Forecasting stock returns using model-selection criteria

This paper examines the economic significance of return predictability in Australian equities. In light of considerable model uncertainty, formal model-selection criteria are used to choose a specification for the predictive model. A portfolio-switching strategy is implemented according to model predictions. Relative to a buy-and-hold market investment, the returns to the portfolio-switching strategy are impressive under several model-selection criteria, even after accounting for transaction costs. However, as these findings are not robust across other model-selection criteria examined, it is difficult to conclude that the degree of return predictability is economically significant.

Minimal disease activity for rheumatoid arthritis: A preliminary definition

Agreement on response criteria in rheumatoid arthritis (RA) has allowed better standardization and interpretation of clinical trial reports. With recent advances in therapy, the proportion of patients achieving a satisfactory state of minimal disease activity (MDA) is becoming a more important measure with which to compare different treatment strategies. The threshold for MDA is between high disease activity and remission and, by definition, anyone in remission will also be in MDA. True remission is still rare in RA; in addition, the American College of Rheumatology definition is difficult to apply in the context of trials. Participants at OMERACT 6 in 2002 agreed on a conceptual definition of minimal disease activity (MDA): "that state of disease activity deemed a useful target of treatment by both the patient and the physician, given current treatment possibilities and limitations." To prepare for a preliminary operational definition of MDA for use in clinical trials, we asked rheumatologists to assess 60 patient profiles describing real RA patients seen in routine clinical practice. Based on their responses, several candidate definitions for MDA were designed and discussed at the OMERACT 7 in 2004. Feedback from participants and additional on-site analyses in a cross-sectional database allowed the formulation of 2 preliminary, equivalent definitions of MDA: one based on the Disease Activity Score 28 (DAS28) index, and one based on meeting cutpoints in 5 out the 7 WHO/ILAR core set measures. Researchers applying these definitions first need to choose whether to use the DAS28 or the core set definition, because although each selects a similar proportion in a population, these are not always the same patients. In both MDA definitions, an initial decision node places all patients in MDA who have a tender joint count of 0 and a swollen joint count of 0, and an erythrocyte sedimentation rate (ESR) no greater than 10 mm. If this condition is not met: center dot The DAS28 definition places patients in MDA when DAS28