On the performance of West's bubble test: A simulation approach

Cataloged from PDF version of article.In this research we examine the ability of West’s bubble test [1] in detecting speculative bubbles using Brock’s (1982) [2] intertemporal general equilibrium model of asset pricing as the basis for a simulation study. In this setting, (1) the economy, by construction is effi- cient and produces the maximally possible amount of welfare for society, and (2) asset prices reflect the utility-maximizing behavior of consumers and the profit-maximizing behavior of firms. We find that the West’s bubble test flag as ‘‘bubbles” in the simulated data yet the data is produced from an economy in which markets are efficient in welfare production

Optimal multi-period consumption and investment with short-sale constraints

Cataloged from PDF version of article.This article examines agents’ consumption-investment problem in a multi-period pure exchange economy where agents are constrained with the short-sale of state-dependent risky contingent claims. In equilibrum, agents hold options written on aggregate consumption in their optimal portfolios. Furthermore, under the specific case of quadratic utility, the optimal risk-sharing rule derived for the pricing agent leads to a multifactor conditional consumption-based capital asset pricing model (CCAPM), where excess option returns appear as factors. 2013 Elsevier Inc. All rights reserved

Do time-varying betas help in asset pricing? Evidence from Borsa Istanbul

We investigate the time variation in the market risk of industry portfolios of Borsa Istanbul with respect to changes in economic conditions by employing the threshold CAPM. The threshold CAPM defines beta as a function of an underlying economic variable, the threshold variable, to allow beta to change between two different regimes when the threshold variable hits a certain threshold level. We use interest rate, currency basket, real effective currency index, and market volatility as candidates for the threshold variable. We find there is a significant time variation in betas with respect to changes in the currency basket level. Copyright © Taylor & Francis Group, LLC

Time-varying betas help in asset pricing: The threshold CAPM

Although there is a consensus about time variation in market betas, it is not clear how this variation should be captured. Several researchers continue to analyze different versions of the conditional CAPM. However, Ghysels (1998) shows that these conditional CAPM models fail to capture the dynamics of beta risk. In this study, we introduce a new model, threshold CAPM, which outper-forms both the conditional and unconditional CAPMs by generating smaller pricing errors. We also show that the beta risk changes through time with the changes in the economic environment and the dynamics of time variation of beta differ across industries. These findings have important implications for asset allocation, portfolio selection, and hedging decisions. Copyright ©2003 by the authors. All rights reserved

Aggregate volatility expectations and threshold CAPM

We propose a volatility-based capital asset pricing model (V-CAPM) in which asset betas change discretely with respect to changes in investors' expectations regarding near-term aggregate volatility. Using a novel measure to proxy uncertainty about expected changes in aggregate volatility, i.e. monthly range of the VIX index (RVIX), we find that portfolio betas change significantly when uncertainty about aggregate volatility expectations is beyond a certain threshold level. Due to changes in their market betas, small and value stocks are perceived as riskier than their big and growth counterparts in bad times, when uncertainty about aggregate volatility expectations is high. The proposed model yields a positive and significant market risk premium during periods when investors do not expect significant uncertainty in near-term aggregate volatility. Our findings support a volatility-based time-varying risk explanation. © 2015 Elsevier Inc

A cross-section of expected stock returns on the Istanbul stock exchange

[No abstract available

Constrained nonlinear programming for volatility estimation with GARCH models

This paper proposes a constrained nonlinear programming view of generalized autoregressive conditional heteroskedasticity (GARCH) volatility estimation models in financial econometrics. These models are usually presented to the reader as unconstrained optimization models with recursive terms in the literature, whereas they actually fall into the domain of nonconvex nonlinear programming. Our results demonstrate that constrained nonlinear programming is a worthwhile exercise for GARCH models, especially for the bivariate and trivariate cases, as they offer a significant improvement in the quality of the solution of the optimization problem over the diagonal VECH and the BEKK representations of the multivariate GARCH model

Exploring exchange rate returns at different time horizons

The performance of the well-known stochastic processes used for the empirical distribution of the exchange rate returns at different time scales was discussed. The parameters of the candidate processes at different time scales were estimated and proceed with simulating the empirical distributions of exchange rate returns from selected candidate processes. Results showed that the empirical distribution of returns behaves differently at different frequencies

Intraperitoneal drain placement and outcomes after elective colorectal surgery: international matched, prospective, cohort study

Despite current guidelines, intraperitoneal drain placement after elective colorectal surgery remains widespread. Drains were not associated with earlier detection of intraperitoneal collections, but were associated with prolonged hospital stay and increased risk of surgical-site infections.Background Many surgeons routinely place intraperitoneal drains after elective colorectal surgery. However, enhanced recovery after surgery guidelines recommend against their routine use owing to a lack of clear clinical benefit. This study aimed to describe international variation in intraperitoneal drain placement and the safety of this practice. Methods COMPASS (COMPlicAted intra-abdominal collectionS after colorectal Surgery) was a prospective, international, cohort study which enrolled consecutive adults undergoing elective colorectal surgery (February to March 2020). The primary outcome was the rate of intraperitoneal drain placement. Secondary outcomes included: rate and time to diagnosis of postoperative intraperitoneal collections; rate of surgical site infections (SSIs); time to discharge; and 30-day major postoperative complications (Clavien-Dindo grade at least III). After propensity score matching, multivariable logistic regression and Cox proportional hazards regression were used to estimate the independent association of the secondary outcomes with drain placement. Results Overall, 1805 patients from 22 countries were included (798 women, 44.2 per cent; median age 67.0 years). The drain insertion rate was 51.9 per cent (937 patients). After matching, drains were not associated with reduced rates (odds ratio (OR) 1.33, 95 per cent c.i. 0.79 to 2.23; P = 0.287) or earlier detection (hazard ratio (HR) 0.87, 0.33 to 2.31; P = 0.780) of collections. Although not associated with worse major postoperative complications (OR 1.09, 0.68 to 1.75; P = 0.709), drains were associated with delayed hospital discharge (HR 0.58, 0.52 to 0.66; P < 0.001) and an increased risk of SSIs (OR 2.47, 1.50 to 4.05; P < 0.001). Conclusion Intraperitoneal drain placement after elective colorectal surgery is not associated with earlier detection of postoperative collections, but prolongs hospital stay and increases SSI risk

Evaluation of ureteral jet dynamics in pediatric kidney stone formers: A cross-sectional study

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