Multicentre clinical trials are challenged by a substantially increased administrative burden, data management pitfalls and high costs. This all leads to a reduced enthusiasm and commitment of the physicians involved and thus to a reduction in conducting such studies. We successfully developed a novel, open source web-based, multi-centre clinical trial management system with the design science research approach, to support a double blind randomised clinical trial investigating the inter-rated agreement among radiologists in diagnosing primary liver tumours by magnetic resonance imaging (MRI).
We study high-frequency exchange rates over the period 1993-2008. Based on the recent literature on volatility and liquidity risk premia, we use a factor model to capture linear and non-linear linkages between currencies, stock and bond markets as well as proxies for market volatility and liquidity. We document that the Swiss franc and Japanese yen appreciate against the US dollar when US stock prices decrease and US bond prices and FX volatility increase. These safe haven properties materialise over different time granularities (from a few hours to several days) and non-linearly with the volatility factor and during crises. The latter effects were particularly discernible for the yen during the recent financial crisis.
In this paper we analyze high-frequency movements in Swiss asset markets in reaction to real-time communication by the Swiss National Bank. Our analysis of central bank communication encompasses monetary policy announcements, speeches and
interviews. We examine the reactions of the currency market, the bond market and the stock exchange. The evidence suggests that speeches and interviews, along with monetary policy announcements, engender a significant price reaction. This paper sheds light on the relevance of communications other than monetary policy announcements.
This paper explains the effects of monetary policy surprises on long-term
interest rates and stock prices in terms of changes in expected inflation, real
interest rate and dividend growth, and relates these effects to markets' perceptions of economic shocks and Fed's information set. We analyze stock and bond futures price co-movements and relate them to Treasury Inflation-Protected Securities (TIPS) data. The sign of long-term interest rate reactions is mostly
driven by changes in expected inflation. The sign of stock price reactions is
mostly driven by changes in expected dividend growth, but it is also sometimes
determined by changes in expected real rates. The co-movements of long-term
interest rates and stock prices are determined by the co-movements of expected
inflation and dividend growth. The majority of Fed's interest rate surprises are
expected to be followed by negative co-movements between inflation and output.
This can be due to relatively more frequent "inflation" or "supply" shocks
together with Fed's private information. Most Fed's actions are perceived as
reactions to economic shocks rather than true policy shocks.
This paper argues that the commonly used market indices imply forms of active investment management in disguise. The selection and rebalancing rules make these indices highly exclusive and dynamic regarding their underlying components and significantly bias their performance. Any passive investment tracking these indices turns into an active strategy characterised by market timing and state-dependent performance. Evidence is provided that exclusive indices outperform (underperform) more inclusive peer indices in upward (downward) markets. The constitution and maintenance rules of exclusive indices correspond to a set of active trading and investment rules similar to momentum strategies.
The CAPM model is hard put to explain the superior performance of hedge funds in the past. We argue that the Markowitz mean-variance criterion underpinning the traditional CAPM may fail to capture systematic features characterizing hedge fund performance. Thus, we extend the twomoment market model to a higher-moment model to accommodate coskewness and cokurtosis. The higher-moment approach is more appropriate for capturing the non-linear relation between hedge fund and market returns and accounting for the specific risk-return payoffs of each hedge fund investment strategy. The key result is that the use solely of the two-moment pricing model may be misleading and may wrongly indicate insufficient compensation for the investment risk.
I analyze the transaction costs on the Swiss Stock Exchange (SWX). Trading costs on the SWX are in line with the NYSE. The bid-ask spread components are examined in relation with market liquidity, trade size and the time of the day. The order processing costs are the largest cost component but the adverse selec-tion and order persistence components are also significant. Adverse selection and proc-essing costs affect to a wider extent less liquid stocks and characterize the afternoon trading. Also, the adverse selection (order processing) component increases (decreases) with trade size.
This paper sheds light on a puzzling pattern in spot foreign exchange markets: domestic currencies appreciate (depreciate) systematically during foreign (domestic) working hours. This phenomenon spans many years and several exchange rates, and overrides calendar effects. We argue that it is mainly due to liquidity and inventory patterns that emerge from the combination of two factors: domestic agents tend to be net buyers of foreign currency and to trade mostly in their country's working hours. The prevalence of domestic (foreign) traders demanding the counterpart currency during domestic (foreign) working hours implies sell-price (buy-price) pressure on the domestic currency during domestic (foreign) working
hours.
