On the existence of visual technical patterns in the UK stock market

The aim in this paper is to replicate and extend the analysis of visual technical patterns by Lo et al. (2000) using data on the UK market. A non-parametric smoother is used to model a nonlinear trend in stock price series. Technical patterns, such as the 'head-and-shoulders' pattern, that are characterised by a sequence of turning points are identified in the smoothed data. Statistical tests are used to determine whether returns conditioned on the technical patterns are different from random returns and, in an extension to the analysis of Lo et al. (2000), whether they can outperform a market benchmark return. For the stocks in the FTSE 100 and FTSE 250 indices over the period 1986 to 2001, we find that technical patterns occur with different frequencies to each other and in different relativities to the frequencies found in the US market. Our extended statistical testing indicates that UK stock returns are less influenced by technical patterns than was the case for US stock returns.

Conditional volatility and firm size:an empirical analysis of UK equity portfolios

The techniques and insights from two distinct areas of financial economic modelling are combined to provide evidence of the influence of firm size on the volatility of stock portfolio returns. Portfolio returns are characterized by positive serial correlation induced by the varying levels of non-synchronous trading among the component stocks. This serial correlation is greatest for portfolios of small firms. The conditional volatility of stock returns has been shown to be well represented by the GARCH family of statistical processes. Using a GARCH model of the variance of capitalization-based portfolio returns, conditioned on the autocorrelation structure in the conditional mean, striking differences related to firm size are uncovered.

Mean reversion in the short horizon returns of UK portfolios

This paper will show that short horizon stock returns for UK portfolios are more predictable than suggested by sample autocorrelation co-efficients. Four capitalisation based portfolios are constructed for the period 1976–1991. It is shown that the first order autocorrelation coefficient of monthly returns can explain no more than 10% of the variation in monthly portfolio returns. Monthly autocorrelation coefficients assume that each weekly return of the previous month contains the same amount of information. However, this will not be the case if short horizon returns contain predictable components which dissipate rapidly. In this case, the return of the most recent week would say a lot more about the future monthly portfolio return than other weeks. This suggests that when predicting future monthly portfolio returns more weight should be given to the most recent weeks of the previous month, because, the most recent weekly returns provide the most information about the subsequent months' performance. We construct a model which exploits the mean reverting characteristics of monthly portfolio returns. Using this model we forecast future monthly portfolio returns. When compared to forecasts that utilise the autocorrelation statistic the model which exploits the mean reverting characteristics of monthlyportfolio returns can forecast future returns better than the autocorrelation statistic, both in and out of sample.

Stock market efficiency before and after a financial liberalisation reform:do breaks in volatility dynamics matter?

This article focuses on the deviations from normality of stock returns before and after a financial liberalisation reform, and shows the extent to which inference based on statistical measures of stock market efficiency can be affected by not controlling for breaks. Drawing from recent advances in the econometrics of structural change, it compares the distribution of the returns of five East Asian emerging markets when breaks in the mean and variance are either (i) imposed using certain official liberalisation dates or (ii) detected non-parametrically using a data-driven procedure. The results suggest that measuring deviations from normality of stock returns with no provision for potentially existing breaks incorporates substantial bias. This is likely to severely affect any inference based on the corresponding descriptive or test statistics.

Exchange rate exposure:do size and foreign operations matter?

Purpose – The purpose of this paper is to examine the effect of firm size and foreign operations on the exchange rate exposure of UK non-financial companies from January 1981 to December 2001. Design/methodology/approach – The impact of the unexpected changes in exchange rates on firms’ stock returns is examined. In addition, the movements in bilateral, equally weighted (EQW) and trade-weighted and exchange rate indices are considered. The sample is classified according to firm size and the extent of firms’ foreign operations. In addition, structural changes on the relationship between exchange rate changes and individual firms’ stock returns are examined over three sub-periods: before joining the exchange rate mechanism (pre-ERM), during joining the ERM (in-ERM), and after departure from the ERM (post-ERM). Findings – The findings indicate that a higher percentage of UK firms are exposed to contemporaneous exchange rate changes than those reported in previous studies. UK firms’ stock returns are more affected by changes in the EQW, and US$ European currency unit exchange rate, and respond less significantly to the basket of 20 countries’ currencies relative to the UK pound exchange rate. It is found that exchange rate exposure has a more significant impact on stock returns of the large firms compared with the small and medium-sized companies. The evidence is consistent across all specifications using different exchange rate. The results provide evidence that the proportion of significant foreign exchange rate exposure is higher for firms which generate a higher percentage of revenues from abroad. The sensitivities of firms’ stock returns to exchange rate fluctuations are most evident in the pre-ERM and post-ERM periods. Practical implications – This study provides important implications for public policymakers, financial managers and investors on how common stock returns of various sectors react to exchange rate fluctuations. Originality/value – The empirical evidence supports the view that UK firms’ stock returns are affected by foreign exchange rate exposure.

Serial correlation in the returns of UK capitalization based portfolios

This article examines whether UK portfolio returns are time varying so that expected returns follow an AR(1) process as proposed by Conrad and Kaul for the USA. It explores this hypothesis for four portfolios that have been formed on the basis of market capitalization. The portfolio returns are modelled using a kalman filter signal extraction model in which the unobservable expected return is the state variable and is allowed to evolve as a stationary first order autoregressive process. It finds that this model is a good representation of returns and can account for most of the autocorrelation present in observed portfolio returns. This study concludes that UK portfolio returns are time varying and the nature of the time variation appears to introduce a substantial amount of autocorrelation to portfolio returns. Like Conrad and Kaul if finds a link between the extent to which portfolio returns are time varying and the size of firms within a portfolio but not the monotonic one found for the USA. © 2004 Taylor and Francis Ltd.

Using extreme value theory to value stock market returns

Extreme stock price movements are of great concern to both investors and the entire economy. For investors, a single negative return, or a combination of several smaller returns, can possible wipe out so much capital that the firm or portfolio becomes illiquid or insolvent. If enough investors experience this loss, it could shock the entire economy. An example of such a case is the stock market crash of 1987. Furthermore, there has been a lot of recent interest regarding the increasing volatility of stock prices. ^ This study presents an analysis of extreme stock price movements. The data utilized was the daily returns for the Standard and Poor's 500 index from January 3, 1978 to May 31, 2001. Research questions were analyzed using the statistical models provided by extreme value theory. One of the difficulties in examining stock price data is that there is no consensus regarding the correct shape of the distribution function generating the data. An advantage with extreme value theory is that no detailed knowledge of this distribution function is required to apply the asymptotic theory. We focus on the tail of the distribution. ^ Extreme value theory allows us to estimate a tail index, which we use to derive bounds on the returns for very low probabilities on an excess. Such information is useful in evaluating the volatility of stock prices. There are three possible limit laws for the maximum: Gumbel (thick-tailed), Fréchet (thin-tailed) or Weibull (no tail). Results indicated that extreme returns during the time period studied follow a Fréchet distribution. Thus, this study finds that extreme value analysis is a valuable tool for examining stock price movements and can be more efficient than the usual variance in measuring risk. ^

Comparison of snail density, standing stock, and body size between Caribbean karst wetlands and other freshwater ecosystems

Synthesizing data from multiple studies generates hypotheses about factors that affect the distribution and abundance of species among ecosystems. Snails are dominant herbivores in many freshwater ecosystems, but there is no comprehensive review of snail density, standing stock, or body size among freshwater ecosystems. We compile data on snail density and standing stock, estimate body size with their quotient, and discuss the major pattern that emerges. We report data from 215 freshwater ecosystems taken from 88 studies that we placed into nine categories. Sixty-five studies reported density, seven reported standing stock, and 16 reported both. Despite the breadth of studies, spatial and temporal sampling scales were limited. Researchers used 25 different sampling devices ranging in area from 0.0015 to 2.5 m2. Most ecosystem categories had similar snail densities, standing stocks, and body sizes suggesting snails shared a similar function among ecosystems. Caribbean karst wetlands were a striking exception with much lower density and standing stock, but large body size. Disparity in body size results from the presence of ampullariids in Caribbean karst wetlands suggesting that biogeography affects the distribution of taxa, and in this case size, among aquatic ecosystems. We propose that resource quality explains the disparity in density and standing stock between Caribbean karst wetlands and other categories. Periphyton in Caribbean karst wetlands has high carbon-to-phosphorous ratios and defensive characteristics that inhibit grazers. Unlike many freshwater ecosystems where snails are key grazers, we hypothesize that a microbial loop captures much of the primary production in Caribbean karst wetlands.

Information Content of Bank Credit Rating Changes: Evidence from Europe

This thesis examines the short-term impact of credit rating announcements on daily stock returns of 41 European banks indexed in STOXX Europe 600 Banks. The time period of this study is 2002–2015 and the ratings represent long-term issuer ratings provided by S&P, Moody’s and Fitch. Bank ratings are significant for a bank’s operation costs so it is interesting to investigate how investors react to changes in creditworthiness. The study objective is achieved by conducting an event study. The event study is extended with a cross-sectional linear regression to investigate other potential determinants surrounding rating changes. The research hypotheses and the motivation for additional tests are derived from prior research. The main hypotheses are formed to explore whether rating changes have an effect on stock returns, when this possible reaction occurs and whether it is asymmetric between upgrades and downgrades. The findings provide evidence that rating announcements have an impact on stock returns in the context of European banks. The results also support the existence of an asymmetry in capital market reaction to rating upgrades and downgrades. The rating downgrades are associated with statistically significant negative abnormal returns on the event day although the reaction is rather modest. No statistically significant reaction is found associated with the rating upgrades on the event day. These results hold true with both rating changes and rating watches. No anticipation is observed in the case of rating changes but there is a statistically significant cumulative negative (positive) price reaction occurring before the event day for negative (positive) watch announcements. The regression provides evidence that the stock price reaction is stronger for rating downgrades occurring within below investment grade class compared with investment grade class. This is intuitive as investors are more concerned about their investments in lower-rated companies. Besides, the price reaction of larger banks is more mitigated compared with smaller banks in the case of rating downgrades. The reason for this may be that larger banks are usually more widely followed by the public. However, the study results may also provide evidence of the existence of the so-called “too big to fail” subsidy that dampens the negative returns of larger banks.

Repair of critical-size defects with autogenous periosteum-derived cells combined with bovine anorganic apatite/collagen: an experimental study in rat calvaria

The aim of this study was to evaluate the bone repair using autogenous periosteum-derived cells (PDC) and bovine anorganic apatite and collagen (HA-COL). PDC from Wistar rats (n=10) were seeded on HA-COL discs and subjected to osteoinduction during 6 days. Critical-size defects in rat calvarias were treated with blood clot (G1), autogenous bone (G2), HA-COL (G3) and HA-COL combined with PDC (G4) (n=40), and then analyzed 1 and 3 months after surgeries. Radiographic analysis exhibited no significant temporal change. G1 and G2 had discrete new marginal bone, but the radiopacity of graft materials in G2, G3 and G4 impaired the detection of osteogenesis. At 3 months, histopathological analysis showed the presence of ossification islets in G1, which was more evident in G2, homogeneous new bone around HA-COL in G3 and heterogeneous new bone around HA-COL in G4 in addition to moderate presence of foreign body cells in G3 and G4. Histomorphometric analysis showed no change in the volume density of xenograft (p>0.05) and bone volume density in G2 was twice greater than in G1 and G4 after 3 months (p<0.05), but similar to G3. The PDC did not increase bone formation in vivo, although the biomaterial alone showed biocompatibility and osteoconduction capacity.

Increased Occurrence of Dental Anomalies Associated with Second-Premolar Agenesis

Objective: To evaluate the prevalence of dental anomalies in patients with agenesis of second premolars and compare the findings with the prevalence of these anomalies in the general population. Materials and Methods: A Brazilian sample of 203 patients aged 8 to 22 years was selected. All patients presented agenesis of at least one second premolar. Panoramic and periapical radiographs and dental casts were used to analyze the presence of other associated dental anomalies, including agenesis of other permanent teeth, ectopia of unerupted permanent teeth, infraocclusion of deciduous molars, microdontia of maxillary lateral incisors, and supernumerary teeth. The occurrence of these anomalies was compared with occurrence data previously reported for the general population. Statistical testing was performed using the chi-square test (P < .05) and the odds ratio. Results: The sample with agenesis of at least one second premolar presented a significantly increased prevalence rate of permanent tooth agenesis (21%), excluding third molars. Among the sample segment aged 14 years or greater (N = 77), occurrence of third-molar agenesis (48%) exceeded twice its normal frequency. Significant increases in occurrence of microdontia of maxillary lateral incisors (20.6%), infraocclusion of deciduous molars (24.6%), and distoangulation of mandibular second premolars (7.8%) were observed. Palatally displaced canine anomaly was also significantly elevated (8.1%). Conclusion: The results provide evidence that agenesis of other permanent teeth, microdontia, deciduous molar infraocclusion, and certain dental ectopias are the products of the same genetic mechanisms that cause second-premolar agenesis. (Angle Orthod. 2009;79:436-441.)

Using a combination of MLPA kits to detect chromosomal imbalances in patients with multiple congenital anomalies and mental retardation is a valuable choice for developing countries

Conventional karyotyping detects anomalies in 3-15% of patients with multiple congenital anomalies and mental retardation (MCA/MR). Whole-genome array screening (WGAS) has been consistently suggested as the first choice diagnostic test for this group of patients, but it is very costly for large-scale use in developing countries. We evaluated the use of a combination of Multiplex Ligation-dependent Probe Amplification (MLPA) kits to increase the detection rate of chromosomal abnormalities in MCA/MR patients. We screened 261 MCA/MR patients with two subtelomeric and one microdeletion kits. This would theoretically detect up to 70% of all submicroscopic abnormalities. Additionally we scored the de Vries score for 209 patients in an effort to find a suitable cut-off for MLPA screening. Our results reveal that chromosomal abnormalities were present in 87 (33.3%) patients, but only 57 (21.8%) were considered causative. Karyotyping detected 15 abnormalities (6.9%), while MLPA identified 54 (20.7%). Our combined MLPA screening raised the total detection number of pathogenic imbalances more than three times when compared to conventional karyotyping. We also show that using the de Vries score as a cutoff for this screening would only be suitable under financial restrictions. A decision analytic model was constructed with three possible strategies: karyotype, karyotype + MLPA and karyotype + WGAS. Karyotype + MLPA strategy detected anomalies in 19.8% of cases which account for 76.45% of the expected yield for karyotype + WGAS. Incremental Cost Effectiveness Ratio (ICER) of MLPA is three times lower than that of WGAS, which means that, for the same costs, we have three additional diagnoses with MLPA but only one with WGAS. We list all causative alterations found, including rare findings, such as reciprocal duplications of regions deleted in Sotos and Williams-Beuren syndromes. We also describe imbalances that were considered polymorphisms or rare variants, such as the new SNP that confounded the analysis of the 22q13.3 deletion syndrome. (C) 2011 Elsevier Masson SAS. All rights reserved.

Healing of critical-size cranial defects in guinea pigs using a bovine bone-derived resorbable membrane

Purpose: To investigate the healing of critical-size cranial bone defects (9-mm-diameter) in guinea pigs treated with a bovine bone-derived resorbable membrane. Materials and Methods: A sample of 42 guinea pigs was divided into test (n = 20), control (n = 20), and standard (n = 2) groups. A full-thickness trephine defect was made in the fronto-parietal bone of each animal. In the test group, the internal and external openings of the defect were each closed with a separate membrane, and the space between them was filled with blood clot and a central spacer. In the control group, the defect was filled only with the blood clot and spacer. At 1, 3, 6, and 9 months later, the calvarias (5 per period) for both the test and control groups were collected, fixed, radiographed, and histologically processed. The Standard-group animals were sacrificed immediately after surgery and used to determine the initial size of defect radiographically. The areas of defects in the radiographs were measured with image-analysis software and were compared between groups and periods by multiple regression analysis with the Bonferroni correction. Results: At 1 and 3 months, newly formed woven bone was histologically observed in both test and control groups. Radiographically, this new bone occupied an average of 32% of the defect area at 1 month and 60% at 3 months in the test group. In the control group, 21% of the defect was filled at 1 month and 39% at 3 months. However, the differences between treatments were not statistically significant (P > .05). At 6 and 9 months, a significant increase in newly formed lamellar bone was seen histologically in both groups. Radiographically, for the test group, the new bone occupied an average of 82% of the defect area at 6 months and 96% at 9 months. For the control group, new bone composed an average of 45% of the defect area at 6 months and 40% at 9 months. The differences between the test and control groups were statistically significant at 6 and 9 months (P < .05). Complete or almost complete filling of the defect was observed in several cases. Conclusion: It was concluded that the bovine bone-derived membrane is highly biocompatible and is able to promote good healing of critical-size defects in calvaria of guinea pig.

Biological monitoring of a xenomaterial for grafting: an evaluation in critical-size calvarial defects

Our purpose was to evaluate the osteoconduction potential of mixed bovine bone (MBB) xenografts as an alternative for bone grafting of critical-size defects in the calvaria of rats. After surgery, in the time intervals of 1, 3, 6, and 9 months, rats were killed and their skulls collected, radiographed and histologically prepared for analysis. The data obtained from histological analysis reported that the particles of MBB did not promote an intense immunological response, evidencing its biocompatibility in rats. Our results clearly showed the interesting evidence that MBB was not completely reabsorbed at 9 months while a small amount of newly formed bone was deposited by osteoprogenitor cells bordering the defect. However, this discrete bone-forming stimulation was unable to regenerate the bone defect. Overall, our results suggest that the properties of MBB are not suitable for stimulating intense bone regeneration in critical bone defects in rats.

Size distribution of polycyclic aromatic hydrocarbons in a roadway tunnel in Lisbon, Portugal

Atmospheric aerosols of four aerodynamic size ranges were collected using high volume cascade impactors in an extremely busy roadway tunnel in Lisbon (Portugal). Dust deposited on the tunnel walls and guardrails was also collected. Average particle mass concentrations in the tunnel atmosphere were more than 30 times higher than in the outside urban background air, revealing its origins almost exclusively from fresh vehicle emissions. Most of the aerosol mass was concentrated in submicrometer fractions (65%), and polycyclic aromatic hydrocarbons (PAH) were even more concentrated in the finer particles with an average of 84% of total PAH present in sizes smaller than 0.49 mu m. The most abundant PAH were methylated phenanthrenes, fluoranthene and pyrene. About 46% of the total PAH mass was attributed to lower molecular weight compounds (two and three rings), suggesting a strong influence of diesel vehicle emissions on the production of local particulate PAH. The application of diagnostic ratios confirmed the relevance of this source of PAH in the tunnel ambient air. Deposited dust presented PAH profiles similar to the coarser aerosol size range, in agreement with the predominant origin of coarser aerosol particles from soil dust resuspension and vehicle wear products. (c) 201 1 Elsevier Ltd. All rights reserved.