A modified Corrado test for assessing abnormal security returns

Event studies typically use the methodology developed by Fama et al. [19699. Fama , E. , Fisher , L. , Jensen , M. and Roll , R. 1969 . The adjustment of stock prices to new information . International Economic Review , 10 ( 1 ) : 1 – 21 . [CrossRef] View all references. The adjustment of stock prices to new information. International Economic Review 10, no. 1: 1–21] to segregate a stock's return into expected and unexpected components. Moreover, conventional practice assumes that abnormal returns evolve in terms of a normal distribution. There is, however, an increasing tendency for event studies to employ non-parametric testing procedures due to the mounting empirical evidence which shows that stock returns are incompatible with the normal distribution. This paper focuses on the widely used non-parametric ranking procedure developed by Corrado [19896. Corrado , C. 1989 . A nonparametric test for abnormal security price performance in event studies . Journal of Financial Economics , 23 ( 2 ) : 385 – 95 . [CrossRef], [Web of Science ®] View all references. A nonparametric test for abnormal security price performance in event studies. Journal of Financial Economics 23, no. 2: 385–95] for assessing the significance of abnormal security returns. In particular, we develop a consistent estimator for the variance of the sum of ranks of the abnormal returns, and show how this leads to a more efficient test statistic (as well as to less cumbersome computational procedures) than the test originally proposed by Corrado (19896. Corrado , C. 1989 . A nonparametric test for abnormal security price performance in event studies . Journal of Financial Economics , 23 ( 2 ) : 385 – 95 . [CrossRef], [Web of Science ®] View all references). We also use the theorem of Berry [19413. Berry , A. 1941 . The accuracy of the Gaussian approximation to the sum of independent variates . Transactions of the American Mathematical Society , 49 ( 1 ) : 122 – 36 . [CrossRef] View all references. The accuracy of the Gaussian approximation to the sum of independent variates. Transactions of the American Mathematical Society 49, no. 1: 122–36] and Esseen [19458. Esseen , C. 1945 . Fourier analysis of distribution functions: A mathematical study of the Laplace–Gaussian law . Acta Mathematica , 77 ( 1 ) : 1 – 125 . [CrossRef] View all references. Fourier analysis of distribution functions: A mathematical study of the Laplace–Gaussian law. Acta Mathematica 77, no. 1: 1–125] to demonstrate how the distribution of the modified Corrado test statistic developed here asymptotically converges towards the normal distribution. This shows that describing the distributional properties of the sum of the ranks in terms of the normal distribution is highly problematic for small sample sizes and small event windows. In these circumstances, we show that a second-order Edgeworth expansion provides a good approximation to the actual probability distribution of the modified Corrado test statistic. The application of the modified Corrado test developed here is illustrated using data for the purchase and sale by UK directors of shares in their own companies

Time varying costs of capital and the expected present value of future cash flows

The use of an inter-temporally constant discount rate or cost of capital is a strong assumption in many exante models of finance and in applied procedures such as capital budgeting. We investigate how robust this assumption is by analysing the implications of allowing the cost of capital to vary stochastically over time. We use the Feynman–Kac functional to demonstrate how there will, in general, be systematic differences between present values computed on the assumption that the currently prevailing cost of capital will last indefinitely into the future and present values determined by discounting cash flows at the expected costs of capital that apply up until the point in time at which cash flows are to be received. Comparisons are also made with the environmental economics literature where similar problems have been addressed by invoking a ‘gamma discounting’ methodology

Ages on weathered Plio-Pleistocene tephra sequences, western North Island, New Zealand

Using the zircon fission-track method, we have obtained five ages on members of two strongly-weathered silicic, Pliocene-Pleistocene tephra sequences, the Kauroa and Hamilton Ash formations, in western North Island, New Zealand. These are the first numerical ages to be obtained directly on these deposits. Of the Kauroa Ash sequence, member K1 (basal unit) was dated at 2.24 ± 0.29 Ma, confirming a previous age of c. 2.25 Ma obtained (via tephrochronology)from K/Ar ages on associated basalt lava. Members K2 and K3 gave indistinguishable ages between 1.68 ± 0.12 and 1.43 ± 0.17 Ma. Member K12, a correlative of Oparau Tephra and probably also Ongatiti Ignimbrite, was dated at 1.28 ± 0.11 Ma, consistent with an age of 1.23 ± 0.02 Ma obtained by various methods on Ongatiti Ignimbrite. Palaeomagnetic measurements indicated that members K13 to K15 (top unit, Waiterimu Ash) are aged between c. 1.2 Ma and 0.78 Ma. Possible sources of the Kauroa Ash Formation include younger volcanic centres in the southern Coromandel Volcanic Zone or older volcanic centres in the Taupo Volcanic Zone, or both. Of the Hamilton Ash sequence, the basal member Ohinewai Ash (HI) was dated at 0.38 ± 0.04 Ma. This age matches those obtained by various methods on Rangitawa Tephra of 0.34-0.35 Ma, supporting correlation with this Whakamaru-caldera derived deposit. The origin of the other Hamilton Ash beds is unknown but various younger volcanic centres in the Taupo Volcanic Zone are possible sources. The topmost member, Tikotiko Ash (H6-H7), is estimated to be aged between c. 0.18 and 0.08 Ma. Various silicic pyroclastic deposits documented in North Island and in marine cores may be co-eval with members of the Kauroa Ash and Hamilton Ash sequences on the basis of their age

Assessing abnormal returns: the case of Chinese M&A acquiring firms

This paper analyzes of the economic benefits that accrue to Chinese acquiring firms. Our sample is based on 279 Chinese acquiring firms from 1990 until 2008 and leads to three main findings: i) Chinese acquirers have positive abnormal returns in contrast to western acquirers which tend to earn negative abnormal returns; ii) Chinese takeovers involving alternative modes of consideration have higher abnormal returns than cash deals, again in contrast to western acquirers where cash deals earn higher returns, and iii) The difference in the abnormal returns between alternative and cash deals for Chinese acquirers is driven by highly valued firms

Negative real interest rates

Standard textbook general equilibrium term structure models such as that developed by Cox, Ingersoll, and Ross [1985b. “A Theory of the Term Structure of Interest Rates.” Econometrica 53 (2): 385–407], do not accommodate negative real interest rates. Given this, the Cox, Ingersoll, and Ross [1985b. “A Theory of the Term Structure of Interest Rates.” Econometrica 53 (2): 385–407] ‘technological uncertainty variable’ is formulated in terms of the Pearson Type IV probability density. The Pearson Type IV encompasses mean-reverting sample paths, time-varying volatility and also allows for negative real interest rates. The Fokker–Planck (i.e. the Chapman–Kolmogorov) equation is then used to determine the conditional moments of the instantaneous real rate of interest. These enable one to determine the mean and variance of the accumulated (i.e. integrated) real rate of interest on a bank (or loan) account when interest accumulates at the instantaneous real rate of interest defined by the Pearson Type IV probability density. A pricing formula for pure discount bonds is also developed. Our empirical analysis of short-dated Treasury bills shows that real interest rates in the UK and the USA are strongly compatible with a general equilibrium term structure model based on the Pearson Type IV probability density

Passive range of motion of the hips and shoulders and their relationship with ball spin rate in elite finger spin bowlers

Objectives: Investigate rotational passive range of motion of the hips and shoulders for elite finger spin bowlers and their relationship with spin rate. Design: Correlational. Methods: Spin rates and twelve rotational range of motion measurements for the hips and shoulders were collected for sixteen elite male finger spin bowlers. Side to side differences in the rotational range of motion measurements were assessed using paired t-tests. Stepwise linear regression and Pearson product moment correlations were used to identify which range of motion measurements were linked to spin rate. Results: Side to side differences were found with more external rotation (p = 0.039) and less internal rotation (p = 0.089) in the bowling shoulder, and more internal rotation in the front hip (p = 0.041). Total arc of rotation of the front hip was found to be the best predictor of spin rate (r = 0.552, p =  0.027), explaining 26% of the observed variance. Internal rotation of the rear hip (r = 0.466, p =  0.059) and the bowling shoulder (r = 0.476, p =  0.063) were also associated with spin rate. Conclusions: The technique and performance of elite finger spin bowlers may be limited by the passive range of motion of their hips and shoulders. The observed side to side differences may indicate that due to the repetitive nature of finger spin bowling adaptive changes in the rotational range of motion of the hip and shoulder occur

The Impact of Infectious Disease-Related Public Health Emergencies on Suicide, Suicidal Behavior, and Suicidal Thoughts:A Systematic Review

Background: Infectious disease-related public health emergencies (epidemics) may increase suicide risk, and high-quality evidence is needed to guide an international response. Aims: We investigated the potential impacts of epidemics on suicide-related outcomes. Method: We searched MEDLINE, EMBASE, PsycInfo, CINAHL, Scopus, Web of Science, PsyArXiv, medRxiv, and bioRxiv from inception to May 13–16, 2020. Inclusion criteria: primary studies, reviews, and meta-analyses; reporting the impact of epidemics; with a primary outcome of suicide, suicidal behavior, suicidal ideation, and/or self-harm. Exclusion criteria: not concerned with suicide-related outcomes; not suitable for data extraction. PROSPERO registration: #CRD42020187013. Results: Eight primary papers were included, examining the effects of five epidemics on suicide-related outcomes. There was evidence of increased suicide rates among older adults during SARS and in the year following the epidemic (possibly motivated by social disconnectedness, fears of virus infection, and concern about burdening others) and associations between SARS/Ebola exposure and increased suicide attempts. A preprint study reported associations between COVID-19 distress and past-month suicidal ideation. Limitations: Few studies have investigated the topic; these are of relatively low methodological quality. Conclusion: Findings support an association between previous epidemics and increased risk of suicide-related outcomes. Research is needed to investigate the impact of COVID-19 on suicide outcomes

A hyperbolic model of optimal cash balances

We develop a hyperbolic cash management model based on the Pearson Type IV probability density which minimises extreme variations in firm cash balances. Since the moments for the Type IV probability density are in general undefined and maximum likelihood estimation is compromised by the non-algebraic nature of the Type IV normalising constant, parameter estimation is implemented using the minimum method. Empirical analysis shows that the Type IV density is highly compatible with the quarterly cash flow data of a randomly selected sample of 100 large U.S. corporations. In contrast, around 60% of the 100 corporations return Jarque–Bera test statistics which are incompatible with the Gaussian probability density

A Dispermic Chimera with Mixed Field Blood Group B and Mosaic 46,XY/47,XYY Karyotype

Chimerism in humans is a rare phenomenon often initially identified in the resolution of an ABO blood type discrepancy. We report a dispermic chimera who presented with mixed field in his B antigen typing that might have been mistaken for the B3 subtype. The propositus is a healthy Korean male blood donor. Neither his clinical history nor initial molecular investigation of his ABO gene explained his mixed field agglutination with murine anti-B. Chimerism was suspected, and 9 short tandem repeat (STR) loci were analyzed on DNA extracted from blood, buccal swabs, and hair from this donor and on DNA isolated from peripheral blood lymphocytes from his parents. The propositus' red blood cells demonstrated mixed field agglutination with anti-B. Exon 6 and 7 and flanking intronic regions of his ABO gene were sequenced and revealed an O01/O02 genotype. B allele haplotype-specific PCR, along with exon 6 and 7 cloning and sequencing demonstrated a third ABO allele, B101. Four STR loci demonstrated a pattern consistent with a double paternal chromosome contribution in the propositus, thus confirming chimerism. His karyotype revealed a mosaic pattern: 32/50 metaphases were 46,XY and 18/50 metaphases demonstrated 47,XYY