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This article investigates the relationship between value premium and financial distress using a long US data set over 1927-2011. The measures of leverage and default are used as proxies for financial distress when applying a time-varying volatility methodology. The article examines the potential risk-based explanation for the source of the value premium. The empirical analysis shows that both the default premium and its volatility have positive explanatory power for the value premium and its volatility. The findings suggest a negative association between the lagged values of the default premium and the current small stocks value premium. Investigating the reasons behind this association uniquely uncovers an asymmetric correlation between returns on both value and growth stocks and default risk before and post July 1954 after a change in the monetary regime in the United States. [ABSTRACT FROM AUTHOR]

Abstract: This paper argues that dividend yield stock return predictability is time-varying. We conjecture that such time-variation is linked to the business cycle. Employing monthly data for US sector portfolios we estimate 5-year rolling fixed window predictive regressions. The resulting series of time-varying predictive coefficients is regressed on industrial production growth and a recession dummy. Our results support the view of a negative relationship between predictability and output growth. That is the strength of the predictive relationship between returns and the dividend yield is stronger during contractionary periods, while during expansions the magnitude of the relationship declines. [Copyright &y& Elsevier]

This article sets out to examine the predictive content of the bond-equity yield ratio (BEYR) for sector-level stock returns. Initial results using the Hoare-Govett rule suggest that for the vast majority of sectors an increase in returns over a buy and hold strategy can be made by using the BEYR as a market-timing rule. Further, by estimating a non-linear model consistent with the reverting features of the ratio and one that is able to directly estimate the threshold points to determine switching between buy and sell signals for equity allows for an improved performance, and suggests that further enhanced trading returns can be made. As a final exercise, a panel estimation approach both for the BEYR itself and for predicting sector returns again support the use of the BEYR as a predictor for returns, and that a non-linear approach is superior to the linear model. In addition, the results here suggest that the BEYR is a predictor of sector stock returns. Moreover, its market-timing power is enhanced when estimated in a non-linear model that estimates the threshold values to determine switching between buy and sell signals. The results here are thus of potential interest not only to academics concerned with issues of market predictability and efficiency, but also to market practitioners in devising trading strategies. [ABSTRACT FROM AUTHOR]

This article tests for the existence of a long-run relationship between the US value premium price index (VPPI) and economic activity. Although it is largely accepted that there exists a value premium in returns, there has been little investigation into the wealth index associated with a strategy that is long in value and short in growth stocks. Evidence of such a relationship would provide support that the premium results from the presence of non-diversifiable risk inherent in value stock. Our results support cointegration between the VPPI and industrial production (IP), inflation, money supply (MS) and interest rates. Further examination of the long-run relationship reveals a significant negative relationship between the value premium and both IP and MS, and a significant positive relationship with long-run interest rate. A negative but insignificant relationship is found between the value premium and inflation. Overall, these results suggest that value stocks are more sensitive to bad economic news, whereas growth stocks are more sensitive to good economic conditions. This can be rationalised by the view that value stocks are typically purchased by institutional investors who value the income (dividend) payments. In contrast, growth stocks, in which the return is largely generated from future growth opportunities, are purchased by individuals who may be adopting short-term strategies and ‘trend-chasing’, hence not adopting fully rational strategies, and whose actions may depend on the level of economic well-being and confidence. [ABSTRACT FROM AUTHOR]

The article discusses the state court's obligation to enforce section 1983 in the U.S. It highlights the events of Haywood, the antidiscrimination principle that requires state court to entertain federal claims, and the legitimacy of the state court's excuse to enforce the 1983 claims. Moreover, it analysis the state court's interest of removing its jurisdiction over the 1983 suit.

This paper extends research concerned with the evaluation of alternative volatility forecasting methods under value at risk (VaR) modeling in the context of the Basle Committee adequacy criteria by broadening the class of generalized autoregressive conditional heteroscedasticity models, to include both asymmetric models and long memory models, in addition to the statistical methods commonly used in financial institutions. In the analysis of daily index data for eight emerging stock markets in the Asia – Pacific region, in addition to US and UK benchmark comparators, we find both asymmetric and long memory features to be important considerations in providing improved VaR estimates that minimize occasions when the minimum capital requirement identified by the VaR methodology would have fallen short of actual trading losses. More generally, our results illustrate the importance of adopting the stringent probability level stipulated in the regulatory framework, and of using fully out-of-sample forecast evaluation methods for the identification of forecasting models that mitigate the likelihood of inappropriately small VaRs and consequent regulatory intervention. [ABSTRACT FROM AUTHOR]

Whilst the existence of long-horizon returns predictability has been a recurrent theme in empirical finance research, extant work has focused almost exclusively on the US, and more recent work has cast doubt over the validity of such potential predictability due to non-stationarity and serial correlation in the data. The present paper examines long-horizon returns predictability in six South-East Asian markets in the context of unit root tests conducted under corrections for serial correlation and heteroscedasticity. The analysis conducted also extends the investigation of long-horizon predictability to the non-linear setting, and examines whether any detected non-linear predictability is consistent with behavioural approaches to asset pricing which emphasise the role of noise traders. The results obtained suggest the following conclusions. First, long-horizon predictability is present in each of the six South-East Asian markets considered. Second, whilst forecast power increases with horizon, for the majority of series it is maximised for forecast horizons of between 12 and 48 months. Third, non-linear predictability is reported for all series, suggesting that positive and negative values of the (demeaned) dividend yield impart different levels of predictability for returns at different forecast horizons. However, there is no consistency in the pattern of non-linearity reported, and whilst the observed patterns are consistent with noise traders models for some of the markets considered, this is not true of all the markets considered. Nevertheless, the non-linear dynamics detected are suggestive of potential market inefficiencies in all six cases. [ABSTRACT FROM AUTHOR]

The trade-off between the variability of inflation and that of output is estimated for the UK, using several different approaches to obtain the output gap, and then for a range of other countries; in all cases the trade-off retains the `sharp turning point' found for the UK and US by other authors. [ABSTRACT FROM AUTHOR]

This paper examines the intraday behaviour of five-minute FTSE-100, Short Sterling and Long Gilt LIFFE futures returns volatility and volume. The intraday patterns identified exhibit a U-shape, significantly affected by UK and US macroeconomic news releases. Evidence from estimation of a GMM system for volatility and volume supports a significant positive and contemporaneous correlation between volatility and volume, although lagged volume is also significant in the volatility equation. Further, there is strong evidence of bi-directional causality on the basis of Granger-causality testing. These results are found to be robust to the adjustment of volatility and volume for macroeconomic news effects, and in the case of the Granger-causality tests to a variety of temporal horizons. [ABSTRACT FROM AUTHOR]

This paper empirically compares the usefulness of information included in the volatility index (VIX) against several generalized autoregressive conditional heteroskedasticity (GARCH) models for predicting downside risk in the US stock market. Our main findings are as follows. First, using the univariate logit and quantile regression models, we reveal that the previous day's VIX and the forecast S&P 500 volatilities from GARCH, exponential GARCH (EGARCH), power GARCH (PGARCH), and threshold GARCH (TGARCH) models have statistically significant predictive power for large declines in the S&P 500. Second, direct comparisons with the multiple logit and quantile regression models demonstrate that the volatility forecasts from the EGARCH, PGARCH, and TGARCH models dominate the predictive power of the previous day's VIX; and we also clarify that the predictive power of volatility forecasts from the EGARCH and TGARCH models is much stronger. Third, our additional tests further suggest that the forecast VIX, the forecast volatility of VIX, and the forecast volatility of the first log differences of VIX cannot outperform the S&P 500 volatility forecasts from econometric models in predicting US stock market downside risk. Fourth, our vector-half (VECH), Baba–Engle–Kraft–Kroner (BEKK), dynamic conditional correlation (DCC), and asymmetric DCC (ADCC) multivariate GARCH (MGARCH) analyses demonstrate that the time-varying correlations between the previous day's VIX and the volatility forecasts from the EGARCH or TGARCH models are weaker than the correlations of volatility forecasts from the EGARCH and TGARCH models. Finally, our VECH-, BEKK-, DCC-, and ADCC-MGARCH analyses further clarify almost perfect correlations around the US Lehman Brothers bankruptcy across all three volatility series. The key contribution of this paper is that it clarifies the superiority of volatility forecasts using econometric models compared with VIX in predicting the US stock market downside risk. The primary implications of our results are the importance of developing effective technical models and the need to use econometric model volatility forecasts in practice. [ABSTRACT FROM AUTHOR]

The development and ultimate approval of tecovirimat for the antiviral treatment of smallpox, a disease that has been eradicated from the world for nearly 40 years, required a unique regulatory approach based on the US Food and Drug Administration's Animal Rule. We summarise the regulatory pathway and describe the challenges involved. [ABSTRACT FROM AUTHOR]

The development and approval of brincidofovir for the treatment of smallpox, a disease that was eradicated from the world over 40 years ago, has resulted in the second antiviral approved via the Medical Countermeasure Initiative (MCMi) to combat this disease. Approval of brincidofovir required a unique regulatory approach based on the FDA Animal Rule, and development was supported by many years of research and collaboration among academic investigators, the pharmaceutical industry and multiple government agencies. This article summarizes the FDA regulatory pathway and describes the challenges involved., (Published by Elsevier B.V.)

Psychological Sense of Community (PSOC) represents a formative conceptual offering of Community Psychology to the social sciences. Nearly five decades ago, PSOC offered a window into the influence of ecological factors to understanding the emotional and behavioral well-being of members of disenfranchised and underserved segments of the population, especially members of minority and low-income subgroups. Our discipline's founders viewed PSOC as one promising vehicle for pursuing the desired paradigmatic shift from individual to systemically focused interventions to achieve intended outcomes of the emerging community mental health movement. This Commentary reflects the authors' shared thoughts to the adoption of PSOC by conservative spokespersons to explain the resistance of some to the diversification of the population and growing voice of progressive advocates., (© 2020 Wiley Periodicals LLC.)