Search

Migrant and seasonal workers in the United States, among others in rural agricultural communities, may be at an elevated risk for tick-borne diseases (TBDs). This research included a survey of over 250 such workers, both women and men, in 13 locations across five eco-systems in Texas, which is generally perceived as a non-endemic state. Employing a modified Horowitz Multiple Systemic Infectious Disease Syndrome Questionnaire, a range of data was collected regarding living conditions, such as sleeping outside, along with queries about tick exposure, tick bite encounters, illnesses, and prior TBD diagnoses. Findings revealed that 67% of the respondents who scored highest on symptom severity suggestive of a TBD reported sleeping outdoors (compared to 29% of the lowest scoring), with 78% of the likely-to-highly-likely group also recalling tick-bite encounters (compared to 20% of the lowest scoring). Approximately 28% of those who reported severe symptoms also indicated previous Lyme disease diagnoses. This research serves as an initial investigation into the living conditions associated with increased risk of TBDs among vulnerable populations. It underscores the need for further assessments of TBD risk relative to vulnerable populations even in perceived non-endemic regions and highlights the paucity of actionable data as a critical public health issue.

Background Personal recovery should be the cornerstone of mental health nursing practice. Nursing interventions should build on consumers' strengths to provide hope, so consumers are empowered to achieve their own personal goals. Aim The aim of this study was to explore mental health nurses’ lived experience of their practice, understanding and knowledge of personal recovery-oriented care on acute mental health units. Method Van Manen's methodology was utilised in this study. Data was gathered through semistructured conversational interviews with mental health nurses working on an acute unit. Findings Participants found personal recovery was difficult on an acute mental health unit. Factors that participants identified that impeded personal recovery-oriented care on acute mental health units included: the acuity of consumers in a low dependency area, lack of time to engage consumers, and loss of the therapeutic role for mental health nurses on acute units. Discussion Mental health nurses are expected to focus on the personal recovery needs of mental health consumers while managing clinical risks to consumers and others on the acute unit. This has the mental health nurse navigating a course between two worlds, and results in mental health nurses being confused between concepts of personal recovery and clinical recovery. Conclusion If acute mental health nurses cannot define personal recovery, they will not be able to effectively implement interventions that support consumers in their personal recovery journey on acute units and will be drawn into the clinical recovery paradigm.

Determining interventions to combat disease often requires complex analyses of spatial-temporal data to improve health outcomes. For some vulnerable populations, obtaining sufficient data for related analyses is especially difficult, thus exacerbating related healthcare, research, and public health efforts. In the United States (U.S.), migrant and seasonal workers are especially affected in this regard, with data on health interventions and outcomes largely absent from official sources. In response, this study offers a multi-modal approach that involves triangulating geographically specified health data that incorporate reports on canine tick species, Lyme disease (LD) incidence, and patient symptom severity indicating potential subsequent disease burden. Spatial alignment of data at the U.S. county level was used to reveal and better understand tick-borne disease (TBD) incidence and risk among the identified populations. Survey data from migrant and seasonal workers in Texas were employed to determine TBD risk based on symptoms, occupations, and locations. Respondents who were found to have a higher likelihood of a TBD were also considerably more likely to report the most common symptoms of LD and other TBDs on the Horowitz Multiple Systemic Infectious Disease Syndrome Questionnaire. Those in the highly likely scoring group also reported more poor health and mental health days. Overall, a notable number of respondents (22%) were likely or highly likely to have a TBD, with particular relevance attributed to county of residence and living conditions. Also of note, almost a third of those reporting severe symptoms had received a previous Lyme disease diagnosis. These findings underscore the need for further surveillance among vulnerable populations at risk for TBDs.

Public health reports contain limited information regarding the psychological and neurological symptoms of tick-borne diseases (TBDs). Employing a mixed-method approach, this analysis triangulates three sources of symptomology and provides a comparison of official public health information, case reports, medical literature, and the self-reported symptoms of patients with Lyme disease and other TBDs. Out of the fifteen neuropsychiatric symptoms reported in the medical literature for common TBDs, headaches and fatigue and/or malaise are the only two symptoms fully recognized by public health officials. Of TBDs, Lyme disease is the least recognized by public health officials for presenting with neuropsychiatric symptoms; only headaches and fatigue are recognized as overlapping symptoms of Lyme disease. Comparisons from a patient symptoms survey indicate that self-reports of TBDs and the associated symptoms align with medical and case reports. Anxiety, depression, panic attacks, hallucinations, delusions, and pain—ranging from headaches to neck stiffness and arthritis—are common among patients who report a TBD diagnosis. Given the multitude of non-specific patient symptoms, and the number and range of neuropsychiatric presentations that do not align with public health guidance, this study indicates the need for a revised approach to TBD diagnosis and for improved communication from official public health sources regarding the wide range of associated symptoms.

A well-known asset pricing anomaly, the “MAX” effect, measured by the maximum daily return in the past month, depicts stocks’ lottery-like features and investor gambling behaviour. Using the comprehensive stock-level Dow Jones (DJNS) news database between 1979 and 2016, we consider in a empirical setting how the presence of news reports affects these lottery-type stocks. We find an augmented negative relationship between MAX stocks without news and expected returns, whereby MAX with news coverage generates return momentum. The differing future return relationships between MAX stocks with and without news appears to be best explained by information uncertainty mitigation upon news arrival. Overall, our findings suggest that news plays a role in resolving information uncertainty in the stock market.

In this paper, we compare and contrast financial data science with econometrics and conclude that the former is inevitably interdisciplinary due to the numerous skill-sets needed within a competitive research team. The latter, in contrast, is firmly rooted in economics. Both areas are highly complementary, as they share an equivalent process with the former’s intellectual point of departure being statistical inference and the latter’s being the data sets themselves. Two challenges arise, however, from the age of big data. First, the ever increasing computational power allows researchers to experiment with an extremely large number of generated test subjects and leads to the challenge of p-hacking. Second, the extremely large number of observations available in big data sets provide levels of statistical power at which common statistical significance levels are barely a challenge. We argue that the former challenge can be mitigated through adjustments for multiple hypothesis testing where appropriate. However, it can only truly be addressed via a strong focus on the integrity of the research process and the researchers themselves, with pre-registration and actual out-of-sample periods being the best technical though in themselves potentially insufficient tools. The latter challenge can be addressed in two ways. First, researchers can simply use more stringent statistical significance levels such as 0.1%, 0.5% and 1% instead of 1%, 5% and 10%, respectively. Second, and more importantly, researchers can use additional criteria such as economic significance, economic relevance and statistical relevance to assess the robustness of statistically significant coefficients. Especially statistical relevance seems crucial in the age of big data, as it appears not impossible for an individual coefficient to be considered statistically significant when its actual statistical relevance (i.e. incremental explanatory power) is extremely small.

This paper uses a data set of freehold land and property transactions from medieval England to highlight the growing commercialization of the economy during that time. By drawing on the legal records, we are able to demonstrate that the medieval real estate market provided the opportunity for investors to profit. Careful analysis of the data provides evidence of group purchases, multiple transactions, and investors buying outside their own localities. The identification of these “investors” and their buying behaviors, set within the context of the English medieval economy, contributes to the early commercialization debate.

Introduction The Movement Disorder Society’s Unified Parkinson’s Disease Rating Scale (MDS-UPDRS) is the current gold standard means of assessing disease state in Parkinson’s disease (PD). Objective measures in the form of wearable sensors have the potential to improve our ability to monitor symptomology in PD, but numerous methodological challenges remain, including integration into the MDS-UPDRS. We applied a structured video coding scheme to temporally quantify clinical, scripted, motor tasks in the MDS-UPDRS for the alignment and integration of objective measures collected in parallel. Methods 25 PD subjects completed two video-recorded MDS-UPDRS administrations. Visual cues of task performance reliably identifiable in video recordings were used to construct a structured video coding scheme. Postural transitions were also defined and coded. Videos were independently coded by two trained non-expert coders and a third expert coder to derive indices of inter-rater agreement. Results 50 videos of MDS-UPDRS performance were fully coded. Non-expert coders achieved a high level of agreement (Cohen’s κ > 0.8) on all postural transitions and scripted motor tasks except for Postural Stability (κ = 0.617); this level of agreement was largely maintained even when more stringent thresholds for agreement were applied. Durations coded by non-expert coders and expert coders were significantly different (p Conclusions Non-expert coders consistently and accurately quantified discrete behavioral components of the MDS-UPDRS using a structured video coding scheme; this represents a novel, promising approach for integrating objective and clinical measures into unified, longitudinal datasets.

The quantity of finance research has grown enormously over the past two decades, yet questions remain over its breadth and ability to benefit the economy and society beyond academia. Using multisource data, we argue that individual and institutional incentives have fostered insularity and a consequent homogeneity in the discipline. We examine the characteristics of research that is published and cited in the leading field journals in finance, arguing that the work has become abstract and unrelated to real world issues. The work published in the ‘top’ journals makes increasing use of US data, even where the researchers are drawn from different countries. Using information from impact assessment, publication patterns, and grant capture, we illustrate that this narrow agenda lacks relevance to the financial services sector, the economy or wider society compared to other areas of business and management research. In particular, we highlight the relative absence of research on ethics in academic finance and discuss the likely consequences for the discipline including its relevance to society.

This article provides new evidence on the important role of institutional investors in affecting corporate strategy. Institutional cross-ownership between two firms not only increases the probability of them merging, but also affects the outcomes of mergers and acquisitions (M&As). Institutional cross-ownership reduces deal premiums, lowers completion probabilities of deals with negative acquirer announcement returns, and increases stock payment in M&A transactions. Furthermore, deals with high institutional cross-ownership have lower transaction costs and disclose more transparent financial statement information. The effect of cross-ownership on deal performance is mixed. Institutional cross-ownership is negatively related to acquirer announcement returns, a measure of the market perceived deal quality. However deals with high cross-ownership are more likely to be non-diversifying and independent institutional cross-ownership is positively related to deal long-run performance. Overall, our results suggest that the growth of institutional cross-holdings in U.S. stock markets may greatly change corporate strategies and decision making processes.

This paper not only attempts to survey the burgeoning literature on environmental, social and governance disclosures and performance and their effects on firm value, but its focus also lies on highlighting stylised observations coming from the most recent work that has not yet become part of the ‘conventional wisdom’ in the field. In addition, it outlines some of the crucial knowledge gaps and interesting questions that have not, as of yet, been addressed and thus outlines a potential agenda for future research on socially responsible investing. Lastly, it introduces the papers published in this special issue of the British Accounting Review.

This paper examines the impact of foreign real estate on land prices in Mauritius. Using a panel dataset comprising price, quantity and other information for a variety of luxury villas and apartments, we show that the price of land paid by locals has been pushed up by a modest 4-22% in total as a result of these developments. We also examine the determinants of the prices of the dwellings in these schemes, finding that they are strongly related to the sizes of the plots, whether they have ocean views and the desirability of the region in which they are sited, although there remains considerable unexplained heterogeneity.

A new capability for automated crack detection and crack growth rate monitoring is described and experimentally validated. The capability is based on a low-cost industrial grade microbolometer mounted to an x-y linear slider assembly driven by a guidance algorithm that uses the thermoelastic quadrature signal to locate the crack tip. The approach furnishes a high density record of the crack path, as well as thermoelastic response imagery in the vicinity of the crack tip which can be used to determine stress intensity factors. The performance of the system is compared to that of travelling microscopy and shown to be similar at crack growth rates above 10-7 m/cycle, but inferior at lower rates due to increased scatter in the location estimates. This scatter is attributed in part to the limited spatial resolution of the system in its present configuration.

The union organizing drive in Chattanooga has a number of unique features that make the campaign deserving of close examination: an employer on whose board labor holds half the seats and maintains a formal corporate commitment to worker voice and participation, a degree of employer neutrality that cannot be expected at any other foreign automaker, and what was likely the largest and most expensive anti-union campaign ever waged by third-party groups. This article highlights those lessons from the UAW's organizing campaign at Volkswagen that are likely to be prescient to future organizing drives. In doing so, I provide an overview of Volkswagen as a company, the UAW's organizing campaign from its beginning in 2013 to the present day, and a detailed discussion of the UAW's strategic mistakes. Most importantly, I detail the actual concerns, interests, thoughts, and reflections of rank-and-file workers at Volkswagen.

A major gap in our understanding of the medieval economy concerns interest rates, especially relating to commercial credit. Although direct evidence about interest rates is scattered and anecdotal, there is much more surviving information about exchange rates. Since both contemporaries and historians have suggested that exchange and rechange transactions could be used to disguise the charging of interest in order to circumvent the usury prohibition, it should be possible to back out the interest rates from exchange rates. The following analysis is based on a new dataset of medieval exchange rates collected from commercial correspondence in the archive of Francesco di Marco Datini of Prato, c.1383-1411. It demonstrates that the time value of money was consistently incorporated into market exchange rates. Moreover, these implicit interest rates are broadly comparable to those received from other types of commercial loan and investment. Although on average profitable, the return on any individual exchange and rechange transaction did involve a degree of uncertainty that may have justified their non-usurious nature. However, there were also practical reasons why medieval merchants may have used foreign exchange transactions as a means of extending credit.

This paper employs a unique, hand-collected dataset of exchange rates for five major currencies (the lira of Barcelona, the pound sterling of England, the pond groot of Flanders, the florin of Florence and the livre tournois of France) to consider whether the law of one price and purchasing power parity held in Europe during the late fourteenth and early fifteenth centuries. Using single series and panel unit root and stationarity tests and cointegration analysis on ten real exchange rates between 1383 and 1411, we show that the parity relationship held for the pound sterling and some of the Florentine florin series individually and for almost all of the groups that we investigate. Our findings add to the weight of evidence that trading and arbitrage activities stopped real exchange rates deviating permanently from fair values. This research extends the results reported in other studies back more than 600 years.

This paper proposes and tests a new framework for weighting recursive out-of-sample prediction errors according to their corresponding levels of in-sample estimation uncertainty. In essence, we show how to use the maximum possible amount of information from the sample in the evaluation of the prediction accuracy, by commencing the forecasts at the earliest opportunity and weighting the prediction errors. Via a Monte Carlo study, we demonstrate that the proposed framework selects the correct model from a set of candidate models considerably more often than the existing standard approach when only a small sample is available. We also show that the proposed weighting approaches result in tests of equal predictive accuracy that have much better sizes than the standard approach. An application to an exchange rate dataset highlights relevant differences in the results of tests of predictive accuracy based on the standard approach versus the framework proposed in this paper.

This paper considers whether there were periodically collapsing rational speculative bubbles in commodity prices over a 40-year period from the late 1960s. We apply a switching regression approach to a broad range of commodities using two different measures of fundamental values—estimated from convenience yields and from a set of macroeconomic factors believed to affect commodity demand. We find reliable evidence for bubbles only among crude oil and feeder cattle, showing the popular belief that the extreme price movements observed in commodity markets were caused by pure speculation to be unsustainable

Solar energy is often chosen as the enabling technology for many off grid, rural electrification projects. In many situations photovoltaic systems (PV) prove to be a highly effective means of meeting essential needs such as lighting for homes, schools and community centres, as well as remote telecommunication, fresh drinking water and vaccine refrigeration. Throughout the Pacific-island region, countries such as the Philippines have experimented with small scale rural energy projects for over three decades. There are lack of adequate ‘individual’ technical training and appropriate social preparation activities has often resulted in project failures due to poor maintenance, abuse, poor installation, and lack of understanding by the system owner, operator or local technician. This research was aimed at investigating the importance of individual training in capacity building programs for solar home system (SHS) technology transfer projects. The focus is on the analysis of the effectiveness of the individual training component in various projects in the Philippines. A survey has been undertaken which included a series of SHS site visits and individual surveys with system owners and operators, and Focus Group Discussions with other project stakeholders. Survey results show that adequate user and local technician training is an important factor in successfully implementing rural electrification through PV power systems. However, for training to be successful there must be a consensus of what the target performance behaviors should be and how they should be measured. The most basic requirements for successful training are that the training reaches to the right people at the right time and delivers the right content.

Evidence suggests that rational, periodically collapsing speculative bubbles may be pervasive in stock markets globally, but there is no research that considers them at the individual stock level. In this study we develop and test an empirical asset pricing model that allows for speculative bubbles to affect stock returns. We show that stocks incorporating larger bubbles yield higher returns. The bubble deviation, at the stock level as opposed to the industry or market level, is a priced source of risk that is separate from the standard market risk, size and value factors. We demonstrate that much of the common variation in stock returns that can be attributable to market risk is due to the co-movement of bubbles rather than being driven by fundamentals.

Criticising the concept of a ‘youth guarantee’ as it was understood by the OECD in the 1990s and recently again by the European Community, the author argues that just more schooling and training will not help, let alone guarantee a future for disadvantaged, unemployed young people. Rather any policy that wants to help youth to become creative, skilful, self-reliant and ultimately successful must address the bigger problems of society and the economic and financial systems. Only when the larger environment is changed – and the author recognises that this change will not be a quick fix but take many years, even decades – is there a chance for young people to use their talents and initiative to become innovative, creative and engaged, not just in the labour market and economic system but in society.

In the present paper, we investigate the accuracy of the tick test from an analytical perspective by providing a closed formula for the performance of the prediction algorithm. This formula takes as inputs the spread of the traded asset, the volatility of the innovations, and the probability of news, among other parameters, and it outputs the percentage of times that the tick test will make correct predictions regarding the sign of a trade. Further analysis shows that by imposing restrictions on the underlying microstructure model, the formula for the tick test performance is related to simple statistics from a vector of trade price differences. This means that, without the need for quote data (or the real sign of the trades), the formula can assess the percentage of cases for which the tick test will make correct predictions. Using tick data for fifteen heavily traded stocks in the Brazilian equity market, we are able to compare the values from the analytical formula against the empirical performance of the tick test, showing that the formula is quite realistic in assessing the accuracy of the prediction algorithm.

This paper contributes to the debate on the effects of the financialization of commodity futures markets by studying the conditional volatility of long–short commodity portfolios and their conditional correlations with traditional assets (stocks and bonds). Using several groups of trading strategies that hedge fund managers are known to implement, we show that long–short speculators do not cause changes in the volatilities of the portfolios they hold or changes in the conditional correlations between these portfolios and traditional assets. Thus calls for increased regulation of commodity money managers are, at this stage, premature. Additionally, long–short speculators can take comfort in knowing that their trades do not alter the risk and diversification properties of their portfolios.

This article examines the role of idiosyncratic volatility in explaining the cross-sectional variation of size- and value-sorted portfolio returns. We show that the premium for bearing idiosyncratic volatility varies inversely with the number of stocks included in the portfolios. This conclusion is robust within various multifactor models based on size, value, past performance, liquidity and total volatility and also holds within an ICAPM specification of the risk–return relationship. Our findings thus indicate that investors demand an additional return for bearing the idiosyncratic volatility of poorly-diversified portfolios.

This paper examines the impact of changes in the composition of real estate stock indices, considering companies both joining and leaving the indices. Stocks that are newly included not only see a short-term increase in their share price, but trading volumes increase in a permanent fashion following the event. This highlights the importance of indices in not only a benchmarking context but also in enhancing investor awareness and aiding liquidity. By contrast, as anticipated, the share prices of firms removed from indices fall around the time of the index change. The fact that the changes in share prices, either upwards for index inclusions or downwards for deletions, are generally not reversed, would indicate that the movements are not purely due to price pressure, but rather are more consistent with the information content hypothesis. There is no evidence, however, that index changes significantly affect the volatility of price changes or their operating performances as measured by their earnings per share.

This article looks at an important but neglected aspect of medieval sovereign debt, namely ‘accounts payable’ owed by the Crown to merchants and employees. It focuses on the unusually well-documented relationship between Henry III, King of England between 1216 and 1272, and Flemish merchants from the towns of Douai and Ypres, who provided cloth on credit to the royal wardrobe. From the surviving royal documents, we reconstruct the credit advanced to the royal wardrobe by the merchants of Ypres and Douai for each year between 1247 and 1270, together with the king's repayment history. The interactions between the king and the merchants are then analysed. The insights from this analysis are applied to the historical data to explain the trading decisions made by the merchants during this period, as well as why the strategies of the Yprois sometimes differed from those of the Douaissiens.

This paper uses a regime-switching approach to determine whether prices in the US stock, direct real estate and indirect real estate markets are driven by the presence of speculative bubbles. The results show significant evidence of the existence of periodically partially collapsing speculative bubbles in all three markets. A multivariate bubble model is then developed and implemented to evaluate whether the stock and real estate bubbles spill over into REITs. The underlying stock market bubble is found to be a stronger influence on the securitised real estate market bubble than that of the property market. Furthermore, the findings suggest a transmission of speculative bubbles from the direct real estate to the stock market, although this link is not present for the returns themselves.

In this paper, we examine the temporal stability of the evidence for two commodity futures pricing theories. We investigate whether the forecast power of commodity futures can be attributed to the extent to which they exhibit seasonality and we also consider whether there are time varying parameters or structural breaks in these pricing relationships. Compared to previous studies, we find stronger evidence of seasonality in the basis, which supports the theory of storage. The power of the basis to forecast subsequent price changes is also strengthened, while results on the presence of a risk premium are inconclusive. In addition, we show that the forecasting power of commodity futures cannot be attributed to the extent to which they exhibit seasonality. We find that in most cases where structural breaks occur, only changes in the intercepts and not the slopes are detected, illustrating that the forecast power of the basis is stable over different economic environments.

This paper examines the dynamics of the residential property market in the United States between 1960 and 2011. Given the cyclicality and apparent overvaluation of the market over this period, we determine whether deviations of real estate prices from their fundamentals were caused by the existence of two genres of bubbles: intrinsic bubbles and rational speculative bubbles. We find evidence of an intrinsic bubble in the market pre-2000, implying that overreaction to changes in rents contributed to the overvaluation of real estate prices. However, using a regime-switching model, we find evidence of periodically collapsing rational bubbles in the post-2000 market.

The aim of this study is to assess the characteristics of the hot and cold IPO markets on the Stock Exchange of Mauritius (SEM). The results show that the hot issues exhibit, on average, a greater degree of underpricing than the cold issues, although the hot issue phenomenon is not a significant driving force in explaining this short-run underpricing. The results are consistent with the predictions of the changing risk composition hypothesis in suggesting that firms going public during hot markets are on average relatively more risky. The findings also support the time adverse selection hypothesis in that the firms’ quality dispersion is statistically different between hot and cold markets. Finally, the study concludes that firms which go public during hot markets do not underperform those going public in cold markets over the longer term.

This paper considers the impact of match results on the stock returns of English football clubs. We propose that the magnitude of the response to a given result depends on the importance of the game, which is measured in two ways. First, we consider the extent to which the clubs are close rivals vying for similar league positions, as winning such games is particularly significant. Second, we argue that each individual game becomes more important for those clubs likely to be promoted or relegated as the season draws to a close, since a given match will have increasing information content concerning the final league position of the club. Using a fairly large panel comprising data for 19 clubs, we find some support for the notion that stock prices are more affected by the results of important matches than matches of lesser importance. We also observe that the difference between the number of points the club secures from a given match, and the number it was expected to secure, affects its stock price, as does the number of goals that the club under question scores in the match, relative to its competitor.

This study tests for the presence of periodically, partially collapsing speculative bubbles in the sector indices of the S&P 500 using a regime-switching approach. We also employ an augmented model that includes trading volume as a technical indicator to improve the ability of the model to time bubble collapses and to better capture the temporal variations in returns. We find that well over half of the S&P 500 index by market capitalization and seven of its ten sector component indices exhibited at least some bubble-like behavior over our sample period. Thus the speculative bubble that grew in the 1990s and subsequently collapsed was surprisingly pervasive in the US equity market and it affected numerous sectors including financials and general industrials, rather than being confined to information technology, telecommunications and the media. In addition, we develop a joint model for cross-sectional contagion of bubbles across the sectors and we examine whether there is evidence for bubble spillovers.

This study focuses on S&P500 inclusions and deletions, examining the impact of potential overnight price adjustment after the announcement of an S&P500 index change. We find evidence of a significant overnight price change that diminishes the returns available to speculators although there are still profits available from the first day after announcement until a few days after the actual event. More importantly, observing the tick-by-tick stock price performance and volume effects on the key days during the event window for the first time, we find evidence of consistent trading patterns during trading hours. A separate analysis of NASDAQ and NYSE listed stocks allows for a detailed examination of the price and volume effect at an intra-day level. We find that index funds appear to cluster their rebalancing activities near to and after the close on the event date, suggesting that they are more concerned with tracking error than profit.

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.

This paper analyses the impact of trading costs on the profitability of momentum strategies in the United Kingdom and concludes that losers are more expensive to trade than winners. The observed asymmetry in the costs of trading winners and losers crucially relates to the high cost of selling loser stocks with small size and low trading volume. Since transaction costs severely impact net momentum profits, the paper defines a new low-cost relative-strength strategy by shortlisting from all winner and loser stocks those with the lowest total transaction costs. While the study severely questions the profitability of standard momentum strategies, it concludes that there is still room for momentum-based return enhancement, should asset managers decide to adopt low-cost relative-strength strategies.

This study examines the abnormal returns, trading activity, volatility and long-term performance of stocks that were added to the S&P 500 index. By using a three-factor pricing model that allows for firm size and value characteristics as well as market risk, we are able to shed new light on the widely observed ‘index effect’. We find that the CAPM tends to overstate the performance of large firms and to understate the performance of small firms. We also find a transitory increase in trading volume between the announcement and a few days after the effective date. In terms of the firm's operating performance, we find a significant increase in earnings per share after inclusion, which combines with the stock price rise to leave the average price-earnings ratio largely unaltered. Examining a unique sample of deletions of international companies and replacements with US companies, we find that deleted stocks experienced a considerable and permanent fall in price, inconsistent with the Investor Recognition Hypothesis. The “seal” of S&P 500 index membership has very long-term effects and inclusion appears not to be an information-free event.

Due to cardiovascular and skeletal abnormalities, anesthetic management of parturients with Marfan's syndrome can be particularly challenging. Parturients with aortic root dilatation are at risk for aortic dissection. We describe the anesthetic management of a parturient with Marfan's syndrome and aortic root dilatation, who required general anesthesia for Cesarean delivery.At 26 weeks gestation, a nulliparous woman with Marfan's syndrome presented to the Anesthesia Clinic. Her history revealed asymptomatic aortic root dilatation of 41 mm, and partial correction of scoliosis with Harrington rods. Her cardiologist advised metoprolol, serial echocardiograms, and Cesarean delivery to decrease the risk of aortic dissection. At a multidisciplinary conference, a decision was made to proceed with Cesarean delivery, at term, at the cardiac surgery centre. After placement of arterial and central lines, general anesthesia was induced with remifentanil, propofol, and succinylcholine. Anesthesia was maintained with N(2)O, sevoflurane, and remifentanil (0.02-0.08 microg x kg(-1) x min(-1)). Transesophageal echocardiography examination confirmed stable aortic root dilatation. The patient remained hemodynamically stable. The baby's Apgars were 4 and 8, at one and five minutes, respectively. At the end of the procedure, the patient's trachea was extubated when she was awake. Initial postoperative care was in the intensive care unit. Both mother and baby recovered uneventfully.Peripartum hemodynamic changes can be life-threatening to the parturient with Marfan's syndrome and aortic dilatation. Anesthetic goals for delivery included preparation for possible aortic dissection, and avoidance of increased aortic root shear stress, through careful hemodynamic monitoring, and general anesthesia using remifentanil.

This study assesses whether the widely documented momentum profits can be attributed to time-varying risk as described by a GJR-GARCH(1,1)-M model. We reveal that momentum profits are a compensation for time-varying unsystematic risks, which are common to the winner and loser stocks but affect the former more than the latter. In addition, we find that, perhaps because losers have a higher propensity than winners to disclose bad news, negative return shocks increase their volatility more than they increase those of the winners. The volatility of the losers is also found to respond to news more slowly, but eventually to a greater extent, than that of the winners.

While it is commonly believed that derivative instruments are a recent invention, we document the existence of forward contracts for the sale of wool in medieval England around 700 years ago. The contracts were generally entered into by English monasteries, who frequently sold their wool for up to 20 years in advance to mostly foreign and particularly Italian merchants. Employing a unique source of data collected by hand from the historical records, we determine the interest rates implied in these transactions and we also examine the efficiency of the forward and spot markets. The calculated interest rates average around 20%, in accordance with available information concerning the interest rates used in other types of transactions at that time. Perhaps surprisingly, we also find little evidence of informational inefficiencies in these markets.

It has long been known that English Cistercian monasteries often sold their wool in advance to foreign merchants in the late thirteenth century. The abbey of Pipewell in Northamptonshire features in a number of such contracts with Cahorsin merchants. This paper looks again at these contracts in the context of over 200 other such agreements found in the governmental records. Why did Pipewell descend into penury over this fifty year period? This case study demonstrates that the promise of ready cash for their most valuable commodity led such abbots to make ambitious agreements – taking on yet more debt to service existing creditors – that would lead to their eventual bankruptcy.

The price-earnings ratio is a widely used measure of the expected performance of companies, and it has almost invariably been calculated as the ratio of the current share price to the previous year's earnings. However, the P/E of a particular stock is partly determined by outside influences such as the year in which it is measured, the size of the company, and the sector in which the company operates. Examining all UK companies since 1975, we propose a modified price-earnings ratio that decomposes these influences. We then use a regression to weight the factors according to their power in predicting returns. The decomposed price-earnings ratio is able to double the gap in annual returns between the value and glamour deciles, and thus constitutes a useful tool for value fund managers and hedge funds.

We examine whether a three-regime model that allows for dormant, explosive and collapsing speculative behaviour can explain the dynamics of the S&P 500. We extend existing models of speculative behaviour by including a third regime that allows a bubble to grow at a steady rate, and propose abnormal volume as an indicator of the probable time of bubble collapse. We also examine the financial usefulness of the three-regime model by studying a trading rule formed using inferences from it, whose use leads to higher Sharpe ratios and end of period wealth than from employing existing models or a buy-and-hold strategy.

A simple and general set of design rules for slanted-angle polarization-rotating waveguides is presented in this paper. These design rules are employed to construct single-mode SOI polarization rotators that offer significant advantages in conversion efficiency, optical loss, fabrication tolerance, spectral response and spatial dimensions relative to III-V components.