Bayesian sample size for exploratory clinical trials incorporating historical data

This paper presents a simple Bayesian approach to sample size determination in clinical trials. It is required that the trial should be large enough to ensure that the data collected will provide convincing evidence either that an experimental treatment is better than a control or that it fails to improve upon control by some clinically relevant difference. The method resembles standard frequentist formulations of the problem, and indeed in certain circumstances involving 'non-informative' prior information it leads to identical answers. In particular, unlike many Bayesian approaches to sample size determination, use is made of an alternative hypothesis that an experimental treatment is better than a control treatment by some specified magnitude. The approach is introduced in the context of testing whether a single stream of binary observations are consistent with a given success rate p(0). Next the case of comparing two independent streams of normally distributed responses is considered, first under the assumption that their common variance is known and then for unknown variance. Finally, the more general situation in which a large sample is to be collected and analysed according to the asymptotic properties of the score statistic is explored. Copyright (C) 2007 John Wiley & Sons, Ltd.

Ag dopedWO(3)-based powder sensor for the detection of NO gas in air

WO3-based materials as sensors for the monitor of environmental gases such as NO2 (NO + NO2) have been rapidly developed for various potential applications (stationary and mobile uses). It has been reported that these materials are highly sensitive to NOx with the sensitivity further enhanced by adding precious group metals (PGM such as Pt, Pd, Au, etc.). However, there has been limited work in revealing the sensing mechanism for these gases over the WO3-based sensors. In particular, the role of promoter is not yet clear though speculations on their catalytic, electronic and structural effects have been made in the past. In parallel to these PGM promoters here we report,for the first time, that Ag promotion can also enhance WO3 sensitivity significantly. In addition, this promotion decreases the optimum sensor temperature of 300 degreesC for Most WO3-based sensors, to below 200 degreesC. Characterizations (XRD, TEM, and impedance measurement) reveal that there is no significant bulk structure change nor particle size alteration in the WO3 phases during the NO exposure. However, it is found that the Ag doping creates a high concentration of oxygen vacancies in form of coordinated crystallographic shear (CS) planes onto the underneath WO3. It is thus proposed that the Ag particle facilitates the oxidative conversion of NO to NO2 followed by a subsequent NO2 adsorption on the defective WO, sites created at the Ag-WO3 interface; hence, accounting for the high molecular sensitivity. (C) 2002 Elsevier Science B.V. All rights reserved.

Altered expression of cell cycle proteins and prolonged duration of cardiac myocyte hyperplasia in p27KIP1 knockout mice

The precise role of cell cycle-dependent molecules in controlling the switch from cardiac myocyte hyperplasia to hypertrophy remains to be determined. We report that loss of p27(KIP1) in the mouse results in a significant increase in heart size and in the total number of cardiac myocytes. In comparison to p27(KIP1)+/+ myocytes, the percentage of neonatal p27(KIP1)-/- myocytes in S phase was increased significantly, concomitant with a significant decrease in the percentage of G(0)/G(1) cells. The expressions of proliferating cell nuclear antigen, G(1)/S and G(2)/M phase-acting cyclins, and cyclin-dependent kinases (CDKs) were upregulated significantly in ventricular tissue obtained from early neonatal p27(KIP1)-/- mice, concomitant with a substantial decrease in the expressions of G(1) phase-acting cyclins and CDKs. Furthermore, mRNA expressions of the embryonic genes atrial natriuretic factor and alpha-skeletal actin were detectable at significant levels in neonatal and adult p27(KIP1)-/- mouse hearts but were undetectable in p27(KIP1)+/+ hearts. In addition, loss of p27(KIP1) was not compensated for by the upregulation of other CDK inhibitors. Thus, the loss of p27(KIP1) results in prolonged proliferation of the mouse cardiac myocyte and perturbation of myocyte hypertrophy.

Polymer − surfactant vesicular complexes in aqueous medium

The introduction of ionic single-tailed surfactants to aqueous solutions of EO18BO10 [EO = poly(ethylene oxide), BO = poly(1,2-butylene oxide), subscripts denote the number of repeating units] leads to the formation of vesicles, as probed by laser scanning confocal microscopy. Dynamic light scattering showed that the dimensions of these aggregates at early stages of development do not depend on the sign of the surfactant head group charge. Small-angle X-ray scattering (SAXS) analysis indicated the coexistence of smaller micelles of different sizes and varying polymer content in solution. In strong contrast to the dramatic increase of size of dispersed particles induced by surfactants in dilute solution, the d-spacing of corresponding mesophases reduces monotonically upon increasing surfactant loading. This effect points to the suppression of vesicles as a consequence of increasing ionic strength in concentrated solutions. Maximum enhancements of storage modulus and thermal stability of hybrid gels take place at different compositions, indicating a delicate balance between the number and size of polymer-poor aggregates (population increases with surfactant loading) and the number and size of polymer−surfactant complexes (number and size decrease in high surfactant concentrations).

Principal-agent issues in asset acquisition: UK institutions and their investment agents

This paper explores principal‐agent issues in the stock selection processes of institutional property investors. Drawing upon an interview survey of fund managers and acquisition professionals, it focuses on the relationships between principals and external agents as they engage in property transactions. The research investigated the extent to which the presence of outcome‐based remuneration structures could lead to biased advice, overbidding and/or poor asset selection. It is concluded that institutional property buyers are aware of incentives for opportunistic behaviour by external agents, often have sufficient expertise to robustly evaluate agents’ advice and that these incentives are counter‐balanced by a number of important controls on potential opportunistic behaviour. There are strong counter‐incentives in the need for the agents to establish personal relationships and trust between themselves and institutional buyers, to generate repeat and related business and to preserve or generate a good reputation in the market.

The long-term price-earnings ratio

price-earnings ratio;value premium;arbitrage trading rule;UK stock returns;contrarian investment Abstract:  The price-earnings effect has been thoroughly documented and is the subject of numerous academic studies. However, in existing research it has almost exclusively been calculated on the basis of the previous year's earnings. We show that the power of the effect has until now been seriously underestimated due to taking too short-term a view of earnings. Looking at all UK companies since 1975, using the traditional P/E ratio we find the difference in average annual returns between the value and glamour deciles to be 6%. This is similar to other authors' findings. We are able to almost double the value premium by calculating the P/E ratio using earnings averaged over the previous eight years.

The inflation hedging characteristics of US and UK investments: a multi-factor error correction approach

Historic analysis of the inflation hedging properties of stocks produced anomalous results, with equities often appearing to offer a perverse hedge against inflation. This has been attributed to the impact of real and monetary shocks to the economy, which influence both inflation and asset returns. It has been argued that real estate should provide a better hedge: however, empirical results have been mixed. This paper explores the relationship between commercial real estate returns (from both private and public markets) and economic, fiscal and monetary factors and inflation for US and UK markets. Comparative analysis of general equity and small capitalisation stock returns in both markets is carried out. Inflation is subdivided into expected and unexpected components using different estimation techniques. The analyses are undertaken using long-run error correction techniques. In the long-run, once real and monetary variables are included, asset returns are positively linked to anticipated inflation but not to inflation shocks. Adjustment processes are, however, gradual and not within period. Real estate returns, particularly direct market returns, exhibit characteristics that differ from equities.

Data dilemmas in forecasting European office market rents

This paper uses data provided by three major real estate advisory firms to investigate the level and pattern of variation in the measurement of historic real estate rental values for the main European office centres. The paper assesses the extent to which the data providing organizations agree on historic market performance in terms of returns, risk and timing and examines the relationship between market maturity and agreement. The analysis suggests that at the aggregate level and for many markets, there is substantial agreement on direction, quantity and timing of market change. However, there is substantial variability in the level of agreement among cities. The paper also assesses whether the different data sets produce different explanatory models and market forecast. It is concluded that, although disagreement on the direction of market change is high for many market, the different data sets often produce similar explanatory models and predict similar relative performance.

Evaluating the effectiveness of common structures in property portfolio construction

A good portfolio structure enables an investor to diversify more effectively and understand systematic influences on their performance. However, in the property market, the choice of structure is affected by data constraints and convenience. Using individual return data, this study tests the hypothesis that some common structures in the UK do not explain a significant amount about property returns. It is found that, in the periods studied, not all the structures were effective and, for the annual returns, no structures were significant in all periods. The results suggest that the drivers represented by the structures take some time to be reflected in individual property returns. They also confirm the results of other studies in finding property type a much stronger factor in explaining returns than regions.

Monetary integration and real estate markets: an investigation of the impact of the introduction of a single currency on real estate performance

This paper assesses the impact of the monetary integration on different types of stock returns in Europe. In order to isolate European factors, the impact of global equity integration and small cap factors are investigated. European countries are sub-divided according to the process of monetary convergence. Analysis shows that national equity indices are strongly influenced by global market movements, with a European stock factor providing additional explanatory power. The global and European factors explain small cap and real estate stocks much less well –suggesting an increased importance of ‘local’ drivers. For real estate, there are notable differences between core and non-core countries. Core European countries exhibit convergence – a convergence to a European rather than a global factor. The non-core countries do not seem to exhibit common trends or movements. For the non-core countries, monetary integration has been associated with increased dispersion of returns, lower correlation and lower explanatory power of a European factor. It is concluded that this may be explained by divergence in underlying macro-economic drivers between core and non-core countries in the post-Euro period.

Changes in the relative importance of sector and regional factors: 1987-2002

A stylised fact in the real estate portfolio diversification literature is that sector (property-type) effects are relatively more important than regional (geographical) factors in determining property returns. Thus, for those portfolio managers who follow a top-down approach to portfolio management, they should first choose in which sectors to invest and then select the best properties in each market. However, the question arises as to whether the dominance of the sector effects relative to regional effects is constant. If not property fund managers will need to take account of regional effects in developing their portfolio strategy. Using monthly data over the period 1987:1 to 2002:12 for a sample of over 1000 properties the results show that the sector-specific factors dominate the regional-specific factors for the vast majority of the time. Nonetheless, there are periods when the regional factors are of equal or greater importance than the sector effects. In particular, the sector effects tend to dominate during volatile periods of the real estate cycle; however, during calmer periods the sector and regional effects are of equal importance. These findings suggest that the sector effects are still the most important aspect in the development of an active portfolio strategy.

The effect of asymmetries on optimal hedge ratios

There is widespread evidence that the volatility of stock returns displays an asymmetric response to good and bad news. This article considers the impact of asymmetry on time-varying hedges for financial futures. An asymmetric model that allows forecasts of cash and futures return volatility to respond differently to positive and negative return innovations gives superior in-sample hedging performance. However, the simpler symmetric model is not inferior in a hold-out sample. A method for evaluating the models in a modern risk-management framework is presented, highlighting the importance of allowing optimal hedge ratios to be both time-varying and asymmetric.

The precipitation climate of Central Asia: intercomparison of observational and numerical data sources in a remote semiarid region

In this study, we systematically compare a wide range of observational and numerical precipitation datasets for Central Asia. Data considered include two re-analyses, three datasets based on direct observations, and the output of a regional climate model simulation driven by a global re-analysis. These are validated and intercompared with respect to their ability to represent the Central Asian precipitation climate. In each of the datasets, we consider the mean spatial distribution and the seasonal cycle of precipitation, the amplitude of interannual variability, the representation of individual yearly anomalies, the precipitation sensitivity (i.e. the response to wet and dry conditions), and the temporal homogeneity of precipitation. Additionally, we carried out part of these analyses for datasets available in real time. The mutual agreement between the observations is used as an indication of how far these data can be used for validating precipitation data from other sources. In particular, we show that the observations usually agree qualitatively on anomalies in individual years while it is not always possible to use them for the quantitative validation of the amplitude of interannual variability. The regional climate model is capable of improving the spatial distribution of precipitation. At the same time, it strongly underestimates summer precipitation and its variability, while interannual variations are well represented during the other seasons, in particular in the Central Asian mountains during winter and spring

On the relationship between the Indian summer monsoon and river flow in the Aral Sea basin

We study the contemporaneous relationship between the intensity of the Indian Summer Monsoon (ISM) and runoff in the major rivers of the Aral Sea basin (Amudarya, Syrdarya) and some of their subcatchments. To this end, we use All-India rainfall (AIR) data, CRU surface observations of precipitation and temperature, ERA40 atmospheric data, and natural discharge data corrected for human interference. We show that there is a highly significant positive correlation between ISM intensity and Amudarya runoff. This finding cannot be explained by the spill-over of ISM precipitation over the Hindu Kush into the Amudarya basin. Instead, we suggest that the observed co-variability is mediated by tropospheric temperature variations due to fluctuations in the ISM intensity. These variations are known to be due to Rossby-wave propagation in response to condensational heating during monsoon precipitation. We hypothesise that the corresponding anomalies in surface temperatures imply anomalies in meltwater formation.

Role of the atmosphere in the seasonal phase locking of El Nino

The variations with the seasonal cycle of the atmospheric response to constant SST anomalies in the eastern tropical Pacific are investigated with the atmospheric GCM, HadAM3. The equatorial wind response is weakest in January and February when the warmest SSTs are south of the Equator and strongest in April when the warmest SSTs are on the Equator. This may have consequences for the seasonality of the onset and termination of El Niño. Westerly wind anomalies in the tropical Pacific associated with El Niño have previously been observed to shift south of the Equator, weakening on the Equator, during the northern winter. It has been suggested that this may contribute to the termination of El Niño in spring. These experiments demonstrate that such a shift can arise solely in response to the mean seasonal cycle during El Niño and does not require changes in SST anomalies.