Active Funds and Bundled News

We use trade-level data to examine the role of actively managed funds (AMFs) in earnings news dissemination. AMFs trade 170 percent more on earnings announcement (EA) days than on non-EA days. Abnormal AMF participation is disproportionately higher when earnings news is bundled with management guidance about future earnings. When the two pieces of information are directionally inconsistent, AMFs trade in the direction of guidance news rather than current earnings news. They exhibit an ability to discern, and adapt their trading to, the bias in managerial guidance. Further, we find that increased AMF trading during EAs reduces post-guidance price drift and leads to faster price adjustment. Collectively, our findings suggest AMFs are relatively sophisticated processors of bundled EA news, and their trading generally improves market price discovery

Loan Portfolio Risk and Capital Adequacy: A New Approach to Evaluating the Riskiness of Banks

We develop a Loan Portfolio Risk (LPR) variable that measures time-varying volatility in default risk for a portfolio of bank loans. An Equity-to-LPR ratio (ELPR) is incrementally important in predicting bank failure up to five years in advance, even after controlling for all the CAMELS variables. Publicly-listed banks with higher ELPR have lower market implied costs-of-capital. ELPR also strongly predicts cross-sectional stock returns under stress conditions. During the financial crisis (7/2007-6/2011), a cash-neutral strategy that longs high-ELPR and shorts low-ELPR banks yields a monthly alpha of 3.3% to 4.2%. We conclude LPR captures key aspects of bank risk missed by a risk-weighted-asset approach

Evaluating Firm-Level Expected-Return Proxies

We develop and implement a rigorous analytical framework for empirically evaluating the relative performance of firm-level expected-return proxies (ERPs). We show that superior proxies should closely track true expected returns both cross-sectionally and over time (that is, the proxies should exhibit lower measurement-error variances). We then compare five classes of ERPs nominated in recent studies to demonstrate how researchers can easily implement our two-dimensional evaluative framework. Our empirical analyses document a tradeoff between time-series and cross-sectional ERP performance, indicating the optimal choice of proxy may vary across research settings. Our results illustrate how researchers can use our framework to critically evaluate and compare a growing body of ERPs

Enhanced Tissue Integration During Cartilage RepairIn VitroCan Be Achieved by Inhibiting Chondrocyte Death at the Wound Edge

Objective: Experimental wounding of articular cartilage results in cell death at the lesion edge. The objective of this study was to investigate whether inhibition of this cell death results in enhanced integrative cartilage repair. Methods: Bovine articular cartilage discs (6mm) were incubated in media containing inhibitors of necrosis (Necrostatin-1, Nec-1) or apoptosis (Z-VAD-FMK, ZVF) before cutting a 3mm inner core. This core was left in situ to create disc/ring composites, cultured for up to 6 weeks with the inhibitors, and analyzed for cell death, sulfated glycosaminoglycan release, and tissue integration. Results: Creating the disc/ring composites resulted in a significant increase in necrosis. ZVF significantly reduced necrosis and apoptosis at the wound edge. Nec-1 reduced necrosis. Both inhibitors reduced the level of wound-induced sulfated glycosaminoglycan loss. Toluidine blue staining and electron microscopy of cartilage revealed significant integration of the wound edges in disc/ring composites treated with ZVF. Nec-1 improved integration, but to a lesser extent. Push-out testing revealed that ZVF increased adhesive strength compared to control composites. Conclusions: This study shows that treatment of articular cartilage with cell death inhibitors during wound repair increases the number of viable cells at the wound edge, prevents matrix loss, and results in a significant improvement in cartilage-cartilage integration

Earnings news and small traders : An intraday analysis

This study separates trading volume into buyer- and seller-initiated activities and examines the directional volume reaction in small and large trades to different types of earnings news. `Good' (`bad') news triggers brief, but intense, buying (selling) in the large trades. However, a persistent period of unusually high buying activity is observed in the small trades irrespective of the news. This anomalous proclivity of small traders to buy is robust across firm size, trading volume, and different earnings expectation models. Several explanations are discussed, although the behavior does not seem fully explained by existing theories.Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/30006/1/0000374.pd

Empirical ugri-UBVRc Transformations for Galaxies

We present empirical color transformations between Sloan Digital Sky Survey ugri and Johnson-Cousins UBVRc photometry for nearby galaxies (D < 11 Mpc). We use the Local Volume Legacy (LVL) galaxy sample where there are 90 galaxies with overlapping observational coverage for these two filter sets. The LVL galaxy sample consists of normal, non-starbursting galaxies. We also examine how well the LVL galaxy colors are described by previous transformations derived from standard calibration stars and model-based galaxy templates. We find significant galaxy color scatter around most of the previous transformation relationships. In addition, the previous transformations show systematic offsets between transformed and observed galaxy colors which are visible in observed color-color trends. The LVL-based $galaxy$ transformations show no systematic color offsets and reproduce the observed color-color galaxy trends.Comment: Accepted for publication in MNRAS (9 pages, 6 figures, 4 tables

Spitzer Local Volume Legacy (LVL) SEDs and Physical Properties

We present the panchromatic spectral energy distributions (SEDs) of the Local Volume Legacy (LVL) survey which consists of 258 nearby galaxies ($D<$11 Mpc). The wavelength coverage spans the ultraviolet to the infrared (1500 $\textrm{\AA}$ to 24 $\mu$m) which is utilized to derive global physical properties (i.e., star formation rate, stellar mass, internal extinction due to dust.). With these data, we find color-color relationships and correlated trends between observed and physical properties (i.e., optical magnitudes and dust properties, optical color and specific star formation rate, and ultraviolet-infrared color and metallicity). The SEDs are binned by different galaxy properties to reveal how each property affects the observed shape of these SEDs. In addition, due to the volume-limited nature of LVL, we utilize the dwarf-dominated galaxy sample to test star formation relationships established with higher-mass galaxy samples. We find good agreement with the star-forming "main-sequence" relationship, but find a systematic deviation in the infrared "main-sequence" at low luminosities. This deviation is attributed to suppressed polycyclic aromatic hydrocarbon (PAH) formation in low metallicity environments and/or the destruction of PAHs in more intense radiation fields occurring near a suggested threshold in sSFR at a value of log($sSFR$) $\sim$ $-$10.2.Comment: Accepted for publication in MNRAS (15 pages, 14 figures, 1 table

The Spitzer Local Volume Legacy (LVL) Global Optical Photometry

We present the global optical photometry of 246 galaxies in the Local Volume Legacy (LVL) survey. The full volume-limited sample consists of 258 nearby (D < 11 Mpc) galaxies whose absolute B-band magnitude span a range of -9.6 < M_B < -20.7 mag. A composite optical (UBVR) data set is constructed from observed UBVR and SDSS ugriz imaging, where the ugriz magnitudes are transformed into UBVR. We present photometry within three galaxy apertures defined at UV, optical, and IR wavelengths. Flux comparisons between these apertures reveal that the traditional optical R25 galaxy apertures do not fully encompass extended sources. Using the larger IR apertures we find color-color relationships where later-type spiral and irregular galaxies tend to be bluer than earlier-type galaxies. These data provide the missing optical emission from which future LVL studies can construct the full panchromatic (UV-optical-IR) spectral energy distributions.Comment: Accepted for publication in MNRAS (9 pages, 5 figures, 5 tables