Thales (Australia)

ABSTRACT There is substantial evidence of short‐term stock price continuation, which the prior literature often attributes to investor behavioral biases such as underreaction to new information. This paper investigates the role of information uncertainty in price continuation anomalies and cross‐sectional variations in stock returns. If short‐term price continuation is due to investor behavioral biases, we should observe greater price drift when there is greater information uncertainty. As a result, greater information uncertainty should produce relatively higher expected returns following good news and relatively lower expected returns following bad news. My evidence supports this hypothesis.

ABSTRACT To identify the most effective mechanisms for detecting corporate fraud, we study all reported fraud cases in large U.S. companies between 1996 and 2004. We find that fraud detection does not rely on standard corporate governance actors (investors, SEC, and auditors), but rather takes a village, including several nontraditional players (employees, media, and industry regulators). Differences in access to information, as well as monetary and reputational incentives, help to explain this pattern. In‐depth analyses suggest that reputational incentives in general are weak, except for journalists in large cases. By contrast, monetary incentives help explain employee whistleblowing.

ABSTRACT An analysis of new buy and sell recommendations of stocks by security analysts at major U.S. brokerage firms shows significant, systematic discrepancies between prerecommendation prices and eventual values. The initial return at the time of the recommendations is large, even though few recommendations coincide with new public news or provide previously unavailable facts. However, these initial price reactions are incomplete. For buy recommendations, the mean postevent drift is modest (+2.4%) and short‐lived, but for sell recommendations, the drift is larger (−9.1%) and extends for six months. Analysts appear to have market timing and stock picking abilities.

Self‐control, mental accounting, and framing are incorporated in a behavioral enrichment of the life‐cycle theory of saving called the Behavioral Life‐Cycle (BLC) hypothesis. The key assumption of the BLC theory is that households treat components of their wealth as nonfungible, even in the absence of credit rationing. Specifically, wealth is assumed to be divided into three mental accounts: current income, current assets, and future income. The temptation to spend is assumed to be greatest for current income and least for future income. Considerable empirical support for the BLC theory is presented, primarily drawn from published econometric studies.

We examine the sales of French manufacturing firms in 113 destinations, including France itself. Several regularities stand out: (i) the number of French firms selling to a market, relative to French market share, increases systematically with market size; (ii) sales distributions are similar across markets of very different size and extent of French participation; (iii) average sales in France rise systematically with selling to less popular markets and to more markets. We adopt a model of firm heterogeneity and export participation which we estimate to match moments of the French data using the method of simulated moments. The results imply that over half the variation across firms in market entry can be attributed to a single dimension of underlying firm heterogeneity: efficiency. Conditional on entry, underlying efficiency accounts for much less of the variation in sales in any given market. We use our results to simulate the effects of a 10 percent counterfactual decline in bilateral trade barriers on French firms. While total French sales rise by around $16 billion (U.S.), sales by the top decile of firms rise by nearly $23 billion (U.S.). Every lower decile experiences a drop in sales, due to selling less at home or exiting altogether.

OBJECTIVE: To develop a new evidence-based, pharmacologic treatment guideline for rheumatoid arthritis (RA). METHODS: We conducted systematic reviews to synthesize the evidence for the benefits and harms of various treatment options. We used the Grading of Recommendations Assessment, Development and Evaluation (GRADE) methodology to rate the quality of evidence. We employed a group consensus process to grade the strength of recommendations (either strong or conditional). A strong recommendation indicates that clinicians are certain that the benefits of an intervention far outweigh the harms (or vice versa). A conditional recommendation denotes uncertainty over the balance of benefits and harms and/or more significant variability in patient values and preferences. RESULTS: The guideline covers the use of traditional disease-modifying antirheumatic drugs (DMARDs), biologic agents, tofacitinib, and glucocorticoids in early (<6 months) and established (≥6 months) RA. In addition, it provides recommendations on using a treat-to-target approach, tapering and discontinuing medications, and the use of biologic agents and DMARDs in patients with hepatitis, congestive heart failure, malignancy, and serious infections. The guideline addresses the use of vaccines in patients starting/receiving DMARDs or biologic agents, screening for tuberculosis in patients starting/receiving biologic agents or tofacitinib, and laboratory monitoring for traditional DMARDs. The guideline includes 74 recommendations: 23% are strong and 77% are conditional. CONCLUSION: This RA guideline should serve as a tool for clinicians and patients (our two target audiences) for pharmacologic treatment decisions in commonly encountered clinical situations. These recommendations are not prescriptive, and the treatment decisions should be made by physicians and patients through a shared decision-making process taking into account patients' values, preferences, and comorbidities. These recommendations should not be used to limit or deny access to therapies.

ABSTRACT I document a delisting bias in the stock return data base maintained by the Center for Research in Security Prices (CRSP). I find that delists for bankruptcy and other negative reasons are generally surprises and that correct delisting returns are not available for most of the stocks that have been delisted for negative reasons since 1962. Using over‐the‐counter price data, I show that the omitted delisting returns are large. Implications of the bias are discussed.

ABSTRACT The no‐arbitrage martingale analysis is used to study the effect on asset prices of changes in the rate of information flow. The analysis is first used to develop some simple tools for asset pricing in a continuous‐time setting. These tools are then applied to determine the effect of information on prices and price volatility, to extend Samuelson's theorem on prices fluctuating randomly, and to study the impact on prices of the resolution of uncertainty. The conditions under which uncertainty resolution is irrelevant for asset pricing are shown to be similar to those which support the MM irrelevance theorems.

ABSTRACT This article investigates market reactions to initiations and omissions of cash dividend payments. Consistent with prior literature we find that the magnitude of short‐run price reactions to omissions are greater than for initiations. In the year following the announcements, prices continue to drift in the same direction, though the drift following omissions is stronger and more robust. This post‐dividend initiation/omission price drift is distinct from and more pronounced than that following earnings surprises. A trading rule employing both samples earns positive returns in 22 out of 25 years. We find little evidence for clientele shifts in either sample.

OBJECTIVE: Although the systematic measurement of disease activity facilitates clinical decision making in rheumatoid arthritis (RA), no recommendations currently exist on which measures should be applied in clinical practice in the US. The American College of Rheumatology (ACR) convened a Working Group (WG) to comprehensively evaluate the validity, feasibility, and acceptability of available RA disease activity measures and derive recommendations for their use in clinical practice. METHODS: The Rheumatoid Arthritis Clinical Disease Activity Measures Working Group conducted a systematic review of the literature to identify RA disease activity measures. Using exclusion criteria, input from an Expert Advisory Panel (EAP), and psychometric analysis, a list of potential measures was created. A survey was administered to rheumatologists soliciting input. The WG used these survey results in conjunction with the psychometric analyses to derive final recommendations. RESULTS: Systematic review of the literature resulted in identification of 63 RA disease activity measures. Application of exclusion criteria and ratings by the EAP narrowed the list to 14 measures for further evaluation. Practicing rheumatologists rated 9 of these 14 measures as most useful and feasible. From these 9 measures, the WG selected 6 with the best psychometric properties for inclusion in the final set of ACR-recommended RA disease activity measures. CONCLUSION: We recommend the Clinical Disease Activity Index, Disease Activity Score with 28-joint counts (erythrocyte sedimentation rate or C-reactive protein), Patient Activity Scale (PAS), PAS-II, Routine Assessment of Patient Index Data with 3 measures, and Simplified Disease Activity Index because they are accurate reflections of disease activity; are sensitive to change; discriminate well between low, moderate, and high disease activity states; have remission criteria; and are feasible to perform in clinical settings.

A current drawback of spintronics is the large power that is usually required for magnetic writing, in contrast with nanoelectronics, which relies on "zero-current," gate-controlled operations. Efforts have been made to control the spin-relaxation rate, the Curie temperature, or the magnetic anisotropy with a gate voltage, but these effects are usually small and volatile. We used ferroelectric tunnel junctions with ferromagnetic electrodes to demonstrate local, large, and nonvolatile control of carrier spin polarization by electrically switching ferroelectric polarization. Our results represent a giant type of interfacial magnetoelectric coupling and suggest a low-power approach for spin-based information control.

I document a delisting bias in the stock return data base maintained by the Center for Research in Security Prices (CRSP). I find that delists for bankruptcy and other negative reasons are generally surprises and that correct delisting returns are not available for most of the stocks that have been delisted for negative reasons since 1962. Using over-the-counter price data, I show that the omitted delisting returns are large. Implications of the bias are discussed.

We consider the situation when there is a large number of series, N, each with T observations, and each series has some predictive ability for some variable of interest. A methodology of growing interest is first to estimate common factors from the panel of data by the method of principal components and then to augment an otherwise standard regression with the estimated factors. In this paper, we show that the least squares estimates obtained from these factor-augmented regressions are consistent and asymptotically normal if . The conditional mean predicted by the estimated factors is consistent and asymptotically normal. Except when T/N goes to zero, inference should take into account the effect of “estimated regressors” on the estimated conditional mean. We present analytical formulas for prediction intervals that are valid regardless of the magnitude of N/T and that can also be used when the factors are nonstationary.

We study, theoretically and quantitatively, the general equilibrium of an economy in which households smooth consumption by means of both a riskless asset and unsecured loans with the option to default. The default option resembles a bankruptcy filing under Chapter 7 of the U.S. Bankruptcy Code. Competitive financial intermediaries offer a menu of loan sizes and interest rates wherein each loan makes zero profits. We prove the existence of a steady-state equilibrium and characterize the circumstances under which a household defaults on its loans. We show that our model accounts for the main statistics regarding bankruptcy and unsecured credit while matching key macroeconomic aggregates, and the earnings and wealth distributions. We use this model to address the implications of a recent policy change that introduces a form of “means testing” for households contemplating a Chapter 7 bankruptcy filing. We find that this policy change yields large welfare gains.

Abstract The problems we face at all levels in the world today resist unilateral solutions. While the web of interdependencies tightens, our capacity for thinking in terms of dynamic interdependencies has not kept pace. As the gap between the nature of our problems and the ability to understand them grows, we face increasing perils on a multitude of fronts. Systems thinking and one of its subsets‐system dynamics‐are important for developing effective strategies to close this gap. Unfortunately, system dynamicists and systems thinkers have not effectively taught their framework, skills, and technologies to others. The door has not been opened wide enough to let others share our insights with respect to the workings of closed‐loop systems. To transfer this understanding on a broad scale, we need a clearer view of its nature and of the education system into which it must be transferred. This article casts some light on what we have to bestow and on the education system that is to receive our bounty. Its intended audience is both system thinkers and educators, and the hope is to help eradicate the distinction between the two.

In the brain, learning is achieved through the ability of synapses to reconfigure the strength by which they connect neurons (synaptic plasticity). In promising solid-state synapses called memristors, conductance can be finely tuned by voltage pulses and set to evolve according to a biological learning rule called spike-timing-dependent plasticity (STDP). Future neuromorphic architectures will comprise billions of such nanosynapses, which require a clear understanding of the physical mechanisms responsible for plasticity. Here we report on synapses based on ferroelectric tunnel junctions and show that STDP can be harnessed from inhomogeneous polarization switching. Through combined scanning probe imaging, electrical transport and atomic-scale molecular dynamics, we demonstrate that conductance variations can be modelled by the nucleation-dominated reversal of domains. Based on this physical model, our simulations show that arrays of ferroelectric nanosynapses can autonomously learn to recognize patterns in a predictable way, opening the path towards unsupervised learning in spiking neural networks.

The interaction of free fatty acids with cell membranes and lipid bilayers was studied by monitoring the emission polarization changes of the fluorescent probes 1,6-diphenyl-1,3,5-hexatriene (DPH) and 8-anilino-1-naphthalene sulfonate (ANS). It was found that cis unsaturated fatty acids incorporated into plasma membranes reduced DPH and increased ANS polarization, while trans-unsaturated and saturated fatty acids had no effect on DPH, but did increase ANS polarization. Although in fluid lipid vesicles, both types of fatty acids decreased DPH polarization, in mixed phase vesicles (dilauroyl phosphatidylcho1ine:dipalmitoy1 phosphatidylcholine) polarization changes of ANS and DPH were similar to that observed in plasma membranes. Alteration in the dimyristoyl phosphatidylcholine phase transition as a function of fatty acid type was used to study the fluid-solid partition behavior in lipid bilayers. Using solution theory, the shift in the transition midpoint temperature was used to infer that the el-unsaturated fatty acids partition into fluid domains while the tmns-unsaturated and saturated fatty acids preferentially partition into solid-like domains. The fluorescent lifetime of DPH in membranes and vesicles was measured by the phase-modulation technique. The results were analyzed in terms of site heterogeneity and indicate that while DPH decay in single phase vesicles is monoexponential, a considerable degree of heterogeneity is observed in mixed phase vesicles and plasma membranes. In particular, evidence is obtained for a DPH binding site which corresponds to the interface between lipid domains. These results, together with the free fatty acid effects, are interpreted in terms of lipid domains in membranes.

We compare three market structures for monetary economies: bargaining (search equilibrium); price taking (competitive equilibrium); and price posting (competitive search equilibrium). We also extend work on the microfoundations of money by allowing a general matching technology and entry. We study how equilibrium and the effects of policy depend on market structure. Under bargaining, trade and entry are both inefficient, and inflation implies first-order welfare losses. Under price taking, the Friedman rule solves the first inefficiency but not the second, and inflation may actually improve welfare. Under posting, the Friedman rule yields the first best, and inflation implies second-order welfare losses.

BACKGROUND: Patient-reported outcome measures (PROMs) are a gold standard for measuring therapeutic outcomes in research. Extending their use to inform clinical care decisions, determine the appropriateness of therapeutic choices, and assess healthcare quality is attractive but will require our professional community to establish valid estimates of minimal and substantial clinical improvements. QUESTIONS/PURPOSES: The purposes of this study were (1) to assess the validity of estimates for the minimal clinically important difference (MCID) calculated using distribution- and anchor-based methods by determining whether they exceed the minimal detectable change (MDC) for the Hip Disability and Osteoarthritis Outcome Score (HOOS) and the Knee Injury and Osteoarthritis Outcome Score (KOOS) domains, the HOOS, joint replacement (JR) and the KOOS, JR among patients who underwent THA or TKA; (2) to determine substantial clinical benefit thresholds for the HOOS and KOOS domains, the HOOS, JR, and the KOOS, JR among patients who underwent THA or TKA; and (3) to assess the proportions of patients who underwent THA or TKA who achieved an MCID for the HOOS and KOOS domains, HOOS, JR, and KOOS, JR based on distribution-based and anchor-based methods as well as the percentages of patients who achieved substantial clinical benefit using the anchor-based method. METHODS: Medicare patients enrolled in our institutional joint replacement registry who subsequently underwent THA (n = 2323) or TKA (n = 2630) between 2007 and 2012 completed HOOS or KOOS preoperatively and 2 years postoperatively. Short-form joint replacement (JR) versions of each PROM were derived from the full PROMs. Of all eligible patients, 78% (3161 of 4080) of THAs and 74% of TKAs (3815 of 5156) consented to join the registry and completed a baseline survey, 88% (2796 of 3161) of THAs and 85% (3230 of 3815) of TKAs were eligible for followup survey administration, and 83% of THAs (2323 of 2796) and 81% (2630 of 3230) of TKAs returned 2-year surveys. For each HOOS domain, KOOS domain, HOOS, JR, and KOOS, JR, we calculated the calibration variation of the instrument (MDC) with confidence intervals (CIs) reflecting 80% (MDC80), 90% (MDC90), and 95% (MDC95) certainty; we calculated the smallest difference joint health patients might detect (MCID) using distribution- and anchor-based approaches and the difference that can be considered a large improvement in joint health (substantial clinical benefit) using an anchor-based approach. RESULTS: Patients undergoing THA were 57% female with a mean (± SD) age of 73 ± 6 years, whereas patients undergoing TKA were 63% female with a mean age of 74 ± 6 years. Depending on the CI chosen for the MDC, values ranged from 7 to 16 for the HOOS and KOOS domains and the JRs. The MCIDs ranged from 6 to 9 for the distribution-based approach and 7 to 36 for the anchor-based approach. All HOOS and KOOS domains and all JR scores are scores from 0 (worst joint health) to 100 (best joint health). The MCIDs calculated using the distribution-based approach were not valid, because they were lower than the MDC for all HOOS/KOOS domains and both JRs at every confidence level. The anchor-based receiver operating characteristic approach, on the other hand, resulted in MCIDs exceeding MDC80 for seven of eight HOOS/KOOS domains and MDC95 for both JR scores. For all domains and JR versions, substantial clinical benefits ranged from 15 to 36, exceeding MDC95 in all domains and JR scores. Across HOOS and KOOS domains as well as the JR, the proportion of patients undergoing THA who achieved an MCID ranged from 77% to 95% with the distribution-based method and from 67% to 96% using the anchor-based method. The proportion achieving substantial clinical benefit ranged from 67% to 85%. CONCLUSIONS: The MDC and MCID differ greatly based on assumptions and methods used. The MCID anchor-based approach had superior construct and face validity compared with the MCID distribution-based approach, which never exceeded even small MDCs. Achieving consensus about standard definitions of meaningful improvement will be necessary to maximize utility of these PROMs to inform clinical care or performance measurement. LEVEL OF EVIDENCE: Level III, diagnostic study.

ABSTRACT We find that socially connected fund managers have more similar holdings and trades. The overlap of funds whose managers reside in the same neighborhood is considerably higher than that of funds whose managers live in the same city but in different neighborhoods. These effects are larger when managers share a similar ethnic background, and are not explained by preferences. Valuable information is transmitted through these peer networks: a long‐short strategy composed of stocks purchased minus sold by neighboring managers delivers positive risk‐adjusted returns. Unlike prior empirical work, our tests disentangle the effects of social interactions from community effects.