The market value implications of pension asset allocation

Pension funds have been part of the private sector since the 1850's. Defined Benefit pension plans [DB], where a company promises to make regular contributions to investment accounts held for participating employees in order to pay a promised lifelong annuity, are significant capital markets participants, amounting to 2.3 trillion dollars in 2010 (Federal Reserve Board, 2013). In 2006, Statement of Financial Accounting Standards No.158 (SFAS 158), Employers' Accounting for Defined Benefit Pension and Other Postemployment Plans, shifted information concerning funding status and pension asset/liability composition from disclosure in the footnotes to recognition in the financial statements. I add to the literature by being the first to examine the effect of recent pension reform during the financial crisis of 2008-09. This dissertation is comprised of three related essays. In my first essay, I investigate whether investors assign different pricing multiples to the various classes of pension assets when valuing firms. The pricing multiples on all classes of assets are significantly different from each other, but only investments in bonds and equities were value-relevant during the recent financial crisis. Consistent with investors viewing pension liabilities as liabilities of the firm, the pricing multiples on pension liabilities are significantly larger than those on non-pension liabilities. The only pension costs significantly associated with firm value are actual rate of return and interest expense. In my second essay, I investigate the role of accruals in predicting future cash flows, extending the Barth et al. (2001a) model of the accrual process. Using market value of equity as a proxy for cash flows, the results of this study suggest that aggregate accounting amounts mask how the components of earnings affect investors' ability to predict future cash flows. Disaggregating pension earnings components and accruals results in an increase in predictive power. During the 2008-2009 financial crisis, however, investors placed a greater (and negative) weight on the incremental information contained in the individual components of accruals. The inferences are robust to alternative specifications of accruals. Finally, in my third essay I investigate how investors view under-funded plans. On average, investors: view deficits arising from under-funded plans as belonging to the firm; reward firms with fully or over-funded pension plans; and encourage those funds with unfunded pension plans to become funded. Investors also encourage conservative pension asset allocations to mitigate firm risk, and smaller firms are perceived as being better able to handle the risk associated with underfunded plans. During the financial crisis of 2008-2009 underfunded status had a lower negative association with market value. In all three models, there are significant differences in pre- and post- SFAS 158 periods. These results are robust to various scenarios of the timing of the financial crisis and an alternative measure of funding.

An empirical analysis of the global audit market: International Financial Reporting Standards-related changes and differences within the Big 4 global networks

Ongoing debates within the professional and academic communities have raised a number of questions specific to the international audit market. This dissertation consists of three related essays that address such issues. First, I examine whether the propensity to switch between auditors of different sizes (i.e., Big 4 versus non-Big 4) changes as adoption of International Financial Reporting Standards (IFRS) becomes a more common phenomenon, arguing that smaller auditors have an opportunity to invest in necessary skills and training needed to enter this market. Findings suggest that clients are relatively less (more) likely to switch to (away from) a Big 4 auditor if the client's adoption of IFRS occurs in more recent years. ^ In the second essay, I draw on these inferences and test whether the change in audit fees in the year of IFRS adoption changes over time. As the market becomes less concentrated, larger auditors becomes less able to demand a premium for their services. Consistent with my arguments, results suggest that the change in audit service fees declines over time, although this effect seems concentrated among the Big 4. I also find that this effect is partially attributable to a differential effect of the auditors' experience in pricing audit services related to IFRS based on the period in which adoption occurs. The results of these two essays offer important implications to policy debates on the costs and benefits of IFRS adoption. ^ In the third essay, I differentiate Big 4 auditors into three classifications—Parent firms, Brand Name affiliates, and Local affiliates—and test for differences in audit fee premiums (relative to non-Big 4 auditors) and audit quality. Results suggest that there is significant heterogeneity between the three classifications based on both of these characteristics, which is an important consideration for future research. Overall, this dissertation provides additional insights into a variety of aspects of the global audit market.^

International Capital Flows and Monetary Policy Spillovers

This dissertation examines the drivers and implications of international capital flows. The overarching motivation is the observation that countries not at the centre of global financial markets are subject to considerable spillovers from centre countries, notably from their monetary policy. I present new empirical evidence on the determinants of the observed patterns of international capital flows and monetary policy spillovers, and study their effect on both financial markets and the real economy. In Chapter 2 I provide evidence on the determinants of a puzzling negative correlation observed between productivity growth and net capital inflows to developing and emerging market economies (EMEs) since 1980. By disaggregating net capital inflows into their gross components, I show that this negative correlation is explained by capital outflows related to purchases of very liquid assets from the fastest growing countries. My results suggest a desire for international portfolio diversification in liquid assets by fast growing countries is driving much of the original puzzle. In the reminder of my dissertation I pivot to study the foreign characteristics that drive international capital flows and monetary policy spillovers, with a particular focus on the role of unconventional monetary policy in the United States (U.S.). In Chapter 3 I show that a significant portion of the heterogeneity in EMEs' asset price adjustment following the quantitative easing operations by the Federal Reserve (the Fed) during 2008-2014 can be explained by the degree of bilateral capital market frictions between these countries and the U.S. This is true even after accounting for capital controls, exchange rate regimes, and domestic monetary policies. Chapter 4, co-authored with Michal Ksawery Popiel, studies unconventional monetary policy in a small open economy, looking specifically at the case of Canada since the global financial crisis. We quantify the effect Canadian unconventional monetary policy shocks had on the real economy, while carefully controlling for and quantifying spillovers from U.S. unconventional monetary policy. Our results indicate that the Bank of Canada's unconventional monetary policy increased Canadian output significantly from 2009-2010, but that spillovers from the Fed's policy were even more important for increasing Canadian output after 2008.

Late-career international migration and reproductive work. A comparison between Peruvian and Ukrainian women in the Southern Europe

Research on the relationship between reproductive work and women´s life trajectories including the experience of labour migration has mainly focused on the case of relatively young mothers who leave behind, or later re-join, their children. While it is true that most women migrate at a younger age, there are a significant number of cases of men and women who move abroad for labour purposes at a more advanced stage, undertaking a late-career migration. This is still an under-estimated and under-researched sub-field that uncovers a varied range of issues, including the global organization of reproductive work and the employment of migrant women as domestic workers late in their lives. By pooling the findings of two qualitative studies, this article focuses on Peruvian and Ukrainian women who seek employment in Spain and Italy when they are well into their forties, or older. A commonality the two groups of women share is that, independently of their level of education and professional experience, more often than not they end up as domestic and care workers. The article initially discusses the reasons for late-career female migration, taking into consideration the structural and personal determinants that have affected Peruvian and Ukrainian women’s careers in their countries of origin and settlement. After this, the focus is set on the characteristics of domestic employment at later life, on the impact on their current lives, including the transnational family organization, and on future labour and retirement prospects. Apart from an evaluation of objective working and living conditions, we discuss women’s personal impressions of being domestic workers in the context of their occupational experiences and family commitments. In this regard, women report varying levels of personal and professional satisfaction, as well as different patterns of continuity-discontinuity in their work and family lives, and of optimism towards the future. Divergences could be, to some extent, explained by the effect of migrants´ transnational social practices and policies of states.

The RAGE Software Asset Model and Metadata Model

Software assets are key output of the RAGE project and they can be used by applied game developers to enhance the pedagogical and educational value of their games. These software assets cover a broad spectrum of functionalities – from player analytics including emotion detection to intelligent adaptation and social gamification. In order to facilitate integration and interoperability, all of these assets adhere to a common model, which describes their properties through a set of metadata. In this paper the RAGE asset model and asset metadata model is presented, capturing the detail of assets and their potential usage within three distinct dimensions – technological, gaming and pedagogical. The paper highlights key issues and challenges in constructing the RAGE asset and asset metadata model and details the process and design of a flexible metadata editor that facilitates both adaptation and improvement of the asset metadata model.

The parallel solution of early-exercise Asian options with stochastic volatility

This paper describes an parallel semi-Lagrangian finite difference approach to the pricing of early exercise Asian Options on assets with a stochastic volatility. A multigrid procedure is described for the fast iterative solution of the discrete linear complementarity problems that result. The accuracy and performance of this approach is improved considerably by a strike-price related analytic transformation of asset prices. Asian options are contingent claims with payoffs that depend on the average price of an asset over some time interval. The payoff may depend on this average and a fixed strike price (Fixed Strike Asians) or it may depend on the average and the asset price (Floating Strike Asians). The option may also permit early exercise (American contract) or confine the holder to a fixed exercise date (European contract). The Fixed Strike Asian with early exercise is considered here where continuous arithmetic averaging has been used. Pricing such an option where the asset price has a stochastic volatility leads to the requirement to solve a tri-variate partial differential inequation in the three state variables of asset price, average price and volatility (or equivalently, variance). The similarity transformations [6] used with Floating Strike Asian options to reduce the dimensionality of the problem are not applicable to Fixed Strikes and so the numerical solution of a tri-variate problem is necessary. The computational challenge is to provide accurate solutions sufficiently quickly to support realtime trading activities at a reasonable cost in terms of hardware requirements.

The Value Of The 2005 International Society Of Urological Pathology (isup) Modified Gleason Grading System As A Predictor Of Biochemical Recurrence After Radical Prostatectomy.

To compare time and risk to biochemical recurrence (BR) after radical prostatectomy of two chronologically different groups of patients using the standard and the modified Gleason system (MGS). Cohort 1 comprised biopsies of 197 patients graded according to the standard Gleason system (SGS) in the period 1997/2004, and cohort 2, 176 biopsies graded according to the modified system in the period 2005/2011. Time to BR was analyzed with the Kaplan-Meier product-limit analysis and prediction of shorter time to recurrence using univariate and multivariate Cox proportional hazards model. Patients in cohort 2 reflected time-related changes: striking increase in clinical stage T1c, systematic use of extended biopsies, and lower percentage of total length of cancer in millimeter in all cores. The MGS used in cohort 2 showed fewer biopsies with Gleason score ≤ 6 and more biopsies of the intermediate Gleason score 7. Time to BR using the Kaplan-Meier curves showed statistical significance using the MGS in cohort 2, but not the SGS in cohort 1. Only the MGS predicted shorter time to BR on univariate analysis and on multivariate analysis was an independent predictor. The results favor that the 2005 International Society of Urological Pathology modified system is a refinement of the Gleason grading and valuable for contemporary clinical practice.

What Is The Best Indication For Single-incision Ophira Mini Sling? Insights From A 2-year Follow-up International Multicentric Study.

The Ophira Mini Sling System involves anchoring a midurethral, low-tension tape to the obturator internus muscles bilaterally at the level of the tendinous arc. Success rates in different subsets of patients are still to be defined. This work aims to identify which factors influence the 2-year outcomes of this treatment. Analysis was based on data from a multicenter study. Endpoints for analysis included objective measurements: 1-h pad-weight (PWT), and cough stress test (CST), and questionnaires: International Consultation on Incontinence Questionnaire-Short Form (ICIQ-SF) and Urinary Distress Inventory (UDI)-6. A logistic regression analysis evaluated possible risk factors for failure. In all, 124 female patients with stress urinary incontinence (SUI) underwent treatment with the Ophira procedure. All patients completed 1 year of follow-up, and 95 complied with the 2-year evaluation. Longitudinal analysis showed no significant differences between results at 1 and 2 years. The 2-year overall objective results were 81 (85.3%) patients dry, six (6.3%) improved, and eight (8.4%) incontinent. A multivariate analysis revealed that previous anti-incontinence surgery was the only factor that significantly influenced surgical outcomes. Two years after treatment, women with previous failed surgeries had an odds ratio (OR) for treatment failure (based on PWT) of 4.0 [95% confidence interval (CI) 1.02-15.57). The Ophira procedure is an effective option for SUI treatment, with durable good results. Previous surgeries were identified as the only significant risk factor, though previously operated patients showed an acceptable success rate.

[renal Tumors: The International Society Of Urologic Pathology (isup) 2012 Consensus Conference Recommendations].

During the last 30 years many advances have been made in kidney tumor pathology. In 1981, 9 entities were recognized in the WHO Classification. In the latest classification of 2004, 50 different types have been recognized. Additional tumor entities have been described since and a wide variety of prognostic parameters have been investigated with variable success; however, much attention has centered upon the importance of features relating to both stage and grade. The International Society of Urological Pathology (ISUP) recommends after consensus conferences the development of reporting guidelines, which have been adopted worldwide ISUP undertook to review all aspects of the pathology of adult renal malignancy through an international consensus conference to be held in 2012. As in the past, participation in this consensus conference was restricted to acknowledged experts in the field.

Highlights from the I international symposium of thrombosis and anticoagulation in internal medicine, October 23–25, 2008, Sao Paulo, Brazil

Abstract The importance of thrombosis and anticoagulation in clinical practice is rooted firmly in several fundamental constructs that can be applied both broadly and globally. Awareness and the appropriate use of anticoagulant therapy remain the keys to prevention and treatment. However, to assure maximal efficacy and safety, the clinician must, according to the available evidence, choose the right drug, at the right dose, for the right patient, under the right indication, and for the right duration of time. The first International Symposium of Thrombosis and Anticoagulation in Internal Medicine was a scientific program developed by clinicians for clinicians. The primary objective of the meeting was to educate, motivate and inspire internists, cardiologists and hematologists by convening national and international visionaries, thought-leaders and dedicated clinician-scientists in Sao Paulo, Brazil. This article is a focused summary of the symposium proceedings

The International LAM Registry: A Component of an Innovative Web-Based Clinician, Researcher, and Patient-Driven Rare Disease Research Platform

Background: A relative friability to capture a sufficiently large patient population in any one geographic location has traditionally limited research into rare diseases. Methods and Results: Clinicians interested in the rare disease lymphangioleiomyomatosis (LAM) have worked with the LAM Treatment Alliance, the MIT Media Lab, and Clozure Associates to cooperate in the design of a state-of-the-art data coordination platform that can be used for clinical trials and other research focused on the global LAM patient population. This platform is a component of a set of web-based resources, including a patient self-report data portal, aimed at accelerating research in rare diseases in a rigorous fashion. Conclusions: Collaboration between clinicians, researchers, advocacy groups, and patients can create essential community resource infrastructure to accelerate rare disease research. The International LAM Registry is an example of such an effort.

The International Collaboration on Air Pollution and Pregnancy Outcomes: Initial Results

BACKGROUND: The findings of prior studies of air pollution effects on adverse birth outcomes are difficult to synthesize because of differences in study design. OBJECTIVES: The International Collaboration on Air Pollution and Pregnancy Outcomes was formed to understand how differences in research methods contribute to variations in findings. We initiated a feasibility study to a) assess the ability of geographically diverse research groups to analyze their data sets using a common protocol and b) perform location-specific analyses of air pollution effects on birth weight using a standardized statistical approach. METHODS: Fourteen research groups from nine countries participated. We developed a protocol to estimate odds ratios (ORs) for the association between particulate matter <= 10 mu m in aerodynamic diameter (PM(10)) and low birth weight (LBW) among term births, adjusted first for socioeconomic status (SES) and second for additional location-specific variables. RESULTS: Among locations with data for the PM(10) analysis, ORs estimating the relative risk of term LBW associated with a 10-mu g/m(3) increase in average PM(10) concentration during pregnancy, adjusted for SES, ranged from 0.63 [95% confidence interval (CI), 0.30-1.35] for the Netherlands to 1.15 (95% CI, 0.61-2.18) for Vancouver, with six research groups reporting statistically significant adverse associations. We found evidence of statistically significant heterogeneity in estimated effects among locations. CONCLUSIONS: Variability in PM(10)-LBW relationships among study locations remained despite use of a common statistical approach. A more detailed meta-analysis and use of more complex protocols for future analysis may uncover reasons for heterogeneity across locations. However, our findings confirm the potential for a diverse group of researchers to analyze their data in a standardized way to improve understanding of air pollution effects on birth outcomes.