimates of the variance-covariance matrix and Wald's test of the Cox regression parameter.</p> <p>Results</p> <p>No consistent associations between the three individual polymorphisms, the haplotype and risk of colorectal cancer were found. No statistically significant interactions between the genotypes and the lifestyle exposures smoking or alcohol consumption were observed.</p> <p>Conclusion</p> <p>Our results suggest that the <it>ASE-1 </it>G-21A, <it>RAI </it>IVS1 A4364G and <it>ERCC1 </it>Asn118Asn polymorphisms and the previously identified haplotype are not associated with risk of colorectal cancer. We found no evidence of gene-environment interaction between the three polymorphisms and the haplotype and smoking intensity and alcohol consumption, respectively, in relation to the risk of colorectal cancer.</p

Antidepressant-Warfarin Interaction and Associated Gastrointestinal Bleeding Risk in a Case-Control Study

Bleeding is the most common and worrisome adverse effect of warfarin therapy. One of the factors that might increase bleeding risk is initiation of interacting drugs that potentiate warfarin. We sought to evaluate whether initiation of an antidepressant increases the risk of hospitalization for gastrointestinal bleeding in warfarin users.Medicaid claims data (1999-2005) were used to perform an observational case-control study nested within person-time exposed to warfarin in those ≥18 years. In total, 430,455 warfarin users contributed 407,370 person-years of warfarin use. The incidence rate of hospitalization for GI bleeding among warfarin users was 4.48 per 100 person-years (95% CI, 4.42-4.55). Each gastrointestinal bleeding cases was matched to 50 controls based on index date and state. Warfarin users had an increased odds ratio of gastrointestinal bleeding upon initiation of citalopram (OR = 1.73 [95% CI, 1.25-2.38]), fluoxetine (OR = 1.63 [95% CI, 1.11-2.38]), paroxetine (OR = 1.64 [95% CI, 1.27-2.12]), amitriptyline (OR = 1.47 [95% CI, 1.02-2.11]). Also mirtazapine, which is not believed to interact with warfarin, increased the risk of GI bleeding (OR = 1.75 [95% CI, 1.30-2.35]).Warfarin users who initiated citalopram, fluoxetine, paroxetine, amitriptyline, or mirtazapine had an increased risk of hospitalization for gastrointestinal bleeding. However, the elevated risk with mirtazapine suggests that a drug-drug interaction may not have been responsible for all of the observed increased risk