Momentum Investing Across Different Asset Classes

2021 ◽  
pp. 297-315
Author(s):  
Zrinka Orlović ◽  
Zrinka Lovretin Golubić ◽  
Davor Zoričić
Keyword(s):  
Risk Factors ◽  
Cross Section ◽  
Factor Models ◽  
Bond Markets ◽  
Risk Premiums ◽  
Performance Drivers ◽  
Momentum Investing ◽  
Asset Classes ◽  
Mean Variance ◽  
Underlying Risk

Instead of traditionally looking at investing in different types of asset classes in order to exploit diversification effects, investors are turning to the underlying performance drivers built-in in many asset classes – factors. The intuition is that assets earn risk premiums because they are exposed to underlying risk factors. Factor models were developed as a simplification and continuation of diversification principle and mean-variance efficiency introduced by Harry Markowitz. This chapter will focus on one of the standard investment and cross section factors called momentum. It became very popular since 1993 when Jegadeesh and Titman documented that strategies that buying stocks that have performed well in the past and selling stocks that have performed poorly generate significant positive returns. This chapter aims to provide an introduction to factor models development and momentum effects on stock and bond markets – description of methodology and detailed literature overview.

scholarly journals Cutaneous Leishmaniasis in Algeria; Highlight on the Focus of M’Sila

2021 ◽  
Vol 9 (5) ◽  
pp. 962
Author(s):  
Razika Beniklef ◽  
Karim Aoun ◽  
Karim Boudrissa ◽  
Meriem Ben Abid ◽  
Kamel Cherif ◽  
...  
Keyword(s):  
Risk Factors ◽  
Visceral Leishmaniasis ◽  
Cutaneous Leishmaniasis ◽  
Leishmania Infantum ◽  
Psammomys Obesus ◽  
Phlebotomus Papatasi ◽  
Wild Rodents ◽  
High Incidence ◽  
Medical Importance ◽  
Underlying Risk

Algeria ranks second after Afghanistan for the incidence of cutaneous leishmaniasis (CL) worldwide. Here, we report a 34-years retrospective analysis of CL in Algeria and focused on the most affected region, the M’Sila province. All 66 cutaneous isolates corresponded to Leishmania (L.) major. Our study of the sandfly and rodent fauna further highlighted the high density of Phlebotomus papatasi and additional phlebotomine species of medical importance, not previously identified in M’Sila. Wild rodents belonging to nine species were trapped in M’Sila, and Psammomys obesus and Meriones shawi were found infected by L. major. In addition, Leishmania infantum was isolated from two visceral leishmaniasis cases, one dog and its proven vectors (P. perniciosus, P. longicuspis, and P. perfiliewi) inventoried during the survey. The high incidence of CL in the M’Sila province is likely a consequence of the increase in minimum temperatures recorded that constitutes suitable conditions for establishing a high endemicity and leads to an explosive rise in leishmaniases cases in this region. A thorough investigation of the underlying risk factors is urgently needed to detect new cases earlier. All these would improve the preparedness to fight the disease.

Risk Factors and Reported Sick Leave among Employees of Saab-Scania, Linköping, Sweden, between the Ages of 50 and 59

1986 ◽  
Vol 14 (1) ◽  
pp. 25-30 ◽  
Author(s):  
Gunnar Andersson ◽  
Sture Malmgren
Keyword(s):  
Physical Activity ◽  
Risk Factors ◽  
Sick Leave ◽  
Cross Section ◽  
Training Centre ◽  
Exercise Habits ◽  
Single Risk Factor ◽  
Low Degree ◽  
Employment Education ◽  
Age Range

An investigation group, consisting of all 1313 employees in the age range 50–59 years, in 1975 was called during working time to the Company's Physical Training Centre to have certain risk factors assessed. The evaluation included an interview which covered risk factors such as smoking and exercise habits and measurements such as systolic blood pressure, height, weight and certain anthropometric measurements. Information was also obtained from the personnel records regarding sex, age, form of employment, education code and reported sick leave in 1974 and 1975 for the workers, and between 1970 and 1975 for the salaried employees. The total number of dropouts was 238, or 18%. Absenteeism among those who did not participate in the interview and measurements was markedly higher than for those who did. The fact that this group dropped out of the investigation implies a high risk and a need for preventive programmes. The single risk factor that showed the strongest connection with absenteeism was a low degree of physical activity during leisure hours. The design of this study as a cross-section investigation limits its use to assessing the current degree of correlation between different risk factors and absenteeism. We cannot, then, predict future illness on the basis of these findings.

scholarly journals FREQUENCY OF ESOPHAGEAL CANDIDIASIS IN NON HIV DYSPHAGIC PATIENTS ON UPPER GI ENDOSCOPY

1969 ◽  
Vol 6 (1) ◽  
pp. 758-761
Author(s):  
NOWSHERWAN ◽  
S.M ATHAR ◽  
M.AMJAD ◽  
YASIN ◽  
IBRAR
Keyword(s):  
Risk Factors ◽  
Inhaled Corticosteroids ◽  
High Dose ◽  
Female Ratio ◽  
Esophageal Candidiasis ◽  
Gi Endoscopy ◽  
Upper Gi ◽  
Candida Esophagitis ◽  
Upper Gi Endoscopy ◽  
Underlying Risk

BACKGROUND: There is growing incidence of Candida esophagitis due to the increasing numbers ofimmune compromised patients, intensive chemotherapy, bone marrow transplantation, high dose oraland inhaled corticosteroids, potent antibiotic therapy, alcoholism and chronic illness such as diabetesmellitus and liver cirrhosis all have contributed to this increase. The diagnosis is made based on physicalexamination. Grams stain of the smear (hyphae) may further add in the diagnosis. Endoscopic diagnosisis based on characteristic lesions. This study was carried out to assess the status of esophagealcandidiasis in non HIV infected patients attending a teaching hospital.OBJECTIVE: To estimate the prevalence of esophageal candidiasis in non HIV patients presentingwith dysphagia and to assess the underlying risk factors.MATERIAL AND METHODS: It is a retrospective observational study, carried out at Lady ReadingHospital, Peshawar, Pakistan from September 2008 to November 2010. All the patients presenting withdysphagia underwent upper GI endoscopic examination during 2008 to 2010. The cases thoroughlyreviewed regarding their history examination and findings of the endoscopy. Patients with HIV / AIDSwere excluded. Results were compiled and statistically analyzed.RESULTS: A total of 200 cases were included. Male to female ratio was 2.1 : 1 . Mean age was 52.9 ±14.6. The main indications were dysphagia/odynophagia. Esophageal candidiasis was found in 28patients, out of which, 20 were male and 08 were female. The underlying risk factors were also assessed.The major risk factors were steroid therapy, uncontrolled diabetes mellitus, carcinoma esophagus andstomach, broad spectrum antibiotic and chronic liver diseases.CONCLUSION: Dysphagia is a significant presenting feature of Candida esophagitis Anti-fungaltreatment for 2 to 3 weeks is recommended on empirical basis in high risk patients for esophagealcandidiasis. If no improvement, then upper GI endoscopy is recommended.KEY WORDS: Esophageal candidiasis, Non-HIV, dysphagia.

scholarly journals Primary post partum hemorrhage after vaginal birth: an analysis of risk factors

2016 ◽  
Vol 12 (2) ◽  
Author(s):  
Yasmeen Akhtar ◽  
Mohammad Arshad Chohan
Keyword(s):  
Risk Factors ◽  
Study Design ◽  
Analytical Study ◽  
Post Partum ◽  
Vaginal Birth ◽  
Uterine Atony ◽  
Post Partum Hemorrhage ◽  
Post Partum Haemorrhage ◽  
One Year ◽  
Underlying Risk

Objective: - To analyze the risk factors for primary post partum Haemorrhage. Settings: - Gynae/Obstetrics-Unit I Lady Willingdon Hospital Lahore. Study Design: - Observational Analytical study. Duration: - One year Ist January 2005 to 31 December 2005. Materials/Methods:-It was an observational analytical study in which the data about patients was collected with the help of proformas. Conclusion:- Uterine atony due to various underlying risk factors is the major cause of post partum Haemorrhage. If these factors are identified and treated accordingly then a lot of mothers can be saved.

Meta-analysis of risk factors associated with suicidal ideation after stroke:  A focus on Asian populations

2020 ◽  
Author(s):  
Shuang Mei zhang ◽  
Zhao yang Qiu ◽  
Wei feng Zhu ◽  
An rong Wang ◽  
zhaoxu zhang
Keyword(s):  
Risk Factors ◽  
Suicidal Ideation ◽  
Sleep Disorders ◽  
Household Income ◽  
Meta Analysis ◽  
Cochrane Library ◽  
Stroke Survivors ◽  
Asian Populations ◽  
One Year ◽  
Underlying Risk

Abstract Background Over the past decade, increasing attention has been paid on post-stroke suicide (PSS), which is one of complications of stroke. The rates of stroke and suicide are relatively high, especially in Asian populations. Thus, a deeper understanding of the prevalence and epidemiological impact of suicide after stroke is urgently needed. Clinical diagnosis and prevention of PSS are at the incipient stage, but the risk factors responsible for the occurrence of PSS in different regions and stages of the disease remain largely unknown. The present meta-analysis aimed to determine the incidence of PSS at different stages and time courses, and to identify the underlying risk factors for PSS. Methods We systematically searched the Cochrane library, Embase, PubMed,CNKI and Web of Science databases from their inception until April 2019. The research articles reporting on the risk factor for PSS were screened and included in the meta-analysis. The data from the included studies were extracted according to the predefined criteria. Results A total of 12 studies (n = 2693036) were included for meta-analyses. Of these studies, 7 reported suicide prevalence were meta-analyzed. The pooled estimate of suicidal ideation rates after stroke was 12%, which could be influenced by multiple risk factors, including men, smoking, depression, sleep disorders, previous stroke and low household income. Studies conducted in Asia demonstrated higher suicide prevalence (approximately 15%) compared to other regions. Smoking, alcohol consumption, low family income, depression, heart disease and sleep disorders were the important risk factors for the pathogenesis of suicide after stroke. When compared to PSS more than one year, the incidence of suicide within one year after stroke was more likely to be statistically significant. It was found that 4 out of every 1,000 stroke survivors tended to commit suicide. The results of this meta-analysis showed that depression (OR = 2.32; p < 0.01) was significantly associated with suicidal ideation, regardless of stroke duration. Conclusion Despite some limitations, we successfully identified the prevalence of PSS in Asian populations and the underlying risk factors. Based on the results of this meta-analysis, 4 out of every 1,000 stroke survivors committed suicide and the individuals with suicidal ideation tended to suicide within one year after stroke. Notably, depression was significantly associated with suicidal ideation, regardless of stroke duration. In addition, stroke survivors with low household income had nearly double the risk of suicidal ideation, especially in Asian populations. Hence, targeting the identified risk factors may be helpful to improve stroke patient care and prevent suicidal ideation after stroke.(Registration No. CRD42019128813).

How Serious Is Debt Among Probation Clients? A Study Into the Prevalence and Scope of Debt in a Dutch Probation Sample

2020 ◽  
pp. 0306624X2098103
Author(s):  
Gercoline van Beek ◽  
Vivienne de Vogel ◽  
Dike van de Mheen
Keyword(s):  
Risk Factors ◽  
Risk Assessment ◽  
Reciprocal Relationship ◽  
Assessment Data ◽  
Living Situation ◽  
Related Risk ◽  
Probation Service ◽  
The Relationship ◽  
Mental And Physical Health ◽  
Underlying Risk

Although studies point to a relationship between debt and crime, there is a limited understanding of their reciprocal relationship and possible mediating risk factors. Moreover, knowledge about the prevalence and scope of debt among offenders is lacking. Therefore, the present study analyzed 250 client files including risk assessment data from the Dutch probation service on the prevalence of debt and possibly related risk factors. The results show that debt is highly prevalent and complex, which underlines the importance of acquiring more knowledge about debt as a potential risk factor for relapse during supervision. It was found that problems with regard to childhood and living situation, education and work/daytime activities, and mental and physical health may be possible underlying risk factors in the relationship between debt and crime. These insights can help professionals adequately support clients with regard to debt in order to prevent recidivism.

The Trend in Firm Profitability and the Cross-Section of Stock Returns

2017 ◽  
Vol 92 (5) ◽  
pp. 1-32 ◽  
Author(s):  
Ferhat Akbas ◽  
Chao Jiang ◽  
Paul D. Koch
Keyword(s):  
Risk Factors ◽  
Stock Returns ◽  
Cross Section ◽  
The Other ◽  
Analyst Forecast ◽  
Forecast Errors ◽  
Earnings Surprise ◽  
Firm Profitability ◽  
Earnings Momentum ◽  
Jel Classifications

ABSTRACT This study shows that the recent trajectory of a firm's profits predicts future profitability and stock returns. The predictive information contained in the trend of profitability is not subsumed by the level of profitability, earnings momentum, or other well-known determinants of stock returns. The profit trend also predicts the earnings surprise one quarter later, and analyst forecast errors over the following 12 months, suggesting that sophisticated investors underreact to the information in the profit trend. On the other hand, we find no evidence of investor overreaction, and our results cannot be explained by well-known risk factors. JEL Classifications: G12; G14.

scholarly journals Nuclear Hazard and Asset Prices: Implications of Nuclear Disasters in the Cross-Sectional Behavior of Stock Returns

2020 ◽  
Vol 12 (22) ◽  
pp. 9721
Author(s):  
Ana Belén Alonso-Conde ◽  
Javier Rojo-Suárez
Keyword(s):  
Stock Returns ◽  
Factor Model ◽  
Large Fraction ◽  
Factor Models ◽  
Cross Sectional ◽  
Risk Premiums ◽  
Conditional Capm ◽  
Equity Risk ◽  
The Cross ◽  
The Cost

Using stock return data for the Japanese equity market, for the period from July 1983 to June 2018, we analyze the effect of major nuclear disasters worldwide on Japanese discount rates. For that purpose, we compare the performance of the capital asset pricing model (CAPM) conditional on the event of nuclear disasters with that of the classic CAPM and the Fama–French three- and five-factor models. In order to control for nuclear disasters, we use an instrument that allows us to parameterize the linear stochastic discount factor of the conditional CAPM and transform the classic CAPM into a three-factor model. In this regard, the use of nuclear disasters as an explanatory variable for the cross-sectional behavior of stock returns is a novel contribution of this research. Our results suggest that nuclear disasters account for a large fraction of the variation of stock returns, allowing the CAPM to perform similarly to the Fama–French three- and five-factor models. Furthermore, our results show that, in general, nuclear disasters are positively related to the expected returns of a large number of assets under study. Our results have important implications for the task of estimating the cost of equity and constitute a step forward in understanding the relationship between equity risk premiums and nuclear disasters.

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