Determinants of stock returns: Factors or systematic co-moments? Crisis versus non-crisis periods

In this paper we evaluate the intertemporal pricing performance of stock return determinants over the periods surrounding, and outside of, financial crises. The analysis focuses on the variables of size, book-to-market ratio, momentum, liquidity, and higher-order systematic co-moments. The evidence reveals that over non-crisis periods the market beta plays an important role in determining the cross-section of stock returns. Size, value, momentum, and liquidity also exhibit associations with the cross-section of stock returns. However, over crisis periods most of the variables we examined lose their explanatory power, suggesting that their usefulness is limited for investment purposes when financial markets experience crises. There is some evidence of coskewness pricing surrounding market crashes. Practitioners may consider coskewness over crisis periods.

Impact of policy changes on the efficiency and returns-to-scale of Japanese financial institutions: an evaluation

This paper examines the impact of FSA's (Financial Services Agency) recent policy changes on the efficiency and returns-to-scale (RTS) of Japanese financial institutions including banks, securities companies and bank holding companies. Three kinds of efficiency are investigated namely, technical efficiency (TE), pure technical efficiency (PTE) and scale efficiency (SE) using the non-parametric methodology named data envelopment analysis (DEA). The DEA analysis shows a substantial improvement in the overall efficiency of Japanese banks, albeit a significant difference of efficiency scores between the major/city banks and the regional banks. Results are robust to alternative specifications of efficiency and scale changes.

Three essays on stock returns and inflation - Australian evidence

Results of this thesis suggest that a significant negative relation between stock returns and inflation identified in Australia during ‘inflation targeting’ is mainly due to an incidence of ‘flight to safety’. Furthermore, the impact of inflation news on stock returns is industry-sector dependent. Specifically, in Australia rising inflation seems to be good news for Financials, but bad news for Materials.

Is body dysmorphic disorder associated with abnormal bodily self-awareness? A study using the rubber hand illusion.

Evidence from past research suggests that behaviours and characteristics related to body dissatisfaction may be associated with greater instability of perceptual body image, possibly due to problems in the integration of body-related multisensory information. We investigated whether people with body dysmorphic disorder (BDD), a condition characterised by body image disturbances, demonstrated enhanced susceptibility to the rubber hand illusion (RHI), which arises as a result of multisensory integration processes when a rubber hand and the participant's hidden real hand are stimulated in synchrony. Overall, differences in RHI experience between the BDD group and healthy and schizophrenia control groups (n = 17 in each) were not significant. RHI strength, however, was positively associated with body dissatisfaction and related tendencies. For the healthy control group, proprioceptive drift towards the rubber hand was observed following synchronous but not asynchronous stimulation, a typical pattern when inducing the RHI. Similar drifts in proprioceptive awareness occurred for the BDD group irrespective of whether stimulation was synchronous or not. These results are discussed in terms of possible abnormalities in visual processing and multisensory integration among people with BDD.

Abnormal mitochondrial L-arginine transport contributes to the pathogenesis of heart failure and rexoygenation injury

Impaired mitochondrial function is fundamental feature of heart failure (HF) and myocardial ischemia. In addition to the effects of heightened oxidative stress, altered nitric oxide (NO) metabolism, generated by a mitochondrial NO synthase, has also been proposed to impact upon mitochondrial function. However, the mechanism responsible for arginine transport into mitochondria and the effect of HF on such a process is unknown. We therefore aimed to characterize mitochondrial L-arginine transport and to investigate the hypothesis that impaired mitochondrial L-arginine transport plays a key role in the pathogenesis of heart failure and myocardial injury.

Does cash flow predict returns?

In this paper, we propose the hypothesis that cash flow and cash flow volatility predict returns. We categorize firms listed on the New York Stock Exchange into sectors, and apply tests for both in-sample and out-of-sample predictability. While we find strong evidence that cash flow volatility predicts returns for all sectors, the evidence obtained when using cash flow as a predictor is relatively weak. Estimated profits and utility gains also suggest that it is cash flow volatility that is more relevant as a source of information than cash flow.

Developmental antecedents of abnormal eating attitudes and behaviors in adolescence

Objective This study capitalizes on developmental data from an Australian population-based birth cohort to identify developmental markers of abnormal eating attitudes and behaviors in adolescence. The aims were twofold: (1) to develop a comprehensive path model identifying infant and childhood developmental correlates of Abnormal Eating Attitudes and Behaviors in adolescence, and (2) to explore potential gender differences.

Has oil price predicted stock returns for over a century?

This paper contributes to the debate on the role of oil prices in predicting stock returns. The novelty of the paper is that it considers monthly time-series historical data that span over 150. years (1859:10-2013:12) and applies a predictive regression model that accommodates three salient features of the data, namely, a persistent and endogenous oil price, and model heteroscedasticity. Three key findings are unraveled: first, oil price predicts US stock returns. Second, in-sample evidence is corroborated by out-sample evidence of predictability. Third, both positive and negative oil price changes are important predictors of US stock returns, with negative changes relatively more important. Our results are robust to the use of different estimators and choice of in-sample periods.