Further evidence on bear market predictability: The role of the external finance premium

In this paper, we revisit bear market predictability by employing a number of variables widely used in forecasting stock returns. In particular, we focus on variables related to the presence of imperfect credit markets. We evaluate prediction performance using in-sample and out-of-sample tests. Empirical evidence from the US stock market suggests that among the variables we investigate, the default yield spread, inflation, and the term spread are useful in predicting bear markets. Further, we find that the default yield spread provides superior out-of-sample predictability for bear markets one to three months ahead, which suggests that the external finance premium has an informative content on the financial market

Further evidence on bear market predictability: The role of the external finance premium

In this paper, we revisit bear market predictability by employing a number of variables widely used in forecasting stock returns. In particular, we focus on variables related to the presence of imperfect credit markets. We evaluate prediction performance using in-sample and out-of-sample tests. Empirical evidence from the US stock market suggests that among the variables we investigate, the default yield spread, inflation, and the term spread are useful in predicting bear markets. Further, we find that the default yield spread provides superior out-of-sample predictability for bear markets one to three months ahead, which suggests that the external finance premium has an informative content on the financial market

House prices, collateral constraint, and the asymmetric effect on consumption

This paper investigates the asymmetric effect of house prices on various categories of consumption under constrained and unconstrained regimes. We first present a simple theoretical model based on Iacoviello (2004) and Luengo-Prado (2006), explicitly considering the dual role of housing and linking credit constraints to the behavior of consumption in a pair of aggregate Euler equations. We then estimate a threshold regression model and find that LC-PIH holds only under the unconstrained regime. More importantly, durable consumption exhibit a very strong asymmetric effect in response to changes in house prices, while other categories of consumption do not exhibit this asymmetry.Permanent income hypothesis Collateral constraint House prices Threshold regression

Predicting US recessions with stock market illiquidity

AbstractIn this paper, we investigate the dynamic link between recessions and stock market liquidity by examining the predictive content of illiquidity for US recessions. After controlling for other commonly featured recession predictors such as term spreads and credit spreads, we find that the illiquidity measure proposed by (Amihud, Y. 2002. “Illiquidity and Stock Returns: Cross-Section and Time-Series Effects.”</jats:p

Application of Drug Testing Platforms in Circulating Tumor Cells and Validation of a Patient-Derived Xenograft Mouse Model in Patient with Primary Intracranial Ependymomas with Extraneural Metastases

Primary intracranial ependymoma is a challenging tumor to treat despite the availability of multidisciplinary therapeutic modalities, including surgical resection, radiotherapy, and adjuvant chemotherapy. After the completion of initial treatment, when resistant tumor cells recur, salvage therapy needs to be carried out with a more precise strategy. Circulating tumor cells (CTCs) have specifically been detected and validated for patients with primary or recurrent diffused glioma. The CTC drug screening platform can be used to perform a mini-invasive liquid biopsy for potential drug selection. The validation of potential drugs in a patient-derived xenograft (PDX) mouse model based on the same patient can serve as a preclinical testing platform. Here, we present the application of a drug testing model in a six-year-old girl with primary ependymoma on the posterior fossa, type A (EPN-PFA). She suffered from tumor recurrence with intracranial and spinal seeding at 2 years after her first operation and extraneural metastases in the pleura, lung, mediastinum, and distant femoral bone at 4 years after initial treatment. The CTC screening platform results showed that everolimus and entrectinib could be used to decrease CTC viability. The therapeutic efficacy of these two therapeutic agents has also been validated in a PDX mouse model from the same patient, and the results showed that these two therapeutic agents significantly decreased tumor growth. After precise drug screening and the combination of focal radiation on the femoral bone with everolimus chemotherapy, the whole-body bone scan showed significant shrinkage of the metastatic tumor on the right femoral bone. This novel approach can combine liquid biopsy, CTC drug testing platforms, and PDX model validation to achieve precision medicine in rare and challenging tumors with extraneural metastases