The Timeliness of Accounting Disclosures in International Security Markets

In this study, we examine financial reporting lags, the incidence of late filing, and the relationship between reporting lags, firm performance and the degree of capital market scrutiny. We use a large sample of firms spanning 22 countries over an eleven-year period. A focal point of our analysis is whether the incidence of late filing, and the relations between reporting days and other variables, differ systematically between common and code law countries. Relative to U.S. firms, we report that the time taken and allowed for filing is usually longer in other countries and that the statutory requirement is more frequently violated. Timely filing is found to be less frequent in code law countries. Poor firm performance and longer reporting lags are more strongly linked in common law countries. We also find that whereas greater capital market scrutiny and more timely filing are related, there is less support for a relationship between the level of debt financing and timely filing in code law countries

An Examination of Value Line’s Long-term Projection

Unlike previous papers, which have focused on the timeliness ranks, we examine Value Line’s 3–5 year projections for stock returns, earnings, sales and related measures. We find that Value Line’s stock return and earnings forecasts exhibit large positive bias, although their sales predictions do not. For stock returns, Value Line’s projections lack predictive power; for other variables predictive power may exist to some degree. Our findings suggest the spectacular past performance of the timeliness indicator reflects either close alignment with other known anomalies or data mining, and that investors and researchers should use Value Line’s long-term projections with caution

Involvement of UDP-Glucuronosyltransferases and Sulfotransferases in the Excretion and Tissue Distribution of Resveratrol in Mice.

Resveratrol is a naturally occurring polyphenolic compound with various pharmacological activities. It is unknown whether the expression of metabolizing enzymes correlates with resveratrol levels in organs and tissues. Therefore, we investigated the metabolism and tissue distribution of resveratrol in mice and assessed its association with the expression of UDP-glucuronosyltransferase (Ugt) and sulfotransferase (Sult) genes. Plasma, urine, feces, and various organs were analyzed using high-performance liquid chromatography at up to 8 h after intragastric resveratrol administration. The metabolism of resveratrol was pronounced, leading to the formation of resveratrol glucuronides and sulfates. Concentrations of resveratrol and its metabolites were high in the gastrointestinal organs, urine, and feces, but low in the liver and kidneys. In lung, heart, thymus, and brain tissues, parent resveratrol levels exceeded the sulfate and glucuronide concentrations. The formation of resveratrol conjugates correlated with the expression of certain Ugt and Sult genes. Reverse transcription quantitative PCR (RT-qPCR) analysis revealed high mRNA expression of Ugt1a1 and Ugt1a6a in the liver, duodenum, jejunum, ileum, and colon, leading to high concentrations of resveratrol-3-O-glucuronide in these organs. Strong correlations of resveratrol-3-O-sulfate and resveratrol-3-O-4'-O-disulfate formation with Sult1a1 mRNA expression were also observed, particularly in the liver and colon. In summary, our data revealed organ-specific expression of Sults and Ugts in mice that strongly affects resveratrol concentrations; this may also be predictive in humans following oral uptake of dietary resveratrol

Strategic and Tactical Roles of Enhanced Commodity Indices

This article formally compares two traditional long-only commodity indices, Standard & Poor's Goldman Sachs Commodity Index (S&P-GSCI) and Dow Jones-UBS Commodity Index (DJ-UBSCI), with their enhanced versions that exploit signals based on contract maturity, momentum, and term structure. The enhanced indices are found to be useful for tactical asset allocation. With alphas ranging from 2.77% to 5.49% per annum, the maturity-enhanced indices offer the best abnormal performance after accounting for liquidity risk. Momentum and term structure enhancements also earn a positive, albeit smaller, alpha of 2.10% per annum on average. All the enhanced indices are found to have comparable effectiveness for risk diversification and inflation hedging as their traditional counterparts, making them useful for strategic asset allocation

The trend is our friend: Risk parity, momentum and trend following in global asset allocation

We examine applying a trend following methodology to global asset allocation between equities, bonds, commodities and real estate. This strategy offers substantial improvement in risk-adjusted performance compared to buy-and-hold portfolios and a superior method of asset allocation than risk parity. We believe the discipline of trend following overcomes many of the behavioural biases investors succumb to, such as regret and herding, and offers a solution to the inappropriate sequence of returns which can be problematic for decumulation portfolios. The other side of behavioural biases is that they may be exploited by investors: an example is momentum investing where herding leads to continuation of returns and has been identified across many assets. Momentum and trend following differ as the former is a relative concept and the latter absolute. Combining both can achieve the higher return levels associated with momentum portfolios with much reduced volatility and drawdowns due to trend following. Measures based on utility of a representative investor reinforce the superiority of combining trend following with momentum strategies. These techniques help address the sequencing of returns issue which can be a serious issue for financial planning

A momentum trading strategy based on the low frequency component of the exchange rate

Authors' draft published as working paper; version August 2008. Final version published in Journal of Banking & Finance. Available online at http://www.sciencedirect.com/In this paper, we develop a momentum trading strategy based on the low frequency trend component of the spot exchange rate. Using kernel regression and the high-pass filter of Hodrick and Prescott [Hodrick, R., Prescott, E., 1997. Post-war US business cycles: An empirical investigation. Journal of Money, Credit and Banking 29, 1-16], we recover the non-linear trend in the monthly exchange rate and use short-term momentum in this to generate buy and sell signals. The low frequency momentum trading strategy offers greater directional accuracy, higher returns and Sharpe ratios, lower maximum drawdown and less frequent trading than traditional moving average rules. Moreover, unlike traditional moving average rules, the performance of the low frequency momentum trading strategy is relatively robust across different time periods. The low frequency momentum trading strategy is also robust to the choice of smoothing parameter (in the case of the HP filter) and the distribution and bandwidth parameter (in the case of kernel regression) over a wide range of values. (C) 2009 Elsevier B.V. All rights reserved

Commodity strategies based on momentum, term structure, and idiosyncratic volatility

This article demonstrates that momentum, term structure, and idiosyncratic volatility signals in commodity futures markets are not overlapping, which inspires a novel triple-screen strategy. We show that simultaneously buying contracts with high past performance, high roll-yields, and low idiosyncratic volatility, and shorting contracts with poor past performance, low roll-yields, and high idiosyncratic volatility yields a Sharpe ratio over the 1985 to 2011 period that is five times that of the S&P-GSCI. The triple-screen strategy dominates the double-screen and individual strategies and this outcome cannot be attributed to overreaction, liquidity risk, transaction costs, or the financialization of commodity futures markets

Trend following, risk parity and momentum in commodity futures

We show that combining momentum and trend following strategies for individual commodity futures can lead to portfolios which offer attractive risk adjusted returns which are superior to simple momentum strategies; when we expose these returns to a wide array of sources of systematic risk we find that robust alpha survives. Experimenting with risk parity portfolio weightings has limited impact on our results though in particular is beneficial to long–short strategies; the marginal impact of applying trend following methods far outweighs momentum and risk parity adjustments in terms of risk-adjusted returns and limiting downside risk. Overall this leads to an attractive strategy for investing in commodity futures and emphasises the importance of trend following as an investment strategy in the commodity futures context

Transition of plasmodium sporozoites into liver stage-like forms is regulated by the RNA binding protein pumilio

Many eukaryotic developmental and cell fate decisions that are effected post-transcriptionally involve RNA binding proteins as regulators of translation of key mRNAs. In malaria parasites (Plasmodium spp.), the development of round, non-motile and replicating exo-erythrocytic liver stage forms from slender, motile and cell-cycle arrested sporozoites is believed to depend on environmental changes experienced during the transmission of the parasite from the mosquito vector to the vertebrate host. Here we identify a Plasmodium member of the RNA binding protein family PUF as a key regulator of this transformation. In the absence of Pumilio-2 (Puf2) sporozoites initiate EEF development inside mosquito salivary glands independently of the normal transmission-associated environmental cues. Puf2- sporozoites exhibit genome-wide transcriptional changes that result in loss of gliding motility, cell traversal ability and reduction in infectivity, and, moreover, trigger metamorphosis typical of early Plasmodium intra-hepatic development. These data demonstrate that Puf2 is a key player in regulating sporozoite developmental control, and imply that transformation of salivary gland-resident sporozoites into liver stage-like parasites is regulated by a post-transcriptional mechanism