Volatility Modeling and Dependence Structure of ESG and Conventional Investments

The question of whether environmental, social, and governance investments outperform or underperform other conventional financial investments has been debated in the literature. In this study, we compare the volatility of rates of return of selected ESG indices and conventional ones and investigate dependence between them. Analysis of tail dependence is important to evaluate the diversification benefits between conventional investments and ESG investments, which is necessary in constructing optimal portfolios. It allows investors to diversify the risk of the portfolio and positively impact the environment by investing in environmentally friendly companies. Examples of institutions that are paying attention to ESG issues are banks, which are increasingly including products that support sustainability goals in their offers. This analysis could be also important for policymakers. The European Banking Authority (EBA) has admitted that ESG factors can contribute to risk. Therefore, it is important to model and quantify it. The conditional volatility models from the GARCH family and tail-dependence coefficients from the copula-based approach are applied. The analysis period covered 2007 until 2019. The period of the COVID-19 pandemic has not been analyzed due to the relatively short time series regarding data requirements from models’ perspective. Results of the research confirm the higher dependence of extreme values in the crisis period (e.g., tail-dependence values in 2009–2014 range from 0.4820/0.4933 to 0.7039/0.6083, and from 0.5002/0.5369 to 0.7296/0.6623), and low dependence of extreme values in stabilization periods (e.g., tail-dependence values in 2017–2019 range from 0.1650 until 0.6283/0.4832, and from 0.1357 until 0.6586/0.5002). Diversification benefits vary in time, and there is a need to separately analyze crisis and stabilization periods.

CRYPTOCURRENCIES OR CAPITAL MARKETS. COMPARATIVE ANALYSIS OF INVESTMENT EFFICIENCY IN 2011-2020

Cryptocurrencies have become an important element of the global financial system and a frequent investment tool in the last decade. The aim of this paper is to compare the efficiency of investments in the cryptocurrency market with investments in global capital markets. The study used the quotations of the analyzed instruments in the years 2011-2020. The investment efficiency was estimated using Sharpe and Sortino ratios. Research has shown that investments in cryptocurrencies were the most effective. They brought, on average, the highest daily rates of return, but on the other hand, they were characterized by the highest risk. Such a result could have been significantly influenced by the widespread persistence of ultra-low interest rates and a decline in the attractiveness of debt securities. The best results were obtained for investments in bitcoin and ethereum, which have the largest share of cryptocurrency market capitalization.

Hobo Economicus

The central implication of maximising behaviour amid competition is that rates of return tend toward equality. We test that implication in a market whose participants have the traits that behavioural economics suggests should make it hardest to find evidence of maximisation: the market for panhandling at Metrorail stations in Washington, DC. We find that stations with more panhandling opportunities attract more panhandlers and that cross-station differences in hourly panhandling receipts are statistically indistinguishable from zero. Panhandling rates of return thus tend toward equality. Extreme ‘behavioural’ traits do not prevent maximisation in this market.

Specialist Referral and Outcomes in Adolescent Athletes With Prior Concussion History

ObjectiveTo examine specialist referral patterns and clinical outcomes in adolescents with differing levels of prior concussion history.BackgroundLimited evidence exists on healthcare utilization and outcomes in concussed adolescent athletes with and without a history of prior concussion.Design/MethodsData were prospectively collected from participants aged 12–18 diagnosed with a sport-related concussion and documented prior concussion history between August 2015-March 2020. Participants were separated into 3 groups: 0, 1, and 2 + prior concussions. Demographics, medical history, specialist referrals, and clinical outcome variables obtained at 3-months post-concussion were analyzed.ResultsOne thousand one hundred ninety-seven participants were included: 114 (10.4%) had 2+, 213 (19.4%) had 1, and 770 (70.2%) had 0 prior concussions. There was no difference in sex or time to presentation. A small difference was found across age (15.3 ± 1.6 vs 14.9 ± 1.6 vs 14.5 ± 1.6 years, p < 0.001). Significant differences were also observed between groups in self-reported history of psychological disorders (14.9 vs 15 vs 8.4%, p = 0.01) and headaches/migraines (25.4 vs 20.2 vs 15.5%, p = 0.02). Significant differences between the groups were found in specialist referrals, with more referrals made in the 2 + group to physical therapy (39.6 vs 28.2 vs 23.4%, p = 0.001), neuropsychology (17.1 vs 5.3 vs 7.5%, p = 0.001), and neurology (8.9 vs 2.9 vs 2.2%, p = 0.001). Fewer participants in the 2 + group recovered in = 30 days (53.6 vs 65.6 vs 68.5%, p = 0.04) and reported lower rates of return to activity at 3-months post-concussion (67.9 vs 85.9 vs 87.6%, p < 0.001). No differences were seen in symptom severity, PHQ-8, or GAD-7 scores. All reported as 2 + vs 1 vs 0.ConclusionsConcussed adolescent athletes with a history of 2 or more prior concussions had a higher rate of specialist referrals, were less likely to have returned to prior level of play/activity 3 months following injury, and were less likely to have resolution of symptoms in 30 days or less.

Initial coin offering jako nowa forma finansowania i inwestycji

This part of the monograph is related to initial coin offering – a mechanism that allows blockchain-based companies or projects to obtain financing. In return for financial support, ICO participants are offered different types of digital tokens – payment, utility or investment tokens. The chapter contains the systematization of issues related to ICO and tokens as well as a description of stages of initial coin offering. The SWOT analysis of ICO highlights the strengths and opportunities related to ICO – inter alia the possibility of portfolio diversification and the limited access for individual investors to early-stage investments (apart from ICO). Also the weaknesses of initial coin offering (e.g. the need to prepare a due diligence by an investor) and associated risks (e.g. regulatory uncertainty) are considered. Moreover, the author identifies research areas related to ICO. They include, among others, the identification of ICO success factors and the identification of factors affecting the rates of return on tokens.

Reconstruction of medium-size defects of the oral cavity: radial forearm free flap vs facial artery musculo-mucosal flap

Background The radial forearm free flap (RFFF) is the most commonly used flap for defects of the oral cavity. The facial artery musculomucosal (FAMM) is a safe and effective method to reconstruct medium sized defects of the oral cavity. No comparison exists between the FAMM flap and RFFF. Methods 1) Retrospective chart review from 2007 to 2016. 2) Cost difference analysis. Results Thirteen FAMM flap cases and 18 RFFF met inclusion criteria. The FAMM flap showed a tendency to lower rates of return to the operating room (p = 0.065) as well as lower rates of complications not requiring return to the OR with 1 complication in 1 patient as opposed to 10 patients with 15 complications (p = 0.008). Also, FAMM flap had shorter operative times compared to the RFFF group (7.2HR and 8.9 HR respectively, p = 0.002). The average operative room related costs for a FAMM flap were 6510 CAD vs 10,703 CAD for RFFF (p < 0.0005). Speech and swallowing outcomes were similar (p > 0.05). Conclusion The FAMM flap can be used for reconstruction of medium-size defects of the oral cavity with functional outcomes similar to the RFFF while decreasing the associated costs and morbidity. Graphical Abstract

Central bank digital currency, loan supply, and bank failure risk: a microeconomic approach

Central bank digital currencies (CBDCs), which are legal tenders in digital form, are expected to reduce currency issuance and circulation costs and broaden the scope of monetary policy. In addition, these currencies may also reduce consumers’ need for conventional demand deposits, which, in turn, increases banks’ loan provision costs because deposits require higher rates of return. We use a microeconomic banking model to investigate the effects of introducing an economy-wide, account-type CBDC on a bank’s loan supply and its failure risk. Given that a CBDC is expected to lower the cost of liquidity circulation and become a strong substitute for demand deposits, both the loan supply and the bank failure risk increase. These increases are countered by subsequent increases in the rates of return on term deposits and loans, which, in turn, reduce the loan supply and thus bank failure risk. These offsetting forces lead to no significant change in banking, as long as the rate of return on loans is below a certain threshold. However, once the rate is above the threshold, bank failure risk increases, thereby undermining banking stability. The problem is more pronounced when the degree of pass-through of funding costs to the loan rate is high and the profitability of a successful project is low. Our results imply that central banks wishing to introduce an economy-wide, account-type CBDC should first monitor yields on bank loans and consider policy measures that induce banks to maintain adequate liquidity reserve levels.

Changes in the Stock Market of Food Industry Companies during the COVID-19 Pandemic—A Comparative Analysis of Poland and Germany

The COVID-19 pandemic had a dramatic effect on the world economy, leading to disturbances in the global agri-food system. Disrupted supply chains caused instability in the market resulting in mixed reactions among market participants. The balance in the access and availability of food was disturbed at various levels starting from local up to international. Partial lockdowns of economies affected the equilibrium on the labor market in the food sector, the level of income and food security. The aim of this study was to determine the effect of shock caused by the COVID-19 pandemic on rates of return from shares of companies in the agri-food sector listed in Poland and Germany, as well as indicate dependencies between restrictions imposed by the investigated countries and changes in the rates of return from shares as a result of the pandemic. The source of data for the analyses of the capital markets in Poland and Germany was the Thomson Reuters database. In order to determine the effect of shock caused by the coronavirus pandemic and restrictions imposed by the states on the capital market the abnormal rates of return were calculated for shares of 24 Polish and 23 German companies from the food sector. The investigated Polish companies were listed on the Warsaw Stock Exchange, while the German companies were listed on the Frankfurt Stock Exchange and other stock exchanges in Germany. Calculations were based on stock market indexes: for the Polish stock exchange it was WIG and WIG-food, while for the German capital market it was DAX and DAX Food & Beverages. In this study the Stringency Index was also used as a tool to follow the response of the governments to the coronavirus pandemic. The results indicate that following the pandemic outbreak large reductions were observed for cumulative rates of return from shares as a consequence of the pandemic both in Poland and Germany. Abnormal cumulative rates of return for the investigated companies were comparable. Markedly greater increases in abnormal rates of return were recorded for the Polish companies of the food sector listed at the Warsaw Stock Exchange. The Stringency Index indicates that restrictions imposed by the German authorities in response to the coronavirus pandemic were slightly more radical than those introduced by the Polish government.

The Influence of Investors’ Mood on the Stock Prices: Evidence from Energy Firms in Warsaw Stock Exchange, Poland

The subject of this publication is an analysis of the sentiment of stock exchange investors in terms of making investment decisions in the energy sector of the Polish stock exchange. The investment mood is considered in the context of the possible impact of weather factors on investment decisions. Possible effects are verified in relation to the rates of return and the volume of trading of energy sector entities. The analysis is carried out both in terms of co-integration analyses as well as in econometric terms, in the cross-section of classic OLS models or causality analysis using VAR vector autoregression models. The main purpose of the issues discussed is the problem of indicating (illustrating) the presence or absence of mutual relations between weather factors and the stock market in terms of the methods considered.