US Returns Research Articles

The explanatory power of R&D for the stock returns in the Chinese equity market

There is a vast literature documenting the evidence that the firms with higher research and development (R&D) intensity experience higher stock returns in both US and international market. This study seeks to examine whether the effect of R&D intensity can significantly predict the subsequent stock returns in the Chinese equity market. We construct three different measurements of R&D intensity factors using the firm's R&D expenditure scaled by market capitalization, book equity and net sales. Our test results show that all three R&D intensity factors can effectively predict subsequent stock returns, with low correlation to the other fundamental value, growth, and quality factors. Furthermore, our results indicate that the R&D effect is not only driven by big or small firms. The R&D signals, in particular those constructed using R&D expenditure deflated by market capitalization and book equity, are very effective across different index groups, including CSI 300, CSI 500 and CSI 1000.

Potential yield loss in grain sorghum (Sorghum bicolor) with weed interference in the United States

AbstractPotential yield losses in grain sorghum due to weed interference based on quantitative data from the major grain sorghum-growing areas of the United States are reported by the WSSA Weed Loss Committee. Weed scientists and extension specialists who researched weed control in grain sorghum provided data on grain sorghum yield loss due to weed interference in their region. Data were requested from up to 10 individual experiments per calendar year over 10 yr between 2007 and 2016. Based on the summarized information, farmers in Arkansas, Kansas, Missouri, Nebraska, South Dakota, and Texas would potentially lose an average of 37%, 38%, 30%, 56%, 61%, and 60% of their grain sorghum yield with no weed control, and have a corresponding annual monetary loss of US $19 million, 302 million, 7 million, 32 million, 25 million, and 314 million, respectively. The overall average yield loss due to weed interference was estimated to be 47% for this grain sorghum-growing region. Thus, US farmers would lose approximately 5,700 million kg of grain sorghum valued at approximately US $953 million annually if weeds are not controlled. With each dollar invested in weed management (based on estimated weed control cost of US $100 ha−1), there would be a return of US $3.80, highlighting the return on investment in weed management and the importance of continued weed science research for sustaining high grain sorghum yield and profitability in the United States.

COVID-19 and Investor Sentiment Influence on Country and Sector Returns

Although some studies recently address the association between COVID-19 sentiment and returns, volatility, or stock trading volume, no one conducts an analysis to measure the impact of investor rationality or irrationality on the influence on countries and sectors’ returns.This work creates a text media sentiment and combines its influence with the outbreak cases on the stock market sector returns of the US, Europe, and their main countries most affected by the pandemic.This allows us to perceive the ranking impact of rationality or irrationality on country and sector stock returns. This work applies a random-effects robust panel estimation, with an M-estimator. This paper concludes that US returns are more sensitive to sentiment, and thus more prone to irrational factors than confirmed cases compared to Europe and that country factors influence the returns differently. In Italy and Spain as the most punished countries in Europe apart from the UK, present sector indexes return more reactive to verified cases, or rationality, namely, tourism, real estate, and the automobile (this last one in Italy).The importance of this work resides in providing a new in-depth analysis of irrational behavioral metrics among countries, which allows for comparison. Moreover, it allows observing which sectors’ and which countries’ asset returns are most sensitive to rational or irrational expressions of events, allowing for arbitraging, financial planning for investors, decision-makers, and academia on an in and out of pandemic context.

The Explanatory Power of R&D for the Stock Returns in the Chinese Equity Market

There is a vast literature documenting the evidence that the firms with higher research and development (R&D) intensity experience higher stock returns in both US and international market. This study seeks to examine whether the effect of R&D intensity can significantly predict the subsequent stock returns in the Chinese equity market. We construct three different measurements of R&D intensity factors using the firm's R&D expenditure scaled by market capitalization, book equity and net sales. Our test results show that all three R&D intensity factors can effectively predict subsequent stock returns, with low correlation to the other fundamental value, growth, and quality factors. Furthermore, our results indicate that the R&D effect is not only driven by big or small firms. These signals, in particular those constructed using R&D expenditure deflated by market capitalization and book equity, are very effective across different index groups, including CSI 300, CSI 500 and CSI 1000.

The US Term Structure and Return Volatility in Global REIT Markets

This paper examines the information content of the U.S. term structure of interest rates on the market for real estate investment trusts (REITs) by decomposing the term structure of U.S. Treasury yields into two components that reflect the expectations factor and the maturity premium. We show that the expectations factor component of the U.S yield curve has significant explanatory power over return volatility in REIT stocks, both in the U.S. and globally, even after controlling for stock market trading activity. The expectations factor is generally found to have a positive effect on REIT market volatility, more significantly for the U.S. and Japanese REITs, highlighting the role of global funding conditions (via expected short rates) on return fluctuations in real estate markets. Comparing the findings for the pre- and post-global crisis periods, however, we find that the U.S. term structure has largely lost its explanatory power over global REIT markets, implied by largely insignificant effects during the post-global crisis period. The findings highlight the changing dynamics in REIT investments in the aftermath of the 2018 global credit crunch, possibly due to the slowdown of investments in the real estate sector globally, and suggest that investors will have to focus more on the idiosyncratic risk factors that drive these markets.

Transmission of shocks and contagion from U.S. to MENA equity markets: The role of oil and gas markets

Using a multifactor model augmented with oil and gas returns, this paper examines contagion from the US to MENA equity markets and studies the role of energy price fluctuations in amplifying the dependence between the US and MENA equity markets. We provide empirical evidence of a strong contagion effect originating from the US to MENA equity markets. The regional, oil and gas factors account for the bulk of the variance of the MENA equity returns and our findings suggest that the oil and gas markets play an important role in strengthening the dependence between the MENA and US markets during episodes of market turmoil. We discuss the policymaking importance of our results and propose a strategy to curb the adverse effects of US return shocks on MENA equity markets during episodes of stress.

Homesickness and repeated migration

ABSTRACTThis paper presents a dynamic structural model of migration that is designed to help explain the migration behaviour of undocumented Mexican immigrants in the US. Its key feature – which I call ‘homesickness’ – is a duration-dependent disutility from living abroad that keeps increasing while a migrant stays abroad and can be reset to zero only by returning to their home country. I estimate the model using data primarily from the Mexican Migration Project Survey and find that the model is capable of explaining, among other things, the fact that: (i) a non-negligible number of Mexican immigrants in the US return home after earning very little; (ii) these ‘unsuccessful’ immigrants are more likely to re-enter the US at a later date; and (iii) such ‘unsuccessful’ returns are more prevalent among immigrants who left their wives behind in Mexico. These facts are not easily reconciled with existing models of migration that do not feature homesickness.

Return-to-active-duty rates after anterior cervical spine surgery in military pilots.

OBJECTIVESymptomatic cervical spondylosis with or without radiculopathy can ground an active-duty military pilot if left untreated. Surgically treated cervical spondylosis may be a waiverable condition and allow return to flying status, but a waiver is based on expert opinion and not on recent published data. Previous studies on rates of return to active duty status following anterior cervical spine surgery have not differentiated these rates among military specialty occupations. No studies to date have documented the successful return of US military active-duty pilots who have undergone anterior cervical spine surgery with cervical fusion, disc replacement, or a combination of the two. The aim of this study was to identify the rate of return to an active duty flight status among US military pilots who had undergone anterior cervical discectomy and fusion (ACDF) or total disc replacement (TDR) for symptomatic cervical spondylosis.METHODSThe authors performed a single-center retrospective review of all active duty pilots who had undergone either ACDF or TDR at a military hospital between January 2010 and June 2017. Descriptive statistics were calculated for both groups to evaluate demographics with specific attention to preoperative flight stats, days to recommended clearance by neurosurgery, and days to return to active duty flight status.RESULTSAuthors identified a total of 812 cases of anterior cervical surgery performed between January 1, 2010, and June 1, 2017, among active duty, reserves, dependents, and Department of Defense/Veterans Affairs patients. There were 581 ACDFs and 231 TDRs. After screening for military occupation and active duty status, there were a total of 22 active duty pilots, among whom were 4 ACDFs, 17 TDRs, and 2 hybrid constructs. One patient required a second surgery. Six (27.3%) of the 22 pilots were nearing the end of their career and electively retired within a year of surgery. Of the remaining 16 pilots, 11 (68.8%) returned to active duty flying status. The average time to be released by the neurosurgeon was 128 days, and the time to return to flying was 287 days. The average follow-up period was 12.3 months.CONCLUSIONSAdhering to military service-specific waiver guidelines, military pilots may return to active duty flight status after undergoing ACDF or TDR for symptomatic cervical spondylosis.

Pyrolysis and co-composting of municipal organic waste in Bangladesh: A quantitative estimate of recyclable nutrients, greenhouse gas emissions, and economic benefits

Waste causes environmental pollution and greenhouse gas (GHG) emissions when it is not managed sustainably. In Bangladesh, municipal organic waste (MOW) is partially collected and landfilled. Thus, it causes deterioration of the environment urging a recycle-oriented waste management system. In this study, we propose a waste management system through pyrolysis of selective MOW for biochar production and composting of the remainder with biochar as an additive. We estimated the carbon (C), nitrogen (N), phosphorus (P) and potassium (K) recycling potentials in the new techniques of waste management. Waste generation of a city was calculated using population density and per capita waste generation rate (PWGR). Two indicators of economic development, i.e., gross domestic product (GDP) and per capita gross national income (GNI) were used to adopt PWGR with a projected contribution of 5–20% to waste generation. The projected PWGR was then validated with a survey. The waste generation from urban areas of Bangladesh in 2016 was estimated between 15,507 and 15,888 t day−1 with a large share (∼75%) of organic waste. Adoption of the proposed system could produce 3936 t day−1 biochar blended compost with an annual return of US $210 million in 2016 while it could reduce GHG emission substantially (−503 CO2 e t−1 municipal waste). Moreover, the proposed system would able to recover ∼46%, 54%, 54% and 61% of total C, N, P and K content in the initial waste, respectively. We also provide a projection of waste generation and nutrient recycling potentials for the year 2035. The proposed method could be a self-sustaining policy option for waste management as it would generate ∼US$51 from each tonne of waste. Moreover, a significant amount of nutrients can be recycled to agriculture while contributing to the reduction in environmental pollution and GHG emission.

Time‐Varying Investor Herding in Chinese Stock Markets

AbstractWe develop several new time‐varying coefficient regression models to investigate herding behavior in Chinese stock markets. We find evidence that herding behavior occurs during turbulent periods rather than periods of relative tranquility, which does not appear when using a conventional fixed‐coefficient regression model. Moreover, the US return dispersion had a significant influence on Chinese stock markets before 2015 but not in 2015. Finally, the herding shows significant asymmetry.

Immediate Hypersensitivity Reaction Related to Rabies Post-Exposure-Prophylaxis in Thailand with Subsequent Rabies Vaccine Change to Avoid Polygeline Vaccine Excipient with Successful Challenge and Treatment Tolerance in the United States

Background Untreated rabies is fatal, globally killing 60,000 persons/years. Rabies vaccine (RV) is life-saving, of various types and used in high-risk rabies exposure (HRRE) as a post-exposure prophylaxis (PEP) series of initial (RV-i) and completion (RV-c) doses. Polygeline has been implicated in immediate allergic reactions to tick-borne encephalitis vaccine and is an excipient in Rabipur, a purified chick embryo vaccine (PCECV) as part of Thai Red Cross (TRC) RV protocol. In United States, RVs are Rabavert (PCECV), containing polygeline, and Imovax Rabies, a human diploid cell vaccine (HDCV) that does not. RV-associated adverse reactions occur up to 6% as mostly non-IgE/skin-limited or immune complex and rarely nonfatal anaphylaxis. We describe TRC-RV-immediate allergic reaction in a male child traveling in Thailand and how after his return to United States , we were able to overcome RV-PEP delays and demonstrate safe treatment tolerance with a different RV.Methods Review of literature, Thai/US RV and Allergy Protocols, Pink Book/RV InsertsResultsA healthy 4-years old US boy had HRRE from feral cat bite in Thailand with immediate disseminated hives at 1 hour post-TRC-RVi (Day 0), resolved with oral antihistamine. Upon US return (Days 3-8), clinicians stopped RV-PEP due to RV allergy fears; Day 6 rabies-immunoglobulin given. On Day 9, US academic Allergist/Infectious Disease referral done: no other medical problems found; HDCV skin prick test (negative); TRC-RV (not available); two-step HDCV-RV challenge performed (10%, then full); Days 13 and 20, HDCV-RV-c full tolerated; Days 30+, asymptomatic; serum tryptase 3.2 ng/ml; Rapid Fluorescent Foci Inhibition Test (RFFIT)Conclusion RV type I hypersensitivity reactions are uncommon, components to RVs vary worldwide and such adverse RV reactions should not stop RV-PEP. Analysis of vaccine content, exposures, and relevant testing is critical to deducing likely reaction type and candidate antigens as excipients in non-RVs and across RV types. IgE-vaccine tests may not be reliable/possible and mid-series RV change to non-polygeline type may be a viable option when RV-c must be done to reach timely RV-c-PEP treatment tolerance and avoid hypersensitivity reactions.Disclosures All authors: No reported disclosures.

Test of CAPM: A Study of India and US

Asset pricing is one of the most important research areas in the field of finance. The simple CAPM model (capital asset pricing model) relates the return of the stocks and portfolios to the market factor captured by beta. Since the formulation of CAPM in 1960s, asset pricing has covered a long distance. We conduct the test of CAPM for India and US by using data from January 2001 to December 2015. We run 84 second pass cross-sectional regression equations to test the applicability of CAPM. The results of our test find that CAPM is not able to capture the cross section of average returns both in India and US and we should consider the alternative asset pricing models to establish the risk-return relationship.

International stock return predictability: on the role of the United States in bad and good times

ABSTRACTIn this article, we document the asymmetric role that the US stock market plays in the international predictability of excess stock returns during recession and expansion periods. Most of the positive evidence accrues during the periods of recessions in the United States. During the expansions, there is only a limited evidence supporting the importance of lagged US returns in predictability of stock returns in 10 industrialized countries.

International stock return predictability: on the role of the United States in bad and good times

ABSTRACTIn this article, we document the asymmetric role that the US stock market plays in the international predictability of excess stock returns during recession and expansion periods. Most of the positive evidence accrues during the periods of recessions in the United States. During the expansions, there is only a limited evidence supporting the importance of lagged US returns in predictability of stock returns in 10 industrialized countries.

Stock return predictability and market integration: The role of global and local information

AbstractThis paper examines the predictability of a range of international stock markets where we allow the presence of both local and global predictive factors. Recent research has argued that US returns have predictive power for international stock returns. We expand this line of research, following work on market integration, to include a more general definition of the global factor, based on principal components analysis. Results identify three global expected returns factors, one related to the major stock markets of the US, UK and Asia and one related to the other markets analysed. The third component is related to dividend growth. A single dominant realised returns factor is also noted. A forecasting exercise comparing the principal components based factors to a US return factor and local market only factors, as well as the historical mean benchmark finds supportive evidence for the former approach. It is hoped that the results from this paper will be informative on three counts. First, to academic...

Test of CAPM: A Study of India and US

Asset pricing is one of the most important research areas in the field of finance. The simple CAPM model (capital asset pricing model) relates the return of the stocks and portfolios to the market factor captured by beta. Since the formulation of CAPM in 1960s, asset pricing has covered a long distance. We conduct the test of CAPM for India and US by using data from January 2001 to December 2015. We run 84 second pass cross-sectional regression equations to test the applicability of CAPM. The results of our test find that CAPM is not able to capture the cross section of average returns both in India and US and we should consider the alternative asset pricing models to establish the risk-return relationship.

Cardiac Radiosurgery for the Treatment of Atrial Fibrillation

An estimated 4 million Americans currently have atrial fibrillation (AF), the most common form of cardiac arrhythmia. The annual growth rate of AF is approximately 9.2% and advanced statistical analyses project that the prevalence of AF will be 12.1 million in the United States by 2030. The current therapeutic options to treat AF put certain patient groups at a high risk for a serious bleeding event, stroke or thromboembolism, myocardial infarction, and death. The most effective treatment for AF—catheter ablation—has been widely reported to require repeat operations and only leaves 59.4% of patients AF-free after five years. A majority of the reported complications and increased risks for catheter ablation occur because the procedure is invasive. Thus, there is a need for a novel, non-invasive therapeutic option to treat AF that can potentially expand the treatable patient population, increase patient safety, and improve clinical outcomes. CyberHeart Inc. has been exploring the efficacy and potential of cardiac radiosurgery as an option to treat heart conditions such as AF. With its proprietary CardioPlanTM software, the CyberHeart System utilizes the Cyberknife stereotactic radiosurgery platform to non-invasively ablate the heart. Early studies have displayed that the CyberHeart System is highly accurate at delivering radiation to cardiac targets and effective at minimizing radiation exposure to healthy tissue that is in close proximity to the targeted anatomic region. The focus of this review is to present the current standard of treatment for AF, identify the specific patient population that is at a high risk for the current treatment modalities, and address the potential for the CyberHeart Stereotactic Radiosurgery System to noninvasively ablate cardiac tissue and return sinus rhythm to patients with AF.

“Tagged as a criminal”: Narratives of deportation and return migration in a Mexico City call center

In this essay, I describe the nexus of global capitalism, the precipitous rise in US deportations and return migration over the last decade, and the criminalization of Latino youth and immigrants in Mexico and the United States as manifested in the “call center narratives” of call center employees in Mexico City. The call center is the setting for an emergent transnational subculture within the economic imperatives of neoliberal globalization. For a disproportionate number of returning and deported youth, the transnational call center figures as an uncertain safe haven, a community of support and a temporary economic safety net. Even as the presence of former and active Latino gang members threaten the seeming safety in numbers, the call center narrators deconstruct the dominant discourse of “every immigrant is a (potential) criminal” in both the United States and in Mexico. And, as testimonios, the call center narratives speak from the “elsewhere” of deportation and return to US-based readers, voicing new perspectives on transnational and immigrant identity and solidarity.

Oil prices, US stock return, and the dependence between their quantiles

In this article, we examine the relationship between oil prices and US equities by proposing a novel quantile-on-quantile (QQ) approach to construct estimates of the effect that the quantiles of oil price shocks have on the quantiles of the US stock return. This approach captures the dependence between the distributions of oil price shocks and the US stock return and uncovers two nuance features in the oil–stock relationship. First, large, negative oil price shocks (i.e. low oil price shock quantiles) can affect US equities positively when the US market is performing well (i.e. at high US return quantiles). Second, while negative oil price shocks could affect the US stock market, the influence of positive oil price shocks is weak, which suggests that the relationship between oil prices on the US equities is asymmetric.

Co-Movements of US and Asian Equity Markets: Evidence from Asymmetric and Time-Varying Coefficients

We examine co-movements of nine Asian equity markets with both the US and Japan with special interest in distinguishing co-movements during periods of positive returns from those during periods of negative returns. A discrete asymmetric piecewise linear conditional mean returns specification is adopted to generate asymmetric co-movement parameters for periods of positive and negative returns. Conditional heteroskedasticity is modeled using GARCH and EGARCH specifications. Predicted conditional volatilities are used to generate alternative estimates of asymmetric and time-varying co-movement parameters. Conditional mean returns from asymmetric and symmetric conditional mean return models along with GARCH and EGARCH volatilities are used to generate estimates of asymmetric and symmetric conditional (ex-ante) Sharpe ratios. Asian markets returns and volatilities show a clear tendency to move more with the US than with Japan; and their co-movements with negative US returns far exceed their co-movements with positive US returns, thereby suggesting that any diversification benefits into Asian equities are likely to manifest themselves more during periods of positive than negative US returns. Conditional asymmetric Sharpe ratios exceed conditional symmetric Sharpe ratios; however, and more importantly, performance-ranking differs depending on whether asymmetric versus symmetric conditional Sharpe ratios are used. Asymmetric conditional Sharpe ratios suggest that India (followed by Malaysia) offers the best return/risk tradeoff, with the least favorable market is South Korea (using GARCH) and Philippines (using EGARCH).