Trading the changes of stock market index composition: Evidence from European markets

This paper studies the changes in European stock market indexes composition from 1995 to 2015. It was found that there are mixed price effects producing abnormal returns around the effective replacement of added and deleted stocks. The price pressure hypothesis seems to hold for added stocks in some indexes but not for deleted stocks as there is not a clear inversion of behaviour after the replacement. Finally, the building and back testing of a trading strategy aiming to capture some of those abnormal returns shows it yields a Sharpe Ratio of 1.4 and generates an annualised alpha of 11%.

Anticipatory effects in the FTSE 100 index revisions

This paper examines the price impact of trading due to expected changes in the FTSE 100 index composition. We focus on the latter index because it employs publicly-known objective criteria to determine membership and hence it provides a natural context to investigate anticipatory trading e ects. We propose a panel-regression event study that backs out these anticipatory e ects by looking at the price impact of the ex-ante proba-bility of changing index membership status. Our ndings reveal that anticipative trading explains about 40% and 23% of the cumulative abnormal returns of additions and deletions, respectively. We con rm these in-sample results out of sample by tracking the performance of a trading strategy that relies on the addition/deletion probability estimates. The perfor-mance is indeed very promising in that it entails an average daily excess return of 11 basis points over the FTSE 100 index.

The role of dispersion into assets allocation

Dispersion of returns has gained a lot of attention as a measure to distinguish good and bad investment opportunities time. In the following dissertation, the cross-sectional returns volatility is analyzed over a fifteen year period across the S&P100 Index composition. The main inference drawn from the data sample is that the canonical measure of dispersion is highly macro-risk driven and therefore more biased towards returns volatility rather than its correlation component.

Análise do estado de saúde bucal de adultos trabalhadores: assistência/atenção odontológica

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

The adjusted effect of maternal body mass index, energy and macronutrient intakes during pregnancy, and gestational weight gain on body composition of full-term neonates

Objective - To evaluate the effect of prepregnancy body mass index (BMI), energy and macronutrient intakes during pregnancy, and gestational weight gain (GWG) on the body composition of full-term appropriate-for-gestational age neonates. Study Design - This is a cross-sectional study of a systematically recruited convenience sample of mother-infant pairs. Food intake during pregnancy was assessed by food frequency questionnaire and its nutritional value by the Food Processor Plus (ESHA Research Inc, Salem, OR). Neonatal body composition was assessed both by anthropometry and air displacement plethysmography. Explanatory models for neonatal body composition were tested by multiple linear regression analysis. Results - A total of 100 mother-infant pairs were included. Prepregnancy overweight was positively associated with offspring weight, weight/length, BMI, and fat-free mass in the whole sample; in males, it was also positively associated with midarm circumference, ponderal index, and fat mass. Higher energy intake from carbohydrate was positively associated with midarm circumference and weight/length in the whole sample. Higher GWG was positively associated with weight, length, and midarm circumference in females. Conclusion - Positive adjusted associations were found between both prepregnancy BMI and energy intake from carbohydrate and offspring body size in the whole sample. Positive adjusted associations were also found between prepregnancy overweight and adiposity in males, and between GWG and body size in females.

Serum Leptin Concentration, Body Mass Index and Incident Heart Failure: The Health, Aging, and Body Composition Study

Background: Leptin is produced primarily by adipocytes. Although originally associated with the central regulation of satiety and energy metabolism, increasing evidence indicates that leptin may be an important factor for congestive heart faire (CHF). In the study, we aimed to test the hypothesis that leptin may influence CHF pathophysiology via a pathway of increasing body mass index (BMI). Methods: We studied 2,389 elderly participants aged 70 and older (M; 1161, F: 1228) without CHF and with serum leptin measures at the Health Aging, and Body Composition study. We analyzed the association between serum leptin level and risk of incident CHF using Cox hazard proportional regression models. Elevated leptin level was defined as more than the highest quartile (Q4) of leptin distribution in the total sample for each gender. Adjusted-covariates included demographic, behavior, lipid and inflammation variables (partially-adjusted models), and further included BMI (fully-adjusted models). Results: In a mean 9-year follow-up, 316 participants (13.2%) developed CHF. The partially-adjusted models indicated that men and women with elevated serum leptin levels (>=9.89 ng/ml in men and >=25 ng/ml in women) had significantly higher risks of developing CHF than those with leptin level of less than Q4. The adjusted hazard ratios (95%CI) for incident CHF was 1.49 (1.04 -2.13) in men and 1.71 (1.12 -2.58) in women. However, these associations became non-significant after adjustment for including BMI for each gender. The fully-adjusted hazard ratios (95%CI) were 1.43 (0.94 -2.18) in men and 1.24 (0.77-1.99) in women. Conclusion: Subjects with elevated leptin levels have a higher risk of CHF. The study supports the hypothesis that the influence of leptin level on risk of CHF may be through a pathway related to increasing BMI.

Body composition interpretation. Contributions of the fat-free mass index and the body fat mass index.

OBJECTIVE: Low and high body mass index (BMI) values have been shown to increase health risks and mortality and result in variations in fat-free mass (FFM) and body fat mass (BF). Currently, there are no published ranges for a fat-free mass index (FFMI; kg/m(2)), a body fat mass index (BFMI; kg/m(2)), and percentage of body fat (%BF). The purpose of this population study was to determine predicted FFMI and BFMI values in subjects with low, normal, overweight, and obese BMI. METHODS: FFM and BF were determined in 2986 healthy white men and 2649 white women, age 15 to 98 y, by a previously validated 50-kHz bioelectrical impedance analysis equation. FFMI, BFMI, and %BF were calculated. RESULTS: FFMI values were 16.7 to 19.8 kg/m(2) for men and 14.6 to 16.8 kg/m(2) for women within the normal BMI ranges. BFMI values were 1.8 to 5.2 kg/m(2) for men and 3.9 to 8.2 kg/m(2) for women within the normal BMI ranges. BFMI values were 8.3 and 11.8 kg/m(2) in men and women, respectively, for obese BMI (>30 kg/m(2)). Normal ranges for %BF were 13.4 to 21.7 and 24.6 to 33.2 for men and women, respectively. CONCLUSION: BMI alone cannot provide information about the respective contribution of FFM or fat mass to body weight. This study presents FFMI and BFMI values that correspond to low, normal, overweight, and obese BMIs. FFMI and BFMI provide information about body compartments, regardless of height.

Alkenone composition, UK'37 index, and carbon, sulphur, nitrogen and element oxides of ODP Site 186-1151

Ocean Drilling Program (ODP) Site 1151 (Sacks, Suyehiro, Acton, et al., 2000, doi:10.2973/odp.proc.ir.186.2000) is located in an area where the surface water mass is influenced by both the Kuroshio and Oyashio Currents. The site also receives a relatively high flux of detrital materials from riverine input from Honsyu Island and eolian input from Central and East Asia. We analyzed alkenones and alkenoates in the sediments to reconstruct alkenone unsaturation index (Uk'37)-based sea-surface temperature (SST), total organic carbon, and total nitrogen to estimate the terrigenous contribution by the C/N ratio during the last glacial-interglacial cycle. The major elements were also analyzed to examine the variation in terrigenous composition.

A descriptive catalogue of the first series of the works of the Camden society: stating the nature of their principal contents, the periods of time to which they relate, the dates of their composition, their manuscript sources, authors, and editors. Accompianied by a classified arrangement and an index, and by some illustrative particulars that have arisen since their publication.

Mode of access: Internet.

Biochemical, Anthropometric And Body Composition Indicators As Predictors Of Hepatic Steatosis In Obese Adolescents.

To describe the prevalence of hepatic steatosis and to assess the performance of biochemical, anthropometric and body composition indicators for hepatic steatosis in obese teenagers. Cross-sectional study including 79 adolecents aged from ten to 18 years old. Hepatic steatosis was diagnosed by abdominal ultrasound in case of moderate or intense hepatorenal contrast and/or a difference in the histogram ≥7 on the right kidney cortex. The insulin resistance was determined by the Homeostasis Model Assessment-Insulin Resistance (HOMA-IR) index for values >3.16. Anthropometric and body composition indicators consisted of body mass index, body fat percentage, abdominal circumference and subcutaneous fat. Fasting glycemia and insulin, lipid profile and hepatic enzymes, such as aspartate aminotransferase, alanine aminotransferase, gamma-glutamyltransferase and alkaline phosphatase, were also evaluated. In order to assess the performance of these indicators in the diagnosis of hepatic steatosis in teenagers, a ROC curve analysis was applied. Hepatic steatosis was found in 20% of the patients and insulin resistance, in 29%. Gamma-glutamyltransferase and HOMA-IR were good indicators for predicting hepatic steatosis, with a cutoff of 1.06 times above the reference value for gamma-glutamyltransferase and 3.28 times for the HOMA-IR. The anthropometric indicators, the body fat percentage, the lipid profile, the glycemia and the aspartate aminotransferase did not present significant associations. Patients with high gamma-glutamyltransferase level and/or HOMA-IR should be submitted to abdominal ultrasound examination due to the increased chance of having hepatic steatosis.

Effects Of Programmed Physical Activity On Body Composition In Post-pubertal Schoolchildren.

To assess body composition modifications in post-pubertal schoolchildren after practice of a physical activity program during one school year. The sample consisted of 386 students aged between 15 and 17 years and divided into two groups: the study group (SG) comprised 195 students and the control group (CG), 191. The SG was submitted to a physical activity program and the CG attended conventional physical education classes. Body composition was assessed using body mass index (BMI), percentage of body fat (%BF), fat mass (FM), and lean mass (LM). A positive effect of the physical activity program on body composition in the SG (p<0.001) was observed, as well as on the interaction time x group in all the variables analyzed in both genders. A reduction in %BF (mean of differences = -5.58%) and waist circumference (-2.33cm), as well as an increase in LM (+2.05kg) were observed in the SG for both genders, whereas the opposite was observed in the CG. The practice of programmed physical activity promotes significant reduction of body fat in post-pubertal schoolchildren.

Sorghum Flour Fractions: Correlations Among Polysaccharides, Phenolic Compounds, Antioxidant Activity And Glycemic Index.

Nutrients composition, phenolic compounds, antioxidant activity and estimated glycemic index (EGI) were evaluated in sorghum bran (SB) and decorticated sorghum flour (DSF), obtained by a rice-polisher, as well as whole sorghum flour (WSF). Correlation between EGI and the studied parameters were determined. SB presented the highest protein, lipid, ash, β-glucan, total and insoluble dietary fiber contents; and the lowest non-resistant and total starch contents. The highest carbohydrate and resistant starch contents were in DSF and WSF, respectively. Phenolic compounds and antioxidant activities were concentrated in SB. The EGI values were: DSF 84.5±0.41; WSF 77.2±0.33; and SB 60.3±0.78. Phenolic compounds, specific flavonoids and antioxidant activities, as well as total, insoluble and soluble dietary fiber and β-glucans of sorghum flour samples were all negatively correlated to EGI. RS content was not correlated to EGI.