Operating efficiency and return to scale of Malaysian REITS: The preliminary findings

This paper aims to present preliminary findings on measuring the technical efficiencies using Data Envelopment Analysis (DEA) in Malaysian Real Estate Investment Trusts (REITs) to determine the best practice for operations which include the asset allocation and scale size to improve the performance of Malaysian REITs. Variables identified as input and output will be assessed in this cross section analysis using the operational approach and Variable Return to Scale DEA (VRS-DEA) by focusing on Malaysian REITs for the year 2013. Islamic REITs have higher efficiency score as compared to the conventional REITs for both models. Diversified REITs are more efficient as compared to the specialised REIT using both models. For Model 1, the negative inefficient value is identified in the managerial inefficiency as compared to the scale inefficiency. This shows that inputs are not fully minimised to produce more outputs. However, when other expenses are considered as different input variables, the efficiency score becomes higher from 60.3% to 81.2%. In model 2, scale inefficiency produce greater inefficiency as compared to the managerial efficiency. The result suggests that Malaysian REITs have been operating at the wrong scale of operations as majority of the Malaysian REITs are operating at decreasing return to scale.

The return to work experiences of middle-aged Australian workers diagnosed with colorectal cancer: a matched cohort study

Background Few studies have been undertaken to understand the employment impact in patients with colorectal cancer and none in middle-aged individuals with cancer. This study described transitions in, and key factors influencing, work participation during the 12 months following a diagnosis of colorectal cancer. Methods We enrolled 239 adults during 2010 and 2011who were employed at the time of their colorectal cancer diagnosis and were prospectively followed over 12 months. They were compared to an age- and gender-matched general population group of 717 adults from the Household, Income and Labour Dynamics in Australia (HILDA) Survey. Data were collected using telephone and postal surveys. Primary outcomes included work participation at 12 months, changes in hours worked and time to work re-entry. Multivariable logistic and Cox proportional hazards models were undertaken. Results A significantly higher proportion of participants with colorectal cancer (27%) had stopped working at 12 months than participants from the comparison group (8%) (p < 0.001). Participants with cancer who returned to work took a median of 91 days off work (25–75 percentiles: 14–183 days). For participants with cancer, predictors of not working at 12 months included: being older, lower BMI and lower physical well-being. Factors related to delayed work re-entry included not being university-educated, working for an employer with more than 20 employees in a non-professional or managerial role, longer hospital stay, poorer perceived financial status and having or had chemotherapy. Conclusions In middle-adulthood, those working and diagnosed with colorectal cancer can expect to take around three months off work. Individuals treated with chemotherapy, without a university degree and from large employers could be targeted for specific assistance for a more timely work entry.

Volatility transmission in global financial markets

This paper considers the transmission of volatility in global foreign exchange, equity and bond markets. Using a multivariate GARCH framework which includes measures of realised volatility as explanatory variables, significant volatility and news spillovers are found to occur on the same trading day between Japan, Europe, and the United States. All markets exhibit significant degrees of asymmetry in terms of the transmission of volatility associated with good and bad news. There are also strong links between diffusive volatilities in all three markets, whereas jumpactivity is only importantwithin the equitymarkets. The results of this paper deepen our understanding of how news and volatility are propagated through global financial markets.

Estimating the parameters of stochastic volatility models using option price data

This article describes a maximum likelihood method for estimating the parameters of the standard square-root stochastic volatility model and a variant of the model that includes jumps in equity prices. The model is fitted to data on the S&P 500 Index and the prices of vanilla options written on the index, for the period 1990 to 2011. The method is able to estimate both the parameters of the physical measure (associated with the index) and the parameters of the risk-neutral measure (associated with the options), including the volatility and jump risk premia. The estimation is implemented using a particle filter whose efficacy is demonstrated under simulation. The computational load of this estimation method, which previously has been prohibitive, is managed by the effective use of parallel computing using graphics processing units (GPUs). The empirical results indicate that the parameters of the models are reliably estimated and consistent with values reported in previous work. In particular, both the volatility risk premium and the jump risk premium are found to be significant.

A systematic review of studies identifying predictors of poor return to work outcomes following workplace injury

BACKGROUND: Injuries occurring in the workplace can have serious implications for the health of the individual, the productivity of the employer and the overall economic community. OBJECTIVE: The objective of this paper is to increase the current state of understanding of individual demographic and psychosocial characteristics associated with extended absenteeism from the workforce due to a workplace injury. METHODS: Studies included in this systematic literature review tracked participants' return to work status over a minimum of three months, identified either demographic, psychosocial or general injury predictors of poor return to work outcomes and included a heterogeneous sample of workplace injuries. RESULTS: Identified predictors of poor return to work outcomes included older age, female gender, divorced marital status, two or more dependent family members, lower education levels, employment variables associated with reduced labour market desirability, severity or sensitive injury locations, negative attitudes and outcome perceptions of the participant. CONCLUSIONS: There is a need for clear and consistent definition and measurement of return to work outcomes and a holistic theoretical model integrating injury, psychosocial and demographic predictors of return to work. Through greater understanding of the nature of factors affecting return to work, improved outcomes could be achieved.

Information flow, trading activity and commodity futures volatility

Based on unique news data relating to gold and crude oil, we investigate how news volume and sentiment, shocks in trading activity, market depth and trader positions unrelated to information flow covary with realized volatility. Positive shocks to the rate of news arrival, and negative shocks to news sentiment exhibit the largest effects. After controlling for the level of news flow and cross-correlations, net trader positions play only a minor role. These findings are at odds with those of [Wang (2002a). The Journal of Futures Markets, 22, 427–450; Wang (2002b). The Financial Review, 37, 295–316], but are consistent with the previous literature which doesn't find a strong link between volatility and trader positions.

Global Media and National Policies : The Return of the State

Conventional wisdom views globalization as a process that heralds the diminishing role or even 'death' of the state and the rise of transnational media and transnational consumption, that defy state control or regulation. This book questions these assumptions and shows that the nation-state never left and is still a force to be reckoned with.

A heterogeneous computing approach to simulation of the Heston Stochastic Volatility Model

Stochastic volatility models are of fundamental importance to the pricing of derivatives. One of the most commonly used models of stochastic volatility is the Heston Model in which the price and volatility of an asset evolve as a pair of coupled stochastic differential equations. The computation of asset prices and volatilities involves the simulation of many sample trajectories with conditioning. The problem is treated using the method of particle filtering. While the simulation of a shower of particles is computationally expensive, each particle behaves independently making such simulations ideal for massively parallel heterogeneous computing platforms. In this paper, we present our portable Opencl implementation of the Heston model and discuss its performance and efficiency characteristics on a range of architectures including Intel cpus, Nvidia gpus, and Intel Many-Integrated-Core (mic) accelerators.

Negative experiences and donor return: An examination of the role of asking for something different

BACKGROUND Negative donation experiences, including vasovagal reactions, deter donor retention. However, whether this deterrence effect varies as a function of whole blood (WB) donation history and requests to donate the same or a different product remains unclear. STUDY DESIGN AND METHODS The responses of 894 eligible WB donors who had been approached to convert to plasmapheresis and 954 eligible first-time plasmapheresis donors who had been surveyed on their last donation experience and their intention to donate plasma were considered. This information was matched with individual vasovagal reaction records, deferral category, WB donation history, and subsequent donation behavioral data obtained from the blood collection agency. RESULTS Path analysis indicated that the application of a deferral and an officially recorded vasovagal reaction decreased donors' intentions to continue plasmapheresis donation, but had no effect on WB donors' intentions to convert to plasmapheresis. Consistent with past findings, vasovagal reactions occurred more frequently with female and inexperienced donors. CONCLUSION Experiencing vasovagal reactions and deferrals may not universally deter donors from continuing to donate. Rather, the offer to convert to another form of donation—in this instance, plasmapheresis—after experiencing a negative donation event while donating WB may be sufficient to eliminate the deterrence effect on retention.