Characteristic-sorted portfolios: Estimation and inference

Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies in different asset classes. Despite the popularity of portfolio sorting, little attention has been paid to the statistical properties of the procedure or to the conditions under which it produces valid inference. We develop a general, formal framework for portfolio sorting by casting it as a nonparametric estimator. We give precise conditions under which the portfolio sorting estimator is consistent and asymptotically normal, and we also establish consistency of both the Fama-MacBeth variance estimator and a new plug-in estimator. Our framework bridges the gap between portfolio sorting and cross-sectional regressions by allowing for linear conditioning variables when sorting. In addition, we obtain a valid mean square error expansion of the sorting estimator, which we employ to develop optimal choices for the number of portfolios. We show that the choice of the number of portfolios is crucial for drawing accurate conclusions from the data and we provide a simple, data-driven procedure that balances higherorder bias and variance. In many practical settings the optimal number of portfolios varies substantially across applications and subsamples and is, in many cases, much larger than the standard choices of five or ten portfolios used in the literature. We give formal and intuitive justifications for this finding based on the bias-variance trade-off underlying the portfolio sorting estimator. To illustrate the relevance of our results, we revisit the size and momentum anomalies

Laminin-6 and Laminin-5 Are Recognized by Autoantibodies in a Subset of Cicatricial Pemphigoid

We characterized basement membrane zone (BMZ) autoantigens targeted by autoantibodies (AAb) from patients with cicatricial pemphigoid. Serum from a patient with severe oral cicatricial pemphigoid contained IgG anti-BMZ AAb. The AAb labeled a lower BMZ component on salt-split skin and localized to the lower lamina lucida/lamina densa by direct and indirect immunoelectron microscopy (HEM) but did not label blood vessels. The AAb did not react with EHS laminin-1 and type IV collagen, pepsinized human type IV collagen, recombinant entactin, or NC1 domain of type VII collagen by dot blotting and western blotting. We focused our studies on the laminin family, as laminin-5 was identified as an autoantigen in cicatricial pemphigoid. Culture-conditioned media from normal keratinocytes (containing laminin-6 and laminin-5) and JEB keratinocytes (containing laminin-6 but not laminin-5) were studied by western blotting. Under nonreducing conditions, the patient's AAb recognized a 600-kDa protein (laminin-6) intensely and a 400-kDa protein (laminin-5) weakly in normal keratinocyte medium even though abundant laminin-5 was present. In JEB keratinocyte medium, however, the 600-kDa protein (laminin-6) alone was recognized by the patient's AAb. The AAb also immunolabeled BMZ of JEB skin that lacked laminin-5. The AAb from this patient and two other patients with anti-laminin-5 cicatricial pemphigoid immunoprecipitated both laminin-6 an4 laminin-5. Taken together, the results of IEM, non-reducing western blotting, immunoprecipitation, and JEB skin BMZ immunolabeling indicate that laminin-6, as well as laminin-5, is identified by the AAb from a subset of cicatricial pemphigoid patients. We propose the name “anti-laminin cicatricial pemphigoid” for this subset

Dust exposure and the impact on hospital readmission of farming and wood industry workers for asthma and chronic obstructive pulmonary disease (COPD)

Objectives It is still not well established how occupational air pollutants affect the prognosis of asthma or chronic obstructive pulmonary disease (COPD). This study uses nationwide Danish registers and quantitative dust industry exposure matrices (IEM) for the farming and wood industries to estimate whether previous year dust exposure level impacts hospital readmissions for workers diagnosed with asthma or COPD. Methods We identified all individuals with a first diagnosis of either asthma (769 individuals) or COPD (342 individuals) between 1997 and 2007 and followed them until the next hospital admission for asthma or COPD, emigration, death or 31 December 2007. We included only individuals who worked in either the wood or farming industries at least one year during follow-up. We used logistic regression analysis to investigate associations between dust exposure level in the previous year and hospital readmission, adjusting for sex, age, time since first diagnosis, socioeconomic status, and labor force participation. Results Asthma readmissions for individuals with low and high dust exposure were increased [adjusted rate ratio (RR adj) 2.52, 95% confidence interval (CI) 1.45-4.40] and RR adj2.64 (95% CI 1.52-4.60), respectively. For COPD readmission, the risk estimates were RR adj1.36 (95% CI 0.57-3.23) for low and RR adj1.20 (95% CI 0.49-2.95) for high exposure level in the previous year. For asthma readmission, stratified analyses by type of dust exposure during follow-up showed increased risks for both wood dust [RR adj2.67 (95% CI 1.35-5.26) high exposure level] and farming dust [RR adj3.59 (95% CI 1.11-11.59) high exposure level]. No clear associations were seen for COPD readmissions. Conclusions This study indicates that exposure to wood or farm dust in the previous year increases the risk of hospital readmission for individuals with asthma but not for those with COPD

Retrospective analysis of antimicrobial resistance and bacterial spectrum of infection in Gabon, Central Africa

Background: Physicians depend on reliable information on the local epidemiology of infection and antibiotic resistance rates to guide empiric treatment in critically ill patients. As these data are scarce for Central Africa, we performed a retrospective analysis of microbiological findings from a secondary care hospital in Gabon. Methods: Microbiological reports from 2009 to 2012 were used to assess the non-susceptibility rates of the three most common isolates from six major types of infections (bloodstream, ear-eye-nose-throat, surgical site, skin and soft tissue, urinary tract and wound infection). Results: A high diversity of pathogens was found, but Staphylococcus aureus was predominant in the majority of infections. Overall, the three most prevalent pathogens in children were S. aureus (33.7%), Streptococcus pyogenes (8.1%) and Escherichia coli (4.5%) and in adults S. aureus (23.5%), E. coli (15.1%) and Klebsiella pneumoniae (7.4%). In total, 5.8% (n = 19) of all S. aureus isolates were methicillin resistant. The proportion of extended-spectrum beta-lactamase (ESBL) producing Enterobacteriaceae was 15.4% (n = 78), 49.4% of all K. pneumoniae were ESBL-producer (n = 42). Conclusion: The high diversity of potential pathogens and high resistance rates in Gram-negative bacteria challenge a rational empiric use of antibiotics. Countrywide continuous sentinel surveillance is therefore urgently needed.<br

Value at Risk models with long memory features and their economic performance

We study alternative dynamics for Value at Risk (VaR) that incorporate a slow moving component and information on recent aggregate returns in established quantile (auto) regression models. These models are compared on their economic performance, and also on metrics of first-order importance such as violation ratios. By better economic performance, we mean that changes in the VaR forecasts should have a lower variance to reduce transaction costs and should lead to lower exceedance sizes without raising the average level of the VaR. We find that, in combination with a targeted estimation strategy, our proposed models lead to improved performance in both statistical and economic terms