Volatility timing : how best to forecast portfolio exposures

This paper investigates how best to forecast optimal portfolio weights in the context of a volatility timing strategy. It measures the economic value of a number of methods for forming optimal portfolios on the basis of realized volatility. These include the traditional econometric approach of forming portfolios from forecasts of the covariance matrix, and a novel method, where a time series of optimal portfolio weights are constructed from observed realized volatility and directly forecast. The approach proposed here of directly forecasting portfolio weights shows a great deal of merit. Resulting portfolios are of equivalent economic benefit to a number of competing approaches and are more stable across time. These findings have obvious implications for the manner in which volatility timing is undertaken in a portfolio allocation context.

Prognostic value of angiogenesis in operable non-small cell lung cancer

Tumour angiogenesis is an important factor for tumour growth and metastasis. Although some recent reports suggest that microvessel counts in non-small cell lung cancer are related to a poor disease outcome, the results were not conclusive and were not compared with other molecular prognostic markers. In the present study, the vascular grade was assessed in 107 (T1,2-N0,1) operable non-small cell lung carcinomas, using the JC70 monoclonal antibody to CD31. Three vascular grades were defined with appraisal by eye and by Chalkley counting: high (Chalkley score 7-12), medium (5-6), and low (2-4). There was a significant correlation between eye appraisal and Chalkley counting (P < 0.0001). Vascular grade was not related to histology, grade, proliferation index (Ki67), or EGFR or p53 expression. Tumours from younger patients had a higher grade of angiogenesis (P = 0.05). Apart from the vascular grade, none of the other factors examined was statistically related to lymph node metastasis (P < 0.0001). A univariate analysis of survival showed that vascular grade was the most significant prognostic factor (P = 0.0004), followed by N-stage (P = 0.001). In a multivariate analysis, N-stage and vascular grade were not found to be independent prognostic factors, since they were strongly related to each other. Excluding N-stage, vascular grade was the only independent prognostic factor (P = 0.007). Kaplan-Meier survival curves showed a statistically significant worse prognosis for patients with high vascular grade, but no difference was observed between low and medium vascular grade. These data suggest that angiogenesis in operable non-small cell lung cancer is a major prognostic factor for survival and, among the parameters tested, is the only factor related to cancer cell migration to lymph nodes. The integration of vascular grading in clinical trials on adjuvant chemotherapy and/or radiotherapy could substantially contribute in defining groups of operable patients who might benefit from cytotoxic treatment.

Brand value of property in Bangkok Metropolitan Region (BMR), Thailand

This paper aims to evaluate the brand value of property in subdivision developments in the Bangkok Metropolitan Region (BMR), Thailand. The result has been determined by the application of a hedonic price model. The development of the model is developed based on a sample of 1,755 property sales during the period of 1992-2010 in eight zones of the BMR. The results indicate that the use of a semi-logarithmic model has stronger explanatory power and is more reliable. Property price increases 12.90% from the branding. Meanwhile, the price annually increases 2.96%; lot size and dwelling area have positive impacts on the price. In contrast, duplexes and townhouses have a negative impact on the price compared to single detached houses. Moreover, the price of properties which are located outside the Bangkok inner city area is reduced by 21.26% to 43.19%. These findings also contribute towards a new understanding of the positive impact of branding on the property price in the BMR. The result is useful for setting selling prices for branded and unbranded properties, and the model could provide a reference for setting property prices in subdivision developments in the BMR.

Outsider board activity, ownership structure and firm value : evidence from Korea

Using a sample of publicly listed firm in Korea from 2002 to 2006, this article examines the impact of board monitoring on firm value and productivity. We use outsider's attendance of board meetings as a proxy for board monitoring. Consistent with the commitment hypothesis, we find that outsider's attendance rate increases firm value, suggesting that attending board meeting itself is a strong signal that reflects outsider's intention to monitor insiders. While ownership of controlling shareholders negatively affects firm value, this relationship is not moderated by increased monitoring by outsiders. Our findings provide further evidence that the outside director system is less effective in chaebol-affiliated firms. Results also indicate that the effect of outsider's board monitoring activity on investor's valuation of the firm is greater than on productivity improvement of the firm. Our conclusions are robust for possible endogeneity in the relationship between firm value and board attendance by outside directors.

Prognostic value of TP53, KRAS and EGFR mutations in nonsmall cell lung cancer : the EUELC cohort

Nonsmall cell lung cancer samples from the European Early Lung Cancer biobank were analysed to assess the prognostic significance of mutations in the TP53, KRAS and EGFR genes. The series included 11 never-smokers, 86 former smokers, 152 current smokers and one patient without informed smoking status. There were 110 squamous cell carcinomas (SCCs), 133 adenocarcinomas (ADCs) and seven large cell carcinomas or mixed histologies. Expression of p53 was analysed by immunohistochemistry. DNA was extracted from frozen tumour tissues. TP53 mutations were detected in 48.8% of cases and were more frequent among SCCs than ADCs (p<0.0001). TP53 mutation status was not associated with prognosis. G to T transversions, known to be associated with smoking, were marginally more common among patients who developed a second primary lung cancer or recurrence/metastasis (progressive disease). EGFR mutations were almost exclusively found in never-smoking females (p=0.0067). KRAS mutations were detected in 18.5% of cases, mainly ADC (p<0.0001), and showed a tendency toward association with progressive disease status. These results suggest that mutations are good markers of different aetiologies and histopathological forms of lung cancers but have little prognostic value, with the exception of KRAS mutation, which may have a prognostic value in ADC. Copyright©ERS 2012.

Prognostic value of hTERT mRNA expression in surgical samples of lung cancer patients : the European Early Lung Cancer Project

Lung cancer is the most important cause of cancer-related mortality. Resectability and eligibility for treatment with adjuvant chemotherapy is determined by staging according to the TNM classification. Other determinants of tumour behaviour that predict disease outcome, such as molecular markers, may improve decision-making. Activation of the gene encoding human telomerase reverse transcriptase (hTERT) is implicated in the pathogenesis of lung cancer, and consequently detection of hTERT mRNA might have prognostic value for patients with early stage lung cancer. A cohort of patients who underwent a complete resection for early stage lung cancer was recruited as part of the European Early Lung Cancer (EUELC) project. In 166 patients expression of hTERT mRNA was determined in tumour tissue by quantitative real-time RT-PCR and related to that of a house-keeping gene (PBGD). Of a subgroup of 130 patients tumour-distant normal tissue was additionally available for hTERT mRNA analysis. The correlation between hTERT levels of surgical samples and disease-free survival was determined using a Fine and Gray hazard model. Although hTERT mRNA positivity in tumour tissue was significantly associated with clinical stage (Fisher's exact test p=0.016), neither hTERT mRNA detectability nor hTERT mRNA levels in tumour tissue were associated with clinical outcome. Conversely, hTERT positivity in adjacent normal samples was associated with progressive disease, 28% of patients with progressive disease versus 7.5% of disease-free patients had detectable hTERT mRNA in normal tissue [adjusted HR: 3.60 (1.64-7.94), p=0.0015]. hTERT mRNA level in tumour tissue has no prognostic value for patients with early stage lung cancer. However, detection of hTERT mRNA expression in tumour-distant normal lung tissue may indicate an increased risk of progressive disease.

Characterisation of a human skin equivalent model to study the effects of ultraviolet B radiation on keratinocytes

The incidences of skin cancers resulting from chronic ultraviolet radiation (UVR) exposure are on the incline both in Australia and globally. Hence, the cellular and molecular pathways associated with UVR-induced photocarcinogenesis urgently need to be elucidated, in order to develop more robust preventative and treatment strategies against skin cancers. In vitro investigations into the effects of UVR (in particular the highly-mutagenic UVB wavelength) have, to date, mainly involved the use of cell culture and animal models. However, these models possess biological disparities to native skin, which to some extent have limited their relevance to the in vivo situation. To address this, we characterised a 3-dimensional, tissue-engineered human skin equivalent (HSE) model (consisting of primary human keratinocytes cultured on a dermal-derived scaffold) as a representation of a more physiologically-relevant platform to study keratinocyte responses to UVB. Significantly, we demonstrate that this model retains several important epidermal properties of native skin. Moreover, UVB-irradiation of the HSE constructs was shown to induce key markers of photodamage in the HSE keratinocytes, including the formation of cyclobutane pyrimidine dimers, the activation of apoptotic pathways, the accumulation of p53 and the secretion of inflammatory cytokines. Importantly, we also demonstrate that the UVB-exposed HSE constructs retain the capacity for epidermal repair and regeneration following photodamage. Together, our results demonstrate the potential of this skin equivalent model as a tool to study various aspects of the acute responses of human keratinocytes to UVB radiation damage.

Business value from intelligent fields

The Smart Fields programme has been active in Shell over the last decade and has given large benefits. In order to understand the value and to underpin strategies for the future implementation programme, a study was carried out to quantify the benefits to date. This focused on actually achieved value, through increased production or lower costs. This provided an estimate of the total value achieved to date. Future benefits such as increased reserves or continued production gain were recorded separately. The paper describes the process followed in the benefits quantification. It identifies the key solutions and technologies and describes the mechanism used to understand the relation between solutions and value. Examples have been given of value from various assets around the world, in both existing fields and in green fields. Finally, the study provided the methodology for tracking of value. This helps Shell to estimate and track the benefits of the Smart Fields programme at company scale.

Review essay : Crime, risk and money : "The Currency of Justice : Fines and Damages in Consumer Societies" and "Crime and Risk", both by Pat O'Malley

Sharing some closely related themes and a common theoretical orientation based on the governmentality analytic, these are nevertheless two very different contributions to criminological knowledge and theory. The first, The Currency of Justice: Fines and Damages in Consumer Societies (COJ), is a sustained and highly original analysis of that most pervasive yet overlooked feature of modern legal orders; their reliance on monetary sanctions. Crime and Risk (CAR), on the other hand, is a short synoptic overview of the many dimensions and trajectories of risk in contemporary debate and practice, both the practices of crime and the governance of crime. It is one of the first in a new series by Sage, 'Compact Criminology', in which authors survey in little more than a hundred pages some current field of debate. With this small gem, Pat O'Malley has set the bar very high for those who follow. For all its brevity, CAR traverses a massive expanse of research, debates and issues, while also opening up new and challenging questions around the politics of risk and the relationship between criminal risk-taking and the governance of risk and crime. The two books draw together various threads of O'Malley's rich body of work on these issues, and once again demonstrate that he is one of the foremost international scholars of risk inside and outside criminology.

Identification and estimation of equivalent area parameters using synchronised phasor measurements

A new approach is proposed for obtaining a non-linear area-based equivalent model of power systems to express the inter-area oscillations using synchronised phasor measurements. The generators that remain coherent for inter-area disturbances over a wide range of operating conditions define the areas, and the reduced model is obtained by representing each area by an equivalent machine. The parameters of the reduced system are identified by processing the obtained measurements, and a non-linear Kalman estimator is then designed for the estimation of equivalent area angles and frequencies. The simulation of the approach on a two-area system shows substantial reduction of non-inter-area modes in the estimated angles. The proposed methods are also applied to a ten-machine system to illustrate the feasibility of the approach on larger and meshed networks.

Technological tools for science classrooms : choosing and using for productive and sustainable teaching and learning experiences

In this age of rapidly evolving technology, teachers are encouraged to adopt ICTs by government, syllabus, school management, and parents. Indeed, it is an expectation that teachers will incorporate technologies into their classroom teaching practices to enhance the learning experiences and outcomes of their students. In particular, regarding the science classroom, a subject that traditionally incorporates hands-on experiments and practicals, the integration of modern technologies should be a major feature. Although myriad studies report on technologies that enhance students’ learning outcomes in science, there is a dearth of literature on how teachers go about selecting technologies for use in the science classroom. Teachers can feel ill prepared to assess the range of available choices and might feel pressured and somewhat overwhelmed by the avalanche of new developments thrust before them in marketing literature and teaching journals. The consequences of making bad decisions are costly in terms of money, time and teacher confidence. Additionally, no research to date has identified what technologies science teachers use on a regular basis, and whether some purchased technologies have proven to be too problematic, preventing their sustained use and possible wider adoption. The primary aim of this study was to provide research-based guidance to teachers to aid their decision-making in choosing technologies for the science classroom. The study unfolded in several phases. The first phase of the project involved survey and interview data from teachers in relation to the technologies they currently use in their science classrooms and the frequency of their use. These data were coded and analysed using Grounded Theory of Corbin and Strauss, and resulted in the development of a PETTaL model that captured the salient factors of the data. This model incorporated usability theory from the Human Computer Interaction literature, and education theory and models such as Mishra and Koehler’s (2006) TPACK model, where the grounded data indicated these issues. The PETTaL model identifies Power (school management, syllabus etc.), Environment (classroom / learning setting), Teacher (personal characteristics, experience, epistemology), Technology (usability, versatility etc.,) and Learners (academic ability, diversity, behaviour etc.,) as fields that can impact the use of technology in science classrooms. The PETTaL model was used to create a Predictive Evaluation Tool (PET): a tool designed to assist teachers in choosing technologies, particularly for science teaching and learning. The evolution of the PET was cyclical (employing agile development methodology), involving repeated testing with in-service and pre-service teachers at each iteration, and incorporating their comments i ii in subsequent versions. Once no new suggestions were forthcoming, the PET was tested with eight in-service teachers, and the results showed that the PET outcomes obtained by (experienced) teachers concurred with their instinctive evaluations. They felt the PET would be a valuable tool when considering new technology, and it would be particularly useful as a means of communicating perceived value between colleagues and between budget holders and requestors during the acquisition process. It is hoped that the PET could make the tacit knowledge acquired by experienced teachers about technology use in classrooms explicit to novice teachers. Additionally, the PET could be used as a research tool to discover a teachers’ professional development needs. Therefore, the outcomes of this study can aid a teacher in the process of selecting educationally productive and sustainable new technology for their science classrooms. This study has produced an instrument for assisting teachers in the decision-making process associated with the use of new technologies for the science classroom. The instrument is generic in that it can be applied to all subject areas. Further, this study has produced a powerful model that extends the TPACK model, which is currently extensively employed to assess teachers’ use of technology in the classroom. The PETTaL model grounded in data from this study, responds to the calls in the literature for TPACK’s further development. As a theoretical model, PETTaL has the potential to serve as a framework for the development of a teacher’s reflective practice (either self evaluation or critical evaluation of observed teaching practices). Additionally, PETTaL has the potential for aiding the formulation of a teacher’s personal professional development plan. It will be the basis for further studies in this field.

Validation of an instrument to measure governance and performance on collaborative infrastructure projects

Collaborative infrastructure projects use hybrid formal and informal governance structures to manage transactions. Based on previous desk-top research, the authors identified the key mechanisms underlying project governance, and posited the performance implications of the governance (Chen et al. 2012). The current paper extends that qualitative research by testing the veracity of those findings using data from 320 Australian construction organisations. The results provide, for the first time, reliable and valid scales to measure governance and performance of collaborative projects, and the relationship between them. The results confirm seven of seven hypothesised governance mechanisms; 30 of 43 hypothesised underlying actions; eight of eight hypothesised key performance indicators; and the dual importance of formal and informal governance. A startling finding of the study was that the implementation intensity of informal mechanisms (non-contractual conditions) is a greater predictor of project performance variance than that of formal mechanisms (contractual conditions). Further, contractual conditions do not directly impact project performance; instead their impact is mediated by the non-contractual features of a project. Obligations established under the contract are not sufficient to optimise project performance.

Governance challenges in the global games industry

Current governance challenges facing the global games industry are heavily dominated by online games. Whilst much academic and industry attention has been afforded to Virtual Worlds, the more pressing contemporary challenges may arise in casual games, especially when found on social networks. As authorities are faced with an increasing volume of disputes between participants and platform operators, the likelihood of external regulation increases, and the role that such regulation would have on the industry – both internationally and within specific regions – is unclear. Kelly (2010) argues that “when you strip away the graphics of these [social] games, what you are left with is simply a button [...] You push it and then the game returns a value of either Win or Lose”. He notes that while “every game developer wants their game to be played, preferably addictively, because it’s so awesome”, these mechanics lead not to “addiction of engagement through awesomeness” but “the addiction of compulsiveness”, surmising that “the reality is that they’ve actually sort-of kind-of half-intentionally built a virtual slot machine industry”. If such core elements of social game design are questioned, this gives cause to question the real-money options to circumvent them. With players able to purchase virtual currency and speed the completion of tasks, the money invested by the 20% purchasing in-game benefits (Zainwinger, 2012) may well be the result of compulsion. The decision by the Japanese Consumer Affairs agency to investigate the ‘Kompu Gacha’ mechanic (in which players are rewarded for completing a set of items obtained through purchasing virtual goods such as mystery boxes), and the resultant verdict that such mechanics should be regulated through gambling legislation, demonstrates that politicians are beginning to look at the mechanics deployed in these environments. Purewal (2012) states that “there’s a reasonable argument that complete gacha would be regulated under gambling law under at least some (if not most) Western jurisdictions”. This paper explores the governance challenged within these games and platforms, their role in the global industry, and current practice amongst developers in the Australian and United States to address such challenges.

Asking the wrong questions about gambling

OVERSHADOWED by the debate about the government’s media legislation, the final report of the review of the Interactive Gambling Act 2001, published last week, received comparatively little attention. Like the government’s response to the report, the sparse media coverage focused on measures to prevent problem gambling – undoubtedly an important issue – but failed to discuss the fact that Australian gamblers, recreational or otherwise, continue to get a raw deal. The report seems likely to perpetuate a culture of high-margin, low-risk bookmaking, cutting Australians off from the global market under the guise of consumer protection. Also missing from the debate are two other questions: are Australian gamblers getting value for money, and where do the growing number of social games fit into the regulatory landscape?

Analysing governance categories used on project alliances in the construction industry

In Australia, collaborative contracts, and in particular, project alliances, have been increasingly used to govern infrastructure projects. These contracts use formal and informal governance mechanisms to manage the delivery of infrastructure projects. Formal mechanisms such as financial risk sharing are specified in the contract, while informal mechanisms such as integrated teams are not. Given that the literature contains a multiplicity of often untestable definitions, this paper reports on a review of the literature to operationalize the concepts of formal and informal governance. This work is the first phase of a study that will examine the optimal balance of formal and informal governance structures. Desk-top review of leading journals in the areas of construction management and business management, as well as recent government documents and industry guidelines, was undertaken to to conceptualise and operationalize formal and informal governance mechanisms. The study primarily draws on transaction-cost economics (e.g. Williamson 1979; Williamson 1991), relational contract theory (Feinman 2000; Macneil 2000) and social psychology theory (e.g. Gulati 1995). Content analysis of the literature was undertaken to identify key governance mechanisms. Content analysis is a commonly used methodology in the social sciences area. It provides rich data through the systematic and objective review of literature (Krippendorff 2004). NVivo 9, a qualitative data analysis software package, was used to assist in this process. A previous study by the authors identified that formal governance mechanisms can be classified into seven measurable categories: (1) negotiated cost, (2) competitive cost, (3) commercial framework, (4) risk and reward sharing, (5) qualitative performance, (6) collaborative multi-party agreement, and (7) early contractor involvement. Similarly, informal governance mechanisms can be classified into four measureable categories: (1) leadership structure, (2) integrated team, (3) team workshops, and (4) joint management system. This paper explores and further defines the key operational characteristics of each mechanism category, highlighting its impact on value for money in alliance project delivery. The paper’s contribution is that it provides the basis for future research to compare the impact of a range of individual mechanisms within each category, as a means of improving the performance of construction projects.