Forecasting stock index volatility : comparing implied volatility and the intraday high-low price range

The intraday high–low price range offers volatility forecasts similarly efficient to high-quality implied volatility indexes published by the Chicago Board Options Exchange (CBOE) for four stock market indexes: S&P 500, S&P 100, NASDAQ 100, and Dow Jones Industrials. Examination of in-sample and out-of-sample volatility forecasts reveals that neither implied volatility nor intraday high–low range volatility consistently outperforms the other.

Reliability and validity of the Melbourne edge test and high/low contrast visual acuity chart

Purpose. The purposes of the study were to investigate the test-retest reliability and the validity of new versions of the Melbourne Edge Test (MET) and the High/Low Contrast Visual Acuity (H/LCVA) chart and to investigate the agreement between the original and new versions.

Methods. The MET original photographic version, MET new light box version, H/LCVA Chart original photographic version, H/LCVA Chart new printed version, and the Pelli-Robson chart were administered twice to one eye of 22 subjects with low vision and 20 soft contact lenses wearers.

Results. For the low vision group, the test-retest 95% limits of agreement were ±5.2 dB for the MET new light box version and ±0.39 logarithm of the minimum angle of resolution (logMAR) for the LCVA component of the H/LCVA new printed version. For the soft contact lens group, the test-retest 95% limits of agreement were ±2.1 dB for the MET new light box version and ± 0.26 logMAR for the LCVA component of the H/LCVA new printed version. Moderate to high correlations were obtained between contrast sensitivity tests, thus providing evidence of validity. Scores obtained for the new test versions were significantly higher than the original versions (p < 0.01).

Conclusions. Of all the tests administered, the MET original photographic version and the Pelli-Robson Chart had the highest test-retest reliability for the low vision group. For the soft contact lens group, the H/LCVA original version (low contrast letters, 18% Weber) and the Pelli-Robson Chart had the highest reliability.

Interpersonal trust and formal controls in hierarchical relationships

This paper examines the influence of the level of interpersonal trust between superior and subordinate managers on the control behaviour of the former. On the basis of a questionnaire survey and interviews of senior managers from business organisations in Sri Lanka, and a survey of managers in Beijing-China the study explores the control behaviour of superior managers when their trust in a subordinate is high or low. Sri Lanka and China, societies in which the dependence on interpersonal trust is believed to be high, were chosen for the study to maximise the effect of interpersonal trust.

The findings of this study indicate that a superior’s high (low) trust in a subordinate is associated with a low (high) level of monitoring and a high (low) level of social interactions. The hypothesis that a superior’s high (low) level of trust is associated with a low (high) level of reliance on formal control was supported only in the Sri Lankan sample. These findings are at least indicative of control behaviour of superior managers in Sri Lanka and China and possibly of other countries in Asia. An understanding of the trust-sensitive control behaviour of managers in this region is particularly important for designing and implementing effective control systems for international organizations operating in the region.

Interpersonal trust and control behaviour of Chinese managers

Interpersonal trust is believed to influence the management and control of organisations in China. China's importance as a host country for foreign direct investments (FDIs) through multinational company subsidiaries (MNCs) and international joint ventures (IJVs) is growing rapidly. MNCs and INs located in China often employ local Chinese managers to control their subsidiaries or ventures. This makes it essential for designers of management control systems to have an understanding of the interpersonal trust-sensitive control behaviour of Chinese managers. One of the important aspects of control behaviour is how managers control their subordinates.

This paper examines the relationship between Chinese managers' trust in subordinates and their (Chinese managers') control behaviour towards the subordinates. On the basis of a questionnaire survey of a cohort of managers from Beijing, the study explores the effects of trust on the use of social controls, formal controls, and monitoring.

The findings of this study indicate that a manager's high (low) trust in a subordinate is associated with a low (high) level of monitoring, a high (high) level of social control and a high (low) level of perceived performance. The hypothesis that a superior's high (low) level of trust is associated with a low (high) level of reliance on formal controls was not supported. These findings, while indicative of control behaviour of Chinese managers in particular, also add to the growing academic literature on trust and control in general. In a practical sense, an
understanding of the trust-sensitive control behaviour of Chinese managers is particularly useful in designing and implementing effective control systems for international organisations operating in China.

Effects of testosterone and corticosterone on immunocompetence in the zebra finch

The original immunocompetence handicap hypothesis (ICHH) suggested that testosterone has a handicapping effect in males by both promoting the development of sexual signals and suppressing immune function. A modified version, the stress-linked ICHH, has recently proposed that testosterone is immunosuppressive indirectly by increasing production of corticosterone. To test both the original and stress-mediated versions of the ICHH, we implanted male zebra finches taken from lines selected for divergent maximum stress-induced levels of corticosterone (high, low and control) with either empty or testosterone-filled implants. Their humoral and cell-mediated immune responses were then assessed by challenge with diphtheria:tetanus vaccine and phytohemagglutinin respectively. We found no effect of the hormone manipulations on either PHA or tetanus antibody responses, but found a significant interaction between titers of both testosterone and corticosterone on diphtheria secondary antibody response; antibody response was greatest in individuals with high levels of both hormones. There was also a significant interactive effect between testosterone treatment group and corticosterone titer on body mass; the body mass of males in the elevated testosterone treatment group decreased with increasing corticosterone titer. These results suggest that, contrary to the assumption of the stress-mediated version of the ICHH, high plasma levels of corticosterone are not immunosuppressive, but are in fact immuno-enhancing in the presence of high levels of plasma testosterone. Equally, the central assumption of the ICHH that testosterone is obligately immunosuppressive is also not supported. The same individuals with the highest levels of both hormones and consequently the most robust antibody response also possessed the lowest body mass.

Heritability of corticosterone response and changes in life history traits during selection in the zebra finch

Vertebrates respond to environmental stressors through the neuro-endocrine stress response, which involves the production of glucocorticoids. We have selected independent, duplicate divergent lines of zebra finches for high, low and control corticosterone responses to a mild stressor. This experiment has shown that over the first four generations, the high lines have demonstrated a significant realized heritability of about 20%. However, the low lines have apparently not changed significantly from controls. This asymmetry in response is potentially because of the fact that all birds appear to be showing increased adaptation to the environment in which they are housed, with significant declines in corticosterone response in control lines as well as low lines. Despite the existence of two- to threefold difference in mean corticosterone titre between high and low lines, there were no observed differences in testosterone titre in adult male birds from the different groups. In addition, there were no consistent, significant differences between the lines in any of the life history variables measured – number of eggs laid per clutch, number of clutches or broods produced per pair, number of fledglings produced per breeding attempt, nor in any of egg, nestling and fledgling mortality. These results highlight the fact that the mechanisms that underlie variation in the avian physiological system can be modified to respond to differences between environments through selection. This adds an additional level of flexibility to the avian physiological system, which will allow it to respond to environmental circumstances.

Perceived neighborhood environment and park use as mediators of the effect of area socio-economic status on walking behaviors

Background: Access to local parks can affect walking levels. Neighborhood environment and park use may influence relationships between neighborhood socioeconomic status (SES) and walking.

Methods: Self-report data on perceived park features, neighborhood environment, park use, neighborhood walking and sociodemographics
were obtained from a sample of Australian adults, living in high/low SES areas. Surveys were mailed to 250 randomly selected households within 500m of 12 matched parks. Mediating effects of perceived environment attributes and park use on relationships between area-SES and walking were examined.

Results: Mean frequency of local park use was higher for high-SES residents (4.36 vs 3.16 times/wk, P < .01), who also reported higher levels of park safety, maintenance, attractiveness, opportunities for socialization, and neighborhood crime safety, aesthetics, and traffic safety. Safety and opportunity for socialization were independently positively related to monthly frequency of visits to a local park which, in turn, was positively associated with walking for recreation and total walking. Residents of higher SES areas reported an average 22% (95% CI: 5%, 37%) more weekly minutes of recreational walking than their low SES counterparts.

Conclusion: Residents of high-SES areas live in environments that promote park use, which positively contributes to their weekly amounts of overall and recreational walking.

Chronic disease and impairment among Alaska native elders : the Alaska Education and Research Towards Health (EARTH) study

Background: Chronic diseases and impairments are prevalent among older Americans. However, prevalence data for Alaska Native (AN) elders are limited, with estimates usually extrapolated from national studies in which AN elders may not be well-represented. The aim of this study was to describe the prevalence of selected chronic diseases, impairments, and measured medical risk factors among a large community sample of AN elders.

Methods: Design, setting, and participants. A community-based cross-sectional study of baseline information from 656 AN elders aged 55 years or over who participated in the Alaska Education and Research Towards Health (EARTH) Study, March 2004 to August 2006. Measurements. Self-reported lifetime prevalence of 17 doctor-diagnosed chronic diseases, and point prevalence of vision, hearing, oral, and general health impairment were estimated from data collected using audio computer-assisted self-administered questionnaires. In addition, height, weight, blood pressure, fasting blood lipids, and fasting blood glucose levels were measured.

Results: The four most prevalent chronic diseases among AN elders were high blood pressure (55%), arthritis (49%), high cholesterol (42%), and adult bone fracture/break (35%). The median number of chronic diseases reported was three (inter-quartile range, 2 to 5). The prevalence of self-reported vision impairment was 15%, hearing impairment 18%, and having had all natural teeth removed 25%. Almost 50% were obese. High blood pressure (systolic ≥ 140 mm Hg and/or diastolic ≥ 90 mm Hg) was measured in 23%, high low density lipoprotein (LDL) cholesterol (≥ 130 mg/dL) in 39%, and high fasting plasma glucose (> 125 mg/dL) in 9%. Obesity was more prevalent among women than men. There were also significant regional differences in rates of obesity and high LDL cholesterol.

Conclusion: These data may be useful in public health programs and health services planning.

Estimating non-response bias in a web-based survey of technology acceptance : a case study of unit guide information systems

Surveys are mostly challenged by response rates. Among the various types of survey research, web-based (internet-based/electronic/online) surveys are commonly used for data collection for a geographically diverse population. In surveys with high/low response rates, non-response bias can be a major concern. While it is not always possible to measure the actual bias due to non-response there are different approaches and techniques that help to identify reasons of non-response bias. The aims of this paper are twofold. (1) To provide an appropriate, interesting and important non-response bias case study for future web-based surveys that will provide guidance to other Information Systems researchers. The case-study concerns an online-survey to evaluate a technology acceptance model for Unit Guide Information systems (UGIS). (2) To discuss how nonresponse bias in a web-based technology acceptance study of an information system (UGIS in this case) can be contained and managed.

Perceived neighborhood environmental attributes associated with adults’ transport-related walking and cycling: Findings from the USA, Australia and Belgium

Background : Active transportation has the potential to contribute considerably to overall physical activity levels in adults and is likely to be influenced by neighborhood-related built environment characteristics. Previous studies that examined the associations between built environment attributes and active transportation, focused mainly on transport-related walking and were conducted within single countries, limiting environmental variability. We investigated the direction and shape of relationships of perceived neighborhood attributes with transport-related cycling and walking in three countries; and examined whether these associations differed by country and gender.

Methods Data from the USA (Baltimore and Seattle), Australia (Adelaide) and Belgium (Ghent) were pooled. In total, 6,014 adults (20–65 years, 55.7% women) were recruited in high-/low-walkable and high-/low-income neighborhoods. All participants completed the Neighborhood Environmental Walkability Scale and the International Physical Activity Questionnaire. Generalized additive mixed models were used to estimate the strength and shape of the associations.

Results Proximity to destinations, good walking and cycling facilities, perceiving difficulties in parking near local shopping areas, and perceived aesthetics were included in a ‘cyclability’ index. This index was linearly positively related to transport-related cycling and no gender- or country-differences were observed. The ‘walkability’ index consisted of perceived residential density, land use mix access, proximity of destinations and aesthetics. A non-linear positive relationship with transport-related walking was found. This association was stronger in women than in men, and country-specific associations were identified: the strongest association was observed in Seattle, the weakest in Adelaide. In Ghent, the association weakened at higher levels of walkability.

Conclusions For cycling, consistent correlates were found in the three countries, but associations were less straightforward for transport-related walking. Moreover, the identified neighborhood environmental correlates were different for walking compared to cycling. In order to further clarify the shape of these associations and reach more specific international guidelines for developing walkable and bikeable neighborhoods, future studies should include even more countries to maximize environmental variability.

Symptoms and distress in children with advanced cancer: prospective patient-reported outcomes from the PediQUEST Study

PURPOSE: Thousands of children are living with advanced cancer; yet patient-reported outcomes (PROs) have rarely been used to describe their experiences. We aimed to describe symptom distress in 104 children age 2 years or older with advanced cancer enrolled onto the Pediatric Quality of Life and Evaluation of Symptoms Technology (PediQUEST) Study (multisite clinical trial evaluating an electronic PRO system).

METHODS: Symptom data were collected using age- and respondent-adapted versions of the PediQUEST Memorial Symptom Assessment Scale (PQ-MSAS) at most once per week. Clinical and treatment data were obtained from medical records. Individual symptom scores were dichotomized into high/low distress. Determinants of PQ-MSAS scores were explored using linear mixed-effects models.

RESULTS: During 9 months of follow-up, PQ-MSAS was administered 920 times: 459 times in teens (99% self-report), 249 times in children ages 7 to 12 years (96% child/parent report), and 212 times in those ages 2 to 6 years (parent reports). Common symptoms included pain (48%), fatigue (46%), drowsiness (39%), and irritability (37%); most scores indicated high distress. Among the 73 PQ-MSAS surveys administered in the last 12 weeks of life, pain was highly prevalent (62%; 58% with high distress). Being female, having a brain tumor, experiencing recent disease progression, and receiving moderate- or high-intensity cancer-directed therapy in the prior 10 days were associated with worse PQ-MSAS scores. In the final 12 weeks of life, receiving mild cancer-directed therapy was associated with improved psychological PQ-MSAS scores.

CONCLUSION: Children with advanced cancer experience high symptom distress. Strategies to promote intensive symptom management are indicated, especially with disease progression or administration of intensive treatments.

Information ratings and capital structure

We examine the impact of information asymmetry on a firm's capital structure decisions with a unique information rating scheme that draws from 114 measures over five dimensions of information disclosures on each firm from 2006 to 2012. We find that a firm with high (low) information rating is related to low (high) debt financing and leverage. In particular, a firm that moves from the lowest to the highest information rating experiences a 7.8% reduction in firm leverage on average. This relationship is robust to firm characteristics, incentive conflicts, and the agreement theory of Dittmar and Thakor (2007). Our results suggest that information asymmetry is in-fluential on a firm's pecking order behavior independent of these effects.

Another explanation of the mutual fund fee puzzle

This paper demonstrates that investor sentiment explains the recent puzzle of the negative relation between fees and before-fee performance of equity mutual funds. Using a composite proxy for investor sentiment, the puzzle can be explained stronger by investor sentiment, compared to the strategic fee-setting explanation discussed in the literature. More-sentiment driven investors would like to select more skilled fund managers, leading to a better future performance in short run. Additionally, when sentiment is high (low), it results in lower (higher) fees. Our results highlight the use of investor sentiment approach in determining mutual fund fees and performance.

Invasive cane toad triggers chronic physiological stress and decreased reproductive success in an island endemic

Understanding the mechanisms that afford invasive species their ecological success as important agents of global change is key to addressing their biodiversity impacts. Species invasions that occur on small islands are especially detrimental and suggest that invaders intensify their ecological impacts by exploiting novel ecological functions. However, it remains unknown whether such strong impacts are also a consequence of an invader's indirect effect (e.g. causing physiological stress or reproductive failure) on island species. Therefore, it is valuable to quantify the physiological mechanisms through which invasive species can exert indirect effects on the performance, and ultimately the fitness of island endemics. In this study, we investigated whether the invasive cane toad (Rhinella marina) caused indirect competitive impacts on the endemic Fijian ground frog (Platymantis vitiana) on the small (60 ha) Viwa Island, Fiji. We used large (4 × 10 000 m2), natural and replicated enclosures to monitor ground frog stress hormone levels, reproductive hormone cycle, body condition, breeding and survival in the presence/absence of the cane toad. We conducted monthly sampling to analyse annual patterns in testosterone for males, estradiol and progesterone for females, corticosterone for both sexes and body condition of ground frogs in replicated enclosures or natural habitats with high/low cane toad densities. We also measured survival and reproductive success of ground frogs in enclosures. Results showed that in both enclosures and natural habitats with high cane toad densities, ground frogs had a significant reduction in body condition, increased urinary corticosterone metabolites and suppressed sex steroid metabolites. Most importantly, annual field surveys showed significant reduction in ground frog reproductive success (fewer eggs were laid in enclosures with toads present); however, survival was not severely reduced. Our study clearly demonstrated that on small islands, invasive species may exploit broader ecological roles with strong indirect effects that amplify their impacts beyond those seen on continents. Overall, the effects of cane toad competition had the capacity to strongly reduce ground frog reproductive success. We strongly advocate management actions that either minimize invasion or limit the strength of invasive-native species interactions (e.g. through habitat conservation) to prevent further extinctions on islands.

Spread spectrum-based high embedding capacity watermarking method for audio signals

Abstract— Audio watermarking is a promising technology for copyright protection of audio data. Built upon the concept of spread spectrum (SS), many SS-based audio watermarking method shave been developed, where a pseudonoise (PN) sequence is usually used to introduce security. A major drawback of the existing SS-based audio watermarking methods is their low embedding capacity. In this paper, we propose a new SS-based audio watermarking method which possesses much higher embedding capacity while ensuring satisfactory imperceptibility and robustness. The high embedding capacity is achieved through a set of mechanisms: embedding multiple watermark bits in one audio segment, reducing host signal interference on watermark extraction, and adaptively adjusting PN sequence amplitude in watermark embedding based on the property of audio segments. The effectiveness of the proposed audio watermarking method is demonstrated by simulation examples.