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Cross-sectional characteristics of stocks such as market value, market-to-book ratio and accumulated past return can be applied to formulate equity portfolios in the stock-picking process to generate good profits in some markets, which relate to the well-known size, value and momentum or contrarian strategies in the literature. Alternatively, income measures in financial statements drive investors in stock markets to buy or sell in an intuitive way that can be also used in the stock-picking process to generate good profits in some markets. This study applies these types of information in the formation period to formulate long-short strategies and investigates both the returns and risk profiles in the holding period afterward and checks whether the measures can be used to generate good profits in the Taiwan markets for the period from January 1980 to June 2020. Given different lengths of the holding period and different equity segments, our empirical analysis shows that strategies filtered by the income measure of gross profitability outperform the counterparts filtered by the operating profitability. Moreover, while the momentum or contrarian effect is not, the size and value effects are helpful to improve the performance of long-short strategies filtered by gross profitability.

Background/purpose Anti-resorptive agents are commonly used in cancer patients with bone metastasis or multiple myeloma (MM). An adverse event termed medication-related osteonecrosis of the jaws (MRONJ) was discovered in patients using these agents but relatively little attention has been paid to its prognosis. Our aims were to find out the treatment outcomes and prognostic indicators of MRONJ in cancer patients who received zoledronic acid as antiresorptive therapy. Methods We retrospectively surveyed a cohort of 133 cancer patients who received zoledronic acid. A total of 150 MRONJ lesions were included for investigation. Cumulative complete response rate after treatment was calculated with the Kaplan–Meier method, and significance was examined with the log-rank tests. Cox regression was used for univariate and multivariate analyses of prognostic factors. Results The cumulative complete response rate of all patients at 24 months was 53.2%, and those of patients with MM, breast cancer and prostate cancer were 27.8%, 60.7% and 68.0%, respectively. Having MM was identified as an independent prognostic factor in a multivariate analysis with adjusted hazard ratios of 0.28 (95% confidence interval, 0.09–0.83). Conclusion For cancer patients with ONJ related to zoledronic acid, patients with MM endure a worse treatment outcome.

Objectives The aim of this study was to find out the prognosis of medication-related osteonecrosis of the jaws (MRONJ) in prostate cancer patients who received two different types of antiresorptive agents for bone metastasis. Materials and methods We retrospectively surveyed a cohort of 95 metastatic prostate cancer patients with 122 MRONJ lesions treated in a single medical center. Treatment outcomes and prognostic factors were investigated. The cumulative complete response rate was calculated with the Kaplan-Meier method, and significance was examined with the log-rank and Breslow tests. Cox regression was used for the univariate and multivariate analyses of prognostic factors. Results The cumulative complete response rate of all patients at 12 months was 37.8%, and that of patients treated with zoledronic acid and denosumab was 22.9% and 70.5%, respectively. Denosumab, pretreatment C-terminal telopeptide of collagen I (CTX) level > 150 pg/ml, and anemia were identified as independent prognostic factors in a multivariate analysis with adjusted hazard ratios of 3.18 (95% confidence interval [CI], 1.24-8.11), 3.24 (95% CI, 1.39-7.53), and 0.42 (95% CI, 0.19-0.93), respectively. Conclusion A higher pretreatment level of CTX, using denosumab as the antiresorptive agent and without anemia, indicates a better treatment outcome of MRONJ in prostate cancer patients.

This paper examines the profitability of a pair-trading strategy in the Taiwan stock market while considering alternative frequency-distance filters, thresholds for opening a pair trade relationship, reinvestment mechanisms, different lengths of trading period, industry boundary, and the short-selling restriction. In contrast with the recent literature showing that pair-trading strategy returns are insignificant and negative in the Taiwan stock market, we find that the profitabilities of pair trades developed by positions in the Taiwan 50 Index during 1990/1–2016/3 present significant annualized mean returns of 1.84%–3.04%. Moreover, thresholds with different stringent degrees, industry boundary, and alternative reinvestment mechanisms are unable to help pick out more profitable pair-trading portfolios. The distance filter and shorter trading-day setting are more reliable for pair trading. Finally, the deregulation on short selling results in more pair-trading activities, which obviously diminish the profitability of a pair-trading strategy.

Background Studies concerning prognostic factors specific for alendronate-related osteonecrosis of the jaws (ONJ) are rare. Methods We surveyed a cohort of 100 osteoporotic patients with 111 alendronate-related ONJ lesions treated during a 4-year period. Prognostic values of clinical variables and serum markers of bone turnover were assessed by univariate and multivariate analyses. Results The cumulative complete response rate at 6 months was 48.65%. Serum bone-specific alkaline phosphatase (BSAP) level >10 μg/L, lesion depth ≦ 10 mm, and lesions in anterior regions denoted a better chance of healing within 6 months and the adjusted hazard ratios were 2.48 (95% confidence interval [CI], 1.41–4.37), 2.71 (95% CI, 1.57–4.70), and 3.94 (95% CI, 1.87–8.30), respectively. Conclusions Early discovery of lesions and prevention of their deeper extension are crucial for improving the prognosis of alendronate-related ONJ. A higher pretreatment level of BSAP indicates a better prognosis. © 2013 Wiley Periodicals, Inc. Head Neck 35: 1787–1795, 2013

This study follows Clark [P.K. Clark, A subordinated stochastic process model with finite variance for speculative prices, Econometrica 41 (1973) 135–155] and Chang, Chang and Lim [C.W. Chang, S.K. Chang, K.G. Lim, Information-time option pricing: Theory and empirical evidence, Journal of Financial Economics 48 (1998) 211–242] to subordinate an information-time based directing process into calendar-time based parent processes. A closed-form futures pricing formula is derived after taking into account the information-time setting and the stochasticity of the spot price, interest rate, and convenience yield. According to the empirical results on the TAIEX and TFETX data from 1998/7/21 to 2003/12/31, the information-time based model performs better than its calendar-time based counterpart and the cost of carry model, especially when the information arrival intensity estimates become larger.

This study compares efficiencies of five Generalised Autoregressive Conditional Heteroskedasticity (GARCH) models in terms of value at risk (VaR) backtesting on the number of prediction failures and the average deviation between VaR and realized return series. Unlike the previous literature which presumes constant correlation coefficients, a new model proposed by Engle (2002, the DCC model) is applied to highlight time-varying conditional correlations amongst positions, which is essential for portfolio risk management. From the empirical studies of exchange rates data including the US Dollar to British Pound, Japanese Yen and Euro Dollar, we find that the DCC model produces least prediction failures.

This paper explores optimal international asset allocation policies subjected to the equity holding constraint within an intertemporal framework. To deal with the co-existent realities of agents’ heterogeneous preferences and international market friction, the perturbation method is employed to derive approximate analytic solutions.