This paper re-examines the relation between the "predictability" of health care spending and incentives due to adverse selection. Within an explicit model of health plan decisions about service levels, the paper shows that predictability how well spending on certain services can be anticipated and predictiveness (how well the predicted levels...
This paper provides new evidence of the out-of-sample predictability of stock returns. In particular, it finds that the consumption-wealth ratio in conjunction with a measure of aggregate stock market volatility exhibits substantial out-of-sample forecasting power for excess stock market returns. In addition, simple trading strategies based on the documented predictability...
This paper studies return predictability at the firm level through the performance of investment strategies that use conditioning information to build unconditional efficient portfolios from individual stocks. The model that generates moments for portfolio selection is a multivariate regression of excess returns on asset pricing factors with alphas and betas...
xisting general equilibrium models based on traditional expected utility preferences have been unable to explain the excess return predictability observed in equity markets, bond markets, and foreign exchange markets. In this paper, we abandon the expected-utility hypothesis in favor of preferences that exhibit first-order risk aversion. We incorporate these preferences...
The paper argues that predictability how well health care spending on certain services can be anticipated and predictiveness (how well certain medical services contemporaneously co-vary with total health care spending) both matter for understanding adverse selection incentives. It examines predictiveness and predictability using a 5% sample of Medicare eligibles from...
Studies have documented that various factors such as discretionary accounting accruals, underwriter reputation, venture capital backing, and firm size will affect the long-run performance of IPOs Initial Public Offerings. However, it is not clear whether the return predictability of these attributes are the manifestation of one phenomenon, or independent results....
This paper contributes to the dynamic portfolio choice and transaction cost literatures by considering a multi-period CRRA individual who faces transaction costs and who has access to multiple risky assets, all with predictable returns. The paper numerically solves the individual's multi-period problem in the presence of transaction costs and predictability....
This paper examines the related questions of the time-series behavior of expected returns and of return predictability, within the framework of the stock-bond pricing model. The key advantage of the model-based approach adopted in this paper is that the quantities of interest (i.e. expected returns, prices of risk, and R2's...
Asset pricing models imply restrictions on stock return predictability. This paper evaluates the economic significance of deviations from such restrictions using a Bayesian optimizing framework. In that framework, an investor uses the sample evidence to update various degrees of skeptical views about models’ pricing abilities, and derives asset allocation based...
This paper attempts to fill the gap by documenting evidence of predictability in hedge fund returns. Using multi-factor models for the return on nine hedge fund indexes, where the factors are chosen to measure the many dimensions of financial risks (market, volatility, credit and liquidity risks), it finds strong evidence...
From the executive summary: ‘Much recent work has documented evidence for predictability of asset returns. The paper shows how such predictability can affect the portfolio choices of long-lived investors who value wealth not for their own sake but for the consumption their wealth can support. An approximate solution method for...
Previous studies show that sophisticated trading strategies that exploit conditioning information have not consistently outperformed simple buy-and-hold investments, suggesting that returns are ex ante unpredictable. This paper examines the notion of predictability at the stock as well as the portfolio level in a framework where an investor combines a pricing...
This article provides a framework for using conditioning information in the process of global asset allocation. There is considerable work documenting predictability of returns using past information variables. Many of these variables are related to the stage of the business cycle, and suggest that much of the predictability in the...
The goal of all progressive management teams is to create high, predictable, profitable growth that enhances shareholder, customer and employee value. Many in the banking business have given up on growth in the basic deposit and lending business and have The goal of all progressive management teams is to...
Solvay is active in pharmaceutical, chemical, plastic and processing industries and leader in several areas of those sectors. It had long found that outsourcing its mainframe IT support provided efficiencies and cost savings. But for its ERP solutions, it needed more predictability of its costs. Solvay understood its business needs...
FOOD AND BEVERAGE CLOSE-UP-8 June 2009-Nielsen Reports on Consumer Goods Categories That Are Most Immune, Most Vulnerable to RecessionC2008 - CloseUpMedia - newsdesk@closeupmedia.com As the economic downturn causes consumers to reprioritize their spending habits and forces consumer packaged goods manufacturers and retailers to reevaluate their...
INTRODUCTION A Geographical Information System GIS is a computer based system which integrates the data input; data storage and management, data manipulation and analysis and data output for both spatial and attribute data to support decision-making activities Malczewski (5). After over 40 years of development, GIS have been...
INTRODUCTION As engine, tire, and other noise reduced and as driving speeds increased, aerodynamic noise sources on ground vehicles were becoming relatively more important. They often dominate at cruise speeds over 100 km [h.sub.-1]. Reduction of aerodynamic noise has a significant effect to occupants comfort on a long...
INTRODUCTION The four-steps model has been widely used in the metropolitan transportation planning, consisting of: (1) trip generation-to predict the total number of trips per time period hour or day that is originated at or destined for each location; (2) trip distribution-to predict the number of trips between...
INTRODUCTION Modeling and simulation are indispensable when dealing with complex engineering systems. It makes it possible to do essential assessment before systems are built, it can alleviate the need for expensive experiments and it can provide support in all stages of a project from conceptual design, through commissioning...
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