Evaluating Greek equity funds using data envelopment analysis

This study assesses the relative performance of Greek equity funds employing a non-parametric method, specifically Data Envelopment Analysis (DEA). Using an original sample of cost and operational attributes we explore the e¤ect of each variable on funds' operational efficiency for an oligopolistic and bank-dominated fund industry. Our results have significant implications for the investors' fund selection process since we are able to identify potential sources of inefficiencies for the funds. The most striking result is that the percentage of assets under management affects performance negatively, a conclusion which may be related to the structure of the domestic stock market. Furthermore, we provide evidence against the notion of funds' mean-variance efficiency

Winners and losers: German equity mutual funds

We investigate the performance of winners and losers for German equity mutual funds (1990–2009), using empirical order statistics. When using gross returns and the Fama–French three-factor model, the number of statistically significant positive alpha funds is zero but increases markedly when market timing variables are added. However, when using a ‘total performance’ measure (which incorporates both alpha and the contribution of market timing), the number of statistically significant winner funds falls to zero. The latter is consistent with the bias in estimated alphas in the presence of market timing. We also find that many poorly performing funds are unskilled rather than unlucky

Testing the predictive ability of technical analysis using a new stepwise test without data snooping bias

In the finance literature, statistical inferences for large-scale testing problems usually suffer from data snooping bias. In this paper we extend the "superior predictive ability" (SPA) test of Hansen (2005, JBES) to a stepwise SPA test that can identify predictive models without potential data snooping bias. It is shown analytically and by simulations that the stepwise SPA test is more powerful than the stepwise Reality Check test of Romano and Wolf (2005, Econometrica). We then apply the proposed test to examine the predictive ability of technical trading rules based on the data of growth and emerging market indices and their exchange traded funds (ETFs). It is found that technical trading rules have significant predictive power for these markets, yet such evidence weakens after the ETFs are introduced. © 2009.preprin

Islamic legal methodologies and Shariah screening standards: application in the Indonesian stock market

This article provides a framework for applying the principles of Islamic legal methodology to determine the optimal Shariah screening standards for Islamic equity markets. It is argued that using maslahah mursalah (unrestricted benefit) is an appropriate method for identifying appropriate financial standards and its principles stipulate that the benchmark that yields the best economic returns to investors should be chosen. The methodological framework is applied to the Indonesia equity market where the economic implications of the Islamic stock screening standards of the Indonesian Islamic Shariah Stock Index and four global indices are assessed. Portfolios are constructed by applying Islamic stock screening standards for each of the indices by using data on 377 stocks listed in the Indonesian stock market for 5 years. The performances measured by the Sharpe ratio, Treynor index, and Jensen alpha reveal that the Dow Jones Islamic Index screening criteria performs the best. Based on the method of maslahah mursalah, the article recommends using the screening standard of this index in the Indonesian stock market to maximize benefits to investors. While the approach used in this article is applied to Islamic equity markets, the methodological framework can also be used for other similar cases in Islamic finance

Mechanism of the Very Efficient Quenching of Tryptophan Fluorescence in Human γD- and γS-Crystallins: The γ-Crystallin Fold May Have Evolved To Protect Tryptophan Residues from Ultraviolet Photodamage†

Proteins exposed to UV radiation are subject to irreversible photodamage through covalent modification of tryptophans (Trps) and other UV-absorbing amino acids. Crystallins, the major protein components of the vertebrate eye lens that maintain lens transparency, are exposed to ambient UV radiation throughout life. The duplicated β-sheet Greek key domains of β- and γ-crystallins in humans and all other vertebrates each have two conserved buried Trps. Experiments and computation showed that the fluorescence of these Trps in human γD-crystallin is very efficiently quenched in the native state by electrostatically enabled electron transfer to a backbone amide [Chen et al. (2006) Biochemistry 45, 11552−11563]. This dispersal of the excited state energy would be expected to minimize protein damage from covalent scission of the excited Trp ring. We report here both experiments and computation showing that the same fast electron transfer mechanism is operating in a different crystallin, human γS-crystallin. Examination of solved structures of other crystallins reveals that the Trp conformation, as well as favorably oriented bound waters, and the proximity of the backbone carbonyl oxygen of the n − 3 residues before the quenched Trps (residue n), are conserved in most crystallins. These results indicate that fast charge transfer quenching is an evolved property of this protein fold, probably protecting it from UV-induced photodamage. This UV resistance may have contributed to the selection of the Greek key fold as the major lens protein in all vertebrates.National Eye Institute (Grant EY 015834

Assessment of Chronic Illness-Related Cognitive Fusion: Preliminary Development and Validation of a New Scale with an IBD Sample

Although research recognizes the advantages of creating specific content measures, no specific measure of chronic illness-related cognitive fusion had been developed to date. The current study presents the development and validation of the Cognitive Fusion Questionnaire-Chronic Illness (CFQ-CI) in a sample of inflammatory bowel disease (IBD) patients and the analysis of the role of this construct in the psychological health of those patients. Results indicated that the 7-item CFQ-CI was a unidimensional measure of cognitive fusion in patients with chronic illnesses, and that scores had adequate/good internal consistency and construct, convergent, and discriminant validity. This study also showed that chronic illness-related cognitive fusion as assessed by the CFQ-CI acted as a mediator in the association between both IBD-related symptoms and shame with quality of life. The development of the CFQ-CI may thus contribute to a better understanding of the mechanisms influencing functional outcomes in chronic illness

Enriching Peptide Libraries for Binding Affinity and Specificity Through Computationally Directed Library Design

Peptide reagents with high affinity or specificity for their target protein interaction partner are of utility for many important applications. Optimization of peptide binding by screening large libraries is a proven and powerful approach. Libraries designed to be enriched in peptide sequences that are predicted to have desired affinity or specificity characteristics are more likely to yield success than random mutagenesis. We present a library optimization method in which the choice of amino acids to encode at each peptide position can be guided by available experimental data or structure-based predictions. We discuss how to use analysis of predicted library performance to inform rounds of library design. Finally, we include protocols for more complex library design procedures that consider the chemical diversity of the amino acids at each peptide position and optimize a library score based on a user-specified input model.National Institute of General Medical Sciences (U.S.) (Award R01 GM110048

The effects of cognitive-behavioural therapy on mood-related ruminative response style in depressed adolescents

<p>Abstract</p> <p>Background</p> <p>A mood-related ruminative response style increases the risk of onset and persistence of depression. This preliminary study investigated whether, in depressed adolescents, cognitive-behaviour therapy reduces mood-related ruminative response style. Whether specific factors within the rumination scale were differentially affected by CBT is also reported.</p> <p>Methods</p> <p>26 depressed adolescents were randomised to receiving serotonin-specific reuptake inhibitor antidepressants (SSRI) plus psychosocial treatment as usual or SSRI and psychosocial treatment as usual plus CBT. Ruminative response style and depressive symptoms were measured at baseline and after 30 weeks of treatment, with the Responses to Depression Questionnaire and Mood and Feelings Questionnaire.</p> <p>Results</p> <p>There were significantly greater reductions in ruminations in the CBT group compared to the non-CBT group (<it>p </it>= .002). There was no significant difference in the reduction in self-reported depressive symptoms between the groups. Rumination was reduced to levels of never-depressed controls in adolescents who had recovered from depression and received CBT. There were greater falls in the CBT group in the more pathological 'brooding' factor of rumination.</p> <p>Conclusion</p> <p>These findings suggest that adding CBT to SSRI medication in the presence of active clinical care causes a greater reduction in mood-related ruminative response style in depressed adolescents. This may reduce the risk of future relapse.</p> <p>Trial registration</p> <p>Current Controlled Trials ISRCNT83809224.</p