On Estimating an Asset's Implicit Beta

Siegel (1995) has developed a technique with which the systematic risk of a security (beta) can be estimated without recourse to historical capital market data. Instead, beta is estimated implicitly from the current market prices of exchange options that enable the exchange of a security against shares on the market index. Because this type of exchange options is not currently traded on the capital markets, Siegel's technique cannot yet be used in practice. This article will show that beta can also be estimated implicitly from the current market prices of plain vanilla options, based on the Capital Asset Pricing Model. --

On Estimating an Asset's Implicit Beta

Siegel (1995) has developed a technique with which the systematic risk of a security (beta) can be estimated without recourse to historical capital market data. Instead, beta is estimated implicitly from the current market prices of exchange options that enable the exchange of a security against shares on the market index. Because this type of exchange options is not currently traded on the capital markets, Siegel's technique cannot yet be used in practice. This article will show that beta can also be estimated implicitly from the current market prices of plain vanilla options, based on the Capital Asset Pricing Model. We provide empirical evidence on implicit betas using prices of exchange options from the EUREX over years 2000 to 2004.Capital Asset Pricing Model, Beta, Option Pricing

The discount rate: a note on IAS 36

Measurement in financial accounting often requires determining an interest rate to discount future cash flows. One example is the International Accounting Standard (IAS)36 Impairment of assets. IAS 36´s impairment test requires determining a value in use (a present value). The Appendix A to the standard gives some guidance on how to determine a suitable discount rate. In this paper, we show that the different approaches included in IAS 36´s guidance are theoretically different. We discuss how the standard should be interpreted and applied based on the theoretical background of financial theory. Only the first alternative, we weighted cost of capital should be used and the other two alternatives should be discarded. In addition, we show that IAS 36´s guidance, applied in practice, may give rise to substential measurement errors. --

Dietary Nitrate Supplementation Improves Exercise Tolerance by Reducing Muscle Fatigue and Perceptual Responses

The present study was designed to provide further insight into the mechanistic basis for the improved exercise tolerance following dietary nitrate supplementation. In a randomized, double-blind, crossover design, twelve recreationally active males completed a dynamic time-to-exhaustion test of the knee extensors after 5 days of consuming both nitrate-rich (NITRATE) and nitrate-depleted beetroot juice (PLACEBO). Participants who improved their time-to-exhaustion following NITRATE performed a time-matched trial corresponding to the PLACEBO exercise duration with another 5 days of dietary nitrate supplementation. This procedure was performed to obtain time-matched exercise trials with (NITRATEtm) and without dietary nitrate supplementation (PLACEBO). Neuromuscular tests were performed before and after each time-matched condition. Muscle fatigue was quantified as percentage change in maximal voluntary torque from pre- to post-exercise (ΔMVT). Changes in voluntary activation (ΔVA) and quadriceps twitch torque (ΔPS100) were used to quantify central and peripheral factors of muscle fatigue, respectively. Muscle oxygen saturation, quadriceps muscle activity as well as perceptual data (i.e., perception of effort and leg muscle pain) were recorded during exercise. Time-to-exhaustion was improved with NITRATE (12:41 ± 07:18 min) compared to PLACEBO (09:03 ± 04:18 min; P = 0.010). NITRATEtm resulted in both lower ΔMVT and ΔPS100 compared to PLACEBO (P = 0.002; P = 0.001, respectively). ΔVA was not different between conditions (P = 0.308). NITRATEtm resulted in reduced perception of effort and leg muscle pain. Our findings extend the mechanistic basis for the improved exercise tolerance by showing that dietary nitrate supplementation (i) attenuated the development of muscle fatigue by reducing the exercise-induced impairments in contractile muscle function; and (ii) lowered the perception of both effort and leg muscle pain during exercise

The Swiss cohort of elderly patients with venous thromboembolism (SWITCO65+): rationale and methodology

Venous thromboembolism (VTE) is common and has a high impact on morbidity, mortality, and costs of care. Although most of the patients with VTE are aged ≥65years, there is little data about the medical outcomes in the elderly with VTE. The Swiss Cohort of Elderly Patients with VTE (SWITCO65+) is a prospective multicenter cohort study of in- and outpatients aged ≥65years with acute VTE from all five Swiss university and four high-volume non-university hospitals. The goal is to examine which clinical and biological factors and processes of care drive short- and long-term medical outcomes, health-related quality of life, and medical resource utilization in elderly patients with acute VTE. The cohort also includes a large biobank with biological material from each participant. From September 2009 to March 2012, 1,863 elderly patients with VTE were screened and 1003 (53.8%) were enrolled in the cohort. Overall, 51.7% of patients were aged ≥75years and 52.7% were men. By October 16, 2012, after an average follow-up time of 512days, 799 (79.7%) patients were still actively participating. SWITCO65+ is a unique opportunity to study short- and long-term outcomes in elderly patients with VTE. The Steering Committee encourages national and international collaborative research projects related to SWITCO65+, including sharing anonymized data and biological sample