Stock splits: Implications for investor trading costs

Stock splits are known to have a negative effect on market quality—while stock prices adjust consistently with the split's scale, the bid/ask spread and market depth do not. Two possible explanations for the relative increase in spread are that (i) splits cause an increase in market maker costs that are passed along to investors or (ii) splits provide a mechanism for market makers to increase excess profits. Using a robust econometric methodology, we find evidence of the latter, which raises questions about the motivation of the splitting practice. We also document that while NASDAQ spreads appear to adjust more fully than those of NYSE/AMEX stocks, NASDAQ spreads are higher in general.

On the robustness of short-term interest rate models

This paper investigates the robustness of a range of short–term interest rate models. We examine the robustness of these models over different data sets, time periods, sampling frequencies, and estimation techniques. We examine a range of popular one–factor models that allow the conditional mean (drift) and conditional variance (diffusion) to be functions of the current short rate. We find that parameter estimates are highly sensitive to all of these factors in the eight countries that we examine. Since parameter estimates are not robust, these models should be used with caution in practice.

Estimation of body fatness from body mass index and bioelectrical impedance: comparison of New Zealand European, Maori and Pacific Island children

Objective: To compare percentage body fat (%BF) for a given body mass index (BMI) among New Zealand European, Maori and Pacific Island children. To develop prediction equations based on bioimpedance measurements for the estimation of fat-free mass (FFM) appropriate to children in these three ethnic groups. Design: Cross-sectional study. Purposive sampling of schoolchildren aimed at recruiting three children of each sex and ethnicity for each year of age. Double cross-validation of FFM prediction equations developed by multiple regression. Setting: Local schools in Auckland. Subjects: Healthy European, Maori and Pacific Island children (n = 172, 83 M, 89 F, mean age 9.4 +/- 2.8(s. d.), range 5 - 14 y). Measurements: Height, weight, age, sex and ethnicity were recorded. FFM was derived from measurements of total body water by deuterium dilution and resistance and reactance were measured by bioimpedance analysis. Results: For fixed BMI, the Maori and Pacific Island girls averaged 3.7% lower % BF than European girls. For boys a similar relation was not found since BMI did not significantly influence % BF of European boys ( P = 0.18). Based on bioimpedance measurements a single prediction equation was developed for all children: FFM (kg) = 0.622 height (cm)(2)/ resistance +0.234 weight (kg)+1.166, R-2 = 0.96, s. e. e. = 2.44 kg. Ethnicity, age and sex were not significant predictors. Conclusions: A robust equation for estimation of FFM in New Zealand European, Maori and Pacific Island children in the 5 - 14 y age range that is more suitable than BMI for the determination of body fatness in field studies has been developed. Sponsorship: Maurice and Phyllis Paykel Trust, Auckland University of Technology Contestable Grants Fund and the Ministry of Health.

Do expertise and the degree of perception-action coupling affect natural anticipatory performance?

Two experiments using a temporal occlusion paradigm (the first with expert and novice participants and the second with participants of intermediate skill) were conducted to examine the capability of tennis players to predict the direction of an opponent's service in situ. In both experiments two different response conditions, reflecting differing degrees of perception-action coupling, were employed. In a coupled condition players were required to make a movement-based response identical to that which they would use to hit a return of service in a game situation, whereas in an uncoupled condition a verbal prediction of service direction was required. Experiment 1 provided clear evidence of superior prediction accuracy under the coupled response condition when ball flight was available, plus some limited evidence to suggest that superior prediction accuracy under uncoupled response conditions might hold true if only advance (pre-contact) information was available. Experiment 2 showed the former finding to be a robust one, but was unable to reveal any support for the latter. Experiment 1 also revealed that expert superiority is more apparent for predictions made under natural (coupled) than uncoupled response-mode conditions. Collectively, these findings suggest that different perceptual processes may be in operation in anticipatory tasks which depend on skill level, the type of information presented, and degree of perception-action coupling inherent in the task requirements.

Quality of life assessment in the community-dwelling elderly: Validation of the Assessment of Quality of Life (AQoL) Instrument and comparison with the SF-36

Measurement of Health-Related Quality of Life (HRQoL) of the elderly requires instruments with demonstrated sensitivity, reliability, and validity, particularly with the increasing proportion of older people entering the health care system. This article reports the psychometric properties of the 12-item Assessment of Quality of Life (AQoL) instrument in chronically ill community-dwelling elderly people with an 18-month follow-up. Comparator instruments included the SF-36 and the OARS. Construct validity of the AQoL was strong when examined via factor analysis and convergent and divergent validity against other scales. Receiver Operator Characteristic (ROC) curve analyses and relative efficiency estimates indicated the AQoL is sensitive, responsive, and had the strongest predicative validity for nursing home entry. It was also sensitive to economic prediction over the follow-up. Given these robust psychometric properties and the brevity of the scale, AQoL appears to be a suitable instrument for epidemiologic studies where HRQoL and utility data are required from elderly populations. (C) 2003 Elsevier Science Inc. All rights reserved.

Analysis of multicomponent adsorption kinetics on activated carbon

An integrated mathematical model for the kinetics of multicomponent adsorption on microporous carbon was developed. Transport in this bidisperse solid is represented by balance equations in the macropore and micropore phases, in which gas-phase diffusion dominates the mass transfer in the macropores, with the phenomenological diffusivities represented by the generalized Maxwell-Stefan (GMS) formulation. Viscous flow also contributes to the macropore fluxes and is included in the MS expressions. Diffusion of the adsorbed phase controls the mass transfer in the micro ore phase, p which is also described in a similar way by the MS method. The adsorption isotherms are represented by a new heterogeneous modified vacancy solution theory formulation of adsorption, which has proved to be a robust method for adsorption on activated carbons. The model is applied to the coadsorption and codesorption of C2H6 and C3H8 on Ajax and Norit carbon, as well as the displacement on Ajax carbon. The effect of the viscous flow in the macropore phase is not significant for the cases studied. The model accurately predicts the overshoot behavior and rollup of C2H6 during coadsorption. The prediction for the heavier compound C3H8 is always satisfactory, though at higher C3H8 mole fraction, the overshoot extent of C2H6 is overpredicted, possibly due to neglect of heat effects.

Measuring the accumulated hazards of smoking: global and regional estimates for 2000

Objective: Current prevalence of smoking, even where data are available, is a poor proxy for cumulative hazards of smoking, which depend on several factors including the age at which smoking began, duration of smoking, number of cigarettes smoked per day, degree of inhalation, and cigarette characteristics such as tar and nicotine content or filter type. Methods: We extended the Peto-Lopez smoking impact ratio method to estimate accumulated hazards of smoking for different regions of the world. Lung cancer mortality data were obtained from the Global Burden of Disease mortality database. The American Cancer Society Cancer Prevention Study, phase 11 (CPS-II) with follow up for the years 1982 to 1988 was the reference population. For the global application of the method, never-smoker lung cancer mortality rates were chosen based on the estimated use of coal for household energy in each region. Results: Men in industrialised countries of Europe, North America, and the Western Pacific had the largest accumulated hazards of smoking. Young and middle age males in many regions of the developing world also had large smoking risks. The accumulated hazards of smoking for women were highest in North America followed by Europe. Conclusions: In the absence of detailed data on smoking prevalence and history, lung cancer mortality provides a robust indicator of the accumulated hazards of smoking. These hazards in developing countries are currently more concentrated among young and middle aged males.