Search results for "ECONOMICS"

Does bonus deferral reduce risk-taking?

2015

AbstractThe common thinking that deferring bonus payments makes an agent more risk averse isfalse. We characterize continuous-time risk taking and show that the introduction of deferralincreases risk taking at any time when the realized asset value is large or small. For realizedasset values in-between we characterize the parameterizations of deferral for which risk tak-ing decreases and discuss trade-offs in setting the deferral parameters.Keywordsbonus, risk taking, risk aversion, deferral ratioJEL Classi cationG28, G38 ∗ This paper circulated previously under the title \Bonus Deferral Does Not Choke Excessive Risk Taking."We are grateful for comments and suggestions from seminar participa…

Linear and nonlinear interest rate exposure in Spain

2010

PurposeThis paper aims to carry out a comprehensive analysis of the influence of interest rate risk on Spanish firms at the industry level.Design/methodology/approachThe methodology employed has its origin in the two‐index linear regression model proposed by Stone. This traditional interest rate exposure model has been extended in this paper to allow for a nonlinear exposure component as well as the presence of asymmetric behaviour in the exposure pattern.FindingsInterest rate exposure is not homogeneous for all the Spanish industries. In line with other markets, highly leveraged industries (construction and real estate), regulated industries (electrical and utilities), and banking industry…

The Choice of Performance Measure Does Influence the Evaluation of Hedge Funds

2010

It is widely accepted that, when return distributions are non-normal, the use of the Sharpe ratio can lead to misleading conclusions. It is well documented that deviations of hedge fund return distributions from normality are statistically significant. The literature on performance evaluation that takes into account the non-normality of return distributions is a vast one. However, there is another stream of research that advocates that the choice of performance measure does not influence the evaluation of hedge funds. For example, Eling and Schuhmacher (2007) and Eling (2008) performed empirical studies and, judging by the values of rank correlations, concluded that the choice of performanc…

Portfolio performance evaluation with loss aversion

2011

In this paper we consider a loss-averse investor equipped with a specific, but still quite general, utility function motivated by behavioral finance. We show that, under certain concrete assumptions concerning the form of this utility, one can derive closed-form solutions for the investor's portfolio performance measure. We investigate the effects of loss aversion and demonstrate its important role in performance measurement. The framework presented in this paper also provides a sound theoretical foundation for all known performance measures based on partial moments of the distribution.

Identifying Portfolio-Based Systematic Risk Factors in Equity Markets

2015

Four new prominent asset pricing factors have recently been proposed. We test whether these factors fulfill necessary conditions for qualifying those as risk factors. We show that the investment and betting-against-beta factors fulfill these conditions. However, the profitability and quality factors do not fulfill these conditions pointing towards non-risk-based explanations.

Clinical and Functional Studies Reveal That TP73 Isoforms Levels Are Associated with Prognosis and RA-Resistance in Acute Promyelocytic Leukemia

2019

Background: TP73 isoforms gained particular relevance in acute promyelocytic leukemia (APL) since Bernasola et al (JEM. 2004) demonstrated that TAp73 was directly regulated by the PML protein in the nuclear body. The isoforms differ in their transcriptional activity, with those lacking domains in the N-terminal part of the protein exerting a dominant negative effect on TP73 function. In a retrospective analysis of patients with APL treated in ICAPL study, Lucena-Araujo et al (Blood 2015) demonstrated the association between higher ΔNp73/TAp73 ratio values and poor clinical outcome. However,there is a diversity of TP73 isoforms and specially those lacking N-terminal domains (e.g.ΔEx2p73, ΔEx…

Arsenic Trioxide Abrogate MN1 Mediated RA-Resistance in Acute Promyelocytic Leukemia

2019

Introduction: Described as a well know marker of worse prognosis in acute myeloid leukemia (AML), MN1 overexpression has been associated with inv(16) or EVI1 overexpression (Heuser et al., Blood 2007). The promoter region of the MN1 gene has Retinoic Acid Response Elements (RAREs), and higher levels of MN1 expression have been associated with decreased response to retinoic acid (RA) in vitro. Nevertheless, in the context of acute promyelocytic leukemia, little is known about MN1 gene expression and functionality in vivo. Aims: Here, we investigated the effects of in vitro treatment with RA plus arsenic trioxide (ATO) in APL cell lines and primary blasts overexpressing MN1. Additionally, we …

Recensione di Maria Pia Paganelli, Dennis C. Rasmussen and Craig Smith (eds), Adam Smith and Rousseau. Ethics, Politics, Economics, Edinburgh, Edinbu…

2019

Assessing drought vulnerability and adaptation among farmers in Gadaref region, Eastern Sudan

2018

Agricultural productivity in rural areas is severely affected by climate variability, and this elevates the vulnerability of rural households to food insecurity. This study examines the socio-economic vulnerability of farmers who are susceptible to droughts in the five agricultural-based regions of Gadaref, Eastern Sudan. A survey was carried out in 500 households to collect data on socio-economic and livelihood indicators. The data analyzed from these indicators were used to generate the three components of drought vulnerability: exposure, sensitivity and adaptive capacity. The analysis revealed that the regions deemed to be most vulnerable to both drought and climate variability were also…

Predicting the Short-Term Exchange Rate Between United State Dollar and Czech Koruna Using Hilbert-Huang Transform and Fuzzy Logic

2017

In this paper, the combination of the Hilbert-Huang Transform, fuzzy logic and an embedding theorem is described to predict the short-term exchange rate from United States dollar to Czech Koruna. By Using the Hilbert-Huang Transform as an adaptive filter, the proposed method decreases the embedding dimension space from five (original samples) to four (de-noising samples). This dimension space provides the number of inputs to the fuzzy rule base system, which causes the number of rules, the time for training and the inference process to decrease. Experimental results indicated that this method achieves higher accuracy prediction than the direct use of original data.