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.

Reaction of 4-phenylbut-3-en-2-one with cyanoacetamide in 2:1 ratio

The reaction of 4-phenylbut-3-en-2-one with cyanoacetamide is not confined to a 1 : 1 reaction [which results in formation of 3-cyano-6-methyl-4-phenylpyridin-2(1H)-one]. The reaction of 2 mole equivalents of 4-phenylbut-3-en-2-one with one of cyanoacetamide also takes place, the products being 1-cyano-6-hydroxy-6-methyl-4-methylene-8,9-diphenyl-3-azabicyclo[3.3.1]nonan-2-one and 3-cyano-6-methyl-3-(3-oxo-1-phenylbutyl)-4-phenyl-3,4-dihydropyridin-2(1H)-one. The latter compound cyclises in acid medium to form 6-acetyl-4-cyano-1-methyl-5,8-diphenyl-2-azabicyclo[2.2.2]octan-3-one. X-Ray crystal structures of the 3-azabicyclo[3.3.1]nonan-2-one and the 3-azabicyclo[2.2.2]octan-2-one derivatives are described.

Use of the ratio plot in capture-recapture estimation

Statistical graphics are a fundamental, yet often overlooked, set of components in the repertoire of data analytic tools. Graphs are quick and efficient, yet simple instruments of preliminary exploration of a dataset to understand its structure and to provide insight into influential aspects of inference such as departures from assumptions and latent patterns. In this paper, we present and assess a graphical device for choosing a method for estimating population size in capture-recapture studies of closed populations. The basic concept is derived from a homogeneous Poisson distribution where the ratios of neighboring Poisson probabilities multiplied by the value of the larger neighbor count are constant. This property extends to the zero-truncated Poisson distribution which is of fundamental importance in capture–recapture studies. In practice however, this distributional property is often violated. The graphical device developed here, the ratio plot, can be used for assessing specific departures from a Poisson distribution. For example, simple contaminations of an otherwise homogeneous Poisson model can be easily detected and a robust estimator for the population size can be suggested. Several robust estimators are developed and a simulation study is provided to give some guidance on which should be used in practice. More systematic departures can also easily be detected using the ratio plot. In this paper, the focus is on Gamma mixtures of the Poisson distribution which leads to a linear pattern (called structured heterogeneity) in the ratio plot. More generally, the paper shows that the ratio plot is monotone for arbitrary mixtures of power series densities.

DC-SIGN increases the affinity of HIV-1 envelope glycoprotein interaction with CD4

Mannose-binding C-type lectin receptors, expressed on Langerhans cells and subepithelial dendritic cells (DCs) of cervico-vaginal tissues, play an important role in HIV-1 capture and subsequent dissemination to lymph nodes. DC-SIGN has been implicated in both productive infection of DCs and the DC-mediated trans infection of CD4(+) T cells that occurs in the absence of replication. However, the molecular events that underlie this efficient transmission have not been fully defined. In this study, we have examined the effect of the extracellular domains of DC-SIGN and Langerin on the stability of the interaction of the HIV-1 envelope glycoprotein with CD4 and also on replication in permissive cells. Surface plasmon resonance analysis showed that DC-SIGN increases the binding affinity of trimeric gp140 envelope glycoproteins to CD4. In contrast, Langerin had no effect on the stability of the gp140:CD4 complex. In vitro infection experiments to compare DC-SIGN enhancement of CD4-dependent and CD4-independent strains demonstrated significantly lower enhancement of the CD4-independent strain. In addition DC-SIGN increased the relative rate of infection of the CD4-dependent strain but had no effect on the CD4-independent strain. DC-SIGN binding to the HIV envelope protein effectively increases exposure of the CD4 binding site, which in turn contributes to enhancement of infection.

Carbon and nitrogen stable isotope ratio analysis of freshwater, brackish and marine fish from Belgian archaeological sites (1st and 2nd millennium AD)

Carbon and nitrogen stable isotope ratios were measured in 157 fish bone collagen samples from 15 different archaeological sites in Belgium which ranged in ages from the 3rd to the 18th c. AD. Due to diagenetic contamination of the burial environment, only 63 specimens produced results with suitable C:N ratios (2.9–3.6). The selected bones encompass a wide spectrum of freshwater, brackish, and marine taxa (N = 18), and this is reflected in the δ13C results (−28.2‰ to −12.9%). The freshwater fish have δ13C values that range from −28.2‰ to −20.2‰, while the marine fish cluster between −15.4‰ and −13.0‰. Eel, a catadromous species (mostly living in freshwater but migrating into the sea to spawn), plots between −24.1‰ and −17.7‰, and the anadromous fish (living in marine environments but migrating into freshwater to spawn) show a mix of freshwater and marine isotopic signatures. The δ15N results also have a large range (7.2‰ to 16.7‰) indicating that these fish were feeding at many different trophic levels in these diverse aquatic environments. The aim of this research is the isotopic characterization of archaeological fish species (ecology, trophic level, migration patterns) and to determine intra-species variation within and between fish populations differing in time and location. Due to the previous lack of archaeological fish isotope data from Northern Europe and Belgium in particular, these results serve as an important ecological backdrop for the future isotopic reconstruction of the diet of human populations dating from the historical period (1st and 2nd millennium AD), where there is zooarchaeological and historical evidence for an increased consumption of marine fish.

Radar bright band correction using the linear depolarisation ratio

The enhanced radar return associated with melting snow, ‘the bright band’, can lead to large overestimates of rain rates. Most correction schemes rely on fitting the radar observations to a vertical profile of reflectivity (VPR) which includes the bright band enhancement. Observations show that the VPR is very variable in space and time; large enhancements occur for melting snow, but none for the melting graupel in embedded convection. Applying a bright band VPR correction to a region of embedded convection will lead to a severe underestimate of rainfall. We revive an earlier suggestion that high values of the linear depolarisation ratio (LDR) are an excellent means of detecting when bright band contamination is occurring and that the value of LDR may be used to correct the value of Z in the bright band.

Does consumption-wealth ratio signal stock returns? VECM results for Germany

This paper studies the signalling effect of the consumption−wealth ratio (cay) on German stock returns via vector error correction models (VECMs). The effect of cay on U.S. stock returns has been recently confirmed by Lettau and Ludvigson with a two−stage method. In this paper, performance of the VECMs and the two−stage method are compared in both German and U.S. data. It is found that the VECMs are more suitable to study the effect of cay on stock returns than the two−stage method. Using the Conditional−Subset VECM, cay signals real stock returns and excess returns in both data sets significantly. The estimated coefficient on cay for stock returns turns out to be two times greater in U.S. data than in German data. When the two−stage method is used, cay has no significant effect on German stock returns. Besides, it is also found that cay signals German wealth growth and U.S. income growth significantly.

Direct experimental evidence that early-life farm environment influences regulation of immune responses

Background: In mammals, early-life environmental variations appear to affect microbial colonization and therefore competent immune development, and exposure to farm environments in infants has been inversely correlated with allergy development. Modelling these effects using manipulation of neonatal rodents is difficult due to their dependency on the mother, but the relatively independent piglet is increasingly identified as a valuable translational model for humans. This study was designed to correlate immune regulation in piglets with early-life environment. Methods: Piglets were nursed by their mother on a commercial farm, while isolatorreared siblings were formula fed. Fluorescence immunohistology was used to quantify T-reg and effector T-cell populations in the intestinal lamina propria and the systemic response to food proteins was quantified by capture ELISA. Results: There was more CD4+ and CD4+CD25+ effector T-cell staining in the intestinal mucosa of the isolator-reared piglets compared with their farm-reared counterparts. In contrast, these isolator-reared piglets had a significantly reduced CD4+CD25+Foxp3+ regulatory T-cell population compared to farm-reared littermates, resulting in a significantly higher T-reg-to-effector ratio in the farm animals. Consistent with these findings, isolator-reared piglets had an increased serum IgG anti-soya response to novel dietary soya protein relative to farm-reared piglets. Conclusion: Here, we provide the first direct evidence, derived from intervention, that components of the early-life environment present on farms profoundly affects both local development of regulatory components of the mucosal immune system and immune responses to food proteins at weaning. We propose that neonatal piglets provide a tractable model which allows maternal and treatment effects to be statistically separated.

Effect of forage conservation method on plasma lipids, mammary lipogenesis, and milk fatty acid composition in lactating cows fed diets containing a 60:40 forage-to-concentrate ratio

The effects of forage conservation method on plasma lipids, mammary lipogenesis, and milk fat were examined in 2 complementary experiments. Treatments comprised fresh grass, hay, or untreated (UTS) or formic acid treated silage (FAS) prepared from the same grass sward. Preparation of conserved forages coincided with the collection of samples from cows fed fresh grass. In the first experiment, 5 multiparous Finnish Ayrshire cows (229 d in milk) were used to compare a diet based on fresh grass followed by hay during 2 consecutive 14-d periods, separated by a 5-d transition during which extensively wilted grass was fed. In the second experiment, 5 multiparous Finnish Ayrshire cows (53 d in milk) were assigned to 1 of 2 blocks and allocated treatments according to a replicated 3 × 3 Latin square design, with 14-d periods to compare hay, UTS, and FAS. Cows received 7 or 9 kg/d of the same concentrate in experiments 1 and 2, respectively. Arterial concentrations of triacylglycerol (TAG) and phospholipid were higher in cows fed fresh grass, UTS, and FAS compared with hay. Nonesterified fatty acid (NEFA) concentrations and the relative abundance of 18:2n-6 and 18:3n-3 in TAG of arterial blood were also higher in cows fed fresh grass than conserved forages. On all diets, TAG was the principle source of fatty acids (FA) for milk fat synthesis, whereas mammary extraction of NEFA was negligible, except during zero-grazing, which was associated with a lower, albeit positive calculated energy balance. Mammary FA uptake was higher and the synthesis of 16:0 lower in cows fed fresh grass than hay. Conservation of grass by drying or ensiling had no influence on mammary extraction of TAG and NEFA, despite an increase in milk fat secretion for silages compared with hay and for FAS than UTS. Relative to hay, milk fat from fresh grass contained lower 12:0, 14:0, and 16:0 and higher S3,R7,R11,15-tetramethyl-16:0, cis-9 18:1, trans-11 18:1, cis-9,trans-11 18:2, 18:2n-6, and 18:3n-3 concentrations. Even though conserved forages altered mammary lipogenesis, differences in milk FA composition were relatively minor, other than a higher enrichment of S3,R7,R11,15-tetramethyl-16:0 in milk from silages compared with hay. In conclusion, differences in milk fat composition on fresh grass relative to conserved forages were associated with a lower energy balance, increased uptake of preformed FA, and decreased synthesis of 16:0 de novo in the mammary glands, in the absence of alterations in stearoyl-coenzyme A desaturase activity.

Are superhumps good measures of the mass ratio for AM CVn systems?

We extend recent work that included the effect of pressure forces to derive the precession rate of eccentric accretion discs in cataclysmic variables to the case of double degenerate systems. We find that the logical scaling of the pressure force in such systems results in predictions of unrealistically high primary masses. Using the prototype AM CVn as a calibrator for the magnitude of the effect, we find that there is no scaling that applies consistently to all the systems in the class. We discuss the reasons for the lack of a superhump period to mass ratio relationship analogous to that known for SU UMa systems and suggest that this is because these secondaries do not have a single valued mass-radius relationship. We highlight the unreliability of mass-ratios derived by applying the SU UMa expression to the AM CVn binaries.

Superhumps, magnetic fields and the mass ratio in AM Canum Venaticorum

We show that the observed K velocities and periodicities of AM CVn can be reconciled given a mass ratio q~0.22 and a secondary star with a modest magnetic field of surface strength B~1 T. We see that the new mass ratio implies that the secondary is most likely semidegenerate. The effect of the field on the accretion disc structure is examined. The theory of precessing discs and resonant orbits is generalized to encompass higher order resonances than 3:2 and shown to retain consistency with the new mass ratio.

The trading profitability of forecasts of the gilt–equity yield ratio

Research has highlighted the usefulness of the Gilt–Equity Yield Ratio (GEYR) as a predictor of UK stock returns. This paper extends recent studies by endogenising the threshold at which the GEYR switches from being low to being high or vice versa, thus improving the arbitrary nature of the determination of the threshold employed in the extant literature. It is observed that a decision rule for investing in equities or bonds, based on the forecasts from a regime switching model, yields higher average returns with lower variability than a static portfolio containing any combinations of equities and bonds. A closer inspection of the results reveals that the model has power to forecast when investors should steer clear of equities, although the trading profits generated are insufficient to outweigh the associated transaction costs.

Sample size considerations in active-control non-inferiority trials with binary data based on the odds ratio

This paper presents an approximate closed form sample size formula for determining non-inferiority in active-control trials with binary data. We use the odds-ratio as the measure of the relative treatment effect, derive the sample size formula based on the score test and compare it with a second, well-known formula based on the Wald test. Both closed form formulae are compared with simulations based on the likelihood ratio test. Within the range of parameter values investigated, the score test closed form formula is reasonably accurate when non-inferiority margins are based on odds-ratios of about 0.5 or above and when the magnitude of the odds ratio under the alternative hypothesis lies between about 1 and 2.5. The accuracy generally decreases as the odds ratio under the alternative hypothesis moves upwards from 1. As the non-inferiority margin odds ratio decreases from 0.5, the score test closed form formula increasingly overestimates the sample size irrespective of the magnitude of the odds ratio under the alternative hypothesis. The Wald test closed form formula is also reasonably accurate in the cases where the score test closed form formula works well. Outside these scenarios, the Wald test closed form formula can either underestimate or overestimate the sample size, depending on the magnitude of the non-inferiority margin odds ratio and the odds ratio under the alternative hypothesis. Although neither approximation is accurate for all cases, both approaches lead to satisfactory sample size calculation for non-inferiority trials with binary data where the odds ratio is the parameter of interest.