scholarly journals Market and Accounting Risk Factors of Asset Pricing in the Classical and Downside Approaches

2020 ◽  
Vol 54 (2) ◽  
pp. 103
Author(s):  
Anna Rutkowska-Ziarko ◽  
Lesław Markowski
Keyword(s):  
Risk Factors ◽  
Asset Pricing ◽  
Capital Market ◽  
Risk Premium ◽  
Average Rate ◽  
Explanatory Power ◽  
Significant Risk ◽  
Downside Risk ◽  
Cross Sectional ◽  
Profitability Ratios

<p>Theoretical background: The variability of the company’s profitability is the result of the accompanying risk. To compare the profitability of many companies, relative profitability measures, which include profitability ratios, are more convenient. This article analyses market and accounting risk factors of CAPM. Risk was considered in variance and downside framework. Market betas, accounting betas were used in an extended version of the asset pricing model. Additionally, the influence of profitability ratios, such as ROA and ROE on the average rate of return on the capital market are considered.</p><p>Purpose of the article: The main purpose of this study is to test the standard and extended CAPM relations between systematic risk measures and mean returns for single companies quoted on the Polish capital market and equally-weighted portfolios in two approaches: variance and downside risk.</p><p>Research methods: The research based on individual securities and portfolios, compares the one-factor risk-return relationships with two-factor ones estimated using mean returns in cross-sectional regressions. The regressors were expressed in absolute terms and classical and downside beta coefficients. The sample includes companies differing in terms of size and across different industries.</p><p>Main findings: Portfolios with higher classical or downside market betas generate higher mean returns. The negative risk premium for accounting betas for variance and downside risk was identified. It is not in accordance with our earlier study of the Polish construction sector, where a positive and significant risk premium for downside accounting betas was found. The highest explanatory power of rates on returns on the Polish capital market were found for average ROA and ROE. This confirms the results of the previous studies on the Polish capital market for food and construction sectors.</p>

scholarly journals Cross-sectional Volatility and Stock Returns: Evidence for Emerging Markets

2016 ◽  
Vol 41 (3) ◽  
pp. 234-246 ◽  
Author(s):  
Sanjay Sehgal ◽  
Vidisha Garg
Keyword(s):  
South Africa ◽  
Asset Pricing ◽  
South Korea ◽  
Stock Returns ◽  
Risk Premium ◽  
Emerging Market ◽  
Significant Risk ◽  
Residual Variance ◽  
Cross Sectional ◽  
Risk Premiums

Executive Summary Cross-sectional volatility measures dispersion of security returns at a particular point of time. It has received very little focus in research. This article studies the cross-section of volatility in the context of economies of Brazil, Russia, India, Indonesia, China, South Korea, and South Africa (BRIICKS). The analysis is done in two parts. The first part deals with systematic volatility (SV), that is, cross-sectional variation of stock returns owing to their exposure to market volatility measure ( French, Schwert, & Stambaugh, 1987 ). The second part deals with unsystematic volatility (UV), measured by the residual variance of stocks in a given period by using error terms obtained from Fama–French model. The study finds that high SV portfolios exhibit low returns in case of Brazil, South Korea, and Russia. The risk premium is found to be statistically significantly negative for these countries. This finding is consistent with Ang et al. and is indicative of hedging motive of investors in these markets. Results for other sample countries are somewhat puzzling. No significant risk premiums are reported for India and China. Significantly positive risk premiums are observed for South Africa and Indonesia. Further, capital asset pricing model (CAPM) seems to be a poor descriptor of returns on systematic risk loading sorted portfolios while FF is able to explain returns on all portfolios except high SV loading portfolio (i.e., P1) in case of South Africa which seems to be an asset pricing anomaly. It is further observed that high UV portfolios exhibit high returns in all the sample countries except China. In the Chinese market, the estimated risk premium is statistically significantly negative. This negative risk premium is inconsistent with the theory that predicts that investors demand risk compensation for imperfect diversification. The remaining sample countries show significantly positive risk premium. CAPM does not seem to be a suitable descriptor for returns on UV sorted portfolios. The FF model does a better job but still fails to explain the returns on high UV sorted portfolio in case of Brazil and China and low UV sorted portfolio in South Africa. The findings are relevant for global fund managers who plan to develop emerging market strategies for asset allocation. The study contributes to portfolio management as well as market efficiency literature for emerging economies.

Cross-Section of Expected Returns Based on Equity Duration

2019 ◽  
Vol 27 (3) ◽  
pp. 297-327
Author(s):  
Sungjeh Moon ◽  
Joonhyuk Song
Keyword(s):  
Cross Section ◽  
Risk Premium ◽  
Factor Model ◽  
Explanatory Power ◽  
Significant Risk ◽  
Significant Risk Factor ◽  
Expected Returns ◽  
Expected Return ◽  
Cross Sectional ◽  
Risk Premiums

We analyze the cross-sectional expected return of KOSPI stocks using equity duration. From 1991 to 2018, we calculate equity durations for the KOSPI listed stocks (including de-listed stocks) and find that the shorter the equity duration, the higher the risk premium. Using the 4-factor model with equity duration added to the benchmark 3-factor model, the explanatory power of the 4-factor model is superior to that of the existing benchmark model in accounting for risk premiums. This is an unusual finding that is not readily explainable by the traditional CAPM or the Fama-French 3-factor model. This can be interpreted that the equity duration is a separate and significant risk factor dissociated from the HML of the 3-factor model.

Freedom Indices and Capital Asset Pricing Model: Some Malaysian Evidence

2020 ◽  
Vol 1 (1) ◽  
pp. 1-21
Author(s):  
Ying Tay Lee ◽  
Devinaga Rasiah ◽  
Ming Ming Lai
Keyword(s):  
Human Rights ◽  
Asset Pricing ◽  
Stock Returns ◽  
Firm Size ◽  
Explanatory Power ◽  
Least Square ◽  
Press Freedom ◽  
Capital Asset Pricing ◽  
Capital Asset ◽  
Cross Sectional

Human rights and fundamental freedoms such as economic, political, and press freedoms vary widely from country to country. It creates opportunity and risk in investment decisions. Thus, this study is carried out to examine if the explanatory power of the model for capital asset pricing could be improved when these human rights movement indices are included in the model. The sample for this study comprises of 495 stocks listed in Bursa Malaysia, covering the sampling period from 2003 to 2013. The model applied in this study employed the pooled ordinary least square regression estimation. In addition, the robustness of the model is tested by using firm size as a controlled variable. The findings show that market beta as well as the economic and press freedom indices could explain the cross-sectional stock returns of the Malaysian stock market. By controlling the firm size, it adds marginally to the explanation of the extended CAP model which incorporated economic, political, and press freedom indices.

scholarly journals Prevalence and factors associated with intestinal schistosomiasis and human fascioliasis among school children in Amhara Regional State, Ethiopia

2021 ◽  
Vol 49 (1) ◽  
Author(s):  
Teshome Bekana ◽  
Nega Berhe ◽  
Tadesse Eguale ◽  
Mulugeta Aemero ◽  
Girmay Medhin ◽  
...  
Keyword(s):  
Risk Factors ◽  
School Children ◽  
Neglected Tropical Diseases ◽  
Significant Risk ◽  
Parasitic Infections ◽  
Cross Sectional ◽  
Targeted Interventions ◽  
Intestinal Schistosomiasis ◽  
Regional State ◽  
Human Fascioliasis

Abstract Background Schistosomiasis and fascioliasis are digenean parasitic infections and are among the neglected tropical diseases that have both medical and veterinary importance. They are found mainly in areas having limited access to safe water supply and improved sanitation. Methods A cross-sectional study was conducted to determine the prevalence of Schistosoma mansoni and Fasciola species infections and to identify associated risk factors among school children in Amhara Regional State, Ethiopia. Stool specimens were collected from 798 children (419 males, 379 females) and processed using Kato-Katz and formol-ether concentration techniques. A semi-structured questionnaire was used to collect socio-demographic and other exposure information to explore potential risk factors for the infections. Results The overall prevalence of S. mansoni and Fasciola species infections was 25.6% (95% confidence interval (CI): 22.5-28.6) and 5.5% (95% CI: 3.9-7.1), respectively. S. mansoni was present in all surveyed schools with the prevalence ranging from 12.8% (16/125; 95% CI = 5.6-20.0) to 39.7% (64/161; 95% CI = 32.2-47.2) while Fasciola species was identified in five schools with the prevalence ranging from 2.5% (4/160; 95% CI = 0.001–4.9) to 9.8% (13/133; 95% CI = 4.7–14.8). The prevalence of S. mansoni infection was significantly associated with swimming in rivers (Adjusted odds ratio (AOR): 1.79, 95% CI, 1.22–2.62; P=0.003), bathing in open freshwater bodies (AOR, 2.02; 95% CI, 1.39–2.94; P<0.001) and engaging in irrigation activities (AOR, 1.69; 95% CI, 1.19-2.39; P=0.004), and was higher in children attending Addis Mender (AOR, 2.56; 95% CI, 1.20–5.46; P=0.015 ) and Harbu schools (AOR, 3.53; 95% CI, 1.64–7.59; P=0.001). Fasciola species infection was significantly associated with consumption of raw vegetables (AOR, 2.47; 95% CI, 1.23-4.97; P=0.011) and drinking water from unimproved sources (AOR, 2.28; 95% CI, 1.11–4.70; P=0.026). Conclusion Both intestinal schistosomiasis and human fascioliasis are prevalent in the study area, affecting school children. Behaviors and access to unimproved water and sanitation are among significant risk factors. The findings are instrumental for targeted interventions.

Prevalence and risk factors of Strongyloides stercoralis infection among Orang Asli schoolchildren: new insights into the epidemiology, transmission and diagnosis of strongyloidiasis in Malaysia

Parasitology ◽  
2019 ◽  
Vol 146 (12) ◽  
pp. 1602-1614 ◽  
Author(s):  
Hesham M. Al-Mekhlafi ◽  
Nabil A. Nasr ◽  
Yvonne A. L. Lim ◽  
Fatin Nur Elyana ◽  
Hany Sady ◽  
...  
Keyword(s):  
Risk Factors ◽  
Intestinal Parasites ◽  
Agar Plate ◽  
Significant Risk ◽  
Control Programme ◽  
Control Measures ◽  
Parasitic Infections ◽  
Cross Sectional ◽  
Orang Asli ◽  
Direct Smear

AbstractThis cross-sectional study aimed to determine the prevalence and risk factors of S. stercoralis infection among 1142 Orang Asli primary schoolchildren in six different states of Peninsular Malaysia. Fecal samples were examined using direct smear, formalin-ether sedimentation (FES), agar plate culture (APC) and PCR techniques. Overall, 15.8% of the children were found to be infected with S. stercoralis. The prevalence was 0.2, 1.3, 15.2 and 13.7% by direct smear, FES, APC and PCR, respectively. Multivariate analysis showed that an age of >10 years, being male, belonging to a Proto-Malay tribe, belonging to the Senoi tribe, indiscriminate defecation, using an unimproved water source for drinking water and not wearing shoes when outside were the significant risk factors of infection among these children. In conclusion, we provide new evidence on the occurrence of S. stercoralis in Malaysia to show that there is a relatively high prevalence of infection among Orang Asli schoolchildren. Therefore, the use of specific methods for detecting S. stercoralis should be considered when screening these children for intestinal parasites. Moreover, prevention and control measures specific to S. stercoralis should be integrated into the intestinal parasitic infections control programme in Malaysia.

scholarly journals Prevalence, Risk Factors, and Antibiogram of Bacteria Isolated from Milk of Goats with Subclinical Mastitis in Thika East Subcounty, Kenya

2018 ◽  
Vol 2018 ◽  
pp. 1-8 ◽  
Author(s):  
Precious Mahlangu ◽  
Naomi Maina ◽  
John Kagira
Keyword(s):  
Risk Factors ◽  
Significant Risk ◽  
Antibiotic Sensitivity ◽  
Subclinical Mastitis ◽  
Cross Sectional Study ◽  
Penicillin G ◽  
Dairy Goats ◽  
Cross Sectional ◽  
California Mastitis Test ◽  
Staphylococcus Intermedius

A cross-sectional study was carried out to determine the prevalence and risk factors of subclinical mastitis in dairy goats in Thika East Subcounty, Kenya. Further the bacterial pathogens and their antibiogram were investigated. Farm level data on risk factors were obtained from 41 farmers using questionnaires. Milk was obtained from 110 lactating dairy goats and tested for submastitis using California Mastitis Test (CMT). The prevalence of subclinical mastitis at goat level was estimated to be at 50.9% using CMT, out of which 86.5% yielded bacteria on culture. The significant risk factors associated with the occurrence of subclinical mastitis were cleaning schedule (p=0.022, OD=1.047) and parity of the goat (p=0048, OD=1.37). Higher prevalence of subclinical mastitis was observed for goats residing in houses cleaned at least once a fortnight. Does in the first parity were least affected. 169 bacterial isolates were obtained from culture, of which 52 isolates from major classes of isolated bacteria were tested for antibiotic sensitivity to six antibiotics. Fourteen different bacteria were isolated and identified from the milk samples. Coagulase-negative Staphylococci (20.7%), Serratia spp. (19.5%), Citrobacter spp. (16%), Klebsiella spp. (11%), Staphylococcus aureus (10.7%), Enterobacter spp. (6.5%), Escherichia coli (5.9%), Proteus spp. (3%), Corynebacterium spp. (1.8%), Morganella spp. (1.8%), Streptococcus spp. (1.2%), Providencia spp. (0.6%), Micrococcus spp. (0.6%), and Staphylococcus intermedius (0.6%) were isolated and identified from the samples. All the isolates were resistant to Penicillin G, while 98% of the isolates were sensitive to Streptomycin. In conclusion, the study showed that a large proportion of goats were affected by subclinical mastitis, with the main bacteria being Staphylococci spp. and coliforms, and that most of the tested antibiotics can be used in the treatment of mastitis. Farmers need to be trained on improved control of mastitis through adoption of good dairy husbandry and milking practices.

scholarly journals A study on prevalence of chronic kidney disease and its risk factors among adults in selected slums of Chennai

2019 ◽  
Vol 6 (2) ◽  
pp. 504
Author(s):  
K. Kokila ◽  
K. Chellavel Ganapathi
Keyword(s):  
Risk Factors ◽  
Chronic Kidney Disease ◽  
Kidney Disease ◽  
Significant Risk ◽  
Significant Risk Factor ◽  
Cross Sectional Study ◽  
Uncontrolled Hypertension ◽  
Adult Males ◽  
Cross Sectional ◽  
Slum Population

Background: Chronic kidney disease (CKD) is a silent epidemic. The true prevalence of CKD with in a population are very difficult to estimate, since early to moderate CKD were usually asymptomatic. ESRD in the consequence of CKD is one of the most expensive diseases to treat.Only way is to prevent it and Hence this was conducted to estimate the prevalence of CKD and its associated risk factors among adults in selected slums of Chennai.Methods: This is a cross sectional study done from May 2013 to June 2014 in selected slums of Chennai. The study population includes adult males and females. Multi stage sampling method used. Sample size covered was 400. A semi structured questionnaire used as tool. Based on the serum creatinine eGFR calculated using modified MDRD study equation and CKD prevalence was identified. The data was entered in MS excel and analyzed using SPSS version 21.Results: Total of 400 participants involved. Females were predominant in the study. Among them, 67 (16.8%) were diagnosed as CKD patients and Stage 1, 4.0% had stage 2, 3.6% had stage 3, 1.3% had stage 4 and 0.5% had stage 5 at the time of diagnosis.Conclusions: This study revealed prevalence of CKD among slum population was 16.8%. This study showed that old age, uncontrolled hypertension, uneducated, Diabetes with poor control, overuse of analgesics, H/o smoking, obesity, alcoholism, passive smoking, family H/o CKD and proteinuria were significant risk factor for CKD among study subjects. Slum population with risk factors should be regularly screened for CKD.

scholarly journals Risk Factors for Infection with Soil Transmitted Helminths, Cryptosporidium spp., and Giardia duodenalis in Children Enrolled in Preschools in Kafue District, Zambia

2015 ◽  
Vol 2015 ◽  
pp. 1-7 ◽  
Author(s):  
Joyce Siwila ◽  
Annette Olsen
Keyword(s):  
Risk Factors ◽  
Longitudinal Study ◽  
Significant Risk ◽  
Giardia Duodenalis ◽  
Significant Risk Factor ◽  
Cross Sectional Study ◽  
Parasitic Infections ◽  
Cross Sectional ◽  
Low Socioeconomic ◽  
Soil Transmitted Helminths

Intestinal parasitic infections are common among children worldwide. This study was aimed at determining risk factors for infection with soil transmitted helminths, Cryptosporidium spp., and Giardia duodenalis, among children in preschools. The study was in two parts: a cross-sectional study in which data were collected from 403 children from 10 preschools and a longitudinal study in which 100 children from four preschools from the previous 10 were selected. Prevalence of Ascaris lumbricoides was 12.0%, while that of hookworm was 8.3%. Overall prevalence of Cryptosporidium and G. duodenalis was 28.0% and 29.0%, respectively. Low education level of parent/guardian was a significant risk factor for A. lumbricoides (OR = 2.35, 95% CI: 1.02–5.41; P=0.04), while roofing types other than corrugated iron sheets were found to be protective for G. duodenalis infection in both bivariate and multivariate analyses (multivariate: OR = 0.67, 95% CI: 0.45–0.99; P=0.04). Low socioeconomic level was found to be protective for Cryptosporidium spp. infection in multivariate analysis (OR = 0.59, 95% CI: 0.35–0.99; P=0.04). In the longitudinal study, none of the factors were associated with either infection. These findings may have implications for other preschools in other districts in Zambia.

scholarly journals Socioeconomic, Psychiatric and Materiality Determinants and Risk of Postpartum Depression in Border City of Ilam, Western Iran

2013 ◽  
Vol 2013 ◽  
pp. 1-7 ◽  
Author(s):  
Pegah Taherifard ◽  
Ali Delpisheh ◽  
Ramin Shirali ◽  
Abdorrahim Afkhamzadeh ◽  
Yousef Veisani
Keyword(s):  
Risk Factors ◽  
Postpartum Depression ◽  
Low Socioeconomic Status ◽  
Data Gathering ◽  
Significant Risk ◽  
Cross Sectional Study ◽  
Cross Sectional ◽  
Western Iran ◽  
Border City ◽  
Significant Difference

Background. Postpartum depression (PPD) is considered as one of the mood disturbances occurring during 2-3 months after delivery. The present study aimed to determine the prevalence of PPD and its associated risk factors in border city of Ilam, western Iran.Methods. Through a descriptive cross-sectional study in 2011, overall, 197 women who attended Obstetrics & Gynecology clinics postpartumly in the border city of Ilam, western Iran, were randomly recruited. A standard questionnaire that was completed by a trained midwife through face to face interviews was used for data gathering.Results. Mean age ± standard deviations was 27.9 ± 5.2 years. Prevalence of PPD was estimated to be 34.8% (95% CI: 27.7–41.7). A significant difference was observed among depression scores before and after delivery (P≤0.001). Type of delivery (P=0.044), low socioeconomic status (P=0.011), and women having low educational level (P=0.009) were the most important significant risk factors associated with PPD. The regression analysis showed that employed mothers compared to housekeepers were more at risk for PPD (adjusted OR = 2.01, 95% CI: 1.22–2.28,P=0.003).Conclusions. Prevalence of PPD in western Iran was slightly higher than the corresponding rate from either national or international reports.

Frequency and risk factors of internet addiction in medical students: a cross-sectional study

2021 ◽  
pp. 1-11
Author(s):  
Amina Ehsan ◽  
Farwa Iqbal ◽  
Muhammad Azeem Rao
Keyword(s):  
Risk Factors ◽  
Medical Students ◽  
Internet Addiction ◽  
Significant Risk ◽  
Sampling Technique ◽  
Total Sample ◽  
Cross Sectional Study ◽  
Sectional Study ◽  
Online Relationships ◽  
Cross Sectional

Abstract Objectives: The objectives of the study were to find out the prevalence of internet addiction and to determine the risk factors associated with internet addiction in medical students. Methods: This descriptive cross-sectional study was carried out at Rawalpindi Medical University, Rawalpindi from July 2018 to August 2019. Our study population included medical students from all the years of MBBS aged 18-25 years, who have been using the internet for the past two years or more. A Stratified random sampling technique was used. Seventy-six self-administered questionnaires were distributed in each year. Data was entered and analyzed using the Statistical Package for Social Sciences (SPSS version 25). Results: Out of the total sample of 380, the prevalence came out to be 90% (n=342). Two hundred and twenty-two 222 (58.4%) had mild, 115 (30.3%) had moderate, six (1.6%) had severe and 37 (9.7%) had no addiction. Out of the risk factors online friendships (p= 0.007), online relationships (P=0.035), online chatting (p= 0.009), online shopping (p= 0.009), online games (p=0.023) and online series/movies (p< 0.000) were statistically significant. Conclusion: The prevalence of internet addiction is high among medical students, which is mostly of a mild type. Internet addiction is more common in males and non-hostel residents. Other significant risk factors are online relationships, online gaming, and online series/movies. Keywords: Prevalence, internet, medical students, risk factors. Continuous...

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