Three Essays in Empirical Asset Pricing

The financial crisis of 2007-2008 led to extraordinary government intervention in firms and markets. The scope and depth of government action rivaled that of the Great Depression. Many traded markets experienced dramatic declines in liquidity leading to the existence of conditions normally assumed to be promptly removed via the actions of profit seeking arbitrageurs. These extreme events motivate the three essays in this work. The first essay seeks and fails to find evidence of investor behavior consistent with the broad 'Too Big To Fail' policies enacted during the crisis by government agents. Only in limited circumstances, where government guarantees such as deposit insurance or U.S. Treasury lending lines already existed, did investors impart a premium to the debt security prices of firms under stress. The second essay introduces the Inflation Indexed Swap Basis (IIS Basis) in examining the large differences between cash and derivative markets based upon future U.S. inflation as measured by the Consumer Price Index (CPI). It reports the consistent positive value of this measure as well as the very large positive values it reached in the fourth quarter of 2008 after Lehman Brothers went bankrupt. It concludes that the IIS Basis continues to exist due to limitations in market liquidity and hedging alternatives. The third essay explores the methodology of performing debt based event studies utilizing credit default swaps (CDS). It provides practical implementation advice to researchers to address limited source data and/or small target firm sample size.

Using Discrete Event Simulation (DES) to manage theatre operations in healthcare: An audit-based case study

This paper discusses the application of Discrete Event Simulation (DES) in modelling the complex relationship between patient types, case-mix and operating theatre allocation in a large National Health Service (NHS) Trust in London. The simulation model that was constructed described the main features of nine theatres, focusing on operational processes and patient throughput times. The model was used to test three scenarios of case-mix and to demonstrate the potential of using simulation modelling as a cost effective method for understanding the issues of healthcare operations management and the role of simulation techniques in problem solving. The results indicated that removing all day cases will reduce patient throughput by 23.3% and the utilization of the orthopaedic theatre in particular by 6.5%. This represents a case example of how DES can be used by healthcare managers to inform decision making. © 2008 IEEE.

Cesarean section and rate of subsequent stillbirth, miscarriage and ectopic pregnancy: a Danish register-based cohort study

Background: With cesarean section rates increasing worldwide, clarity regarding negative effects is essential. This study aimed to investigate the rate of subsequent stillbirth, miscarriage, and ectopic pregnancy following primary cesarean section, controlling for confounding by indication. Methods and Findings: We performed a population-based cohort study using Danish national registry data linking various registers. The cohort included primiparous women with a live birth between January 1, 1982, and December 31, 2010 (n = 832,996), with follow-up until the next event (stillbirth, miscarriage, or ectopic pregnancy) or censoring by live birth, death, emigration, or study end. Cox regression models for all types of cesarean sections, sub-group analyses by type of cesarean, and competing risks analyses for the causes of stillbirth were performed. An increased rate of stillbirth (hazard ratio [HR] 1.14, 95% CI 1.01, 1.28) was found in women with primary cesarean section compared to spontaneous vaginal delivery, giving a theoretical absolute risk increase (ARI) of 0.03% for stillbirth, and a number needed to harm (NNH) of 3,333 women. Analyses by type of cesarean section showed similarly increased rates for emergency (HR 1.15, 95% CI 1.01, 1.31) and elective cesarean (HR 1.11, 95% CI 0.91, 1.35), although not statistically significant in the latter case. An increased rate of ectopic pregnancy was found among women with primary cesarean overall (HR 1.09, 95% CI 1.04, 1.15) and by type (emergency cesarean, HR 1.09, 95% CI 1.03, 1.15, and elective cesarean, HR 1.12, 95% CI 1.03, 1.21), yielding an ARI of 0.1% and a NNH of 1,000 women for ectopic pregnancy. No increased rate of miscarriage was found among women with primary cesarean, with maternally requested cesarean section associated with a decreased rate of miscarriage (HR 0.72, 95% CI 0.60, 0.85). Limitations include incomplete data on maternal body mass index, maternal smoking, fertility treatment, causes of stillbirth, and maternally requested cesarean section, as well as lack of data on antepartum/intrapartum stillbirth and gestational age for stillbirth and miscarriage. Conclusions: This study found that cesarean section is associated with a small increased rate of subsequent stillbirth and ectopic pregnancy. Underlying medical conditions, however, and confounding by indication for the primary cesarean delivery account for at least part of this increased rate. These findings will assist women and health-care providers to reach more informed decisions regarding mode of delivery.

Foreign perception of sovereign risk : an event study of the colombian armed conflict

Este paper estudia la relación entre algunos de los eventos más importantes del conflicto colombiano con la percepción extranjera de riesgo soberano, medido por los Credit Default Swaps (CDS) de los bonos del Gobierno Colombiano. Usando dos metodologías relativamente recientes, yo estimo el efecto causal de los eventos de conflicto ampliamente cubierto por los medios internacionales. En primer lugar construyo un grupo de control sintético que funciona como contra factual de la serie real de los CDS colombianos pero en ausencia de eventos de conflicto. Segundo, estimo el efecto acumulado del evento bajo la metodología de retornos anormales acumulados. Los resultados sugieren que los efectos de los eventos de conflicto sobre la percepción extranjera de riesgo soberano dependen de las especificaciones de cada evento.

The influence of the tag-along rights in the value of companies: an event study of the effects on the market and service companies

The aim of this work is to check the effect of granting tag-along rights to stockholders by analyzing the behavior of the return of the stock. To do so we carried out event studies for a group of 21 company stocks, divided into service provider companies and others, who granted this right to their stockholders after Law 10,303 was passed in October, 2001. In the test we used two models for estimating abnormal returns: adjusted to the market and adjusted to the risk and market. The results of the tests we carried out based on these models did not capture abnormal returns (surpluses), telling us that the tag-along rights did not affect the pattern of daily returns of the stocks of companies traded on BOVESPA (The Sao Paulo Stock Exchange). We did not expect this result because of the new corporate governance practices adopted by companies in Brazil.

The Effect of the Japan 2011 Disaster on Nuclear and Alternative Energy Stocks Worldwide: An Event Study

This event study investigates the impact of the Japanese nuclear disaster in Fukushima-Daiichi on the daily stock prices of French, German, Japanese, and U.S. nuclear utility and alternative energy firms. Hypotheses regarding the (cumulative) abnormal returns based on a three-factor model are analyzed through joint tests by multivariate regression models and bootstrapping. Our results show significant abnormal returns for Japanese nuclear utility firms during the one-week event window and the subsequent four-week post-event window. Furthermore, while French and German nuclear utility and alternative energy stocks exhibit significant abnormal returns during the event window, we cannot confirm abnormal returns for U.S. stocks.

Exposure to Radio-Frequency Electromagnetic Fields From Broadcast Transmitters and Risk of Childhood Cancer: A Census-based Cohort Study

We investigated the association between exposure to radio-frequency electromagnetic fields (RF-EMFs) from broadcast transmitters and childhood cancer. First, we conducted a time-to-event analysis including children under age 16 years living in Switzerland on December 5, 2000. Follow-up lasted until December 31, 2008. Second, all children living in Switzerland for some time between 1985 and 2008 were included in an incidence density cohort. RF-EMF exposure from broadcast transmitters was modeled. Based on 997 cancer cases, adjusted hazard ratios in the time-to-event analysis for the highest exposure category (>0.2 V/m) as compared with the reference category (<0.05 V/m) were 1.03 (95% confidence interval (CI): 0.74, 1.43) for all cancers, 0.55 (95% CI: 0.26, 1.19) for childhood leukemia, and 1.68 (95% CI: 0.98, 2.91) for childhood central nervous system (CNS) tumors. Results of the incidence density analysis, based on 4,246 cancer cases, were similar for all types of cancer and leukemia but did not indicate a CNS tumor risk (incidence rate ratio = 1.03, 95% CI: 0.73, 1.46). This large census-based cohort study did not suggest an association between predicted RF-EMF exposure from broadcasting and childhood leukemia. Results for CNS tumors were less consistent, but the most comprehensive analysis did not suggest an association.

How to Transfer a Coupon-Based Event into a Hedonic Shopping Experience? Retail Branding Implications Based on the Glamour Shopping Days

The paper examines the motivational drivers behind the participation of Hungarian consumers on a special shopping event, also known as Glamour Days. The study encompasses a variety of related conceptualizations such as hedonic/utilitarian shopping values, self-gifting as well as impulsive buying practices. After the introduction of relevant consumer behaviour concepts and theoretical frameworks, the paper presents a qualitative research on adult and adolescent female consumers’ shopping experiences during Glamour Days. By building on phenomenological methodology, this study also portrays the ways this shopping event has changed consumer society within an originally strongly utilitarian attitude driven Hungarian culture. The phenomenological interview results highlight differences within the motivational drivers of pleasure-oriented shopping for the two age groups. For teenagers, the main motivation was related to the utilitarian aspect due to their financial dependence and the special opportunity to stand out of their peer group by joining an event that is exclusively held for adult women. On the other hand, adult women are motivated by combined hedonic and utilitarian values manifested in self gifting and impulse buying within an effectively planned and managed shopping trip. Based on the results, retail specific strategies are provided along with future research directions.

Prediction of adjacent vertebral fracture risk associated with vertebroplasty : a computer-based simulation study

Vertebrplasty involved injecting cement into a fractured vertebra to provide stabilisation. There is clinical evidence to suggest however that vertebroplasty may be assocated with a higher risk of adjacent vertebral fracture; which may be due to the change in material properties of the post-procedure vertebra modifying the transmission of mechanical stresses to adjacent vertebrae.

Marital loss, mental health and the role of perceived social support : findings from six waves of an Australian population based panel study

Objectives: To investigate the impact of transitions out of marriage (separation, widowhood) on the self reported mental health of men and women, and examine whether perceptions of social support play an intervening role. ---------- Methods: The analysis used six waves (2001–06) of an Australian population based panel study, with an analytical sample of 3017 men and 3225 women. Mental health was measured using the MHI-5 scale scored 0–100 (α=0.97), with a higher score indicating better mental health. Perceptions of social support were measured using a 10-item scale ranging from 10 to 70 (α=0.79), with a higher score indicating higher perceived social support. A linear mixed model for longitudinal data was used, with lags for marital status, mental health and social support. ---------- Results: After adjustment for social characteristics there was a decline in mental health for men who separated (−5.79 points) or widowed (−7.63 points), compared to men who remained married. Similar declines in mental health were found for women who separated (−6.65 points) or became widowed (−9.28 points). The inclusion of perceived social support in the models suggested a small mediation effect of social support for mental health with marital loss. Interactions between perceived social support and marital transitions showed a strong moderating effect for men who became widowed. No significant interactions were found for women. ---------- Conclusion: Marital loss significantly decreased mental health. Increasing, or maintaining, high levels of social support has the potential to improve widowed men's mental health immediately after the death of their spouse.

Feasibility and acceptability of wrist actigraph in assessing sleep quality and sleep quantity: A home-based pilot study in healthy volunteers

Purpose This study aimed to determine the feasibility and acceptability of actigraphy to monitor sleep quality and quantity in healthy self-rated good sleeper adults at home-based settings. Method Sixteen healthy volunteers (age > 18) were invited to participate. Each participant was provided with a wrist actigraph device to be worn for 24-hour/day for seven consecutive days to monitor their sleep-wake patterns. Actigraphy data were downloaded using-proprietary software to generate an individual-sleep report. Participants also completed a set of self-reported Health Related Quality of Life (HRQOL) using WHO (five) Well Being Index (WBI) questionnaires. Results Actigraphy was well accepted by all participants. Only 43.8% of the participants achieved normal total sleep time (TST) and 62.5% had a mean sleep efficiency value below the normal range. Despite a reduced quality of sleep among the participants, the self-reported HRQOL scores produced by the WHO-5 WBI showed a “fair” to “good” among the participants. Conclusions To maintain healthy well-being, it is vital to have efficient and quality sleep. Insufficient and poor sleep may contribute to various health problems and hazardous outcomes. People often believe they have normal and efficient sleep, not realising they may be developing poor sleep habits. This study found that actigraphy can be easily utilized to monitor sleep-wake patterns at home-based settings. We proposed that actigraphy could be adapted for use in the primary care settings (e.g. community pharmacy) to improve the sleep health management in the community.

A tensor-based morphometry study of genetic influences on brain structure using a new fluid registration method

We incorporated a new Riemannian fluid registration algorithm into a general MRI analysis method called tensor-based morphometry to map the heritability of brain morphology in MR images from 23 monozygotic and 23 dizygotic twin pairs. All 92 3D scans were fluidly registered to a common template. Voxelwise Jacobian determinants were computed from the deformation fields to assess local volumetric differences across subjects. Heritability maps were computed from the intraclass correlations and their significance was assessed using voxelwise permutation tests. Lobar volume heritability was also studied using the ACE genetic model. The performance of this Riemannian algorithm was compared to a more standard fluid registration algorithm: 3D maps from both registration techniques displayed similar heritability patterns throughout the brain. Power improvements were quantified by comparing the cumulative distribution functions of the p-values generated from both competing methods. The Riemannian algorithm outperformed the standard fluid registration.

Mapping the regional influence of genetics on brain structure variability - A Tensor-Based Morphometry study

Genetic and environmental factors influence brain structure and function profoundly. The search for heritable anatomical features and their influencing genes would be accelerated with detailed 3D maps showing the degree to which brain morphometry is genetically determined. As part of an MRI study that will scan 1150 twins, we applied Tensor-Based Morphometry to compute morphometric differences in 23 pairs of identical twins and 23 pairs of same-sex fraternal twins (mean age: 23.8 ± 1.8 SD years). All 92 twins' 3D brain MRI scans were nonlinearly registered to a common space using a Riemannian fluid-based warping approach to compute volumetric differences across subjects. A multi-template method was used to improve volume quantification. Vector fields driving each subject's anatomy onto the common template were analyzed to create maps of local volumetric excesses and deficits relative to the standard template. Using a new structural equation modeling method, we computed the voxelwise proportion of variance in volumes attributable to additive (A) or dominant (D) genetic factors versus shared environmental (C) or unique environmental factors (E). The method was also applied to various anatomical regions of interest (ROIs). As hypothesized, the overall volumes of the brain, basal ganglia, thalamus, and each lobe were under strong genetic control; local white matter volumes were mostly controlled by common environment. After adjusting for individual differences in overall brain scale, genetic influences were still relatively high in the corpus callosum and in early-maturing brain regions such as the occipital lobes, while environmental influences were greater in frontal brain regions that have a more protracted maturational time-course.

Catholic teachers’ postgraduate qualifications and students’ end of schooling outcomes: A large scale Queensland based comparative study

A key feature of the current era of Australian schooling is the dominance of publically available student, school and teacher performance data. Our paper examines the intersection of data on teachers’ postgraduate qualifications and students’ end of schooling outcomes in 26 Catholic Systemic Secondary Schools and 18 Catholic Independent Secondary Schools throughout the State of Queensland. We introduce and justify taking up a new socially-just measurement model of students’ end of schooling outcomes, called the ‘Tracking and Academic Management Index’, otherwise known as ‘TAMI’. Additional analysis is focused on the outcomes of top-end students vis-à-vis all students who are encouraged to remain in institutionalised education of one form or another for the two final years of senior secondary schooling. These findings of the correlations between Catholic teachers’ postgraduate qualifications and students’ end of schooling outcomes are also compared with teachers’ postgraduate qualifications and students’ end of schooling outcomes across 174 Queensland Government Secondary Schools and 58 Queensland Independent Secondary Schools from the same data collection period. The findings raise important questions about the transference of teachers’ postgraduate qualifications for progressing students’ end of schooling outcomes as well as the performance of Queensland Catholic Systemic Secondary Schools and Queensland Catholic Independent Secondary Schools during a particular era of education.