Unexpected Returns Research Articles

Dynamic ESG Equilibrium

This paper proposes a conditional asset pricing model that integrates environmental, social, and governance (ESG) demand and supply dynamics. Shocks in the demand for sustainable investing represent a novel risk source, characterized by diminishing marginal utility and positive premium. Green assets exhibit positive exposure to ESG demand shocks, hence commanding higher premia. Conversely, time-varying convenience yield leads to lower expected returns for green assets. Moreover, ESG demand shocks have positive contemporaneous effects on unexpected returns, contributing to large positive payoffs in the green-minus-brown portfolio over extended horizons. The model predictions align closely with evidence on return spreads between green and brown assets, further reinforcing the apparent gap between realized and expected spreads. This paper was accepted by Lin William Cong, finance. Funding: Y. Liu acknowledges funding by the Research Grants Council of the Hong Kong Special Administrative Region, China [Grant T35/710/20R]. A. Tarelli acknowledges funding by the European Union - Next Generation EU [Project Code 2022FWZ2CR]. The views and opinions expressed are only those of the authors. Supplemental Material: The online appendices and data files are available at https://doi.org/10.1287/mnsc.2022.03491 .

Options trading imbalance, cash-flow news, and discount-rate news

Using publicly available information on option volume totals, we develop new measures of directional option-to-stock (O/S) trading volume imbalance. The novel measures are strongly related to the cash-flow (CF) and discount-rate (DR) news components of unexpected stock returns and consistently predict future abnormal performance. While options markets respond more strongly to CF news than do equity markets, they still do not fully incorporate CF news into prices and therefore lead to returns predictability. This underreaction phenomenon is of smaller magnitude when the options market response is stronger and when short-sale constraints are less binding.

Comparison of complications and results of early vs. delayed surgery for pediatric supracondylar humeral fractures.

Pediatric supracondylar humerus fracture (SCHF) is one of the most common elbow fractures in children aged 5-7 years. There is a continuous discussion regarding the optimal timing for conducting surgery for fractures of this nature. Therefore, we aimed to determine whether the timing of surgery in pediatric SCHFs has an impact on the frequency of early postoperative complications. Between January 2018 and March 2020, pediatric SCHF patients who underwent surgery at our hospital were retrospectively reviewed. Patients operated on within 12 hours after the fracture and those operated on later were respectively included in the early and late groups. Early postoperative complications, including neurological deficits, iatrogenic ulnar nerve injury, vascular injury, compartment syndrome, K-wire migration, and unexpected returns to the operating room, were compared between the two groups. We investigated surgical duration, reduction, and perioperative radiographic data. For modified Gartland type II or type III fractures, there was no significant difference in the incidence of early complications between the early and delayed groups. Additionally, there were no noticeable differences between the two groups in terms of perioperative radiographic data, reduction procedure, or surgical duration. Delayed surgery in type II or type III supracondylar humerus fractures was not associated with an increased incidence of early postoperative complications. The difficulty or effectiveness of reduction is not influenced by the timing of surgery.

Clinical presentation of group B Streptococcus-infected diabetic foot ulcers

Objective: Group B Streptococcus (GBS) is a common pathogen in diabetic foot ulcers (DFUs), where it has been found to result in higher rates of soft tissue infection and amputation despite appropriate treatment. In this study, we aim to investigate clinical characteristics and prognosis of GBS DFU infections, especially those with tenosynovial involvement. We hypothesise that GBS-infected DFUs with tenosynovial involvement leads to an increased number of recurrent infections and unexpected returns to the operating room. Method: Data were retrospectively collected from GBS-infected DFU patients surgically treated by an orthopaedic foot and ankle surgeon over a four-year period. Demographics, comorbidities, initial laboratory values and culture results from infected bone samples were recorded. Clinical outcome was assessed by recurrent infection and unplanned reoperation(s) within 3 months following the initial surgery. Results: In total, 72 patients were treated for GBS-infected DFUs. Intra-operative culture of infected bone identified GBS in 16 patients (22.2%). Significantly more black patients (p=0.017) were afflicted by GBS DFUs. Patients with GBS DFUs had higher initial haemoglobin A1C levels (p=0.019), and those with tenosynovial involvement were likely to require reoperation (p=0.036) and had a greater total number of surgeries (p=0.015) than those without. Conclusion: GBS-infected DFUs are more common in black patients and those with elevated haemoglobin A1Cs. GBS infections with tenosynovial involvement are particularly destructive and require aggressive treatment by surgeons.

Poster 362: Identifying Racial Disparity in Utilization and Outcomes of Hip Arthroscopy using Machine Learning

Objectives: Background: Arthroscopic diagnosis and treatment of femoroacetabular pathology has been increasingly used in the past thirty years with interventions resulting in improved hip function and ultimate delay of hip arthroplasty in a minimally invasive manner. Unfortunately, previous investigations have observed decreased rates of access, utilization of, and outcomes following orthopedic interventions such as hip arthroplasty in underrepresented patients. The purpose of this study is to examine racial differences in procedural rates, outcomes, and complications in patients undergoing hip arthroscopy. Methods: The State Ambulatory Surgery and Services Database (SASD) and State Emergency Department Database (SEDD) of New York were queried for patients undergoing hip arthroscopy from 2011 to 2017. The primary outcomes investigated were utilization over time, total charges billed per encounter, 90-day emergency department visits, and revision hip arthroscopy. Patients were stratified into White and non-White race, and intergroup differences were evaluated with descriptive statistics. Subgroup analysis was performed with linear mixed-effects models to identify significant interactions between race and individual variables that contributed to any differences in the outcomes of interest. Temporal trends in utilization of hip arthroscopy and concomitant procedures between the two groups were analyzed with Poisson regression modeling. Finally, targeted maximum likelihood estimation (TMLE) was performed to provide nonparametric estimates of the specific differences in the outcomes studied using machine learning ensembles while controlling for patient risk factors. Results: A total of 9,745 patients underwent hip arthroscopy during the study period, with 1,081 patients of non-White race (11.9%). Results of Poisson regression demonstrated an annual increase of 1.11 in the incidence rate of hip arthroscopy among White patients, compared to 1.03 for non-White patients (p<0.001), with this disparity projected to increase by 2040. Based on TMLE utilizing an ensemble of machine learning models, non-White patients were significantly more likely to incur higher costs (OR: 1.30, 95% CI: 1.24-1.37, p<0.001) and visit the emergency department within 90-days (OR: 1.09, 95% CI: 1.01, 1.18, p=0.05), but had negligible differences in reoperation rates at 90 days to 2 years (OR: 1.13, 95% CI: 0.78-1.63, p=0.53). Subgroup analysis identified higher likelihood for 90-day emergency department admissions among non-White patients compared to White patients, which were significantly compounded by Medicare insurance (OR: 2.95, 95% CI 1.46-5.95, p=0.002), median income in the lowest quartile (OR: 1.84, 95% CI: 1.2-2.61, p=0.012), and residence in low-income neighborhoods (OR: 2.05, 95% CI: 1.31-3.2, p=0.006). Subgroup analysis for charges billed and reoperation did not identify significant findings. Conclusions: Hip arthroscopy remains an increasingly utilized surgical technique for the treatment of a myriad of hip disorders. Unfortunately, racial disparities exist and are worsening over time. Irrespective of insurance status, non-white patients undergo hip arthroscopy at a lower rate, incur higher costs, and more frequently experience unexpected returns to the emergency department. Improved initiatives to improve the disparity in access to and outcomes following hip arthroscopy must be addressed to further its utility for all patients.

영구적·일시적 현금흐름 뉴스와 할인율 뉴스에 따른 모멘텀 수익률 분석

In this paper, unexpected market excess returns are decomposed into permanent cash-flow news, temporary cash-flow news, and discount-rate news by using a log-linear SVAR model, and the profitability of momentum strategies is analyzed under these news states. The empirical results are as follow. Frist, Momentum returns exist in the US stock market. Second, momentum profitability exists under both permanent and temporary cash-flow news states. This supports the results of Celiker et al. (2016) that momentum profitability exists in the US stock market under cash flow news states. Third, the momentum effect is strong even under the discount-rate news. Finally, Momentum profitability is stronger when the overall market is in an up market. In other words, when the market is up, investors tend to be overconfident, which creates momentums. This paper can analyze which factors play an important role in determining momentum returns by estimating permanent and temporary cash-flow news and discount-rate news by using the developed news decomposition method.

Unexpected Colonial Returns: Self-Selection and Economic Integration of Migrants Over Multiple Generations

Unexpected Colonial Returns: Self-Selection and Economic Integration of Migrants Over Multiple Generations

Idiosyncratic Volatility and the Cross-Section of Stock Returns of NEEQ Select

This paper investigates the empirical relationship between idiosyncratic volatility and the cross-section of stock returns of NEEQ Select. It finds that idiosyncratic volatility is positively related to expected stock returns, with no presence of idiosyncratic volatility anomalies. Idiosyncratic volatility serves as an important asset pricing factor of NEEQ Select, which better represents investors’ psychological expectation of idiosyncratic risk premium. Both expected and unexpected idiosyncratic volatility display a positive and robust relationship to stock returns, but unexpected idiosyncratic risk, which controls for unexpected returns, may exert relatively greater marginal effects. Based on the above conclusions, some suggestions are put forward to actively achieve the diversification management efficiency of NEEQ Select portfolios.

BREXIT: equity market contagion and transmission channels

ABSTRACT This paper investigates the transmission of shocks during the period of the withdrawal of the United Kingdom from the European Union (BREXIT) across twenty-two equity markets. We use an augmented multifactor model to detect the transmission of contagion effects from the United States and Western Europe to Brazil, Russia, India, China and South Africa, commonly known as ‘the BRICS’ countries, during BREXIT, i.e. the exit of Great Britain from the European Union. Our model captures the unexpected returns and disentangles the simple correlations due to fundamentals and contagion. Our results show that crisis did not have the same effects on the BRICS countries in terms of contamination. More precisely, evidence of fundamental contagion is documented between stock markets. Moreover, Russia was the most contaminated market, and China was the least affected market. Furthermore, the findings prove that the stock market contagion between these countries was transmitted by some channels that have been omitted from the theory.

Unexpected Emergency Department Visits After Acute Aortic Syndromes

Recent reports have documented a high rate of readmission after hospitalization for acute aortic syndrome (AAS), including acute aortic dissection, intramural hematoma (IMH), or penetrating aortic ulcer. We examined the rate of unexpected returns to the emergency department (ED) and readmissions to the hospital to better understand the usage of emergent health care services after AAS.

Monetary policy effects on equity returns: application of SVAR identified with high-frequency external instrument

The purpose of this study is to examine the effects of monetary policy on equity returns by applying an alternative econometric approach. Campbell and Ammer (1993) decomposed unexpected equity excess returns into three news components: risk premium news, real interest rate news and cash-flow news. The literature has determined the monetary policy (MP) effects on these news components. The authors propose an alternative MP shock identification approach to analyze the MP effects on the above-mentioned news components under a structural vector autoregression (SVAR) setup. Under this approach, one can apply an MP indicator in the SVAR, which helps forecast equity excess returns along with its external instruments for identification. Further, this study uses the various recently proposed measures of exogenous MP shocks and Fed information shocks as external instruments, and shows the different patterns of the news components' responses depending on the information in the applied instruments.

PENGARUH PERSISTENSI LABA TIMELINESS LAPORAN KEUANGAN DAN CORPORATE SOCIAL RESPONSIBILITY TERHADAP EARNING RESPONSE COEFFICIENT

The return response coefficient is a measure of the securities market return scale that responds to the portion of unexpected returns reported by the securities issuing company. Information on earnings is the thing most responded to by investors because it provides an overview of the company's performance. This study aims to determine the continuity of earnings, the timeliness of financial reporting, and the effect of corporate social responsibility on the earnings response coefficient. This research was conducted at Manufacturing Companies Listed on the IDX for the 2016-2018 Period. The sample in this study were 59 manufacturing companies during 2016-2018. The data testing used classical hypothesis testing, multiple linear regression analysis, hypothesis testing and the coefficient of determination. The results showed that the income persistence variable had a positive and significant effect on the income response coefficient. Financial report timeliness had a positive and significant effect on the earning response coefficient. While the corporate social responsibility variable has a negative and significant effect on the earning response coefficient.

Complications in ambulatory pediatric patients with nonidiopathic spinal deformity undergoing fusion to the pelvis using the sacral-alar-iliac technique within 2 years of surgery.

Significant investigation in the adult population has generated a body of research regarding proximal junctional kyphosis (PJK) and proximal junctional failure (PJF) following long fusions to the sacrum and pelvis. However, much less is known regarding early complications, including PJK and PJF, in the ambulatory pediatric patient. As such, the objective of this study was to address the minimal literature on early complications after ambulatory pediatric patients underwent fusion to the sacrum with instrumentation to the pelvis in the era of sacral-alar-iliac (S2AI) instrumentation. The authors performed a retrospective review of pediatric patients with nonidiopathic spinal deformity < 18 years of age with ambulatory capacity who underwent fusion to the pelvis at a multisurgeon pediatric academic spine practice from 2016 to 2018. All surgeries were posterior-only approaches with S2AI screws as the primary technique for sacropelvic fixation. Descriptive, outcome, and radiographic data were obtained. The definition of PJF included symptomatic PJK presenting as fracture, screw pullout, or disruption of the posterior osseoligamentous complex. Twenty-five patients were included in this study. Nine patients (36.0%) had 15 complications for an overall complication rate of 60.0%. Unplanned return to the operating room occurred 8 times in 6 patients (24.0%). Four patients (16.0%) had wound issues (3 with deep wound infection and 1 with wound breakdown) requiring reoperation. Three patients (12.0%) had PJF, all requiring reoperation. A 16-year-old female patient with syndromic scoliosis underwent extension of fusion due to posterior tension band failure at 6 months. A 17-year-old male patient with neuromuscular scoliosis underwent extension of fusion due to proximal screw pullout at 5 months. A 10-year-old female patient with congenital scoliosis underwent extension for PJF at 5 months following posterior tension band failure. One patient had pseudarthrosis requiring reoperation 20 months postoperatively. Fixation to the pelvis enables significant deformity correction, but with rather high rates of complications and unexpected returns to the operating room. Considerations of sagittal plane dynamics for PJK and PJF should be strongly analyzed when performing fixation to the pelvis in ambulatory pediatric patients.

리츠 주가변동성의 비대칭적 반응에 관한 국제비교 연구

This paper examines the empirical relations between information transmissions and REITs stock market volatility, the differences of asymmetric effect of information on arriving in Korea, U.S. and Japanese REITs stock markets using the GJR-MA(1) model. The result of the study is as follows. First, In the Korean and U.S. stock markets, the GJR-MA model was found to be suitable for analyzing asymmetric effect of news. Second, Korea showed negative values at 5% significance level in asymmetric effect of REITs stock price volatility, while U.S. showed positive values at 1% significance level. However, Japan showed a positive value but showed no significance. Empirical evidence suggests that in the Korean REITs market, good news increases stock price volatility more than bad news, and in U.S., bad news increases stock price volatility more than good news. Third, the conditional volatility in terms of unexpected returns of -5% to 5% was about twice as high in good news in korea, and was about twice as high in bad news in U.S. Therefore, it is important to distinguish the information that arrives on the stock market.

BREXIT: Equity Market Contagion and Transmission Channels

This paper investigates the transmission of shocks during the period of the withdrawal of the United Kingdom from the European Union (BREXIT) across twenty-two equity markets. We use an augmented multifactor model to detect the transmission of contagion effects from the United States and Western Europe to Brazil, Russia, India, China and South Africa, commonly known as “the BRICS” countries, during BREXIT, i.e., the exit of Great Britain from the European Union. Our model captures the unexpected returns and disentangles the simple correlations due to fundamentals and contagion. Our results show that crisis did not have the same effects on the BRICS countries in terms of contamination. More precisely, evidence of fundamental contagion is documented between stock markets. Moreover, Russia was the most contaminated market, and China was the least affected market. Furthermore, the findings prove that the stock market contagion between these countries was transmitted by some channels that have been omitted from the theory.

L’elemento verde e l’abitazione nella città in quarantena

L’articolo affronta la questione della nuova domanda di un rapporto con la natura all’interno e intorno alle nostre case che questi mesi di pandemia hanno rimesso al centro dei comportamenti abitativi. L’obiettivo è quello di ricercare linee di continuità, fratture, radicali trasformazioni e ritorni imprevisti all’interno della cultura disciplinare in relazione alla dialettica tra innovazione e tradizione e intorno alla possibile tenuta del progetto moderno (inteso come fondato sul continuo interrogativo intorno ai propri strumenti e al proprio ruolo sul piano etico e politico) a fronte delle mutate condizioni. Oltre alla decennale ricerca di Luigi Figini nell’ambito della vicenda del Razionalismo Italiano, rilegge il contributo di Pietro Porcinai e l’opera di Leberecht Migge in Germania

Unexpected Returns on Bonds. The Case of the Pandemic Period in Poland

Changes in the term structure of interest rates unknown a priori to investors induce unanticipated rates of return on all financial instruments, especially on bonds and bond portfolios. Unexpected returns on bond investments arise particularly often in economic downturns. During the COVID-19 pandemic period in Poland interest rates have been substantially reduced by Central Bank. Within three months, the WIBOR 1Y rate fell from 1.84% (February 27, 2020) to 0.3% (June 4, 2020). The consequences of the Central Bank decision have been crucial for investors. A one-time increase (decrease) in rates decreases (increases) the market value of assets. The literature offers some mathematical tools to investigate this problem. The aim of this study is to assess and analyse the influence of a considerable decline in spot rates on unexpected profits on Treasury bonds to support investors decisions and emphasize practical aspects of bond risk measurement. It is important to note that after the quite long time period of almost flat interest rate structure in Poland, the topic regarding bond risk caused by changes in interest rates has become significant again.

Stock-Oil Comovement: Fundamentals or Financialization?

We investigate the sources of time-variation in the stock-oil correlation over the period 1983-2019. We first derive a novel oil futures return news decomposition following Campbell and Shiller (1988) and Campbell (1991). Then, for both stock and oil, we split unexpected returns into cash flow news (which can be related to asset-specific fundamentals) and discount rate news (which can be driven by shocks to investors holding both assets) using a vector autoregressive (VAR) model. We find that about 79% of the time-varying correlation is related to the comovement of cash flow news between the two assets. This result is robust to different specifications of the VAR model used to decompose returns. We provide supportive evidence that underlying changes in the structure of the real economy, such as the increased oil production in the U.S., are key drivers for the changing stock-oil comovement beyond the financialization of commodities.

Robustness of score-driven location and scale models to extreme observations: An application to the Chinese stock market

Recently, the use of dynamic conditional score (DCS) time series models are suggested in the body of literature on time series econometrics. DCS models are robust to extreme observations because those observations are discounted by the score function that updates each dynamic equation. Examples of the DCS models are the quasi-autoregressive (QAR) model and the Beta-t-EGARCH (exponential generalized autoregressive conditional heteroscedasticity) model, which measure the dynamics of location and scale, respectively, of the dependent variable. Both QAR and Beta-t-EGARCH discount extreme observations according to a smooth form of trimming. Classical dynamic location and scale models (for example, the AR and the GARCH models) are sensitive to extreme observations. Thus, the AR and the GARCH modelsmay provide imprecise estimates of location and scale dynamics. In the application presented in this paper, we use data from the Shanghai Stock Exchange A-Share Index and the Shenzhen Stock Exchange A-Share Index for the period of 5th January 1998 to 29th December 2017. For the corresponding stock index return time series, a relatively high number of extreme values are observed during the sample period. We find that the statistical performance of QAR plus Beta-t-EGARCH is superior to that of AR plus t-GARCH, due to the robustness of QAR plus Beta-t-EGARCH to extreme unexpected returns.

UNexpected Returns: A Model Free Approach

This paper studies the partitioning of stocks into groups with distinctive expected returns based on ex-ante firm characteristics, which can be used as comparable groups to compute the abnormal part of returns, that is, UNexpected returns. In order for stock expected returns to be similar within groups and disperse across groups, I introduce a methodology to select characteristics that best distinguish expected returns, and cutoffs points where returns are most sensitive to the underlying characteristics. I show that: 1) the combination of chosen characteristics changes over time; 2) there are significant differences in fund unexpected returns once the time-variation in comparable groups is incorporated; 3) and the resulting portfolios exhibit desirable properties as basis assets.