Volume, volatility, and leverage: A dynamic analysis

This paper uses dynamic impulse response analysis to investigate the interrelationships among stock price volatility, trading volume, and the leverage effect. Dynamic impulse response analysis is a technique for analyzing the multi-step-ahead characteristics of a nonparametric estimate of the one-step conditional density of a strictly stationary process. The technique is the generalization to a nonlinear process of Sims-style impulse response analysis for linear models. In this paper, we refine the technique and apply it to a long panel of daily observations on the price and trading volume of four stocks actively traded on the NYSE: Boeing, Coca-Cola, IBM, and MMM.

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.

Buffer stocks are better stabilizers than quotas

Michael Pelcovits (1979, p. 307) recently showed that with an unstable foreign excess supply curve, either a fixed quota or a buffer stock program with a fixed tariff can be used to stabilize domestic price at a given level, and both policies 'will have the same effect on social welfare [so...t]he choice between [the two...] must then be made on the basis of administrative cost and feasibility'. However, he reached his conclusion by ranking the two policies on the basis of domestic welfare, and in this note we demonstrate with his same model that on the basis of foreign welfare the buffer stock is better than the quota. Thus, world welfre is higher under the buffer stock than under the quota. © 1981.

Accessibility, availability and affordability of anti-malarials in a rural district in Kenya after implementation of a national subsidy scheme.

BACKGROUND: Poor access to prompt and effective treatment for malaria contributes to high mortality and severe morbidity. In Kenya, it is estimated that only 12% of children receive anti-malarials for their fever within 24 hours. The first point of care for many fevers is a local medicine retailer, such as a pharmacy or chemist. The role of the medicine retailer as an important distribution point for malaria medicines has been recognized and several different strategies have been used to improve the services that these retailers provide. Despite these efforts, many mothers still purchase ineffective drugs because they are less expensive than effective artemisinin combination therapy (ACT). One strategy that is being piloted in several countries is an international subsidy targeted at anti-malarials supplied through the retail sector. The goal of this strategy is to make ACT as affordable as ineffective alternatives. The programme, called the Affordable Medicines Facility - malaria was rolled out in Kenya in August 2010. METHODS: In December 2010, the affordability and accessibility of malaria medicines in a rural district in Kenya were evaluated using a complete census of all public and private facilities, chemists, pharmacists, and other malaria medicine retailers within the Webuye Demographic Surveillance Area. Availability, types, and prices of anti-malarials were assessed. There are 13 public or mission facilities and 97 medicine retailers (registered and unregistered). RESULTS: The average distance from a home to the nearest public health facility is 2 km, but the average distance to the nearest medicine retailer is half that. Quinine is the most frequently stocked anti-malarial (61% of retailers). More medicine retailers stocked sulphadoxine-pyramethamine (SP; 57%) than ACT (44%). Eleven percent of retailers stocked AMFm subsidized artemether-lumefantrine (AL). No retailers had chloroquine in stock and only five were selling artemisinin monotherapy. The mean price of any brand of AL, the recommended first-line drug in Kenya, was $2.7 USD. Brands purchased under the AMFm programme cost 40% less than non-AMFm brands. Artemisinin monotherapies cost on average more than twice as much as AMFm-brand AL. SP cost only $0.5, a fraction of the price of ACT. CONCLUSIONS: AMFm-subsidized anti-malarials are considerably less expensive than unsubsidized AL, but the price difference between effective and ineffective therapies is still large.

The price of innovation: new estimates of drug development costs.

The research and development costs of 68 randomly selected new drugs were obtained from a survey of 10 pharmaceutical firms. These data were used to estimate the average pre-tax cost of new drug development. The costs of compounds abandoned during testing were linked to the costs of compounds that obtained marketing approval. The estimated average out-of-pocket cost per new drug is 403 million US dollars (2000 dollars). Capitalizing out-of-pocket costs to the point of marketing approval at a real discount rate of 11% yields a total pre-approval cost estimate of 802 million US dollars (2000 dollars). When compared to the results of an earlier study with a similar methodology, total capitalized costs were shown to have increased at an annual rate of 7.4% above general price inflation.