The sensitivity of US banks' stock returns to interest and exchange rate changes

Purpose – The purpose of this paper is to investigate the impact of foreign exchange and interest rate changes on US banks’ stock returns. Design/methodology/approach – The approach employs an EGARCH model to account for the ARCH effects in daily returns. Most prior studies have used standard OLS estimation methods with the result that the presence of ARCH effects would have affected estimation efficiency. For comparative purposes, the standard OLS estimation method is also used to measure sensitivity. Findings – The findings are as follows: under the conditional t-distributional assumption, the EGARCH model generated a much better fit to the data although the goodness-of-fit of the model is not entirely satisfactory; the market index return accounts for most of the variation in stock returns at both the individual bank and portfolio levels; and the degree of sensitivity of the stock returns to interest rate and FX rate changes is not very pronounced despite the use of high frequency data. Earlier results had indicated that daily data provided greater evidence of exposure sensitivity. Practical implications – Assuming that banks do not hedge perfectly, these findings have important financial implications as they suggest that the hedging policies of the banks are not reflected in their stock prices. Alternatively, it is possible that different GARCH-type models might be more appropriate when modelling high frequency returns. Originality/value – The paper contributes to existing knowledge in the area by showing that ARCH effects do impact on measures of sensitivity.

Transient cardiac ischaemia and abnormal variations in systemic blood pressure in unselected primary open angle glaucoma patients

To investigate the relationship between the occurrence of transient cardiac ischaemic episodes and variations in the ambulatory 24-h blood pressure and heart rate measurements in a group of unselected glaucoma patients.

Size frequency distributions of abnormal protein deposits in Alzheimer’s disease and variant Creutzfeldt-Jakob disease

TThe size frequency distributions of ß-amyloid (Aß) and prion protein (PrPsc) deposits were studied in Alzheimer’s disease (AD) and the variant form of Creutzfeldt-Jakob disease (vCJD) respectively. All size distributions were unimodal and positively skewed. Aß deposits reached a greater maximum size and their distributions were significantly less skewed than the PrPsc deposits. All distributions were approximately log-normal in shape but only the diffuse PrPsc deposits did not deviate significantly from a log-normal model. There were fewer larger classic Aß deposits than predicted and the florid PrPsc deposits occupied a more restricted size range than predicted by a log-normal model. Hence, Aß deposits exhibit greater growth than the corresponding PrPsc deposits. Surface diffusion may be particularly important in determining the growth of the diffuse PrPsc deposits. In addition, there are factors limiting the maximum size of the Aß and florid PrPsc deposits.

Mean reversion in the short horizon returns of UK portfolios

This paper will show that short horizon stock returns for UK portfolios are more predictable than suggested by sample autocorrelation co-efficients. Four capitalisation based portfolios are constructed for the period 1976–1991. It is shown that the first order autocorrelation coefficient of monthly returns can explain no more than 10% of the variation in monthly portfolio returns. Monthly autocorrelation coefficients assume that each weekly return of the previous month contains the same amount of information. However, this will not be the case if short horizon returns contain predictable components which dissipate rapidly. In this case, the return of the most recent week would say a lot more about the future monthly portfolio return than other weeks. This suggests that when predicting future monthly portfolio returns more weight should be given to the most recent weeks of the previous month, because, the most recent weekly returns provide the most information about the subsequent months' performance. We construct a model which exploits the mean reverting characteristics of monthly portfolio returns. Using this model we forecast future monthly portfolio returns. When compared to forecasts that utilise the autocorrelation statistic the model which exploits the mean reverting characteristics of monthlyportfolio returns can forecast future returns better than the autocorrelation statistic, both in and out of sample.

Risk, seasonality and the asymmetric behaviour of stock returns

For some time there has been a puzzle surrounding the seasonal behaviour of stock returns. This paper demonstrates that there is an asymmetric relationship between systematic risk and return across the different months of the year for both large and small firms. In the case of both large and small firms systematic risk appears to be priced in only two months of the year, January and April. During the other months no persistent relationship between systematic risk and return appears to exist. The paper also shows that when systematic risk is priced, the size of the systematic risk premium is higher for large firms than for small firms and varies significantly across the months of the year.

The investigation of the sensitivity gradient of the visual field, as a function of stimulus dynamic range, in the normal and abnormal eye

The study utilized the advanced technology provided by automated perimeters to investigate the hypothesis that patients with retinitis pigmentosa behave atypically over the dynamic range and to concurrently determine the influence of extraneous factors on the format of the normal perimetric sensitivity profile. The perimetric processing of some patients with retinitis pigmentosa was considered to be abnormal in either the temporal and/or the spatial domain. The standard size III stimulus saturated the central regions and was thus ineffective in detecting early depressions in sensitivity in these areas. When stimulus size was scaled in inverse proportion to the square root of ganglion cell receptive field density (M-scaled), isosensitive profiles did not result, although cortical representation was theoretically equivalent across the visual field. It was conjectured that this was due to variations in the ganglion cell characteristics with increasing peripheral angle, most notably spatial summation. It was concluded that the development of perimetric routines incorporating stimulus sizes adjusted in proportion to the coverage factor of retinal ganglion cells would enhance the diagnostic capacity of perimetry. Good general and local correspondence was found between perimetric sensitivity and the available retinal cell counts. Intraocular light scatter arising both from simulations and media opacities depressed perimetric sensitivity. Attenuation was greater centrally for the smaller LED stimuli, whereas the reverse was true for the larger projected stimuli. Prior perimetric experience and pupil size also demonstrated eccentricity-dependent effect on sensitivity. Practice improved perimetric sensitivity for projected stimuli at eccentricities greater than or equal to 30o; particularly in the superior region. Increase in pupil size for LED stimuli enhanced sensitivity at eccentricities greater than 10o. Conversely, microfluctuation in the accommodative response during perimetric examination and the correction of peripheral refractive error had no significant influence on perimetric sensitivity.

Investigation of chromatic function in the normal and abnormal eye

This study examined the use of non-standard parameters to investigate the visual field, with particular reference to the detection of glaucomatous visual field loss. Evaluation of the new perimetric strategy for threshold estimation - FASTPAC, demonstrated a reduction in the examination time of normals compared to the standard strategy. Despite an increased within-test variability the FASTPAC strategy produced a similar mean sensitivity to the standard strategy, reducing the effects of patient fatigue. The new technique of Blue-Yellow perimetry was compared to White-White perimetry for the detection of glaucomatous field loss in OHT and POAG. Using a database of normal subjects, confidence limits for normality were constructed to account for the increased between-subject variability with increase in age and eccentricity and for the greater variability of the Blue-Yellow field compared to the White-White field. Effects of individual ocular media absorption had little effect on Blue-Yellow field variability. Total and pattern probability analysis revealed five of 27 OHTs to exhibit Blue-Yellow focal abnormalities; two of these patients subsequently developed White-White loss. Twelve of the 24 POAGs revealed wider and/or deeper Blue-Yellow loss compared with the White-White field. Blue-Yellow perimetry showed good sensitivity and specificity characteristics, however, lack of perimetric experience and the presence of cataract influenced the Blue-Yellow visual field and may confound the interpretation of Blue-Yellow visual field loss. Visual field indices demonstrated a moderate relationship to the structural parameters of the optic nerve head using scanning laser tomography. No abnormalities in Blue-Yellow or Red-Green colour CS was apparent for the OHT patients. A greater vulnerability of the SWS pathway in glaucoma was demonstrated using Blue-Yellow perimetry however predicting which patients may benefit from B-Y perimetric examination is difficult. Furthermore, cataract and the extent of the field loss may limit the extent to which the integrity of the SWS channels can be selectively examined.

Abnormal amygdala-prefrontal effective connectivity to happy faces differentiates bipolar from major depression

Background - Bipolar disorder is frequently misdiagnosed as major depressive disorder, delaying appropriate treatment and worsening outcome for many bipolar individuals. Emotion dysregulation is a core feature of bipolar disorder. Measures of dysfunction in neural systems supporting emotion regulation might therefore help discriminate bipolar from major depressive disorder. Methods - Thirty-one depressed individuals—15 bipolar depressed (BD) and 16 major depressed (MDD), DSM-IV diagnostic criteria, ages 18–55 years, matched for age, age of illness onset, illness duration, and depression severity—and 16 age- and gender-matched healthy control subjects performed two event-related paradigms: labeling the emotional intensity of happy and sad faces, respectively. We employed dynamic causal modeling to examine significant among-group alterations in effective connectivity (EC) between right- and left-sided neural regions supporting emotion regulation: amygdala and orbitomedial prefrontal cortex (OMPFC). Results - During classification of happy faces, we found profound and asymmetrical differences in EC between the OMPFC and amygdala. Left-sided differences involved top-down connections and discriminated between depressed and control subjects. Furthermore, greater medication load was associated with an amelioration of this abnormal top-down EC. Conversely, on the right side the abnormality was in bottom-up EC that was specific to bipolar disorder. These effects replicated when we considered only female subjects. Conclusions - Abnormal, left-sided, top-down OMPFC–amygdala and right-sided, bottom-up, amygdala–OMPFC EC during happy labeling distinguish BD and MDD, suggesting different pathophysiological mechanisms associated with the two types of depression.

Abnormal retinal vascular function and lipid levels in a sample of healthy UK South Asians

Background/aims To investigate ethnic differences in retinal vascular function and their relationship to traditional risk indicators for cardiovascular disease (CVD). Methods A total of 90 normoglycaemic subjects (45 South Asian (SA) and 45 age- and gender-matched white Europeans (WEs)) were recruited for the present study. Retinal vessel reactivity to flickering light was assessed by means of the dynamic retinal vessel analyser according to a modified protocol. Fasting plasma glucose, triglycerides (TG), total, LDL and HDL cholesterol were also measured in all individuals. Results SA individuals showed higher fasting triglyceride (p=0.001) and lower HDL levels (p=0.007), leading to a higher TG:HDL-C ratio (p=0.001) than age-matched WE subjects. Additionally, in SAs, the retinal arterial reaction time in response to flicker stimulation was significantly longer in the last flicker cycle than in the WEs (p=0.039), and this change correlated positively with measured plasma TG levels (r=0.60; p=0.01). No such relationship was observed in the WEs (p>0.05). Conclusion Even in the absence of overt vascular disease, in otherwise healthy SAs there are potential signs of retinal vascular function impairment that correlates with established plasma markers for CVD risk.

Abnormal left and right amygdala-orbitofrontal cortical functional connectivity to emotional faces:state versus trait vulnerability markers of depression in bipolar disorder

Background - Amygdala-orbitofrontal cortical (OFC) functional connectivity (FC) to emotional stimuli and relationships with white matter remain little examined in bipolar disorder individuals (BD). Methods - Thirty-one BD (type I; n = 17 remitted; n = 14 depressed) and 24 age- and gender-ratio-matched healthy individuals (HC) viewed neutral, mild, and intense happy or sad emotional faces in two experiments. The FC was computed as linear and nonlinear dependence measures between amygdala and OFC time series. Effects of group, laterality, and emotion intensity upon amygdala-OFC FC and amygdala-OFC FC white matter fractional anisotropy (FA) relationships were examined. Results - The BD versus HC showed significantly greater right amygdala-OFC FC (p = .001) in the sad experiment and significantly reduced bilateral amygdala-OFC FC (p = .007) in the happy experiment. Depressed but not remitted female BD versus female HC showed significantly greater left amygdala-OFC FC (p = .001) to all faces in the sad experiment and reduced bilateral amygdala-OFC FC to intense happy faces (p = .01). There was a significant nonlinear relationship (p = .001) between left amygdala-OFC FC to sad faces and FA in HC. In BD, antidepressants were associated with significantly reduced left amygdala-OFC FC to mild sad faces (p = .001). Conclusions - In BD, abnormally elevated right amygdala-OFC FC to sad stimuli might represent a trait vulnerability for depression, whereas abnormally elevated left amygdala-OFC FC to sad stimuli and abnormally reduced amygdala-OFC FC to intense happy stimuli might represent a depression state marker. Abnormal FC measures might normalize with antidepressant medications in BD. Nonlinear amygdala-OFC FC–FA relationships in BD and HC require further study.

Abnormal retinal vascular reactivity in individuals with impaired glucose tolerance:a preliminary study

To investigate the relationship between vascular function parameters measured at the retinal and systemic level and known markers for cardiovascular risk in patients with impaired glucose tolerance (IGT). Sixty age- and gender- matched White-European adults (30 IGT and 30 normal glucose tolerance -NGT) were recruited for the study. Fasting plasma glucose, lipids and 24-hour blood pressure (BP) was measured in all subjects. Systemic vascular and endothelial function was assessed using carotid-artery intimal media thickness (cIMT) and flow mediated dilation (FMD). Retinal vascular reactivity was assessed by the Dynamic Retinal Vessel Analyser (DVA). Additionally, blood glutathione (GSH, GSSG and tGSH) and plasma von-Willebrand (vWF) factor levels were also measured. Individuals with IGT demonstrated higher BP values (p<0.001), fasting TG and TG:HDL ratios (p<0.001) than NGT subjects. Furthermore, Total:HDL-C ratios and Framingham scores were raised (p=0.010 and p<0.001 respectively). Blood glutathione levels (GSH, GSSG and tGSH) were lower (p<0.001, p=0.039 and p<0.001 respectively) while plasma vWF was increased (p=0.014) in IGT subjects compared to controls. IGT individuals also demonstrated higher IMT in right and left carotid arteries (p=0.017 and p=0.005, respectively) alongside larger brachial artery diameter (p=0.015), lower FMD% (p=0.026) and GTN induced dilation (GID) (p=0.012) than healthy controls. At the retinal arterial level, the IGT subjects showed higher baseline fluctuations (BDF) (p=0.026), longer reaction time (RT) (p=0.032) and reduced baseline-corrected flicker response (bFR) (p=0.045). In IGT subjects retinal BDF correlated with and Total:HDL (p= 0.003) and HDL-C (p= 0.004). Arterial RT also correlated with FMD (p=0.017) in IGT but not NGT subjects. In IGT individuals there is a relationship between macro- and microvascular function, as well as a direct correlation between the observed retinal microcirculatory changes and established plasma markers for CVD. Multifactorial preventive interventions to decrease vascular risk in these individuals should be considered.

Abnormal visual habituation in pediatric photosensitive epilepsy

Objective - To investigate visual habituation – a measure of visual cortical excitability – in photosensitive patients in pediatric age and compare the findings with a matched sample with idiopathic generalized epilepsies without photosensitivity and with normally developing children. Methods - We presented a full-field black-and-white checkerboard pattern, at 3 reversal/s with 100% contrast binocularly for 600 consecutive trials and measured the N75–P100 and P100–N145 pattern-reversal visual evoked potential inter-peak amplitudes and N75, P100, N145 latencies for the six blocks of 100 responses. As a measure of habituation we used the slope of the linear regression line of the N75–P100 and P100–N145 peak-to-peak amplitudes. The slope of the linear regression line of the N75–P100 and P100–N145 latencies was also analyzed. Results - Statistical analysis revealed significant differences between the three groups in the slope index of N75–P100 PR-VEP amplitude, with increased or constant amplitude in the PS group compare to the IGE and ND across the six blocks. Conclusions - Our results support the notion that photosensitivity is associated with altered control of excitatory and inhibitory cortical processes. The causal relationship between habituation deficit and photo-paroxysmal response needs to be further investigated with longitudinal studies. Significance This study supports the hypothesis that suppression of PR-VEP is a sensitive intermediate phenotype, which discriminates patients with photosensitivity from those with generalized epilepsies in pediatric age.

Breaking down the non-normality of daily stock returns

This paper investigates whether the non-normality typically observed in daily stock-market returns could arise because of the joint existence of breaks and GARCH effects. It proposes a data-driven procedure to credibly identify the number and timing of breaks and applies it on the benchmark stock-market indices of 27 OECD countries. The findings suggest that a substantial element of the observed deviations from normality might indeed be due to the co-existence of breaks and GARCH effects. However, the presence of structural changes is found to be the primary reason for the non-normality and not the GARCH effects. Also, there is still some remaining excess kurtosis that is unlikely to be linked to the specification of the conditional volatility or the presence of breaks. Finally, an interesting sideline result implies that GARCH models have limited capacity in forecasting stock-market volatility.