Are Idiosyncratic Skewness and Idiosyncratic Kurtosis Priced?

This thesis investigates the pricing effects of idiosyncratic moments. We document that idiosyncratic moments, namely idiosyncratic skewness and idiosyncratic kurtosis vary over time. If a factor/characteristic is priced, it must show minimum variation to be correlated with stock returns. Moreover, we can identify two structural breaks in the time series of idiosyncratic kurtosis. Using a sample of US stocks traded on NYSE, AMEX and NASDAQ markets from January 1970 to December 2013, we run Fama-MacBeth test at the individual stock level. We document a negative and significant pricing effect of idiosyncratic skewness, consistent with the finding of Boyer et al. (2010). We also report that neither idiosyncratic volatility nor idiosyncratic kurtosis are consistently priced. We run robustness tests using different model specifications and period sub-samples. Our results are robust to the different factors and characteristics usually included in the Fama-MacBeth pricing tests. We also split first our sample using endogenously determined structural breaks. Second, we divide our sample into three equal sub-periods. The results are consistent with our main findings suggesting that expected returns of individual stocks are explained by idiosyncratic skewness. Both idiosyncratic volatility and idiosyncratic kurtosis are irrelevant to asset prices at the individual stock level. As an alternative method, we run Fama-MacBeth tests at the portfolio level. We find that idiosyncratic skewness is not significantly related to returns on idiosyncratic skewness-sorted portfolios. However, it is significant when tested against idiosyncratic kurtosis sorted portfolios.

Are Idiosyncratic Skewness and Idiosyncratic Kurtosis Priced?

This thesis investigates the pricing effects of idiosyncratic moments. We document that idiosyncratic moments, namely idiosyncratic skewness and idiosyncratic kurtosis vary over time. If a factor/characteristic is priced, it must show minimum variation to be correlated with stock returns. Moreover, we can identify two structural breaks in the time series of idiosyncratic kurtosis. Using a sample of US stocks traded on NYSE, AMEX and NASDAQ markets from January 1970 to December 2013, we run Fama-MacBeth test at the individual stock level. We document a negative and significant pricing effect of idiosyncratic skewness, consistent with the finding of Boyer et al. (2010). We also report that neither idiosyncratic volatility nor idiosyncratic kurtosis are consistently priced. We run robustness tests using different model specifications and period sub-samples. Our results are robust to the different factors and characteristics usually included in the Fama-MacBeth pricing tests. We also split first our sample using endogenously determined structural breaks. Second, we divide our sample into three equal sub-periods. The results are consistent with our main findings suggesting that expected returns of individual stocks are explained by idiosyncratic skewness. Both idiosyncratic volatility and idiosyncratic kurtosis are irrelevant to asset prices at the individual stock level. As an alternative method, we run Fama-MacBeth tests at the portfolio level. We find that idiosyncratic skewness is not significantly related to returns on idiosyncratic skewness-sorted portfolios. However, it is significant when tested against idiosyncratic kurtosis sorted portfolios.

Pricing of Liquidity Risks in London Stock Exchange

This thesis aims to investigate pricing of liquidity risks in London Stock Exchange. Liquidity Adjusted Capital Asset Pricing Model i.e. LCAPM developed by Acharya and Pedersen (2005) is being applied to test the influence of various liquidity risks on stock returns in London Stock Exchange. The Liquidity Adjusted Capital Asset Pricing model provides a unified framework for the testing of liquidity risks. All the common stocks listed and delisted for the period of 2000 to 2014 are included in the data sample. The study has incorporated three different measures of liquidity – Percent Quoted Spread, Amihud (2002) and Turnover. The reason behind the application of three different liquidity measures is the multi-dimensional nature of liquidity. Firm fixed effects panel regression is applied for the estimation of LCAPM. However, the results are robust according to Fama-Macbeth regressions. The results of the study indicates that liquidity risks in the form of (i) level of liquidity, (ii) commonality in liquidity (iii) flight to liquidity, (iv) depressed wealth effect and market return as well as aggregate liquidity risk are priced at London Stock Exchange. However, the results are sensitive to the choice of liquidity measures.

The Capm and Fama-French models in Brazil: a comparative study

This paper confronts the Capital Asset Pricing Model - CAPM - and the 3-Factor Fama-French - FF - model using both Brazilian and US stock market data for the same Sample period (1999-2007). The US data will serve only as a benchmark for comparative purposes. We use two competing econometric methods, the Generalized Method of Moments (GMM) by (Hansen, 1982) and the Iterative Nonlinear Seemingly Unrelated Regression Estimation (ITNLSUR) by Burmeister and McElroy (1988). Both methods nest other options based on the procedure by Fama-MacBeth (1973). The estimations show that the FF model fits the Brazilian data better than CAPM, however it is imprecise compared with the US analog. We argue that this is a consequence of an absence of clear-cut anomalies in Brazilian data, specially those related to firm size. The tests on the efficiency of the models - nullity of intercepts and fitting of the cross-sectional regressions - presented mixed conclusions. The tests on intercept failed to rejected the CAPM when Brazilian value-premium-wise portfolios were used, contrasting with US data, a very well documented conclusion. The ITNLSUR has estimated an economically reasonable and statistically significant market risk premium for Brazil around 6.5% per year without resorting to any particular data set aggregation. However, we could not find the same for the US data during identical period or even using a larger data set. Este estudo procura contribuir com a literatura empírica brasileira de modelos de apreçamento de ativos. Dois dos principais modelos de apreçamento são Infrontados, os modelos Capital Asset Pricing Model (CAPM)e de 3 fatores de Fama-French. São aplicadas ferramentas econométricas pouco exploradas na literatura nacional na estimação de equações de apreçamento: os métodos de GMM e ITNLSUR. Comparam-se as estimativas com as obtidas de dados americanos para o mesmo período e conclui-se que no Brasil o sucesso do modelo de Fama e French é limitado. Como subproduto da análise, (i) testa-se a presença das chamadas anomalias nos retornos, e (ii) calcula-se o prêmio de risco implícito nos retornos das ações. Os dados revelam a presença de um prêmio de valor, porém não de um prêmio de tamanho. Utilizando o método de ITNLSUR, o prêmio de risco de mercado é positivo e significativo, ao redor de 6,5% ao ano.

Nonparametric tail risk, macroeconomics and stock returns: predictability and risk premia

This paper proposes a new novel to calculate tail risks incorporating risk-neutral information without dependence on options data. Proceeding via a non parametric approach we derive a stochastic discount factor that correctly price a chosen panel of stocks returns. With the assumption that states probabilities are homogeneous we back out the risk neutral distribution and calculate five primitive tail risk measures, all extracted from this risk neutral probability. The final measure is than set as the first principal component of the preliminary measures. Using six Fama-French size and book to market portfolios to calculate our tail risk, we find that it has significant predictive power when forecasting market returns one month ahead, aggregate U.S. consumption and GDP one quarter ahead and also macroeconomic activity indexes. Conditional Fama-Macbeth two-pass cross-sectional regressions reveal that our factor present a positive risk premium when controlling for traditional factors.

Testes de validade do capital asset pricing model no mercado acionário de São Paulo : um estudo indicativo do poder de teste da metodologia de Fama e Macbeth

Utiliza a técnica de simulação para estimar a "eficiência" de se testar o modelo Capital Asset Pricing Model (CAPM) num mercado com características do mercado acionário paulista, marcado por elevado retorno e alta volatilidade.

Evaluation of a novel kit (TF-test) for the diagnosis of intestinal parasitic infections

Intestinal parasitic infections are currently a source of concern for Public Health agencies in developing and developed countries. Since three ovum-and-parasite stool examinations have been demonstrated to provide sensitive results, we designed a practical and economical kit (TF-Test) that is now commercially available (Immunoassay Com. Ind. Ltda., S (a) over tildeo Paulo, Brazil). This kit allows the separate collection of three fecal specimens into a preservative solution. The specimens are then pooled, double-filtered, and concentrated by a single rapid centrifugation process. The TF-Test was evaluated in four different laboratories in a study using 1,102 outpatients and individuals living in an endemic area for enteroparasitosis. The overall sensitivity found using the TF-Test (86.2-97.8%) was significantly higher (P<0.01) than the sensitivity of conventional techniques such as the Coprotest (NIL Comercio Exterior Ltda, São Paulo, Brazil) and the combination of Lutz/Hoffman, Faust, and Rugai techniques (De Carli, Diagnostico Laboratorial das Parasitoses Humanas. Metodos e Tecnicas, 1994), which ranged from 48.3% to 75.9%. When the above combined three specimen technique was repeated with three specimens collected on different days, its sensitivity became similar (P > 0.01) to that of the TF-Test. The kappa index values of agreement for the TF-Test were consistent (P < 0.01), being higher and ranking in a better position than conventional techniques. The high sensitivity, cost/benefit ratio, and practical aspects demonstrate that the TF-Test is suitable for individual diagnosis, epidemiological inquiries, or evaluation of chemotherapy in treated communities. (C) 2004 Wiley-Liss, Inc.

Adapting The Sniffin' Sticks Olfactory Test To Diagnose Parkinson's Disease In Estonia.

The aim of the study was to develop a culturally adapted translation of the 12-item smell identification test from Sniffin' Sticks (SS-12) for the Estonian population in order to help diagnose Parkinson's disease (PD). A standard translation of the SS-12 was created and 150 healthy Estonians were questioned about the smells used as response options in the test. Unfamiliar smells were replaced by culturally familiar options. The adapted SS-12 was applied to 70 controls in all age groups, and thereafter to 50 PD patients and 50 age- and sex-matched controls. 14 response options from 48 used in the SS-12 were replaced with familiar smells in an adapted version, in which the mean rate of correct response was 87% (range 73-99) compared to 83% with the literal translation (range 50-98). In PD patients, the average adapted SS-12 score (5.4/12) was significantly lower than in controls (average score 8.9/12), p < 0.0001. A multiple linear regression using the score in the SS-12 as the outcome measure showed that diagnosis and age independently influenced the result of the SS-12. A logistic regression using the SS-12 and age as covariates showed that the SS-12 (but not age) correctly classified 79.0% of subjects into the PD and control category, using a cut-off of <7 gave a sensitivity of 76% and specificity of 86% for the diagnosis of PD. The developed SS-12 cultural adaption is appropriate for testing olfaction in Estonia for the purpose of PD diagnosis.

Effect Of Exercise Test On Pulmonary Function Of Obese Adolescents.

to investigate the pulmonary response to exercise of non-morbidly obese adolescents, considering the gender. a prospective cross-sectional study was conducted with 92 adolescents (47 obese and 45 eutrophic), divided in four groups according to obesity and gender. Anthropometric parameters, pulmonary function (spirometry and oxygen saturation [SatO2]), heart rate (HR), blood pressure (BP), respiratory rate (RR), and respiratory muscle strength were measured. Pulmonary function parameters were measured before, during, and after the exercise test. BP and HR were higher in obese individuals during the exercise test (p = 0.0001). SatO2 values decreased during exercise in obese adolescents (p = 0.0001). Obese males had higher levels of maximum inspiratory and expiratory pressures (p = 0.0002) when compared to obese and eutrophic females. Obese males showed lower values of maximum voluntary ventilation, forced vital capacity, and forced expiratory volume in the first second when compared to eutrophic males, before and after exercise (p = 0.0005). Obese females had greater inspiratory capacity compared to eutrophic females (p = 0.0001). Expiratory reserve volume was lower in obese subjects when compared to controls (p ≤ 0,05). obese adolescents presented changes in pulmonary function at rest and these changes remained present during exercise. The spirometric and cardiorespiratory values were different in the four study groups. The present data demonstrated that, in spite of differences in lung growth, the model of fat distribution alters pulmonary function differently in obese female and male adolescents.

The Lea Grating Test In Assessing Detection Grating Acuity In Normal Infants Less Than 4 Months Of Age.

To assess binocular detection grating acuity using the LEA GRATINGS test to establish age-related norms in healthy infants during their first 3 months of life. In this prospective, longitudinal study of healthy infants with clear red reflex at birth, responses to gratings were measured at 1, 2, and 3 months of age using LEA gratings at a distance of 28 cm. The results were recorded as detection grating acuity values, which were arranged in frequency tables and converted to a one-octave scale for statistical analysis. For the repeated measurements, analysis of variance (ANOVA) was used to compare the detection grating acuity results between ages. A total of 133 infants were included. The binocular responses to gratings showed development toward higher mean values and spatial frequencies, ranging from 0.55 ± 0.70 cycles per degree (cpd), or 1.74 ± 0.21 logMAR, in month 1 to 3.11 ± 0.54 cpd, or 0.98 ± 0.16 logMAR, in month 3. Repeated ANOVA indicated differences among grating acuity values in the three age groups. The LEA GRATINGS test allowed assessment of detection grating acuity and its development in a cohort of healthy infants during their first 3 months of life.

The Geometric Curvature Of The Spine Of Runners During Maximal Incremental Effort Test.

This study sought to analyse the behaviour of the average spinal posture using a novel investigative procedure in a maximal incremental effort test performed on a treadmill. Spine motion was collected via stereo-photogrammetric analysis in thirteen amateur athletes. At each time percentage of the gait cycle, the reconstructed spine points were projected onto the sagittal and frontal planes of the trunk. On each plane, a polynomial was fitted to the data, and the two-dimensional geometric curvature along the longitudinal axis of the trunk was calculated to quantify the geometric shape of the spine. The average posture presented at the gait cycle defined the spine Neutral Curve. This method enabled the lateral deviations, lordosis, and kyphosis of the spine to be quantified noninvasively and in detail. The similarity between each two volunteers was a maximum of 19% on the sagittal plane and 13% on the frontal (p<0.01). The data collected in this study can be considered preliminary evidence that there are subject-specific characteristics in spinal curvatures during running. Changes induced by increases in speed were not sufficient for the Neutral Curve to lose its individual characteristics, instead behaving like a postural signature. The data showed the descriptive capability of a new method to analyse spinal postures during locomotion; however, additional studies, and with larger sample sizes, are necessary for extracting more general information from this novel methodology.

Twin-twin Transfusion Syndrome: Neurodevelopmental Screening Test.

Objective To assess the neurodevelopmental functions (cognition, language and motor function) of survivors of twin-twin transfusion syndrome (TTTS). Method Observational cross-sectional study of a total of 67 monochorionic diamniotic twins who underwent fetoscopic laser coagulation (FLC) for treatment of TTTS. The study was conducted at the Center for Investigation in Pediatrics (CIPED), Universidade Estadual de Campinas. Ages ranged from one month and four days to two years four months. Bayley Scales of Infant and Toddler Development Screening Test-III, were used for evaluation. Results Most children reached the competent category and were classified as having appropriate performance. The preterm children scored worse than term infants for gross motor subtest (p = 0.036). Conclusion The majority of children reached the expected development according to their age. Despite the good neurodevelopment, children classified at risk should be monitored for development throughout childhood.

Evaluation of the cytotoxic and genotoxic potential of water from the River Paraíba do Sul, in Brazil, with the Allium cepa L. test

This work investigated the cytotoxic and genotoxic potential of water from the River Paraíba do Sul (Brazil) using Allium cepa roots. An anatomo-morphological parameter (root length), mitotic indices, and frequency of micronuclei were analysed. Eight bulbs were chosen at random for treatment for 24 to 120 hours with the River water collected in the years of 2005 and 2006 from sites in the cities of Tremembé and Aparecida (São Paulo state, Brazil). Daily measurements of the length of the roots grown from each bulb were carried out throughout the experiment. Mitotic index (MI) and frequency of micronuclei (MN) were determined for 2000 cells per root, using 3-5 root tips from other bulbs (7-10). Only in the roots treated with samples of the River water collected in 2005 in Tremembé city was there a decrease in the root length growth compared to the respective control. However, a reduction in MI values was verified for both sites analysed for that year. Considering the data involving root length growth and especially MI values, a cytotoxic potential is suggested for the water of the River Paraíba do Sul at Tremembé and Aparecida, in the year of 2005. On the other hand, since in this year the MN frequency was not affected with the river water treatments, genotoxicity is not assumed for the river water sampled at the aforementioned places.

Comparison between the 1% and 2% ibopamine provocative test in primary open-angle glaucoma patients: sensitivity, specificity and tolerability

PURPOSE: To compare intraocular pressure (IOP) rise in normal individuals and primary open-angle glaucoma patients and the safety and efficacy of ibopamine eye drops in different concentrations as a provocative test for glaucoma. METHODS: Glaucoma patients underwent (same eye) the ibopamine provocative test with two concentrations, 1% and 2%, in a random sequence at least 3 weeks apart, but not more than 3 months. The normal individuals were randomly submitted to one of the concentrations of ibopamine (1% and 2%). The test was considered positive if there was an IOP rise greater than 3 or 4 mmHg at 30 or 45 minutes to test which subset of the test has the best sensitivity (Se)/specificity (Sp). RESULTS: There was no statistically significant difference in any of the IOP measurements, comparing 1% with 2% ibopamine. The IOP was significantly higher at 30 and 45 minutes with both concentrations (p<0.001). The best sensitivity/specificity ratio was achieved with the cutoff point set as greater than 3 mmHg at 45 minutes with 2% ibopamine (area under the ROC curve: 0.864, Se: 84.6%; Sp:73.3%). All patients described a slight burning after ibopamine's instillation. CONCLUSION: 2% ibopamine is recommended as a provocative test for glaucoma. Because both concentrations have similar ability to rise IOP, 1% ibopamine may be used to treat ocular hypotony.

Applying a new version of the Brazilian-Portuguese UPSIT smell test in Brazil

Standardized olfactory tests are now available to quantitatively assess disorders of olfaction. A Brazilian-Portuguese version of the University of Pennsylvania Smell Identification Test (UPSIT) is currently being developed specifically for the Brazilian population. The most recent Brazilian-Portuguese version of the UPSIT (UPSIT-Br2) was administered to 88 Brazilian subjects who had no history of neurological or otorhinolaryngological disease. UPSIT-Br2 scores decreased with age, were lower in men than in women, and were lower in subjects with lower income. The degree to which the poorer performance of subjects with lower socio-economic status reflects lack of familiarity with test items is not known. Although this version of the UPSIT provides a sensitive and useful test of smell function for the Brazilian population, a revision of some test items is needed to achieve comparable norms to those found using the North American UPSIT in the United States.