Low-risk investment strategy: sector bets or stock bets?

PurposeThe portfolio of low-risk stocks outperforms the portfolio of high-risk stocks and market portfolios on a risk-adjusted basis. This phenomenon is called the low-risk effect. There are several economic and behavioral explanations for the existence and persistence of such an effect. However, it is still unclear whether specific sector orientation drives the low-risk effect. The study seeks to answer the following important questions in Indian equity markets: (a) Whether sector bets or stock bets mainly drive the low-risk effect? (b) Is it a mere proxy for the well-known value effect? (c) Does the low-risk effect prevail in long-only portfolios?Design/methodology/approachThe study is based on all the listed stocks on the National Stock Exchange (NSE) of India from December 1994 to September 2018. It classifies them into 11 Global Industry Classification Standard (GICS) sectors to construct stock-level and sector-level BAB (Betting Against Beta) and long-only low-risk portfolios. It follows the study of Asness et al. (2014) to construct various BAB portfolios. It applies Fama–French (FF) three-factor and Fama–French–Carhart (FFC) four-factor asset pricing models in addition to Capital Asset Pricing Model (CAPM) to examine the strength of BAB, sector-level BAB, stock-level BAB and long-only low-beta portfolios.FindingsBoth sector- and stock-level bets contribute to the return of the low-risk investing strategy, but the stock-level effect is dominant. Only betting on safe sectors or industries will not earn economically significant alpha. The low-risk effect is unique and not a value effect in disguise. Both long-short and long-only portfolios within sectors and industry groups deliver positive excess returns. Consumer staples, financial, materials and healthcare sectors mainly contribute to the returns of the low-risk effect in India. This study offers empirical evidence against the Samuelson (1998) micro-efficient market given the strong performance of the stock-level low-risk effect.Practical implicationsThe superior performance of the low-risk investment strategies at both stock and sector levels offers investors an opportunity to strategically invest in stocks from the right sectors and earn high risk-adjusted returns with lower drawdowns over an entire market cycle. Besides, it paves the way for stock exchanges and index manufacturers to launch sector-specific low-volatility indices for relevant sectors. Passive funds can launch index funds and exchange-traded funds by tracking these indices. Active fund managers can espouse sector-specific low-risk investment strategies based on the results of this and similar other studies.Originality/valueThe study is the first of its kind. It offers insights into the portfolio characteristics and performance of the long-short and the long-only variant of low-risk portfolios within sectors and industry groups. It decomposes the low-risk effect into sector-level and stock-level effects.

A replication study separates polymorphisms behind migraine with and without depression

The largest migraine genome-wide association study identified 38 candidate loci. In this study we assessed whether these results replicate on a gene level in our European cohort and whether effects are altered by lifetime depression. We tested SNPs of the loci and their vicinity with or without interaction with depression in regression models. Advanced analysis methods such as Bayesian relevance analysis and a neural network based classifier were used to confirm findings. Main effects were found for rs2455107 of PRDM16 (OR = 1.304, p = 0.007) and five intergenic polymorphisms in 1p31.1 region: two of them showed risk effect (OR = 1.277, p = 0.003 for both rs11209657 and rs6686879), while the other three variants were protective factors (OR = 0.4956, p = 0.006 for both rs12090642 and rs72948266; OR = 0.4756, p = 0.005 for rs77864828). Additionally, 26 polymorphisms within ADGRL2, 2 in REST, 1 in HPSE2 and 33 mostly intergenic SNPs from 1p31.1 showed interaction effects. Among clumped results representing these significant regions, only rs11163394 of ADGRL2 showed a protective effect (OR = 0.607, p = 0.002), all other variants were risk factors (rs1043215 of REST with the strongest effect: OR = 6.596, p = 0.003). Bayesian relevance analysis confirmed the relevance of intergenic rs6660757 and rs12128399 (p31.1), rs1043215 (REST), rs1889974 (HPSE2) and rs11163394 (ADGRL2) from depression interaction results, and the moderate relevance of rs77864828 and rs2455107 of PRDM16 from main effect analysis. Both main and interaction effect SNPs could enhance predictive power with the neural network based classifier. In summary, we replicated p31.1, PRDM16, REST, HPSE2 and ADGRL2 genes with classic genetic and advanced analysis methods. While the p31.1 region and PRDM16 are worthy of further investigations in migraine in general, REST, HPSE2 and ADGRL2 may be prime candidates behind migraine pathophysiology in patients with comorbid depression.

Assessment of nitrate and its health risk capability in groundwater used by residents around a dumpsite in Lagos, Nigeria

Anthropologic activities in our environment had been continuously associated with the release of nitrate a contaminant that has been linked with some dangerous health effects. This study assessed the concentration and health risk of nitrate in groundwater used by residents around a dumpsite. For this study groundwater samples were obtained randomly from 12 sampling sites near the Solos dumpsite at Igando, Alimosho local government area, Lagos, Nigeria. The water samples were analyzed for nitrate and some other physic-chemical parameters. The water quality index of the water samples was calculated to determine the suitability for consumption purposes. The non-carcinogenic hazard health risk associated with the nitrate level in the water samples was also assessed. The relationship between the nitrate in the water samples and the drinking water quality index (DWQI) was a positive one with r= 0.21 at p=0.517. The hazard index for ingestion (oral) route (HIoral) range were 0.024-0.962, 0.028-1.136 and 0.033-1.3 for male, female and children respectively. The dermal hazard index (HIdermal) shows range of 0.001-0.026 for male, 0.001-0.027 for female and 0.002-0,071 for children. Sample 6 had Total hazard index (HItotal) greater than 1for both female adult and children as 1.163 and 1.371 respectively. All water samples on this study had the presence of nitrate that were positive correlated with water quality index and only one of the samples nitrate concentration was associated with high health non-carcinogenic risk effect especially in children and women.

Novel Associations Between METTL3 Gene Polymorphisms and Pediatric Acute Lymphoblastic Leukemia: A Five-Center Case-Control Study

ObjectiveTo reveal the contributing role of METTL3 gene SNPs in pediatric ALL risk.Patients and MethodsA total of 808 pediatric ALL cases and 1,340 cancer-free controls from five hospitals in South China were recruited. A case-control study by genotyping three SNPs in the METTL3 gene was conducted. Genomic DNA was abstracted from peripheral blood. Three SNPs (rs1263801 C>G, rs1139130 A>G, and rs1061027 A>C) in the METTL3 gene were chosen to be detected by taqman real-time polymerase chain reaction assay.ResultsThat rs1263801 C>G, rs1139130 A>G, and rs1061027 A>C polymorphisms were significantly associated with increased pediatric ALL risk was identified. In stratification analyses, it was discovered that rs1263801 CC, rs1061027 AA, and rs1139130 GG carriers were more likely to develop ALL in subgroups of common B-ALL, MLL gene fusion. Rs1263801 CC and rs10610257 AA carriers were more possible to increase the risk of ALL in subgroups of low hyperdiploid, and all of these three SNPs exhibited a trend toward the risk of ALL. All of these three polymorphisms were associated with the primitive/naïve lymphocytes and MRD in marrow after chemotherapy in ALL children. Rs1263801 CC and rs1139130 AA alleles provided a protective effect on MRD ≥0.01% among CCCG-treated children. As for rs1139130, AA alleles provided a protective effect on MRD in marrow ≥0.01% on 33 days and 12 weeks among CCCG-treated children, but provided a risk effect on MRD in the marrow ≥0.01% among SCCLG-treated children. As for rs1263801 CC and rs1139130 AA, these two alleles provided a protective effect on MRD in the marrow ≥0.01% among CCCG-treated children.ConclusionIn this study, we revealed that METTL3 gene polymorphisms were associated with increased pediatric ALL risk and indicated that METTL3 gene polymorphisms might be a potential biomarker for choosing ALL chemotherapeutics.

MURABAHA-RELATED CREDIT RISK AND FINANCIAL PERFORMANCE OF ISLAMIC BANKS IN AFRICA

The uniqueness of Murabaha (cost-plus) financing has suggested another theoretical relationship between credit risk and the financial performance of banks. While studies from Asian countries supported this assertion, empirical analyses from Africa reported conventional findings on the credit risk effect on performance. These conflicting reports were partly due to the exclusion of factors specific to Murabaha financing in past studies in Africa. This study was conducted to assess the effect of credit risk on the financial performance of Islamic banks in Africa. Data were collected from annual reports of the selected Islamic banks for nine years from 2012 to 2020. A fixed-effect regression model was estimated after conducting the preliminary tests of Breusch Pagan Lagrange Multiplier (BP/LM) and Hausman. The study found that non-performing Murabaha (0.0220) and provision for impairment of Murabaha financing (0.3506) have positive effects on return on assets. The results were found to be significant at a 5% level of significance. Based on this finding, it was concluded that credit risk exposure that arises from Murabaha (transactions) financing tends to improve the financial performance of the banks. Therefore, the study recommends that Islamic banks increase their financing of Murabaha transactions to boost their profitability and compensate for high credit risk exposure.

Associated Factors and Use of Health Services by Elderly Men in Northeast Brazil

The objective of the research was to analyze the factors associated with the use of health services by elderly men in the Northeast region of Brazil. Cross-sectional analytical study with a secondary database of elderly men (n = 3238). The dependent variable was composed of the profiles of the use of health services and the independent variables were factors of predisposition, capacity, and health need. The statistical association and effect were performed using the Rao-Scott test with p < 0.05 and multinomial logistic regression. Elderly men with worse social indicators had a risk effect for using medium/high complexity services and those who had better health indicators were associated with sporadic medical appointment, revealing that health care for elderly men is centered on curative and rehabilitative care and that the use of health services is associated with the worst social indicators.

Why firms stop introducing innovations in the great recession: aggregate demand, financial constraints and risk

Purpose With Spanish Community Innovation Survey data, this paper tests two main hypotheses as explanation of the fall in business innovation output in the Great Recession: the aggregate demand effect (firms have lower propensity to initiate innovation projects in recession than in contraction from demand-pull and profit expectations effects) and the risk effect (a greater proportion of the initiated projects fail in recessions than in expansions). Design/methodology/approach The research methodology consists on first modelling the decision by firms to initiate innovation projects in t or not (probit model), and, second, modelling the outcomes, success or failure in t + 1 of firms that decide to initiate (Heckman model). Findings The empirical results support the two hypotheses. They also indicate that the sensitivity of the decision to initiate innovation projects to the aggregate demand is more pronounced among financially constrained firms than among unconstrained ones, while the risk effect appears to be independent of the financial situation of firms. Research limitations/implications The results of the research are limited by not being able to follow up individual innovation projects, and by not having available a more representative sample of firms where non-innovators and potential innovators are represented (now is biased toward potential innovators). Practical implications The results highlight the importance of macroeconomic stability for sustained business innovation output over time and calls managers’ attention in better management of innovation risk. Social implications The results of the paper recommend macroeconomic polies aimed at the stabilization of aggregate demand and smoothing the business cycle, as a way to contribute to the stabilization of the growth of innovation output over time. Monetary and fiscal policies that smooth the business cycle will then have significant effects in the stabilization of innovation output and, in turn, in the reduction of volatility of economic growth over time. Increasing the direct public financial aid to undertake innovation projects in recession periods will not have the same innovation output stabilization effect than the stabilization of the aggregate demand. The reason is that, as the paper points out, the innovation output of financially unconstrained firms is also affected negatively by the contraction of aggregate demand in recession periods. Originality/value This paper is the first one to investigate the differences in business innovation outputs in expansions and recessions, separating the aggregate demand and the risk effect that the organisation for economic co-operation and development identifies as main determinants of the fall in innovation output during the Great Recession. The decomposition of firms’ innovation output in the decision to initiate innovation projects and the likelihood that those initiated succeed is also new in the literature.

Associations between prenatal exposure to cadmium and lead with neural tube defect risks are modified by single-nucleotide polymorphisms of fetal MTHFR and SOD2: a case–control study

Background Prenatal exposure to heavy metals is implicated in the etiology of birth defects. We investigated whether concentrations of cadmium (Cd) and lead (Pb) in umbilical cord tissue are associated with risk for neural tube defects (NTDs) and whether selected genetic variants of the fetus modify their associations. Methods This study included 166 cases of NTD fetuses/newborns and 166 newborns without congenital malformations. Umbilical cord tissue was collected at birth or elective pregnancy termination. Cd and Pb concentrations were assessed by inductively coupled plasma-mass spectrometry, and 20 single-nucleotide polymorphisms (SNPs) in 9 genes were genotyped. Odds ratios (ORs) with 95% confidence intervals (CIs) were used to estimate the risk for NTDs in association with metal concentrations or genotype using logistic regression. Multiplicative-scale interactions between the metals and genotypes on NTD risk were assessed with logistic regression, and additive-scale interactions were estimated with a non-linear mixed effects model. Results Higher concentrations of Cd were observed in the NTD group than in the control group, but no difference was found for Pb. Concentrations of Cd above the median level showed a risk effect, while the association between Pb and NTD risk was not significant in univariate analyses. The association of Cd was attenuated after adjusting for periconceptional folic acid supplementation. Fetuses with the AG and GG genotypes of rs4880 in SOD2 (superoxide dismutase 2) tended to have a lower risk, but fetuses with the CT and TT genotypes of rs1801133 in MTHFR (5,10-methylenetetrahydrofolatereductase) have a higher risk for NTDs when compared to their respective wild-type. rs4880 and Cd exhibited a multiplicative-scale interaction on NTD risk: the association between higher Cd and the risk for NTDs was increased by over fourfold in fetuses carrying the G allele [OR 4.43 (1.30–15.07)] compared to fetuses with the wild-type genotype. rs1801133 and Cd exposure showed an additive interaction, with a significant relative excess risk of interaction [RERI 0.64 (0.02–1.25)]. Conclusions Prenatal exposure to Cd may be a risk factor for NTDs, and the risk effect may be enhanced in fetuses who carry the G allele of rs4880 in SOD2 and T allele of rs1801133 in MTHFR.

GJA1 rs2071165 A > G Variant Increased Gastric Cancer Risk in Females of Northwest China: A Case-Control Study

Gastric cancer (GC) is one of the most common malignancies, and its incidence rates vary widely between men and women. Previous studies have suggested that connexin 43 (Cx43, encoded by gap junction protein alpha 1 (GJA1)) and secretory carrier membrane protein 1 (SCAMP1) are key functional proteins in tumors. Herein, the association between GJA1 and SCAMP1 polymorphisms and GC susceptibility and prognosis was evaluated. A total of three single-nucleotide polymorphisms among 681GC patients and 756 controls were tested using the Agena MassARRAY RS1000 system, including GJA1 rs2071165, SCAMP1 rs4530741, and SCAMP1 rs6874309. The strength of the association with GC risk was assessed by the odds ratios (ORs) and 95% confidence intervals (CIs) generated from the logistic regression model. Kaplan–Meier curve, long-rank tests, and a multivariate Cox proportional hazard model were used for prognosis analysis. The expression of GJA1 was assessed by immunohistochemistry. The GJA1 rs2071165 AA/AG genotype significantly increased the risk of GC in the female Chinese population (OR = 1.55, 95% CI = 1.03–2.32, p = 0.034 ). Furthermore, the risk effect of GJA1 rs2071165 was more evident in the subgroups of female patients with GC, stratified by age, clinical stage, tumor size, and recurrence/metastasis. However, no obvious differences in Cx43 expression in GC tissues were observed between males and females. Furthermore, no significant association between SCAMP1 rs4530741 and rs6874309 polymorphisms and GC risk or prognosis was observed. In conclusion, this study suggests for the first time that the GJA1 rs2071165 polymorphism is associated with increased GC risk in females, revealing a potential new clinical marker for assessing GC risk in females.

Volatility and the Cross-Section of Real Estate Equity Returns during Covid-19

This paper uses the global systemic shock associated with the outbreak of the novel coronavirus Covid-19 to assess the risk-return relationship in the cross-section of real estate equities in the US and in selected Asian countries. I construct regional Covid-19 Risk Factors (CRFs) to assess how the risk exposure of stocks to the pandemic affects their performance. I find substantial differences between stocks in Asia and the US as a result of the pandemic. During the early stages of the pandemic, the sensitivity of Asian real estate companies to the market becomes negative, while it remains positive and increases in the US. Real estate sectors experience strong divergence in performance in the US while little sectoral difference is observed in Asia. The most affected sectors in the US are retail and hotels, while in Asia it is office. A Fama–MacBeth regression shows evidence for a low-risk effect during the Covid period: while insignificant prior to the pandemic, the return-risk relationship becomes significantly negative during the Covid period, with valuation effects driving the results in both regions. Firms in the US perform significantly worse if their exposure to the pandemic is higher, which is not the case in Asia. The results point towards strong divergence of expectations between US and Asian real estate companies in the onset of Covid-19, which may be associated with the level of prior experience to similar pandemics.