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.

Calendar effects and the pricing of risk:the UK evidence

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 risk and return across the different months of the year. The paper finds that systematic risk is only priced during the months of January, April and July. Variance risk and firm size are priced during several months of the year including January. An analysis of the relative behaviour of size based securities reveals that firm capitalization makes a valuable contribution to the magnitude of risk premiums.

Constructing an 'efficient frontier' of accounting journal quality

This paper reports the construction of an 'efficient frontier' of the perceived quality attributes of academic accounting journals. The analysis is based on perception data from two web-based surveys of Australasian and British academics. The research reported here contributes to the existing literature by augmenting the commonly supported single dimension of quality with an additional measure indicating the variation of perceptions of journal quality. The result of combining these factors is depicted diagrammatically in a manner that reflects the risk and return trade-off as conceptualised in the capital market model of an efficient frontier of investment opportunities. This conceptualisation of a 'market' for accounting research provides a context in which to highlight the complex issues facing academics in their roles as editors, researchers and authors. The analysis indicates that the perceptions of the so-called 'elite' US accounting journals have become unsettled particularly in Australasia, showing high levels of variability in perceived quality, while other traditionally highly ranked journals (ABR, AOS, CAR) have a more 'efficient' combination of high-quality ranking and lower dispersion of perceptions. The implications of these results for accounting academics in the context of what is often seen as a market for accounting research are discussed. © 2006 Elsevier Ltd. All rights reserved.

Mean-variance Vs. full-scale optimization: broad evidence for the UK

This article investigates the performance of a model called Full-Scale Optimisation, which was presented recently and is used for financial investment advice. The investor’s preferences of expected risk and return are entered into the model, and a recommended portfolio is produced. This model is theoretically more accurate than the mainstream investment advice model, called Mean-Variance Optimization, as there are fewer assumptions made. Our investigation of the model’s performance is broader when it comes to investor preferences, and more general when it comes to investment type, as compared to previous studies. Our investigation shows that Full-Scale Optimisation is more widely applicable than earlier known.

Large scale organisational intervention to improve patient safety in four UK hospitals:mixed method evaluation

Objectives: To conduct an independent evaluation of the first phase of the Health Foundation's Safer Patients Initiative (SPI), and to identify the net additional effect of SPI and any differences in changes in participating and non-participating NHS hospitals. Design: Mixed method evaluation involving five substudies, before and after design. Setting: NHS hospitals in United Kingdom. Participants: Four hospitals (one in each country in the UK) participating in the first phase of the SPI (SPI1); 18 control hospitals. Intervention: The SPI1 was a compound (multicomponent) organisational intervention delivered over 18 months that focused on improving the reliability of specific frontline care processes in designated clinical specialties and promoting organisational and cultural change. Results: Senior staff members were knowledgeable and enthusiastic about SPI1. There was a small (0.08 points on a 5 point scale) but significant (P<0.01) effect in favour of the SPI1 hospitals in one of 11 dimensions of the staff questionnaire (organisational climate). Qualitative evidence showed only modest penetration of SPI1 at medical ward level. Although SPI1 was designed to engage staff from the bottom up, it did not usually feel like this to those working on the wards, and questions about legitimacy of some aspects of SPI1 were raised. Of the five components to identify patients at risk of deterioration - monitoring of vital signs (14 items); routine tests (three items); evidence based standards specific to certain diseases (three items); prescribing errors (multiple items from the British National Formulary); and medical history taking (11 items) - there was little net difference between control and SPI1 hospitals, except in relation to quality of monitoring of acute medical patients, which improved on average over time across all hospitals. Recording of respiratory rate increased to a greater degree in SPI1 than in control hospitals; in the second six hours after admission recording increased from 40% (93) to 69% (165) in control hospitals and from 37% (141) to 78% (296) in SPI1 hospitals (odds ratio for "difference in difference" 2.1, 99% confidence interval 1.0 to 4.3; P=0.008). Use of a formal scoring system for patients with pneumonia also increased over time (from 2% (102) to 23% (111) in control hospitals and from 2% (170) to 9% (189) in SPI1 hospitals), which favoured controls and was not significant (0.3, 0.02 to 3.4; P=0.173). There were no improvements in the proportion of prescription errors and no effects that could be attributed to SPI1 in non-targeted generic areas (such as enhanced safety culture). On some measures, the lack of effect could be because compliance was already high at baseline (such as use of steroids in over 85% of cases where indicated), but even when there was more room for improvement (such as in quality of medical history taking), there was no significant additional net effect of SPI1. There were no changes over time or between control and SPI1 hospitals in errors or rates of adverse events in patients in medical wards. Mortality increased from 11% (27) to 16% (39) among controls and decreased from17%(63) to13%(49) among SPI1 hospitals, but the risk adjusted difference was not significant (0.5, 0.2 to 1.4; P=0.085). Poor care was a contributing factor in four of the 178 deaths identified by review of case notes. The survey of patients showed no significant differences apart from an increase in perception of cleanliness in favour of SPI1 hospitals. Conclusions The introduction of SPI1 was associated with improvements in one of the types of clinical process studied (monitoring of vital signs) and one measure of staff perceptions of organisational climate. There was no additional effect of SPI1 on other targeted issues nor on other measures of generic organisational strengthening.

Premature cardiovascular events and mortality in south Asians with type 2 diabetes in the United Kingdom Asian Diabetes Study - effect of ethnicity on risk

Background/Aim - People of south Asian origin have an excessive risk of morbidity and mortality from cardiovascular disease. We examined the effect of ethnicity on known risk factors and analysed the risk of cardiovascular events and mortality in UK south Asian and white Europeans patients with type 2 diabetes over a 2 year period. Methods - A total of 1486 south Asian (SA) and 492 white European (WE) subjects with type 2 diabetes were recruited from 25 general practices in Coventry and Birmingham, UK. Baseline data included clinical history, anthropometry and measurements of traditional risk factors – blood pressure, total cholesterol, HbA1c. Multiple linear regression models were used to examine ethnicity differences in individual risk factors. Ten-year cardiovascular risk was estimated using the Framingham and UKPDS equations. All subjects were followed up for 2 years. Cardiovascular events (CVD) and mortality between the two groups were compared. Findings - Significant differences were noted in risk profiles between both groups. After adjustment for clustering and confounding a significant ethnicity effect remained only for higher HbA1c (0.50 [0.22 to 0.77]; P?=?0.0004) and lower HDL (-0.09 [-0.17 to -0.01]; P?=?0.0266). Baseline CVD history was predictive of CVD events during follow-up for SA (P?

Comparative risk of microalbuminuria and proteinuria in UK residents of south Asian and white European ethnic background with type 2 diabetes:a report from UKADS

Objective - This study investigated and compared the prevalence of microalbuminuria and overt proteinuria and their determinants in a cohort of UK resident patients of white European or south Asian ethnicity with type 2 diabetes mellitus. Research design and methods - A total of 1978 patients, comprising 1486 of south Asian and 492 of white European ethnicity, in 25 general practices in Coventry and Birmingham inner city areas in England were studied in a cross-sectional study. Demographic and risk factor data were collected and presence of microalbuminuria and overt proteinuria assessed. Main outcome measures - Prevalences of microalbuminuria and overt proteinuria. Results - Urinary albumin:creatinine measurements were available for 1852 (94%) patients. The south Asian group had a lower prevalence of microalbuminuria, 19% vs. 23% and a higher prevalence of overt proteinuria, 8% vs. 3%, X2?=?15.85, 2df, P?=?0.0004. In multiple logistic regression models, adjusted for confounding factors, significantly increased risk for the south Asian vs. white European patients for overt proteinuria was shown; OR (95% CI) 2.17 (1.05, 4.49), P?=?0.0365. For microalbuminuria, an interaction effect for ethnicity and duration of diabetes suggested that risk for south Asian patients was lower in early years following diagnosis; OR for SA vs. WH at durations 0 and 1 year were 0.56 (0.37, 0.86) and 0.59 (0.39, 0.89) respectively. After 20 years’ duration, OR?=?1.40 (0.63, 3.08). Limitations - Comparability of ethnicity defined groups; statistical methods controlled for differences between groups, but residual confounding may remain. Analyses are based on a single measure of albumin:creatinine ratio. Conclusions - There were significant differences between ethnicity groups in risk factor profiles and microalbuminuria and overt proteinuria outcomes. Whilst south Asian patients had no excess risk of microalbuminuria, the risk of overt proteinuria was elevated significantly, which might be explained by faster progression of renal dysfunction in patients of south Asian ethnicity.

Risk and structural instability in US house prices

This paper employs a Component GARCH in Mean model to show that house prices across a number of major US cities between 1987 and 2009 have displayed asset market properties in terms of both risk-return relationships and asymmetric adjustment to shocks. In addition, tests for structural breaks in the mean and variance indicate structural instability across the data range. Multiple breaks are identified across all cities, particularly for the early 1990s and during the post-2007 financial crisis as housing has become an increasingly risky asset. Estimating the models over the individual sub-samples suggests that over the last 20 years the financial sector has increasingly failed to account for the levels of risk associated with real estate markets. This result has possible implications for the way in which financial institutions should be regulated in the future.

Portfolio size, non-trading frequency and portfolio return autocorrelation

In this paper we re-examine the relationship between non-trading frequency and portfolio return autocorrelation. We show that in portfolios where security specific effects have not been completely diversified, portfolio autocorrelation will not increase monotonically with increasing non-trading, as indicated in Lo and MacKinlay (1990). We show that at high levels of non-trading, portfolio autocorrelation will become a decreasing function of non-trading probability and may take negative values. We find that heterogeneity among the means, variances and betas of the component securities in a portfolio can act to increase the induced autocorrelation, particularly in portfolios containing fewer stocks. Security specific effects remain even when the number of securities in the portfolio is far in excess of that considered necessary to diversify security risk. © 2014 Elsevier B.V.

Risk factors for childhood myopia:findings from the NICER study

PURPOSE. We explored risk factors for myopia in 12- to 13-year-old children in Northern Ireland (NI). METHODS. Stratified random sampling was performed to obtain representation of schools and children. Cycloplegia was achieved using cyclopentolate hydrochloride 1%. Distance autorefraction was measured using the Shin-Nippon SRW-5000 device. Height and weight were measured. Parents and children completed a questionnaire, including questions on parental history of myopia, sociodemographic factors, childhood levels of near vision, and physical activity to identify potential risk factors for myopia. Myopia was defined as spherical equivalent ≤0.50 diopters (D) in either eye. RESULTS. Data from 661 white children aged 12-to 13-years showed that regular physical activity was associated with a lower estimated prevalence of myopia compared to sedentary lifestyles (odds ratio [OR] = 0.46 adjusted for age, sex, deprivation score, family size, school type, urbanicity; 95% confidence interval [CI], 0.23–0.90; P for trend = 0.027). The odds of myopia were more than 2.5 times higher among children attending academically-selective schools (adjusted OR = 2.66; 95% CI, 1.48–4.78) compared to nonacademically-selective schools. There was no evidence of an effect of urban versus nonurban environment on the odds of myopia. Compared to children with no myopic parents, children with one or both parents being myopic were 2.91 times (95% CI, 1.54–5.52) and 7.79 times (95% CI, 2.93– 20.67) more likely to have myopia, respectively. CONCLUSIONS. In NI children, parental history of myopia and type of schooling are important determinants of myopia. The association between myopia and an environmental factor, such as physical activity levels, may provide insight into preventive strategies.