scholarly journals Financial crises and the asymmetric relation between returns on banks, risk factors, and other industry portfolio returns

2019 ◽  
Author(s):  
Kenneth Högholm ◽  
Johan Knif ◽  
Gregory Koutmos ◽  
Seppo Pynnönen
Keyword(s):  
Risk Factors ◽  
Financial Crises ◽  
Portfolio Returns ◽  
Asymmetric Relation

scholarly journals The impact of downside risk on UK stock returns

2019 ◽  
Vol 18 (1) ◽  
pp. 53-70
Author(s):  
Fangzhou Huang
Keyword(s):  
Stock Returns ◽  
Financial Crises ◽  
Negative Impact ◽  
Positive Impact ◽  
Downside Risk ◽  
Content Type ◽  
Portfolio Returns ◽  
Time Sensitivity ◽  
Window Approach ◽  
The Impact

PurposeThis paper aims to investigate patterns in UK stock returns related to downside risk, with particular focus on stock returns during financial crises.Design/methodology/approachFirst, stocks are sorted into five quintile portfolios based on the relevant beta values (classic beta, downside beta and upside beta, calculated by the moving window approach). Second, patterns of portfolio returns are examined during various sub-periods. Finally, predictive powers of beta and downside beta are examined.FindingsThe downside risk is observed to have a significant positive impact on contemporaneous stock returns and a negative impact on future returns in general. In contrast, an inverse relationship between risk and return is observed when stocks are sorted by beta, contrary to the classic literature. UK stock returns exhibit clear time sensitivity, especially during financial crises.Originality/valueThis paper focuses on the impact of the downside risk on UK stock returns, assessed via a comprehensive sub-period analysis. This paper fills the gap in the existing literature, in which very few studies examine the time sensitivity in relation to the downside risk and the risk-return anomaly in the UK stock market using a long sample period.

scholarly journals ACCOUNTING INFORMATION IN THE FAMA AND FRENCH THREE-FACTORS MODEL

2020 ◽  
Vol 17 (2) ◽  
Author(s):  
Rianty Pondaag ◽  
◽  
Erni Ekawati ◽  
Keyword(s):  
Risk Factors ◽  
Stock Exchange ◽  
Emerging Market ◽  
Accounting Information ◽  
Market Model ◽  
Portfolio Returns ◽  
Developed Markets ◽  
Fama And French ◽  
Stock Portfolio ◽  
Retained Earnings

The purpose of this study is to reexamine the ability of the Fama-French Three Risk Factor Model to explain stock portfolio returns in countries with different economic levels, as well as examine the effect of accounting information derived from book-to-market on stock portfolio returns. The sample used was a manufacturing company on the Indonesia Stock Exchange and the Tokyo Stock Exchange from 2013-2018. The results show that the three risk factors of the Fama-French model apply consistently to explain the variation in stock portfolio returns in developed markets. For the portfolio of shares in the emerging market, model Fama-French does not consistently assess stock portfolio returns. This research also provides empirical evidence that accounting information contained in book-to-market risk factors is only retained earnings, which has a contribution to the valuation of stock portfolio returns. The results of this study indicate that investors in developed markets are more rational and knowledgeable than emerging markets.

scholarly journals Is Sentiment Risk Priced By Stock Market?

2012 ◽  
Vol 28 (4) ◽  
pp. 683 ◽  
Author(s):  
Francisca Beer ◽  
Mohamad Watfa ◽  
Mohamed Zouaoui
Keyword(s):  
Risk Factors ◽  
Stock Market ◽  
Financial Markets ◽  
Stock Returns ◽  
Risk Premium ◽  
Portfolio Returns ◽  
Traditional Risk Factors

This study tests if the financial markets price the investors sentiment risk. We construct portfolios based upon the stock returns exposure to sentiment. Our results show that the portfolio returns are positively correlated with the exposure of stocks to sentiment. The strategy that consists of buying stocks with the highest exposure to sentiment and selling stocks with the lowest exposure to sentiment generates a significant raw profit. Exploring the sources of profit, we find that neither the traditional risk factors nor the momentum factor can account for the profit. However, we find that the addition of the sentiment risk premium contributes to explain the profit.

The relationship between covariance risk and size effects in emerging equity markets

2016 ◽  
Vol 42 (3) ◽  
pp. 174-190 ◽  
Author(s):  
Ming-Chieh Wang ◽  
Jin-Kui Ye
Keyword(s):  
Risk Factors ◽  
Asset Pricing ◽  
Financial Integration ◽  
Equity Markets ◽  
Pricing Model ◽  
Content Type ◽  
Asset Pricing Model ◽  
Portfolio Returns ◽  
Pricing Errors ◽  
The World

Purpose – The purpose of this paper is to examine whether the conditionally expected return on size-based portfolios in an emerging market (EM) is determined by the country’s world risk exposure. The authors analyze the degree of financial integration of 23 emerging equity markets grouped into five size portfolios using the conditional international asset pricing model with both world and domestic market risks. The authors also compare the model’s fitness on the predictability of portfolio returns by using world and EM indices. Design/methodology/approach – This study investigates whether large-cap stocks are priced globally and whether mid- and small-cap stocks are strongly influenced by domestic risk factors. The authors first examine the predictability of large-, mid-, and small-cap stock portfolio returns by using global and local variables, and next compare the model fitness by using world and EM indices on the prediction of size-based stock returns. Finally, the authors test whether the world price of covariance risk is the same for different portfolios. Findings – The authors find that the conditional expected returns of large-cap stocks should be priced by global variables. Mid- and small-cap stocks are influenced by domestic variables rather than global variables, and their returns are priced by local residual risks. The test of the conditional asset pricing model shows that the largest stocks have the smallest mean absolute pricing errors (MAE), and their pricing errors are lower in large markets than in small markets. Third, the EM index offers more predictability for the excess returns of mid- and small-cap stocks than the world market index, but the explanatory power of this index does not increase for large-cap stocks. Originality/value – EMs in the past were known as segment markets, with local risk factors more important than global risk factors, suggesting significant benefits from adding EMs to global portfolios. It would be interesting to examine whether financial integration differs for various firm sizes in the markets.

Financial Crises and Evaporating Diversification Benefits of Hedge Funds

2017 ◽  
Author(s):  
Monica Billio ◽  
Mila Getmansky Sherman ◽  
Loriana Pelizzon
Keyword(s):  
Risk Factors ◽  
Credit Risk ◽  
Hedge Funds ◽  
Financial Crises ◽  
Potential Benefit ◽  
Hedge Fund ◽  
Systematic Risk ◽  
Market Liquidity ◽  
Funds Of Hedge Funds ◽  
Systematic Risk Factors

Diversification of risk is a potential benefit of investing in hedge funds. Using CSFB/Tremont hedge fund indices, this chapter shows that hedge fund strategies have different returns, volatility, and exposures to various systematic risk factors during tranquil times. This relation has led to the growth of the hedge industry and in particular funds of hedge funds, which provide diversification benefits by investing across different hedge fund styles. However, during financial crises, different hedge fund strategies are exposed to similar systematic risk factors. Most of the strategies become exposed to market liquidity and credit risk factors. Moreover, during the financial crises of 1998 and 2007–2008, all strategies were loading positively on the latent factor that induced positive correlation among hedge fund strategy residuals. As a result, diversification benefits incurred due to investing in different hedge fund strategies evaporated during these financial crises.

Elevated level of circulatory sTLT1 induces inflammation through SYK/MEK/ERK signalling in coronary artery disease

2019 ◽  
Vol 133 (22) ◽  
pp. 2283-2299
Author(s):  
Apabrita Ayan Das ◽  
Devasmita Chakravarty ◽  
Debmalya Bhunia ◽  
Surajit Ghosh ◽  
Prakash C. Mandal ◽  
...  
Keyword(s):  
Risk Factors ◽  
Coronary Artery Disease ◽  
Coronary Artery ◽  
Chronic Inflammation ◽  
Ex Vivo ◽  
Human Subjects ◽  
Critical Role ◽  
Atherosclerotic Cardiovascular Disease ◽  
Tnf Α ◽  
Artery Disease

Abstract The role of inflammation in all phases of atherosclerotic process is well established and soluble TREM-like transcript 1 (sTLT1) is reported to be associated with chronic inflammation. Yet, no information is available about the involvement of sTLT1 in atherosclerotic cardiovascular disease. Present study was undertaken to determine the pathophysiological significance of sTLT1 in atherosclerosis by employing an observational study on human subjects (n=117) followed by experiments in human macrophages and atherosclerotic apolipoprotein E (apoE)−/− mice. Plasma level of sTLT1 was found to be significantly (P<0.05) higher in clinical (2342 ± 184 pg/ml) and subclinical cases (1773 ± 118 pg/ml) than healthy controls (461 ± 57 pg/ml). Moreover, statistical analyses further indicated that sTLT1 was not only associated with common risk factors for Coronary Artery Disease (CAD) in both clinical and subclinical groups but also strongly correlated with disease severity. Ex vivo studies on macrophages showed that sTLT1 interacts with Fcɣ receptor I (FcɣRI) to activate spleen tyrosine kinase (SYK)-mediated downstream MAP kinase signalling cascade to activate nuclear factor-κ B (NF-kB). Activation of NF-kB induces secretion of tumour necrosis factor-α (TNF-α) from macrophage cells that plays pivotal role in governing the persistence of chronic inflammation. Atherosclerotic apoE−/− mice also showed high levels of sTLT1 and TNF-α in nearly occluded aortic stage indicating the contribution of sTLT1 in inflammation. Our results clearly demonstrate that sTLT1 is clinically related to the risk factors of CAD. We also showed that binding of sTLT1 with macrophage membrane receptor, FcɣR1 initiates inflammatory signals in macrophages suggesting its critical role in thrombus development and atherosclerosis.

The Preschool Stuttering Screen for Health Care Professionals

2011 ◽  
Vol 21 (2) ◽  
pp. 59-62
Author(s):  
Joseph Donaher ◽  
Christina Deery ◽  
Sarah Vogel
Keyword(s):  
Risk Factors ◽  
Health Care ◽  
Differential Diagnosis ◽  
Preschool Children ◽  
Health Care Professionals ◽  
Healthcare Professionals ◽  
Evidence Based ◽  
Developmental Profile

Healthcare professionals require a thorough understanding of stuttering since they frequently play an important role in the identification and differential diagnosis of stuttering for preschool children. This paper introduces The Preschool Stuttering Screen for Healthcare Professionals (PSSHP) which highlights risk factors identified in the literature as being associated with persistent stuttering. By integrating the results of the checklist with a child’s developmental profile, healthcare professionals can make better-informed, evidence-based decisions for their patients.

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