Positive Cross-sectional Relationship Research Articles

Asymmetry and the Cross-section of Option Returns

We propose a novel measure of upside asymmetry based on probability density function that utilizes information from the distribution of option returns. Our analysis of U.S. option data reveals a positive cross-sectional relationship between the upside asymmetry (RML) and subsequent option returns. This relationship cannot be explained by stock or option characteristics studied in previous literature and do not reverse in the following months. Additionally, the relationship is stronger among firms with higher costs of arbitrage. RML robustly predicts future realized and implied volatilities after controlling for historical volatility and lagged implied volatility.

Childhood sleep health and epigenetic age acceleration in late adolescence: Cross-sectional and longitudinal analyses.

Investigate if childhood measures of sleep health are associated with epigenetic age acceleration in late adolescence. Parent-reported sleep trajectories from age 5 to 17, self-reported sleep problems at age 17, and six measures of epigenetic age acceleration at age 17 were studied in 1192 young Australians from the Raine Study Gen2. There was no evidence for a relationship between the parent-reported sleep trajectories and epigenetic age acceleration (p ≥ 0.17). There was a positive cross-sectional relationship between self-reported sleep problem score and intrinsic epigenetic age acceleration at age 17 (b=0.14, p=0.04), which was attenuated after controlling for depressive symptom score at the same age (b=0.08, p=0.34). Follow-up analyses suggested this finding may represent greater overtiredness and intrinsic epigenetic age acceleration in adolescents with higher depressive symptoms. There was no evidence for a relationship between self- or parent-reported sleep health and epigenetic age acceleration in late adolescence after adjusting for depressive symptoms. Mental health should be considered as a potential confounding variable in future research on sleep and epigenetic age acceleration, particularly if subjective measures of sleep are used.

Longitudinal association of allostatic load with depressive symptoms among urban adults: Healthy Aging in Neighborhoods of Diversity across the Life Span study

BackgroundEvidence suggests that lifetime exposure to stressful life events and chronic stressors may be linked to geriatric depression. Allostatic load (AL) is considered a mediator of the stress-health relationship and has been linked to psychosocial factors reflecting health disparities. The purpose of this study was to examine the longitudinal associations of AL with depressive symptoms scores among urban adults, before and after stratifying by sex and race. MethodsSecondary analyses were performed using Visit 1 (2004–2009), Visit 2 (2009–2013) and Visit 3 (2013–2017) data collected on 2298 Healthy Aging in Neighborhoods of Diversity across the Life Span study participants (baseline age: 30–64 y). AL at Visit 1 (ALv1) and z-transformed probability of higher AL trajectory (ALtraj) between Visits 1 and 3 were calculated using cardiovascular, metabolic and inflammatory risk indicators. The 20-item Center for Epidemiologic Studies Depression (CES-D) scale was used to calculate total and domain-specific depressive symptoms scores. Mixed-effects linear models controlled for socio-demographic, lifestyle and health characteristics. ResultsIn fully adjusted models, a positive cross-sectional relationship was observed between ALv1 and “somatic complaints” depressive symptoms (β = 0.21, P = 0.006) score at Visit 1, whereas ALtraj was associated with increasing depressive symptoms score (β = 0.086, P = 0.003) between Visits 1 and 3. An inverse relationship was observed between ALtraj and “positive affect” depressive symptoms score at Visit 1 among women (β = −0.31, P < 0.0001) and White adults (β = −0.32, P = 0.004). Among women, ALtraj was also positively related to change in “somatic complaints” depressive symptoms score between Visits 1 and 3 (β = 0.043, P = 0.020). ConclusionsAmong urban adults, AL may be associated with “somatic complaints” depressive symptoms at baseline. Higher AL trajectories may predict increasing depressive symptoms (overall) and increasing “somatic complaints” depressive symptoms (among women). A higher AL trajectory may be associated with lower “positive affect” depressive symptoms at baseline among women and White adults only.

The impact of psychosocial working conditions on information security behaviour in the nuclear industry

PurposeThe purpose of this paper is to investigate the relations among job resources, value conflicts, information security climate and information security behaviour in the nuclear industry.Design/methodology/approachLongitudinal questionnaire data on information security climate and psychosocial working conditions were collected from two organisations in Sweden (response rate 62% and 59%, respectively).FindingsA high occurrence of value conflicts decreased the participative information security behaviour, while psychosocial job resources and high job demands had positive effects on such behaviour. High rule-compliant information security behaviour led to fewer perceived value conflicts. When job resources were high, high job demands had a positive effect on rule compliance. Information security climate had a strong and positive cross-sectional relationship with information security behaviour but no longitudinal influence on behaviour. This suggests that the time interval, one year between measurements, may have been too long and events between measurements may have masked the causal process.Originality/valueAs one of very few longitudinal studies of information security, this study illuminated causal relationships regarding information security behaviour that have not been possible to identify in previous cross-sectional research. This enables better understanding of psychosocial phenomena and processes of importance for information security. This study does not provide conclusive results but indicates new important directions for research.

Downside risk and the cross-section of cryptocurrency returns

This paper investigates whether investors can earn higher profits by holding cryptocurrencies with higher downside risk. Both portfolio-level analyses and cryptocurrency-level cross-sectional regressions suggest a positive cross-sectional relation between downside risk and future returns in the cryptocurrency market. In addition to the risk-return tradeoff theory, the limits-to-arbitrage theory also has some explanatory power for these results. Moreover, we examine the source of downside risk premium, the existence of upside risk premium, as well as the intertemporal relation between downside risk and future returns. Collectively, our findings highlight the important role of downside risk in determining cryptocurrency prices.

Is there a risk-return tradeoff in the corporate bond market? Time-series and cross-sectional evidence

We provide time-series and cross-sectional evidence on the significance of a risk-return tradeoff in the bond and equity markets. We find a significantly positive intertemporal relation between expected return and risk in the bond market. We also propose novel measures of systematic and idiosyncratic risk for individual corporate bonds and find a significantly positive cross-sectional relation between systematic risk and expected bond returns, whereas there is no significant link between idiosyncratic risk and future bond returns. We provide an explanation for the significance of systematic (idiosyncratic) risk based on different investor preferences and informational frictions in the bond (equity) market.

Cross-sectional and Longitudinal Associations between Peer Television Co-viewing and Media Internalization in Adolescent Girls and Boys.

Despite the potential of peers to reinforce cultural appearance ideals, little work on peer media co-viewing has focused on body image. This study therefore examined relationships among peer television co-viewing, perceptions of media as important appearance-related information sources, and internalization of media appearance ideals. Adolescents aged 10-14 were included (Study 1: N = 363, Mage (SD) = 12.30 (0.86), 56.5% female; Study 2: N = 959, Mage (SD) = 11.17 (1.11), 48.9% female). Evidence emerged for a positive cross-sectional relationship between peer television co-viewing and media internalization, via media credibility. However, longitudinally, among adolescents reporting frequent media-related peer conversations, peer television co-viewing was negatively associated with media credibility. Peer co-viewing and mediation may be implicated in appearance-related beliefs among adolescents.

The Role of Alcohol-Related Proactive Dietary Restriction to Feel the Psychoactive Effects of Alcohol Faster on Binge Drinking Frequency among Freshmen College Students

Background There is a positive cross-sectional relationship between alcohol-related proactive dietary restriction to feel the effects of alcohol faster (APDR) and binge drinking, a health and safety issue impacting college students. Objective: To examine: 1) the longitudinal predictive ability of varying levels of APDR on binge drinking frequency; and 1a) the strength of the relationship between varying levels of APDR and binge drinking frequency during freshman year of college (n = 1,149). Methods Ordinal logistic regression was used to model the relationship between APDR and binge drinking frequency. Results Main findings suggest APDR of students who reported eating less than usual (low APDR) prior to drinking to feel the effects of alcohol faster was a significant predictor of binge drinking frequency (1.27 (95% CI, 0.06 to 0.42), Wald χ 2 (1) = 8.46, p=.009) at baseline, but not at 7-month follow-up (1.02 (95% CI, −0.18 to 0.23), Wald χ 2 (1) = .51, p=.83). APDR for students who reported skipping one or more meals (high APDR) to feel the effects of alcohol faster was not a significant predictor of binge drinking frequency at baseline nor at 7-month follow-up. Conclusion Low APDR is a significant predictor of binge drinking frequency that is established early in the first semester of college with no significant change occurring in binge drinking frequency over the course of students’ freshman year at 7-month follow-up. Campus health professionals are urged to emphasize the detrimental health effects of low APDR early in the first semester of college.

Dissecting Bond Volatility

This paper documents a positive cross-sectional relation between returns and lagged idiosyncratic volatility (IVOL) in the corporate bond market. The relation is stronger following periods of low funding liquidity due to a funding liquidity driven decrease in returns and its subsequent reversal. Three exogenous shocks – (i) the Volcker Rule which restricted the participation of dealers in the corporate bond market in 2014, (ii) the Global Financial Crisis of 2008, and (iii) the COVID-19 crisis of 2020, are used to establish causality between funding liquidity and the positive IVOL-return relation.

Social Repercussions of Pandemics

Epidemics may have social scarring effects, increasing the likelihood of social unrest. They may also have mitigating effect, suppressing unrest by dissuading social activities. Using a new monthly panel on social unrest in 130 countries, we find a positive cross-sectional relationship between social unrest and epidemics. But the relationship reverses in the short run, implying that the mitigating effect dominates in the short run. Recent trends in social unrest immediately before and after the COVID-19 outbreak are consistent with this historic evidence. It is reasonable to expect that, as the pandemic fades, unrest may reemerge in locations where it previously existed.

Risk-Neutral Skewness, Informed Trading, and the Cross Section of Stock Returns

AbstractIn this article, we use volatility surface data from options contracts to document a strong, robust, and positive cross-sectional relation between risk-neutral skewness (RNS) and subsequent stock returns. The differential return between high- and low-RNS stocks amounts to 0.17% per week. Preannouncement RNS is positively related to earnings announcement returns, and the positive RNS–return relation is more pronounced for other nonscheduled news releases. This suggests that it is informed trading that drives the positive relation between RNS and subsequent stock returns. We also find that RNS contains incremental information beyond trading signals captured by option-implied volatility and volume.

The cross-section of emerging market stock returns

Using monthly stock returns from 28 emerging market countries and a total sample period of 21 years, we investigate the predictive power of a broad set of factors. We document that the factor definitions of the Fama and French (2015) five-factor model are less robust compared to alternative factor definitions. In contrast, the anomalous returns associated with cash flow-to-price, gross profitability, composite equity issuance, and momentum are pervasive as they show up in equal- and value-weighted portfolio sorts as well as in cross-sectional regressions. In contrast to financial theory and in line with previous findings, we do not find a positive cross-sectional relationship between risk and return. Finally, return forecasts derived from the alternative factor definitions are superior in their out-of-sample predictive ability to the ones derived from the five-factor model.

Risk-Neutral Skewness and Informed Trading

This paper uses the volatility surface data from options contracts to document a strong, robust, and positive cross-sectional relation between risk-neutral skewness (RNS) and subsequent stock returns. The differential return between high and low RNS stocks amounts to 0.17% per week. Pre-announcement RNS is positively related to earnings announcement returns, and the positive RNS-return relation is more pronounced for other non-scheduled news releases, suggesting that it is informed trading that drives the positive relation between RNS and returns. We also find that RNS contains incremental information beyond trading signals captured by option implied volatility and volume.

The Cross-Section of Emerging Market Stock Returns

Using monthly stock returns from 28 emerging market countries and a total sample period of 21 years, we investigate the predictive power of a broad set of factors. We document that the factor definitions of the Fama and French (2015) five-factor model are less robust compared to alternative factor definitions. In contrast, the anomalous returns associated with cash flow-to-price, gross profitability, composite equity issuance, and momentum are pervasive as they show up in equal- and value-weighted portfolio sorts as well as in cross-sectional regressions. In contrast to financial theory and in line with previous findings, we do not find a positive cross-sectional relationship between risk and return. Finally, return forecasts derived from the alternative factor definitions are superior in their out-of-sample predictive ability to the ones derived from the five-factor model.

Book to market ratio and expected stock return: An empirical study on the Colombo stock market

The book to market capitalization of firms become one of the common risk factor on asset pricing models. The impact of book to market equity of firms on stock returns was initially found in US market and subsequently tested in many international markets both in developed and developing markets. However, the empirical test of value effect in Sri Lankan stock market seems hard to find in literature. Therefore, this study examines existence of value effect on stocks returns in the Colombo stock market as an emerging capital market. The analysis show a weak positive cross sectional relationship between stock return and Book to Market ratio of stock and existence of value effect.

Value Effect and Macroeconomic Risk

The authors study the extent to which macroeconomic risk (i.e., the innovations in macroeconomic variables) drives the positive cross-sectional relationship between future stock returns and relative firm value, using such measures as the book-to-market ratio and earnings-to-price ratio. The authors provide evidence that value stocks are riskier than growth stocks. They show that value stocks have higher risk loadings than growth stocks on the growth rate of industrial production, the term premium, and the default premium. They also find that the risk loadings and risk premiums account for more than half of the average return spreads between value and growth portfolios. The evidence suggests that risk plays an important role in explaining the value effect, which has implications for value and growth investment.

Fasting levels of growth hormone are associated with carotid intima media thickness but are not affected by fluvastatin treatment

BackgroundGrowth hormone (GH) has been linked to cardiovascular disease but the exact mechanism of this association is still unclear. We here test if the fasting levels of GH are cross-sectionally associated with carotid intima media thickness (IMT) and whether treatment with fluvastatin affects the fasting level of GH.MethodsWe examined the association between GH and IMT in 4425 individuals (aged 46–68 years) included in the baseline examination (1991–1994) of the Malmö Diet and Cancer cardiovascular cohort (MDC-CC). From that cohort we then studied 472 individuals (aged 50-70 years) who also participated (1994–1999) in the β-Blocker Cholesterol-Lowering Asymptomatic Plaque Study (BCAPS), a randomized, double blind, placebo-controlled, single-center clinical trial. Using multivariate linear regression models we related the change in GH-levels at 12 months compared with baseline to treatment with 40 mg fluvastatin once daily.ResultsIn MDC-CC fasting values of GH exhibited a positive cross-sectional relation to the IMT at the carotid bulb independent of traditional cardiovascular risk factors (p = 0.002). In a gender-stratified analysis the correlation were significant for males (p = 0.005), but not for females (p = 0.09). Treatment with fluvastatin was associated with a minor reduction in the fasting levels of hs-GH in males (p = 0.05) and a minor rise in the same levels among females (p = 0.05).ConclusionsWe here demonstrate that higher fasting levels of GH are associated with thicker IMT in the carotid bulb in males. Treatment with fluvastatin for 12 months only had a minor, and probably not clinically relevant, effect on the fasting levels of hs-GH.

White blood cell inflammatory markers are associated with depressive symptoms in a longitudinal study of urban adults

Total white blood cell count (TWBCC) and percentage (%) composition of lymphocytes (PL) or neutrophils (PN) are linked to mid- and late-life depression, though sex-specific temporal relationships between those inflammatory markers and depressive symptoms remain unclear. The association between inflammation and depressive symptoms in longitudinal data on ethnically and socioeconomically diverse urban adults was examined with two hypotheses. In hypothesis 1, we examined the relationship between TWBCC, PL and PN with change in level of depressive symptoms from baseline to follow-up, stratifying by sex. In hypothesis 2, we examined reverse causality, by testing the relationship of depressive symptoms with change in TWBCC, PL and PN. Multiple linear mixed-effects regression models were performed to examine both the hypotheses. The sample sizes of participants (n) and repeated observations (n') were: Hypothesis 1 (n=2009; n'=3501); Hypothesis 2 (n=2081; n'=3560). Among key findings (Hypothesis 1), in women, higher TWBCC was linked to a faster increase in depressive symptom total score (γ1112±s.e.: +0.81±0.28, P=0.003), with a slower increase over time in the positive affect subdomain coupled with faster increases in depressed affect and somatic complaints. Among women, baseline score on somatic complaints was positively associated with low PN (γ01a=+1.61±0.48, P<0.001) and high PL (γ01a=+1.16±0.45, P=0.011), whereas baseline score on positive affect was inversely related to higher PL (γ01a=−0.69±0.28, P=0.017). Results among men indicated that there was a positive cross-sectional relationship between low TWBCC and depressive symptoms, depressed affect and an inverse cross-sectional relationship with positive affect. However, over time, a low TWBCC in men was linked to a higher score on positive affect. There was no evidence of a bi-directional relationship between WBC parameters and depressive symptoms (Hypothesis 2). In sum, TWBCC and related markers were linked to depressive symptoms, mostly among women. Further longitudinal studies are needed to replicate this sex-specific association.

Investor Sentiment, Limited Arbitrage, and the Cash Holding Effect

We examine the investor sentiment and limits-to-arbitrage explanations for the positive cross-sectional relation between cash holdings and future stock returns. Consistent with the investor sentiment hypothesis, we find that the cash holding effect is significant when sentiment is low, and it is insignificant when sentiment is high. In addition, the cash holding effect is strong among stocks with high transaction costs, high short selling costs, and large idiosyncratic volatility, indicating that arbitrage on the cash holding effect is costly and risky. In line with the limits-to-arbitrage hypothesis, high costs and risk prevent rational investors from exploiting the cash holding effect.

Beyond the lab: Investigating early adolescents' cognitive, emotional, and arousal responses to violent games

Cognitive, emotional, and arousal responses to violent games play a central role in theoretical explanations of how violent media may affect aggression. However, existing research has focused on a relatively narrow range of responses to violent games in experimental settings. This limits our understanding of whether and how violent game-induced responses relate to aggression in real life. To address these gaps, this study investigated how cognitive effort, emotional valence, and arousal in response to violent games relate to early adolescents' aggression, both cross-sectionally and over a period of one year. In addition, we investigated how a social context variable (i.e., family conflict) predicts these responses to violent games and subsequent aggression. A sample of 448 early adolescents (10–14 years) completed survey questions and media diaries that measured their responses to violent games. Results showed that, outside the lab, a positive cross-sectional relationship between violent game-induced arousal and aggression exists. In addition, arousal mediated the relationship between family conflict and aggression. Study findings justify increased research attention to media responses outside the lab and a need for further theoretical and methodological refinement.