The value premium and time-varying volatility

Numerous studies have documented the failure of the static and conditional capital asset pricing models to explain the difference in returns between value and growth stocks. This paper examines the post-1963 value premium by employing a model that captures the time-varying total risk of the value-minus-growth portfolios. Our results show that the time-series of value premia is strongly and positively correlated with its volatility. This conclusion is robust to the criterion used to sort stocks into value and growth portfolios and to the country under review (the US and the UK). Our paper is consistent with evidence on the possible role of idiosyncratic risk in explaining equity returns, and also with a separate strand of literature concerning the relative lack of reversibility of value firms' investment decisions.

Proposed best practice for statisticians in the reporting and publication of pharmaceutical industry-sponsored clinical trials

In this paper we set out what we consider to be a set of best practices for statisticians in the reporting of pharmaceutical industry-sponsored clinical trials. We make eight recommendations covering: author responsibilities and recognition; publication timing; conflicts of interest; freedom to act; full author access to data; trial registration and independent review. These recommendations are made in the context of the prominent role played by statisticians in the design, conduct, analysis and reporting of pharmaceutical sponsored trials and the perception of the reporting of these trials in the wider community.

The potential for bias in reporting of industry-sponsored clinical trials

Concerns about potentially misleading reporting of pharmaceutical industry research have surfaced many times. The potential for duality (and thereby conflict) of interest is only too clear when you consider the sums of money required for the discovery, development and commercialization of new medicines. As the ability of major, mid-size and small pharmaceutical companies to innovate has waned, as evidenced by the seemingly relentless decline in the numbers of new medicines approved by Food and Drug Administration and European Medicines Agency year-on-year, not only has the cost per new approved medicine risen: so too has the public and media concern about the extent to which the pharmaceutical industry is open and honest about the efficacy, safety and quality of the drugs we manufacture and sell. In 2005 an Editorial in Journal of the American Medical Association made clear that, so great was their concern about misleading reporting of industry-sponsored studies, henceforth no article would be published that was not also guaranteed by independent statistical analysis. We examine the precursors to this Editorial, as well as its immediate and lasting effects for statisticians, for the manner in which statistical analysis is carried out, and for the industry more generally.

International financial centres, office market rents and volatility

Despite continuing developments in information technology and the growing economic significance of the emerging Eastern European, South American and Asian economies, international financial activity remains strongly concentrated in a relatively small number of international financial centres. That concentration of financial activity requires a critical mass of office occupation and creates demand for high specification, high cost space. The demand for that space is increasingly linked to the fortunes of global capital markets. That linkage has been emphasised by developments in real estate markets, notably the development of global real estate investment, innovation in property investment vehicles and the growth of debt securitisation. The resultant interlinking of occupier, asset, debt and development markets within and across global financial centres is a source of potential volatility and risk. The paper sets out a broad conceptual model of the linkages and their implications for systemic market risk and presents preliminary empirical results that provide support for the model proposed.