Idiosyncratic Measures Research Articles

Systematic staleness

Asset prices are stale. We define a measure of systematic (market-wide) staleness as the percentage of small price adjustments across multiple assets. A notion of idiosyncratic (asset-specific) staleness is also established. For both systematic and idiosyncratic staleness, we provide a limit theory based on joint asymptotics relying on increasingly-frequent observations over a fixed time span and an increasing number of assets. Using systematic and idiosyncratic staleness as moment conditions, we introduce novel structural estimates of systematic and idiosyncratic measures of liquidity obtained from transaction prices only. The economic signal contained in the structural estimates is assessed by virtue of suitable metrics.

Using Cognitive Analytic Therapy as a Transdiagnostic Intervention for Comorbid Personality Disorder, Posttraumatic Stress Disorder, and Functional Neurological Symptom Disorder: A Case Report of a 68 Woman’s Journey Toward the Integration of Dissociated Self-States

Functional neurological symptom disorder (FND) is associated with complex specialist investigations and poor prognosis. The theoretical understanding of FND posits that functional symptoms are predisposed by both psychological factors, including attachment disturbances and childhood trauma, and biological factors such as neuroplasticity and epigenetics. Current treatment recommendations include psychological therapy, with moderate effects observed with cognitive-behavioural therapy and psychodynamic therapy modalities, however, psychological understanding is key to success. The current case report describes cognitive analytic therapy (CAT) with a 68 year-old woman presenting to services with diagnoses of FND and borderline personality disorder (BPD). The target problem for therapy was integration of fragmented self-states (dissociative and driven) pertinent to both FND and BPD. 16 session CAT was delivered, with four follow up sessions, exploring unhelpful patterns of relating with self and others, based on an unconscious repertoire of internalised patterns and procedures from early life. CAT tools were used to facilitate change; reformulation and ending letters, mapping and the therapeutic relationship. Scores on the personality structure questionnaire (PSQ) and an idiosyncratic measure of state-shifting indicated positive outcomes, sustained at 3 month follow up. This shows modest early acceptability and feasibility of CAT for working with comorbid BPD and FND, providing a validating and blame free formulation of the development and maintenance of symptoms. Additional measures would have improved the ability to comment on the effectiveness of the treatment and future research implications are discussed.

CT-PTSD following a COVID-19 ICU admission in the context of unresolved grief, delirium and incurable cancer: a single case design with an older adult client

Abstract This case study recounts an application of Ehlers and Clark’s (2000) cognitive model of post-traumatic stress disorder (PTSD) to post-intensive care unit (post-ICU) PTSD. An AB single case design was implemented. The referred patient, Rosalind (pseudonym), completed several psychometric measures prior to the commencement of therapy (establishing a baseline), as well as during and at the end of therapy. Idiosyncratic measures were also implemented to capture changes during specific phases of treatment. The importance of the therapeutic alliance, particularly in engendering a sense of safety, was highlighted. Findings support the use of cognitive therapy for PTSD (CT-PTSD) with an older adult, in the context of a coronavirus infectious disease (COVID-19)-related ICU admission. This case is also illustrative of the effectiveness of implementing CT-PTSD in the context of co–morbid difficulties and diagnoses of delirium, depression, and complicated grief. Key learning aims (1) To recognise the therapeutic value of CT-PTSD in addressing PTSD following a COVID-19 admission, in the context of complicated grief and delirium. (2) To consider the importance of a strong therapeutic alliance when undertaking CT–PTSD. (3) To understand the intersection of complicated grief and delirium in the context of ICU trauma. (4) To consider the challenges in working with PTSD, whereby the target trauma (COVID–19 ICU admission) is linked with ongoing uncertainty and continuing indeterminate threat.

Psychometric Evaluation of Age Discrimination Measures Using Classic Test and Item Response Theories

AbstractAlthough workplace age discrimination research has been recognized as increasingly important, much less agreement has been reached regarding the operationalization and measurement of age discrimination. There are multiple age discrimination scales, yet no systematic investigation of potential convergence across those scales exists. We conducted two investigations of age discrimination scales that differ in multiple measurement characteristics (e.g., content domain). Findings of confirmatory factor analyses from Study 1 (N = 248) indicated that although different age discrimination scales were related to the same higher-order construct, they were not interchangeable as they each accounted for idiosyncratic measurement variance. The usage of different scales resulted in different magnitudes of the relationships between age discrimination and its correlates. In addition to the replication of these results in Study 2 (N = 939), an item response theory approach was applied to demonstrate that different age discrimination scales possess different levels of test information at different places of the latent trait continuum. Taken together, our findings provide implications for researchers to thoughtfully choose their operationalization of age discrimination.

Executive compensation linked to corporate social responsibility and firm risk

PurposeThe purpose of this study is to empirically examine the relationship between executive compensation linked to corporate social responsibility (CSR) and firm risk. It also explores the moderating role of CSR-linked compensation on the relationship between risk-taking incentives provided in executive compensation and firm risk.Design/methodology/approachThis study uses Ordinary Least Squares (OLS) and firm-fixed effects regressions to estimate the association between CSR-linked compensation and firm risk. Furthermore, it employs instrumental variable, propensity score matching and first-order difference approaches to address concerns about endogeneity and sample selection.FindingsBenchmark results show that CSR-linked compensation reduces both total and idiosyncratic measures of risk. Further results indicate that CSR-linked compensation reduces firm risk only when risk is above the optimal level and has no significant effect when risk is below the optimal level. Additionally, tests show that CSR-linked compensation also mitigates the positive effect of Vega of executive compensation on risk and this mitigation effect is significant only when risk is above the optimal level.Practical implicationsThe empirical results of this study show that boards can use CSR-linked compensation not only to induce higher social performance but also as a risk management tool to manage risk, especially when risk is above value increasing optimal levels. Furthermore, boards can use CSR-linked compensation to mitigate excessive risk-taking induced by option compensation.Originality/valueThis study contributes to the emerging literature on CSR-linked compensation and firm risk. To our knowledge, this is the first study that documents the direct risk-reducing effect of CSR-linked compensation and its mitigating effect on the relation between Vega of executive compensation and firm risk.

Does Innovation Explain the Skewness of Stock Returns?

This paper investigates the impact of firm-level innovation on the skewness of stock returns. Using data on a broad sample of equities from the major US stock exchanges, we find that innovative companies exhibit strong positive skewness. Our results are robust to both input and output measures of innovation as we find that increases in both firm-level research and development expenditure (R&D), as well as the number of patents, are positively associated with future stock return skewness. Our results hold using both systematic and idiosyncratic measures of skewness while controlling for various stock characteristics, time, and industry-fixed effects.

Pilot evaluation of a group stabilisation intervention for refugees and asylum seekers with PTSD.

Post-traumatic stress disorder (PTSD) is commonly experienced by asylum seekers and refugees (ASR). Evidence supports the use of cognitive behavioural therapy-based treatments, but not in group format for this population. However, group-based treatments are frequently used as a first-line intervention in the UK. This study investigated the feasibility of delivering a group-based, manualised stabilisation course specifically developed for ASR. The second aim was to evaluate the use of routine outcome measures (ROMs) to capture psychological change in this population. Eighty-two participants from 22 countries attended the 8-session Moving On After Trauma (MOAT) group-based stabilisation treatment. PHQ-9, GAD-7, IES-R and idiosyncratic outcomes were administered pre- and post-intervention. Seventy-one per cent of participants (n = 58) attended five or more of the treatment sessions. While completion rates of the ROMs were poor - measures were completed at pre- and post-intervention for 46% participants (n = 38) - a repeated-measures MANOVA indicated significant improvements in depression (p = .001, ηp2 = .262), anxiety (p = .000, ηp2 = .390), PTSD (p = .001, ηp2 = .393) and idiosyncratic measures (p = .000, ηp2 = .593) following the intervention. Preliminary evidence indicates that ASR who attended a low-intensity, group-based stabilisation group for PTSD experienced lower mental health scores post-group, although the lack of a comparison group means these results should be interpreted with caution. There are significant challenges in administering ROMs to individuals who speak many different languages, in a group setting. Nonetheless, groups have benefits including efficiency of treatment delivery which should also be considered.

Toward a Model for Marking up Non-SI Units and Measurements

This paper presents a markup model for encoding non-SI units and measurements. Historical texts contain many examples of compound measurements, composed of sets of units and numerical components. Instead of using the <measure> element, which requires a single set of @unit and @quantity, we propose a newly defined set of tags for encoding idiosyncratic measurement semantics, namely <unitDecl> (model.encodingDescPart), <unitDef> (model.global and contained by <unitDecl>), <unit> (model.measureLike), and a relevant attribute @factor (which shows factors of numerical values given in a referenced <unit> element). All of these elements and attributes will be included in the TEI P5 Guidelines, and they are especially useful when encoding units that are not based on the decimal system. Though this paper offers example encodings based on a Japanese historical source, the Engi-Shiki, this model is also applicable to the markup of units used for measurement within various cultural spheres other than Japan.

CEO power and corporate risk: The impact of market competition and corporate governance

AbstractResearch Question/IssueAlthough there is no unified theory that can explain the relationship between CEO power and corporate risk, the empirical evidence generally finds a positive association. This study argues that market competition and corporate governance play critical roles in influencing this relationship.Research Findings/InsightsUsing a large panel of nonfinancial U.S. corporations for the period 1992–2015, I find that CEO power is positively associated with total and idiosyncratic measures of risk. However, this positive association remains significant only when market competition is high or corporate governance is strong.Theoretical/Academic ImplicationsThe research design of this study combines the predictions of agency theory, the behavioral agency model, and prospect theory to further our understanding of the relationship between CEO power and corporate risk, including consideration of how competition and corporate governance influence this relationship.Practitioner/Policy ImplicationsThe empirical evidence presented in this study can help boards to more accurately gauge when CEO power is most beneficial in terms of optimal levels of corporate risk and to better understand the relationship between power and risk. The results suggest that boards should grant more power to their CEOs when their firms operate in high‐competition markets or have strong corporate governance in place.

CoRisk: Credit Risk Contagion with Correlation Network Models

We propose a novel credit risk measurement model for Corporate Default Swap (CDS) spreads that combines vector autoregressive regression with correlation networks. We focus on the sovereign CDS spreads of a collection of countries that can be regarded as idiosyncratic measures of credit risk. We model CDS spreads by means of a structural vector autoregressive model, composed by a time dependent country specific component, and by a contemporaneous component that describes contagion effects among countries. To disentangle the two components, we employ correlation networks, derived from the correlation matrix between the reduced form residuals. The proposed model is applied to ten countries that are representative of the recent financial crisis: top borrowing/lending countries, and peripheral European countries. The empirical findings show that the contagion variable derived in this study can be considered as a network centrality measure. From an applied viewpoint, the results indicate that, in the last 10 years, contagion has induced a “clustering effect” between core and peripheral countries, with the two groups further diverging through, and because of, contagion propagation, thus creating a sort of diabolic loop extremely difficult to be reversed. Finally, the outcomes of the analysis confirm that core countries are importers of risk, as contagion increases their CDS spread, whereas peripheral countries are exporters of risk. Greece is an unfortunate exception, as its spreads seem to increase for both idiosyncratic factors and contagion effects.

Xylem traits, leaf longevity and growth phenology predict growth and mortality response to defoliation in northern temperate forests.

Defoliation outbreaks are biological disturbances that alter tree growth and mortality in temperate forests. Trees respond to defoliation in many ways; some recover rapidly, while others decline gradually or die. Functional traits such as xylem anatomy, growth phenology or non-structural carbohydrate (NSC) storage could explain these responses, but idiosyncratic measures used by defoliation studies have frustrated efforts to generalize among species. Here, I test for functional differences with published growth and mortality data from 37 studies, including 24 tree species and 11 defoliators from North America and Eurasia. I synthesized data into standardized variables suitable for numerical models and used linear mixed-effects models to test the hypotheses that responses to defoliation vary among species and functional groups. Standardized data show that defoliation responses vary in shape and degree. Growth decreased linearly or curvilinearly, least in ring-porous Quercus and deciduous conifers (by 10-40% per 100% defoliation), whereas growth of diffuse-porous hardwoods and evergreen conifers declined by 40-100%. Mortality increased exponentially with defoliation, most rapidly for evergreen conifers, then diffuse-porous, then ring-porous species and deciduous conifers (Larix). Goodness-of-fit for functional-group models was strong (R2c = 0.61-0.88), if lower than species-specific mixed-models (R2c = 0.77-0.93), providing useful alternatives when species data are lacking. These responses are consistent with functional differences in leaf longevity, wood growth phenology and NSC storage. When defoliator activity lags behind wood-growth, either because xylem-growth precedes budburst (Quercus) or defoliator activity peaks later (sawflies on Larix), impacts on annual wood-growth will always be lower. Wood-growth phenology of diffuse-porous species and evergreen conifers coincides with defoliation and responds more drastically, and lower axial NSC storage makes them more vulnerable to mortality as stress accumulates. These functional differences in response apply in general to disturbances that cause spring defoliation and provide a framework that should be incorporated into forest growth and vegetation models.

Measuring social entrepreneurship and social value with leakage. Definition, analysis and policies for the hospitality industry

The aim is to analyze, define and examine the connections between social entrepreneurship and the generation of social value, considering the concept of leakage as a measure of social value creation and distribution for the hospitality industry. The paper also proposes an exploratory-theoretical framework of policies to promote social entrepreneurship in hospitality, reduce leakage, and increase the generation of social value. Firstly, the paper concentrates on the figure of the social entrepreneur as a promoter of social value creation. Secondly, it analyzes social value creation in hospitality and its measurement. Then, the article studies and presents leakage as an instrument to monitor social value created by social entrepreneurship in hospitality. Finally, the paper proposes a wide framework of policies to enhance social value creation in hospitality, through the reduction of leakage and reinforcement of social entrepreneurship. Leakage is a useful indicator to monitor social value creation in the hospitality industry. The reduction of leakage can gauge the success of policies promoting social entrepreneurship activities which improve social value creation for the host society. The paper proposes proper and idiosyncratic measures of social value creation in hospitality. It also provides a mechanism to measure the effectiveness of the actions designed to generate social entrepreneurship and social value, at a destination and also at firm or hotel level. A complete framework of actions and policies addressed to increase social entrepreneurship and social value is also proposed.

Inflation uncertainty revisited: a proposal for robust measurement

Any measure of unobserved inflation uncertainty relies on specific assumptions which are most likely not fulfilled completely. This calls into question whether an individual measure delivers a reliable signal. To reduce idiosyncratic measurement error, we propose using common information contained in different measures derived from survey data, a variety of forecast models, and volatility models. We show that all measures are driven by a common component, which constitutes an indicator for inflation uncertainty. Moreover, our results suggest that using only one individual disagreement measure may be misleading, particularly during turbulent times. Finally, we study the Friedman–Ball hypothesis. Using the indicator, we show that higher inflation is followed by higher uncertainty. By contrast, we obtain contradictory results for the individual measures. We also document that, after an inflationary shock, uncertainty decreases in the first two months, which is traceable to the energy component in CPI inflation.

Cognitive behavioural therapy for anxiety in a man with Autism Spectrum Disorder, Intellectual Disability, and social phobia

Purpose– This paper evaluates the effectiveness of cognitive-behavioural therapy (CBT) in the treatment of social anxiety with a 19-year-old man with intellectual disabilities (ID) and autistic spectrum disorders.Design/methodology/approach– The intervention was evaluated using an A-B single case design. An idiosyncratic measure was developed to measure anxiety symptoms on a daily basis. The brief symptom inventory (BSI; Derogatis, 1975) measured symptom patterns across nine psychological dimensions and was administered at initial assessment, pre-intervention and post-intervention.Findings– Visual and statistical analysis of the data showed that anxiety severity dramatically reduced throughout the course of therapy, reaching and maintaining zero and this was statistically significant. Data seemed to show that sudden gains in the reduction of anxiety severity occurred during the relaxation and cognitive phases of intervention. This sudden gain coincided with an increase in daily activities, and exposure to more anxiety provoking events which was also statistically significant. Global anxiety scores, as measured by the BSI, showed a notable reduction at post-treatment.Originality/value– This paper demonstrates that CBT can bring about meaningful improvements in the treatment of anxiety in people with ID and autism and suggests that further exploration with the wider population is needed.

Idiosyncratic Volatility, Measurement Frequency and Return Reversal

This paper examines whether the negative relation between idiosyncratic volatility and expected returns is due to stock return reversals as argued by Fu (2009) and Huang, Liu, Rhee and Zhang (2010). Controlling the return reversal effect, it shows that stocks with different past returns have different relations. The positive relation is mainly driven by stocks with low past returns, while the negative relation is result from stocks with high past returns. Additionally, the relation is very sensitive to the measurement frequency of idiosyncratic volatility, and the daily realized idiosyncratic volatility measure is a better proxy for the expected idiosyncratic volatility than the monthly measure. By employing an exponential generalized autoregressive conditional heteroskedascticity-in-mean (EGARCH-M) model, this paper finds a strong positive relation between time-varying risk premium and idiosyncratic volatility for portfolios containing stocks with low past returns and small portfolio, and a negative relation for growth portfolio.

Nice or smart? Task relevance of self-characteristics moderates interpersonal projection

Two studies investigated the impact of trait relevance to a specific task on people's projection of their characteristics onto a cooperative partner. We either measured (Study 1) or manipulated (Study 2) the relevance of a trait to a specific cooperative task. In both studies, participants first rated themselves on a list of traits. Then they imagined completing a cooperative task with an unknown partner. Finally, they rated the partner on the same list of traits. In Study 1, we found partner ratings to be positively influenced by self ratings and the idiosyncratic measure of trait relevance. In Study 2, participants rated the self and the partner on competence and warmth traits while completing an intellectual or a social task. We found partner ratings to be positively influenced by self ratings more on competence than on warmth in the intellectual task, but more on warmth than on competence in the social task. These results suggest that people project onto others in a way that maximizes their chances to succeed in cooperation.

The psychometric properties of the Socio-Moral Reflection Measure – Short Form and the Moral Theme Inventory for men with and without intellectual disabilities

Drawing conclusions from the literature regarding the moral development of people with intellectual disabilities (IDs) is difficult because of the use of unstandardised and idiosyncratic measures. In order to address this short-coming, a moral reasoning production measure (the Socio-Moral Reflection Measure – Short Form; SRM-SF) and a recognition measure (the Moral Theme Inventory; MTI) were presented to men with and without IDs who had no known history of engaging in illegal behaviour. The instruments were completed on two occasions, separated by a two-week interval, in order to investigate their basic psychometric properties. The results indicated that there was a strong relationship between the MTI and the SRM-SF, suggesting that the MTI has convergent validity. The internal consistency of the MTI and the SRM-SF ranged from moderate to substantial for both men with and without IDs. However, the test–retest reliability of the MTI was poor for men with IDs, while it was good for men without IDs. The test–retest reliability of the SRM-SF was good for both men with and without IDs. Comparison of the moral reasoning abilities of men with and without IDs suggested that many of the differences between the two groups could be accounted for by general intellectual functioning. The exception was overall score on the SRM-SF and moral reasoning in relation to the law, where men with IDs scored at stage 2(1), when intelligence was controlled. The results were interpreted by suggesting that the relationship between moral reasoning and illegal behaviour may take an inverted U curve shape, moderated by intelligence.

Idiosyncratic Risk and the Cross-Section of Realized Returns: Reconciling the Aggregate Returns’ Predictability Evidence

Whether idiosyncratic volatility has increased over time and whether it is a good predictor of future returns is a matter of active debate. We show formally through central limit arguments that there is a direct relationship between the dynamics of the cross-sectional variance of realized returns and the dynamics of average idiosyncratic variance. A key advantage of this measure is its observability at any frequency, while previous approaches have been limited to use monthly estimations. Another is that the concept extends naturally to cross-sectional higher-order moments. We confirm previous results obtained with other measures and provide new evidence on the time-series properties and predictive power of idiosyncratic risk on the market return that could not have been obtained with traditional measures. In particular, we find that the use of daily estimations and the introduction of robust proxies for higher-order moments induce a very substantial increase in the explanatory power of idiosyncratic risk on the average market portfolio return. Additionally, we provide some criteria for the choice of the weighting scheme used on the measure of idiosyncratic variance and find that taking a consistent weighting for the idiosyncratic variance measure and the market portfolio, leads to robust conclusions on the predictability exercise across different sample periods. This suggests that one important source of debate around the relationship between the market portfolio return and idiosyncratic volatility is precisely related to inconsistent choices on the weighting scheme.

Anticipated cooperation vs. competition moderates interpersonal projection

Two experiments investigated the impact of anticipated interdependence on people’s projection of their characteristics onto an unknown target. After participants had rated themselves on a list of personality traits, they were led to expect a situation of cooperation or competition with another participant and rated this participant on the same list of traits. In both experiments, projection of self-attributed traits was stronger under cooperation than competition. This effect was independent of trait valence, whether defined a priori (Experiment 1) or as an idiosyncratic measure (Experiment 2). Experiment 2 also revealed that the moderation of interpersonal projection by interdependence was not driven by changes in participants’ self-representation. These findings suggest that the anticipated interdependence context influences the way we perceive similarity with unknown others. We discuss possible cognitive and motivational mechanisms underlying this effect.

Atopic Dermatitis: Impact on the Quality of Life of Patients and Their Partners

Background: The impact of atopic dermatitis (AD) on the patient’s quality of life is relatively well known. However, the influence on the patient’s spouse has never been studied. Objective: To evaluate the impact of AD on the quality of life, sleeping and sexual life of patients and their partners. Methods: In this cross-sectional study, patients and their partners completed a number of questionnaires asking about their general health and their quality of life [Short Form 12, Epworth, Dermatology Life Quality Index (DLQI)] and completed an idiosyncratic measure asking about their sexual functioning. AD severity was clinician rated using Scoring atopic dermatitis (SCORAD). Results: A total of 266 patients were included. The mean DLQI score was 8.8. The physical and mental composite 12 scores were 50.7 and 39.5, respectively. These 3 scores were significantly related to SCORAD. A decrease in sexual desire due to AD was noted in 57.5% of patients. The quality of life of partners did not appear to be particularly impaired, but 36.5% reported that the appearance of eczema had an impact on their sex life. Conclusion: The influence of AD on sex life is significant both for the patients and their partners.