Gender Diverse Portfolios as New Asset Class

This paper studies market-traded equity portfolios that are constructed based on a minimum number of female board members and/or a target female work force ratio. Using the top 1,000 US firms from 2002 to 2015 as the tradable asset universe, we replicate and backtest five gender diverse portfolios. We find that these portfolios have smaller idiosyncratic risks and that their constituent firms have better CSR (Corporate Social Responsibility) rating. Consistent with previous research findings on CSR stocks, these gender diverse portfolios also have a smaller downside risk. From the portfolio's risk-return performance and their social policy implication, we argue that that these gender diverse portfolios constitute a new asset class

Rating-based CDS curves

This paper explores the extent to which term structure of individual credit default swap (CDS) spreads can be explained by the firm's rating. Using the Nelson–Siegel model, we construct, for each day, CDS curves from a cross-section of CDS spreads for each rating class. We find that individual CDS deviations from the curve tend to diminish over time and CDS spreads converge towards the fitted curves. The likelihood of convergence increases with the absolute size of the deviation. The convergence is especially stable if CDS spreads are lower relative to the rating-based curve. Trading strategies exploiting the convergence generate an average return of 3.7% (5-day holding period) and 9% (20-day holding period)

FUBP3 interacts with FGF9 3′ microsatellite and positively regulates FGF9 translation

A TG microsatellite in the 3′-untranslated region (UTR) of FGF9 mRNA has previously been shown to modulate FGF9 expression. In the present study, we investigate the possible interacting protein that binds to FGF9 3′-UTR UG-repeat and study the mechanism underlying this protein–RNA interaction. We first applied RNA pull-down assays and LC-MS analysis to identify proteins associated with this repetitive sequence. Among the identified proteins, FUBP3 specifically bound to the synthetic (UG)15 oligoribonucleotide as shown by supershift in RNA-EMSA experiments. The endogenous FGF9 protein was upregulated in response to transient overexpression and downregulated after knockdown of FUBP3 in HEK293 cells. As the relative levels of FGF9 mRNA were similar in these two conditions, and the depletion of FUBP3 had no effect on the turn-over rate of FGF9 mRNA, these data suggested that FUBP3 regulates FGF9 expression at the post-transcriptional level. Further examination using ribosome complex pull-down assay showed overexpression of FUBP3 promotes FGF9 expression. In contrast, polyribosome-associated FGF9 mRNA decreased significantly in FUBP3-knockdown HEK293 cells. Finally, reporter assay suggested a synergistic effect of the (UG)-motif with FUBP3 to fine-tune the expression of FGF9. Altogether, results from this study showed the novel RNA-binding property of FUBP3 and the interaction between FUBP3 and FGF9 3′-UTR UG-repeat promoting FGF9 mRNA translation

Bifurcation Analysis of the Eigenstructure of the Discrete Single-curl Operator in Three-dimensional Maxwell's Equations with Pasteur Media

This paper focuses on studying the bifurcation analysis of the eigenstructure of the $\gamma$-parameterized generalized eigenvalue problem ($\gamma$-GEP) arising in three-dimensional (3D) source-free Maxwell's equations with Pasteur media, where $\gamma$ is the magnetoelectric chirality parameter. For the weakly coupled case, namely, $\gamma < \gamma_{*} \equiv$ critical value, the $\gamma$-GEP is positive definite, which has been well-studied by Chern et.\ al, 2015. For the strongly coupled case, namely, $\gamma > \gamma_{*}$, the $\gamma$-GEP is no longer positive definite, introducing a totally different and complicated structure. For the critical strongly coupled case, numerical computations for electromagnetic fields have been presented by Huang et.\ al, 2018. In this paper, we build several theoretical results on the eigenstructure behavior of the $\gamma$-GEPs. We prove that the $\gamma$-GEP is regular for any $\gamma > 0$, and the $\gamma$-GEP has $2 \times 2$ Jordan blocks of infinite eigenvalues at the critical value $\gamma_{*}$. Then, we show that the $2 \times 2$ Jordan block will split into a complex conjugate eigenvalue pair that rapidly goes down and up and then collides at some real point near the origin. Next, it will bifurcate into two real eigenvalues, with one moving toward the left and the other to the right along the real axis as $\gamma$ increases. A newly formed state whose energy is smaller than the ground state can be created as $\gamma$ is larger than the critical value. This stunning feature of the physical phenomenon would be very helpful in practical applications. Therefore, the purpose of this paper is to clarify the corresponding theoretical eigenstructure of 3D Maxwell's equations with Pasteur media.Comment: 26 pages, 5 figure

Slow- and fast-moving information content of CDS spreads: new endogenous systematic factors

This paper proposes two new Credit Default Swap (CDS) endogenous systematic factors constructed from peer-CDS information. The factors capture slow-moving credit risk information, as well as fast-moving newly arrived market information embedded in the most recent CDS quotes. Using a sample of U.S. non-financial listed firms from 2002 to 2011, we find that these two endogenous systematic factors dominate firm-specific factors and other widely known systematic factors in in-sample and out-of-sample CDS spread predictions

Moneyness, Volatility, and the Cross-Section of Option Returns

We study the effect of an asset's volatility on the expected returns of European options written on the asset. A simple stochastic discount factor model suggests that the effect differs depending on whether variations in volatility are due to variations in systematic or idiosyncratic volatility. While variations in idiosyncratic volatility only affect an option's elasticity, variations in systematic volatility also oppositely affect the underlying asset's risk. Since moneyness modulates these effects, systematic volatility positively (negatively) prices options with high (low) asset-to-strike price ratios, while idiosyncratic volatility is unambiguously priced. Single-stock call option data support our predictions

Impact of interleukin-28B polymorphism on HCV-1 infected patients treated with response-guided therapy

SummaryBackgroundSingle nucleotide polymorphisms (SNPs) of interleukin-28B (IL28B) were associated with sustained virological response (SVR) in hepatitis C virus genotype 1 (HCV-1) infected patients treated with a standard 48-week regimen of peginterferon and ribavirin combination. Whether IL28B SNP genotype would be the influential prognosticator for patients treated with response-guided therapy (RGT) is still not well understood.AimsTo investigate the impact of IL28B rs809917 genotype on HCV-1 infected patients treated with RGT.MethodsA total of 128 consecutive treatment-naïve HCV-1 infected patients between July 2006 and July 2011 were analyzed. For rapid virological response (RVR) patients, we allowed an abbreviated 24-week regimen regardless of baseline viral loads; otherwise, a 48-week regimen was implemented (for patients with early virological response). The IL28B rs8099917 SNP genotypes were determined accordingly.ResultsA total of 117 patients (91.4%) were of rs8099917 TT genotype and 11 (8.6%) were of GT/GG genotype. Eighty-two of the 128 (64.1%) patients achieved SVR, occurring in 54 of 67 RVR patients (80.6%) and 28 of 61 non-RVR patients (45.9%, p < 0.001). Compared to the GT/GG genotype, patients with the TT genotype had significantly higher SVR rates (67.5% vs. 27.3%; p = 0.008) and low relapse rates (28.2% vs. 70.0%; p = 0.006). The multivariate analysis showed that RVR (odds ratio, 4.51; 95% confidence interval, 1.87–10.90; p = 0.001) and rs8099917 TT genotype (odds ratio, 6.91; 95% confidence interval, 1.53–31.17; p = 0.012) were independent factors associated with SVR.ConclusionFor HCV-1 infected patients who were treated with RGT, the IL28B unfavorable genotype predicted a higher relapse rate; RVR and IL28B favorable genotype were independent factors associated with SVR in patients treated with RGT