Conditional risk, return and contagion in the banking sector in Asia

This paper investigates risk and return in the banking sector in three Asian markets of Taiwan, China and Hong Kong. The study focuses on the risk-return relation in a conditional factor GARCH-M framework that controls for time-series effects. The factor approach is adopted to incorporate intra-industry contagion and an analysis of spillovers between large banks and small banks. Finally, the study provides evidence on these relations before and after the Asian financial crisis of 1997. The results are generally consistent across the markets and with expectations.

Impact of gender on risk stratification by exercise and dobutamine stress echocardiography: long-term mortality in 4234 women and 6898 men

Aims Prior research is limited with regard to the diagnostic and prognostic accuracy of commonplace cardiac imaging modalities in women. The aim of this study was to examine 5-year mortality in 4234 women and 6898 men undergoing exercise or dobutamine stress echocardiography at three hospitals. Methods and results Univariable and multivariable Cox proportional hazards models were used to estimate time to cardiac death in this multi-centre, observational registry. Of the 11 132 patients, women had a greater frequency of cardiac risk factors (P < 0.0001). However, men more often had a history of coronary disease including a greater frequency of echocardiographic wall motion abnormalities (P < 0.0001). During 5 years of follow-up, 103 women and 226 men died from ischaernic heart disease (P < 0.0001). Echocardiographic estimates of left ventricular function (P < 0.0001) and the extent of ischaernic watt motion abnormalities (P < 0.0001) were highly predictive of cardiac death. Risk-adjusted 5-year survival was 99.4, 97.6, and 95% for exercising women with no, single, and multi-vessel ischaemia (P < 0.0001). For women undergoing dobutamine stress, 5-year survival was 95, 89, and 86.6% for those with 0, 1, and 2-3 vessel ischaemia (P < 0.0001). Exercising men had a 2.0-fold higher risk at every level of worsening ischaemia (P < 0.0001). Significantly worsening cardiac survival was noted for the 1568 men undergoing dobutamine stress echocardiography (P < 0.0001); no ischaemia was associated with 92% 5-year survival as compared with death rates of &GE; 16% for men with ischaemia on dobutamine stress echocardiography (P < 0.0001). Conclusion Echocardiographic measures of inducible wall motion abnormalities and global and regional left ventricutar function are highly predictive of long-term outcome for women and men alike.

Guideline-discordant care in acute myocardial infarction: predictors and outcomes

Objectives: To determine (i) factors which predict whether patients hospitalised with acute myocardial infarction (AMI) receive care discordant with recommendations of clinical practice guidelines; and (ii) whether such discordant care results in worse outcomes compared with receiving guideline-concordant care. Design: Retrospective cohort study. Setting: Two community general hospitals. Participants: 607 consecutive patients admitted with AMI between July 1997 and December 2000. Main outcome measures: Clinical predictors of discordant care; crude and risk-adjusted rates of inhospital mortality and reinfarction, and mean length of hospital stay. Results: At least one treatment recommendation for AMI was applicable for 602 of the 607 patients. Of these patients, 411(68%) received concordant care, and 191 (32%) discordant care. Positive predictors at presentation of discordant care were age > 65 years (odds ratio [OR], 2.5; 95% Cl, 1.7-3.6), silent infarction (OR, 2.7; 95% Cl, 1.6-4.6), anterior infarction (OR, 2.5; 95% Cl, 1.7-3.8), a history of heart failure (OR, 6.3; 95% Cl, 3.7-10.7), chronic atrial fibrillation (OR, 3.2; 95% Cl, 1.5-6.4); and heart rate greater than or equal to 100 beats/min (OR, 2.1; 95% Cl, 1.4-3.1). Death occurred in 12.0% (23/191) of discordant-care patients versus 4.6% (19/411) of concordant-care patients (adjusted OR, 2.42; 95% Cl, 1.22-4.82). Mortality was inversely related to the level of guideline concordance (P = 0.03). Reinfarction rates also tended to be higher in the discordant-care group (4.2% v 1.7%; adjusted OR, 2.5; 95% Cl, 0.90-7.1). Conclusions: Certain clinical features at presentation predict a higher likelihood of guideline-discordant care in patients presenting with AMI Such care appears to increase the risk of inhospital death.

Short-term autocorrelation in Australian equities

This paper examines the statistical and economic significance of short-term autocorrelation in Australian equities. We document large negative first-order autocorrelation in individual stock returns. Preliminary results suggest this autocorrelation is economically significant, as two simple trading strategies based on the autocorrelation structure appear to yield large risk-adjusted returns. Further analysis, however, shows that these results are driven by the inclusion of small-capitalisation and low-priced stocks which are vulnerable to a number of market-microstructure-related problems. After revising the dataset to mitigate these problems, little evidence of economic significance remains.

Clinical and economic impact of exercise electrocardiography and exercise echocardiography in clinical practice

Background Patients with known or suspected coronary disease are often investigated to facilitate risk assessment. We sought to examine the cost-effectiveness of strategies based on exercise echocardiography and exercise electrocardiography. Methods and results We studied 7656 patients undergoing exercise testing; of whom half underwent exercise echocardiography. Risk was defined with the Duke treadmill score for those undergoing exercise electrocardiography alone, and by the extent of ischaemia by exercise echocardiography. Cox proportional hazards models, risk adjusted for pretest likelihood of coronary artery disease, were used to estimate time to cardiac death or myocardial infarction. Costs (including diagnostic and revascularisation procedures, hospitalisations, and events) were calculated, inflation-corrected to year 2000 using Medicare trust fund rates and discounted at a rate of 5%. A decision model was employed to assess the marginal cost effectiveness (cost/life year saved) of exercise echo compared with exercise electrocardiography. Exercise echocardiography identified more patients as low-risk (51% vs 24%, p<0.001), and fewer as intermediate- (27% vs 51%, p<0.001) and high-risk (22% vs 4%); survival was greater in low- and intermediate- risk and less in high-risk patients. Although initial procedural costs and revascularisation costs (in intermediate- high risk patients) were greater, exercise echocardiography was associated with a greater incremental life expectancy (0.2 years) and a lower use of additional diagnostic procedures when compared with exercise electrocardiography (especially in lower risk patients). Using decision analysis, exercise echocardiography (Euro 2615/life year saved) was more cost effective than exercise electrocardiography. Conclusion Exercise echocardiography may enhance cost-effectiveness for the detection and management of at risk patients with known or suspected coronary disease. (C) 2003 Published by Elsevier Science Ltd on behalf of The European Society of Cardiology.

Returns from investing in Australian equity superannuation funds, 1991-1999

In this analysis of investment manager performance, two questions are addressed. First, do managers that actively trade stocks create value for investors? Second, can the multifactor model of Gruber capture the cross-section of average fund returns for the Australian setting? The answers from this study are as follows: as an industry, investment managers destroyed value for superannuation investors for the period 1991 through 1999, under-performing passive portfolio returns by 2.80-4.00 per cent per annum on a risk-unadjusted basis and 0.50-0.93 per cent per annum on a risk-adjusted basis. Evidence is provided in support of the four-factor model of Gruber; however, the model fails to capture the impact of investment style for the Australian setting. The findings suggest that Australian superannuation investors would transform their retirement savings into retirement income more efficiently through the use of passive alternatives to the stock selection problem.

Achieving better in-hospital and after-hospital care of patients with acute cardiac disease

In patients hospitalised with acute coronary syndromes (ACS) and congestive heart failure (CHF), evidence suggests opportunities for improving in-hospital and after hospital care, patient self-care, and hospital-community integration. A multidisciplinary quality improvement program was designed and instigated in Brisbane in October 2000 involving 250 clinicians at three teaching hospitals, 1080 general practitioners (GPs) from five Divisions of General Practice, 1594 patients with ACS and 904 patients with CHF. Quality improvement interventions were implemented over 17 months after a 6-month baseline period and included: clinical decision support (clinical practice guidelines, reminders, checklists, clinical pathways); educational interventions (seminars, academic detailing); regular performance feedback; patient self-management strategies; and hospital-community integration (discharge referral summaries; community pharmacist liaison; patient prompts to attend GPs). Using a before-after study design to assess program impact, significantly more program patients compared with historical controls received: ACS: Angiotensin-converting enzyme (ACE) inhibitors and lipid-lowering agents at discharge, aspirin and beta-blockers at 3 months after discharge, inpatient cardiac counselling, and referral to outpatient cardiac rehabilitation. CHF. Assessment for reversible precipitants, use of prophylaxis for deep-venous thrombosis, beta-blockers at discharge, ACE inhibitors at 6 months after discharge, imaging of left ventricular function, and optimal management of blood pressure levels. Risk-adjusted mortality rates at 6 and 12 months decreased, respectively, from 9.8% to 7.4% (P=0.06) and from 13.4% to 10.1% (P= 0.06) for patients with ACS and from 22.8% to 15.2% (P < 0.001) and from 32.8% to 22.4% (P= 0.005) for patients with CHF. Quality improvement programs that feature multifaceted interventions across the continuum of care can change clinical culture, optimise care and improve clinical outcomes.

Are diagnosis specific outcome indicators based on administrative data useful in assessing quality of hospital care?

Background: Hospital performance reports based on administrative data should distinguish differences in quality of care between hospitals from case mix related variation and random error effects. A study was undertaken to determine which of 12 diagnosis-outcome indicators measured across all hospitals in one state had significant risk adjusted systematic ( or special cause) variation (SV) suggesting differences in quality of care. For those that did, we determined whether SV persists within hospital peer groups, whether indicator results correlate at the individual hospital level, and how many adverse outcomes would be avoided if all hospitals achieved indicator values equal to the best performing 20% of hospitals. Methods: All patients admitted during a 12 month period to 180 acute care hospitals in Queensland, Australia with heart failure (n = 5745), acute myocardial infarction ( AMI) ( n = 3427), or stroke ( n = 2955) were entered into the study. Outcomes comprised in-hospital deaths, long hospital stays, and 30 day readmissions. Regression models produced standardised, risk adjusted diagnosis specific outcome event ratios for each hospital. Systematic and random variation in ratio distributions for each indicator were then apportioned using hierarchical statistical models. Results: Only five of 12 (42%) diagnosis-outcome indicators showed significant SV across all hospitals ( long stays and same diagnosis readmissions for heart failure; in-hospital deaths and same diagnosis readmissions for AMI; and in-hospital deaths for stroke). Significant SV was only seen for two indicators within hospital peer groups ( same diagnosis readmissions for heart failure in tertiary hospitals and inhospital mortality for AMI in community hospitals). Only two pairs of indicators showed significant correlation. If all hospitals emulated the best performers, at least 20% of AMI and stroke deaths, heart failure long stays, and heart failure and AMI readmissions could be avoided. Conclusions: Diagnosis-outcome indicators based on administrative data require validation as markers of significant risk adjusted SV. Validated indicators allow quantification of realisable outcome benefits if all hospitals achieved best performer levels. The overall level of quality of care within single institutions cannot be inferred from the results of one or a few indicators.

Do socially responsible fund managers really invest differently?

To date, research into socially responsible investment (SRI), and in particular the socially responsible investment funds industry, has focused on whether investing in SRI assets has any differential impact on investor returns. Prior findings generally suggest that, on a risk-adjusted basis, there is no difference in performance between SRI and conventional funds. This result has led to questions about whether SRI funds are really any different from conventional funds. This paper examines whether the portfolio allocation across industry sectors and the stock-picking ability of SRI managers are different when compared to conventional fund managers. The study finds that SRI funds exhibit different industry betas consistent with different portfolio positions, but that these differences vary from year to year. It is also found that there is little difference in stock-picking ability between the two groups of fund managers.

Relationship between franking credits and the market risk premium

In a dividend imputation tax system, equity investors have three potential sources of return: dividends, capital gains and franking (tax) credits. However, the standard procedures for estimating the market risk premium (MRP) for use in the capital asset pricing model, ignore the value of franking credits. Officer (1994) notes that if franking credits do affect the corporate cost of capital, their value must be added to the standard estimates of MRP. In the present paper, we explicitly derive the relationship between the value of franking credits (gamma) and the MRP. We show that the standard parameter estimates that have been adopted in practice (especially by Australian regulators) violate this deterministic mathematical relationship. We also show how information on dividend yields and effective tax rates bounds the values that can be reasonably used for gamma and the MRP. We make recommendations for how estimates of the MRP should be adjusted to reflect the value of franking credits in an internally consistent manner.

The Australian Burden of Disease Study: measuring the loss of health from diseases, injuries and risk factors

This is an overview of the first burden of disease and injury studies carried out in Australia. Methods developed for the World Bank and World Health Organization Global Burden of Disease Study were adapted and applied to Australian population health data. Depression was found to be the top-ranking cause of non-fatal disease burden in Australia, causing 8% of the total years lost due to disability in 1996. Mental disorders overall were responsible for nearly 30% of the non-fatal disease burden. The leading causes of total disease burden (disability-adjusted life years [DALYs]) were ischaemic heart disease and stroke, together causing nearly 18% of the total disease burden. Depression was the fourth leading cause of disease burden, accounting for 3.7% of the total burden. Of the 10 major risk factors to which the disease burden can be attributed, tobacco smoking causes an estimated 10% of the total disease burden in Australia, followed by physical inactivity (7%).