Equity trading volume and volatility: Latent information arrivals and common long-run dependencies

This article examines the behavior of equity trading volume and volatility for the individual firms composing the Standard & Poor's 100 composite index. Using multivariate spectral methods, we find that fractionally integrated processes best describe the long-run temporal dependencies in both series. Consistent with a stylized mixture-of-distributions hypothesis model in which the aggregate "news"-arrival process possesses long-memory characteristics, the long-run hyperbolic decay rates appear to be common across each volume-volatility pair.

Long-term equity anticipation securities and stock market volatility dynamics

Recent empirical findings suggest that the long-run dependence in U.S. stock market volatility is best described by a slowly mean-reverting fractionally integrated process. The present study complements this existing time-series-based evidence by comparing the risk-neutralized option pricing distributions from various ARCH-type formulations. Utilizing a panel data set consisting of newly created exchange traded long-term equity anticipation securities, or leaps, on the Standard and Poor's 500 stock market index with maturity times ranging up to three years, we find that the degree of mean reversion in the volatility process implicit in these prices is best described by a Fractionally Integrated EGARCH (FIEGARCH) model. © 1999 Elsevier Science S.A. All rights reserved.

Innovation in business groups

Using novel data on European firms, this paper investigates the relationship between business groups and innovation. Controlling for various firm characteristics, we find that group affiliates are more innovative than standalones. We examine several hypotheses to explain this finding, focusing on group internal capital markets and knowledge spillovers. We find that group affiliation is particularly important for innovation in industries that rely more on external funding and in groups with more diversified capital sources, consistent with the internal capital markets hypothesis. Our results suggest that knowledge spillovers are not the main driver of innovation in business groups because firms affiliated with the same group do not have a common research focus and are unlikely to cite each other's patents. © 2010 INFORMS.

Reference groups and product line decisions: An experimental investigation of limited editions and product proliferation

Some luxury goods manufacturers offer limited editions of their products, whereas some others market multiple product lines. Researchers have found that reference groups shape consumer evaluations of these product categories. Yet little empirical research has examined how reference groups affect the product line decisions of firms. Indeed, in a field setting it is quite a challenge to isolate reference group effects from contextual effects and correlated effects. In this paper, we propose a parsimonious model that allows us to study how reference groups influence firm behavior and that lends itself to experimental analysis. With the aid of the model we investigate the behavior of consumers in a laboratory setting where we can focus on the reference group effects after controlling for the contextual and correlated effects. The experimental results show that in the presence of strong reference group effects, limited editions and multiple products can help improve firms' profits. Furthermore, the trends in the purchase decisions of our participants point to the possibility that they are capable of introspecting close to two steps of thinking at the outset of the game and then learning through reinforcement mechanisms. © 2010 INFORMS.

The impact of structured support groups for pregnant South African women recently diagnosed HIV positive.

The authors of this study evaluated a structured 10-session psychosocial support group intervention for newly HIV-diagnosed pregnant South African women. Participants were expected to display increases in HIV disclosure, self-esteem, active coping and positive social support, and decreases in depression, avoidant coping, and negative social support. Three hundred sixty-one pregnant HIV-infected women were recruited from four antenatal clinics in Tshwane townships from April 2005 to September 2006. Using a quasi-experimental design, assessments were conducted at baseline and two and eight months post-intervention. A series of random effects regression analyses were conducted, with the three assessment points treated as a random effect of time. At both follow-ups, the rate of disclosure in the intervention group was significantly higher than that of the comparison group (p<0.001). Compared to the comparison group at the first follow-up, the intervention group displayed higher levels of active coping (t=2.68, p<0.05) and lower levels of avoidant coping (t=-2.02, p<0.05), and those who attended at least half of the intervention sessions exhibited improved self-esteem (t=2.11, p<0.05). Group interventions tailored for newly HIV positive pregnant women, implemented in resource-limited settings, may accelerate the process of adjusting to one's HIV status, but may not have sustainable benefits over time.

Life-narrative and word-cued autobiographical memories in centenarians: comparisons with 80-year-old control, depressed, and dementia groups.

Centenarians provided autobiographical memories to either a request for a life narrative or a request to produce autobiographical memories to cue words. Both methods produced distributions with childhood-amnesia, reminiscence-bump, and recency components. The life-narrative method produced relatively more bump memories at the expense of recent memories. The life-narrative distributions were similar to those obtained from 80-year-old adults without clinical symptoms and from 80-year-old Alzheimer's dementia and depression patients, except that the centenarians had an additional 20-year period of relatively low recall between the bump and recency components. The centenarians produced more emotionally neutral memories than the other three groups and produced fewer and less detailed memories than the non-clinical 80-year-old sample.

D-Amino acid peptide residualizing agents bearing N-hydroxysuccinimido- and maleimido-functional groups and their application for trastuzumab radioiodination.

INTRODUCTION: Proteins that undergo receptor-mediated endocytosis are subject to lysosomal degradation, requiring radioiodination methods that minimize loss of radioactivity from tumor cells after this process occurs. To accomplish this, we developed the residualizing radioiodination agent N(ϵ)-(3-[(*)I]iodobenzoyl)-Lys(5)-N(α)-maleimido-Gly(1)-D-GEEEK (Mal-D-GEEEK-[(*)I]IB), which enhanced tumor uptake but also increased kidney activity and necessitates generation of sulfhydryl moieties on the protein. The purpose of the current study was to synthesize and evaluate a new D-amino acid based agent that might avoid these potential problems. METHODS: N(α)-(3-iodobenzoyl)-(5-succinimidyloxycarbonyl)-D-EEEG (NHS-IB-D-EEEG), which contains 3 D-glutamates to provide negative charge and a N-hydroxysuccinimide function to permit conjugation to unmodified proteins, and the corresponding tin precursor were produced by solid phase peptide synthesis and subsequent conjugation with appropriate reagents. Radioiodination of the anti-HER2 antibody trastuzumab using NHS-IB-D-EEEG and Mal-D-GEEEK-IB was compared. Paired-label internalization assays on BT474 breast carcinoma cells and biodistribution studies in athymic mice bearing BT474M1 xenografts were performed to evaluate the two radioiodinated D-peptide trastuzumab conjugates. RESULTS: NHS-[(131)I]IB-D-EEEG was produced in 53.8%±13.4% and conjugated to trastuzumab in 39.5%±7.6% yield. Paired-label internalization assays with trastuzumab-NHS-[(131)I]IB-D-EEEG and trastuzumab-Mal-D-GEEEK-[(125)I]IB demonstrated similar intracellular trapping for both conjugates at 1h ((131)I, 84.4%±6.1%; (125)I, 88.6%±5.2%) through 24h ((131)I, 60.7%±6.8%; (125)I, 64.9%±6.9%). In the biodistribution experiment, tumor uptake peaked at 48 h (trastuzumab-NHS-[(131)I]IB-D-EEEG, 29.8%±3.6%ID/g; trastuzumab-Mal-D-GEEEK-[(125)I]IB, 45.3%±5.3%ID/g) and was significantly higher for (125)I at all time points. In general, normal tissue levels were lower for trastuzumab-NHS-[(131)I]IB-D-EEEG, with the differences being greatest in kidneys ((131)I, 2.2%±0.4%ID/g; (125)I, 16.9%±2.8%ID/g at 144 h). CONCLUSION: NHS-[(131)I]IB-D-EEEG warrants further evaluation as a residualizing radioiodination agent for labeling internalizing antibodies/fragments, particularly for applications where excessive renal accumulation could be problematic.