Search

Purpose: The radial forearm flap is one of the most commonly used methods for intraoral reconstruction in oral carcinoma surgery. One of its disadvantages is the residual functional and unaesthetic defect in the donor site. The objective of this report is to describe preliminary cases of a novel method to cover such donor sites based on the use of autologous skin equivalents (ASEs) and an artificial dermal matrix (Integra, Prim, Barcelona, Spain). Materials and Methods: The donor sites of 2 patients were treated with the artificial dermal matrix after raising a radial forearm flap. A skin biopsy and a blood sample were taken to construct an ASE. After 3 weeks, the ASE was applied over the dermal template and left to heal. The functional and esthetic results were recorded. Results: Good functional and esthetic results were achieved, with correct wrist motility, although a natural skin color could not be achieved. Neither the Integra nor the ASE was rejected. Total wound coverage was achieved at 4 months, and completely normal skin was observed at 6 months. Conclusions: This technique of combining an artificial dermal matrix with an ASE could be an alternative method to cover the donor sites of radial forearm flaps.

This study presents robust empirical evidence suggesting the existence of significant liquidity commonalities in the corporate Credit Default Swap (CDS) market. Using daily data for 438 firms from 25 countries in the period 2005-2012 we find that these commonalities vary over time, being stronger in periods in which the global, counterparty, and funding liquidity risks increase. However, commonalities do not depend on firm’s characteristics. The level of the liquidity commonalities differs across economic areas being on average stronger in the European Monetary Union. The effect of market liquidity is stronger than the effect of industry specific liquidity in most industries excluding the banking sector. We document the existence of asymmetries in commonalities around financial distress episodes such that the effect of market liquidity is stronger when the CDS market price increases. The results are not driven by the CDS data imputation method or by the liquidity of firms with high credit risk and are robust to alternative liquidity measures.

This paper studies the investment decision of the Spanish households using a unique data set, the Spanish Survey of Household Finance (EFF). We propose a theoretical model in which households, given a fixed investment in housing, allocate their net wealth across bank time deposits, stocks, and mortgage. Besides considering housing as an indivisible and illiquid asset that restricts the portfolio choice decision, we take into account the financial constraints that households face when they apply for external funding. For every representative household in the EFF we solve this theoretical problem and obtain the theoretically optimal portfolio that is compared with households’actual choices. We find that households signifi cantly under-invest in stocks and deposits while the optimal and actual mortgage investments are alike. Considering the three types of financial assets at once, we find that the households headed by highly financially sophisticated, older, retired, richer, and unconstrained persons are the ones investing more efficiently.

This article investigates the portfolio selection problem of an investor with three-moment preferences taking positions in commodity futures. To model the asset returns, we propose a conditional asymmetric t copula with skewed and fat-tailed marginal distributions, such that we can capture the impact on optimal portfolios of time-varying moments, state-dependent correlations, and tail and asymmetric dependence. In the empirical application with oil, gold, and equity data from 1990 to 2010, the conditional t copulas portfolios achieve better performance than those based on more conventional strategies. The specification of higher moments in the marginal distributions and the type of tail dependence in the copula have significant implications for the out-of-sample portfolio performance.

This paper studies the impact of the banks’ portfolio holdings of financial derivatives on the banks’ individual contribution to systemic risk over and above the effect of variables related to size, interconnectedness, substitutability, and other balance sheet information. Using a sample of 95 U.S. bank holding companies from 2002 to 2011, we compare five measures of the banks’ contribution to systemic risk and find that the new measure proposed in this study, Net Shapley Value, outperforms the others. Using this measure we find that the banks’ holdings of foreign exchange and credit derivatives increase the banks contributions to systemic risk whereas holdings of interest rate derivatives decrease it. Nevertheless, the proportion of non-performing loans over total loans and the leverage ratio have much stronger impact on systemic risk than derivatives holdings. We find that before the subprime crisis credit derivatives decreased systemic risk whereas during the crisis increased it. So, credit derivatives seemed to change their role from shock absorbers to shock issuers. This effect is not observed in the other types of derivatives.

We hypothesize and find empirical evidence that two structural constraints of the industry are informative in the corporate failure prediction, industry concentration and dependence on customers and suppliers. Using an extensive database on corporate failures and bankruptcies in U.S. market from 1998 to 2009, we find that the probabilities of failure and bankruptcy are significantly higher for firms in highly concentrated industries. The probability of bankruptcy is higher for firms in industries with stronger customer dependency but this factor does not affect failure probabilities. Also in the case of failures the model’s fit is noticeably higher than in the case of bankruptcies.

This paper presents a new statistical arbitrage test which has lower Type I error and selects arbitrage opportunities with lower downside risk than existing alternatives. The test is applied to credit derivatives markets using strategies combining Credit Default Swaps (CDS) and Asset Swaps. Using four different databases (GFI, Reuters, CMA and JP Morgan) from 2005 to 2009, we find persistent mispricings between the CDS and Asset Swap spreads before and during the current financial crisis. These mispricings appear to offer arbitrage opportunities if a standard statistical arbitrage test is employed. However, our test shows that after considering funding and trading costs, these mispricings are unlikely to provide profitable arbitrage opportunities.

En este estudio se comparan las seis fuentes de precios de CDS corporativos mas importantes (GFI, Fenics, Reuters EOD, CMA, Markit y JP Morgan), usando los CDS single-name a cinco anos mas liquidos de los principales indices del mercado (iTraxx y CDX) para el periodo 2004-2010. Se encuentran diferencias sistematicas entre las distintas bases de datos que implican que las desviaciones de la tendencia comun no son meramente aleatorias sino que se explican por factores idiosincraticos, tales como la liquidez, el riesgo global y otros factores relacionados con la actividad del mercado. Asi, a menor disponibilidad de precios de transaccion, mayor es la desviacion entre las bases de datos. Finalmente, los resultados sugieren que CMA lidera el proceso de formacion de precios respecto al resto de bases de datos.

Purpose The purpose of the present study was to assess the effect of free-flap reconstruction on the survival of patients treated for oral squamous cell carcinoma. Patients and Methods The present study was based on a retrospective cohort of 98 patients. Of the 98 patients, 49 underwent surgical reconstruction with microvascular tissue transfer (test group) and in 49 (control group), only local or regional flaps were used. Results For the free-flap group, the average follow-up period was 34.6 months. For the control group, the average follow-up was 39.8 months. At the end of the follow-up period, 23 (47%) and 33 (67.3%) patients had died of oral squamous cell carcinoma in the microvascular reconstructive and control group, respectively. The difference in the final status between the 2 groups was statistically significant ( P = .03). In the free-flap group, the mean and median survival time was 65 and 60 months. In the locoregional flap group, the mean and median survival time was 54 and 24 months, respectively. No difference was seen in the survival time between the free-flap and local flap groups ( P = .2). Univariate Kaplan-Meier analysis revealed that positive surgical margins were significantly associated with shortened survival in the free-flap group and that recurrence was significant in both reconstructive groups. On multivariate Cox regression analysis, the status of the resection margin ( P = .07) and tumor recurrence ( P Conclusion Patients with free-flap reconstruction of surgically created defects after oral cancer resection showed a trend toward better 5-year survival.

Pena I, Junquera LM, Meana A, Garcia E, Garcia V, De Vicente JC. In vitro engineering of complete autologous oral mucosa equivalents: characterization of a novel scaffold. J Periodont Res 2010; 45: 375–380. © 2010 John Wiley & Sons A/S Background and Objective: Restoration of oral mucosa defects by means of in vitro-cultured equivalents has become a valid alternative in the field of oral and periodontics surgery. Although different techniques have been described, none has been able to provide an equivalent with an autologous scaffold for the epithelium. The purpose of this study was to obtain complete autologous oral mucosa equivalents (CAOME) using the patient’s own fibroblasts and plasma and to characterize these equivalents both morphologically and immunohistochemically. Material and Methods: We acquired cell types (keratinocytes and fibroblasts) from the same mucosal samples, which were taken from healthy patients who underwent oral surgery. To construct the CAOME, a small sample of blood was obtained from the patient and subsequently processed to obtain a fibrin glue scaffold. All CAOME thus obtained were stained using the standard hematoxylin and eosin method to study their morphological characteristics. To establish the type of cells in the epithelial layer, CAOME were stained with pancytokeratin AE1/AE3, cytokeratins 5/6 and 13, p-63 and Ki-67. Finally, laminin 5 and collagen IV were used to reveal the presence of a basal membrane. Results: The CAOME featured a monolayer of cube-shaped epithelial cells similar to that found on the basal layer of the oral mucosa. Close to the epithelial layer lay the fibrin and fibroblasts-embedded scaffold. The CAOME was positive to pancytokeratin AE1/AE3, cytokeratin 5/6 and p-63. No reaction was found to cytokeratin 13 and Ki-67. There was staining to laminin 5 but not to collagen IV. Conclusions: It is possible to engineer a CAOME with an epithelium of basal-like and immature keratinocytes, which could potentially reconstruct in vivo loss of tissue.

This paper provides new evidence on the dynamic dependences of European corporate credit spread in three markets: Bond, Credit Default Swap (CDS), and Asset Swap (ASP). Using daily data from 2005 to 2009, we find that credit spread returns are primarily driven by innovations. The intra-market dependence during the current crisis decreases for bond and ASP innovations but increases for CDS due to the increase of counterparty risk. ASP and bond innovations are closely related suggesting that the cash component (bond) dominates the ASP innovations’ behavior. On the other hand, CDS’s innovations are unrelated to the bonds’ and ASP’s innovations.

We present a tentative estimate of a common risk free rate for the European Monetary Union countries from January 2004 to December 2010 using variables motivated by a theoretical portfolio selection model. In a first stage, we analyze the determinants of EMU sovereign yield spreads and find significant effects of the credit quality, macro, correlation, liquidity and interaction variables. Then, on the basis of the yield spreads’ determinants, we estimate the common risk free rate and show that this rate would imply, in most cases, average savings in borrowing costs for all the countries involved although under some extreme market circumstances, some countries may suffer increased borrowing costs.

Standard models of moral hazard predict a negative relationship between risk and incentives; however empirical studies on mutual funds present mixed results. In this paper, we propose a behavioral principal-agent model in the context of professional managers, focusing on active and passive investment strategies. Using this general framework, we evaluate how incentives affect the risk taking behavior of managers, using the standard moral hazard model as a special case. Our propositions suggest that managers of passively managed funds tend to be risk averse and tend to be rewarded without incentive fees. On the other hand, in actively managed funds, whether incentives reduce or increase the riskiness of the fund depends on how hard it is to outperform the benchmark. If the fund is likely to outperform the benchmark, incentives reduce the manager's risk appetite. Furthermore, the evaluative horizon influences the trader's risk preferences, in the sense that if traders performed poorly in a period, they tend to choose riskier investments in the following period given the same evaluative horizon. If the fund is unlikely to outperform the benchmark, the opposite is true; incentives cause increased risk taking, and if traders performed well in a given time period, they tend to choose more conservative investments following that time period. Empirical evidence, based on a world sample of 4584 mutual funds, gives support to the previous propositions.

A common European bond would yield a common European Monetary Union risk free rate. We present tentative estimates of this common risk free for the European Monetary Union countries from 2004 to 2009 using variables motivated by a theoretical portfolio selection model. First, we analyze the determinants of EMU sovereign yield spreads and find significant effects of the credit quality, macro, correlation, and liquidity variables. However, their effects are different before and after the current financial crisis, being stronger in the latter period. Robustness tests with different data frequencies, benchmarks, liquidity variables, cross section regressions and balanced panels confirm the initial results. We propose four different estimates of the common risk free rate and show that, in most cases, this common rate could imply savings in borrowing costs for all the countries involved.

Este Documento de Trabajo presenta una estimacion del tipo de interes de un hipotetico bono comun para los paises de la Union Monetaria Europea (UME). Esta estimacion se lleva a cabo a partir de una serie de variables motivadas por un modelo teorico de seleccion de carteras, tomando como referencia el periodo 2004-2010. En una primera etapa, se analizan los determinantes de los diferenciales de la rentabilidad de los bonos soberanos de la UME y se documentan efectos significativos de algunas variables relacionadas con factores de riesgo de credito y de situacion macroeconomica, asi como de otros factores indicativos de la correlacion entre las rentabilidades de los bonos soberanos y de la liquidez de estos bonos. En base a estos determinantes, se elabora una estimacion del hipotetico tipo de interes comun libre de riesgo, de la que se desprende que un bono comun daria lugar en promedio durante el periodo analizado a ahorros en los costes de financiacion de todos los paises de la UME aunque bajo algunas circunstancias extremas un numero reducido de paises podrian sufrir aumentos en los costes de financiacion.

The objective of this paper is twofold. The first is to incorporate mental accounting, loss-aversion, asymmetric risk-taking behavior, and probability weighting in a multi-period portfolio optimization for individual investors. While these behavioral biases have previously been identified in the literature, their overall impact during the determination of optimal asset allocation in a multi-period analysis is still missing. The second objective is to account for the estimation risk in the analysis. Considering 26 daily index stock data over the period from 1995 to 2007, we empirically evaluate our model (BRATE – Behavior Resample Adjusted Technique) against the traditional Markowitz model.

The aim of this article is 2-fold: first to test the adequacy of Pareto distributions to describe the tail of financial returns in emerging and developed markets, and second to study the possible correlation between stock market indices observed returns and return's extreme distributional characteristics measured by Value at Risk and Expected Shortfall. We test the empirical model using daily data from 41 countries, in the period from 1995 to 2005. The findings support the adequacy of Pareto distributions and the use of a log linear regression estimation of their parameters, as an alternative for the usually employed Hill's estimator. We also report a significant relationship between extreme distributional characteristics and observed returns, especially for developed countries. Publicado

Recent literature has found two behavioral effects - house-money and myopic loss aversion (MLA) - in several experimental designs. We show that although we can find a house-money effect using survey methods this evidence disappears when we study investment decision within a multi-period investment experiment. Loss aversion is found to govern the risk-taking behavior of subjects in dynamic settings, overcoming the house-money effect. These results are robust to experiments conducted in two different countries, Spain and Brazil.

Recent literature has advocated that risk-taking behavior is influenced by prior monetary gains and losses. On one hand, after perceiving monetary gains, people are willing to take more risk (house-money effect). Another stream of the literature, based on prospect theory and loss aversion, suggests that people are risk averse/seeking in the gain/loss domain. The objective of this paper is twofold: first to clarify the previous contradiction and second to verify the existence of myopic loss aversion across countries. We found that loss aversion is the dominant effect and also report the existence of myopic loss aversion across countries.

This paper presents a model linking two financial markets (stocks and bonds) with real business cycle, in the framework of the Consumption Capital Asset Pricing Model with Generalized Isoelastic Preferences. Besides interest rate term spread, the model includes a new variable to forecast economic activity: stock market term spread. This is the slope of expected stock market returns. The empirical evidence documented in this paper suggests systematic relationships between business cycle’s state and the shapes of two yield curves (interest rates and expected stock returns). Results are robust to changes in measures of economic growth, stock prices, interest rates and expectations generating mechanisms. The authors are from Universidad Carlos III de Madrid. Partial financial support was provided by DGICYT grants PB98-0030, BEC2002-0279 and SEC2003-06457. Seminar participants at various universities and conferences provided useful comments. The authors thank the anonymous referee who provided astute comments that considerably improved the study. The usual disclaimer applies. (Paper received March 2005, revised version accepted August 2006. Online publication December 2006) Publicado

This paper analyses the evolution of electricity prices in deregulated markets. We present a general model that simultaneously takes into account the possibility of several factors: seasonality, mean reversion, GARCH behaviour and time-dependent jumps. The model is applied to equilibrium spot prices of electricity markets from Argentina, Australia (Victoria), New Zealand (Hayward), NordPool, and Spain using daily data. Six different nested models were estimated to compare the relative importance of each factor and their interactions. We obtained that electricity prices are mean-reverting with strong volatility (GARCH) and jumps of time-dependent intensity even after adjusting for seasonality. We also provide a detailed unit root analysis of electricity prices against mean reversion, in the presence of jumps and GARCH errors, and propose a new powerful procedure based on bootstrap techniques.

In this paper we have studied the ability of relatively standard equilibrium asset pricing models to explain two important empirical regularities of asset returns extensively documented in the literature: i) returns can be predicted by a set of macro variables; and ii) returns are very volatile. Those empirical regularities are relevant because they have often been used to reject market efficiency. In the analysis we have made use of the approximation technology in the solution of intertemporal asset pricing models recently developed by Campbell (1993) in the form suggested by Restoy and Weil (1997). We have obtained evidence from eight OECD economies using both quarterly and annual observations. Equilibrium models seem generally to find fewer difficulties in explaining the volatility of returns than their predictability for general output processes. In the case of the United States, for annual frequencies the observed predictability and volatility of asset returns are broadly compatible with the predictions of equilibrium models for a reasonable specification of preferences.

This paper measures the share price returns to Spanish takeover targets over the period 1990 to 1994. Using several estimation and testing methods, we show that target shareholders gain significant abnormal returns in the announcement period. In the first part of the year before the announcement period, firms that become targets do not show significant abnormal returns, though there is some significant upturn in the two months before the bid. Publicado

Purpose Free flaps have proved to be superior in both functionality and aesthetics in front of classical treatment with locoregional flaps in the treatment of patients with large tumors in the oral cavity. The aim of the present study is to assess if free-flap reconstruction is an economically profitable option. Material and methods The present study was based on a retrospective cohort of 60 patients. Of the 60 patients, 30 underwent surgical reconstruction with microvascular tissue transfer and in 30 only local or regional flaps were used. The 6 months of which the overall management costs according to the hospital perspective were calculated were divided into three periods: operative period, the postoperative phase, follow-up during first 6 months. The following outcome variables were analyzed: operative time; blood loss; admission length, including intensive care unit; complications; secondary interventions; readmissions; and feeding status. Cumulative costs were calculated. Statistical analysis was applied. Results Total estimated costs within the first 6 month were comparable in both. The lower costs of hospital admission in the postoperative phase outweighed the higher costs of the surgical procedure in free flap group when compared with local flaps patients. Conclusions In experienced centers, the reconstruction using free flaps in patients treated for tumors of the oral cavity is safe, improves patient quality of life and is economically sustainable. Forty patients who underwent immediate free radial forearm flap reconstruction for oral or oropharyngeal soft tissue defects were matched with patients who underwent pectoralis major myocutaneous flap reconstruction for similar defects. The 2 years of which the overall management costs according to the hospital perspective were calculated were divided into four periods: operative period, the postoperative phase, follow-up during first year and follow-up during second year after discharge. Results The total costs within the first 2 years were comparable at approximately 50,000 Euros. The lower costs of hospital admission (24 days versus 28 days; P = 0.005) in the postoperative phase outweighed the higher costs of the surgical procedure (692 min versus 462 min; P Conclusions Oral and oropharyngeal reconstruction with radial forearm flap is not more costly than pectoralis major flap reconstruction. Given the better functional outcome and the present cost analysis, reconstruction of oral and oropharyngeal defects is preferably performed using free tissue transfer.

International financial integration effects on the Spanish stock market are studied, both for the conditional mean and conditional variance. New institutional regulations in Spain are taken into account and their efficiency consequences are addressed. Results suggest an increasing international integration but nontrivial opportunities for financial diversification may still be relevant. Publicado

We report simple regressions and Granger causality tests in order to understand the pattern of implied volatilities across exercise prices. We employ all calls and puts transacted between 16:00 and 16:45 on the Spanish IBEX-35 index from January 1994 to April 1996. Transaction costs, proxied by the bid–ask spread, seem to be a key determinant of the curvature of the volatility smile. Moreover, time to expiration, the uncertainty associated with the market and the relative market momentum are also important variables in explaining the smile.