Russell P. Robins

Discriminating between wealth and information effects in event studies in accounting and finance research

This article examines the power of tests of given size to detect and distinguish between wealth (i.e., mean) and information (i.e., variance) effects in event studies. We find that an Estimated Generalized Least Squares (EGLS) mean-effects test is consistently more powerful than the test based upon the average standardized residual and is as powerful as a nonparametric rank test. Unlike the test based upon the average standardized residual and the rank test, the EGLS test is well specified even when the event affects the variances of the prediction errors. We also find that conventional parametric tests to detect changes in the variance of the event-day average abnormal return are misspecified when the null of no change is true. We analyze the reasons this occurs and suggest a rank procedure that produces tests of the correct size under the null. Our evidence suggests that the critical factors allowing researchers to distinguish between wealth and information effects are an estimation procedure incorporating the heteroskedasticity inherent in market model prediction errors and an explicit test for event-day variance changes.

Aggregate economic activity and the variance of inflation: Another look

Abstract The time series of forecast errors and forecast variances estimated from Engles ARCH model are used to estimate the relationship between the volatility of inflation and key macroeconomic variables. This is done using both a Lucas supply framework and a Granger-causality framework; the results of the latter, in particular, are strikingly different from previous work.

Association of Surgeon Volume With Outcomes and Cost Savings Following Thyroidectomy: A National Forecast

IMPORTANCE Incidence of thyroidectomies is continuing to increase. Identifying factors associated with favorable outcomes can lead to cost savings. OBJECTIVE To assess the association of surgeon volume with clinical outcomes and costs of thyroidectomy. DESIGN, SETTING, AND PARTICIPANTS Cross-sectional analysis performed in October of 2014 of adult (≥ 18 years) inpatients in US community hospitals using the Nationwide Inpatient Sample for the years 2003 through 2009. EXPOSURES Thyroidectomy. MAIN OUTCOMES AND MEASURES Complications, length of stay, and cost following thyroidectomy in relation to surgeon volume. Surgeon volumes were stratified into low (1-3 thyroidectomies per year), intermediate (4-29 thyroidectomies per year), and high (≥ 30 thyroidectomies per year). RESULTS A total of 77,863 patients were included. Procedures performed by low-volume surgeons were associated with a higher risk of postoperative complications compared with high-volume surgeons (15.8% vs 7.7%; OR, 1.55 [95% CI, 1.19-2.03]; P = .001). Mean (SD) hospital cost was significantly associated with surgeon volume (high volume,

Do Government Agencies Use Public Data?: The Case of GNP

6662.69 [

Surgeon volume impact on outcomes and cost of adrenal surgeries

409.31]; intermediate volume,

No More Weekend Effect

6912.41 [

Performing an event study: An exercise for finance students

137.20]; low volume,

An Empirical Investigation of Variance Reduction Through non-Delta Neutral Hedging

10,396.21 [

Forecast combination in a dynamic setting

345.17]; P < .001). During the study period, if all operations performed by low-volume surgeons had been selectively referred to intermediate- or high-volume surgeons, savings of 11.2% or 12.2%, respectively, would have been incurred. On the basis of the cost growth rate, greater savings are forecasted for high-volume surgeons. With a conservative assumption of 150,000 thyroidectomies per year in the United States, referral of all patients to intermediate- or high-volume surgeons would produce savings of

An Analysis of the Risk in Discretely Rebalanced Option Hedges and Delta-Based Techniques

2.08 billion or