The Impact of TARP Bailouts on Stock Market Volatility and Investor Fear

The Emergency Economic Stabilization Act of 2008 was the response of the Federal government to the economic crisis of 2007-2009. Within this act, the Troubled Asset Relief Program (TARP) was the mechanism to attempt to stabilize the financial market through the injection of liquidity into troubled firms. This paper examines the effect of TARP bailouts on stock market volatility and investor fear. Using an event study methodology, we find evidence of a significant decrease in stock-market volatility on the day of bailouts, and the day after. Additionally, findings show that the VIX, a proxy of investor fear, significantly declines on the second day subsequent to bailouts. The results suggest that government intervention, in the form of bailouts, is successful in stabilizing financial markets and reducing investor anxiety in the short-run

Foreign Portfolio Investment Inflows to the United States: The Impact of Investor Risk Aversion and U.S. Stock Market Performance

This paper examines the relationship of net foreign portfolio investment inflows, namely corporate bonds and stocks, to two pull factors; investor risk aversion and the US stock market. Using a vector autoregressive model, we find that positive shocks to the stock market elicit an insignificant response to the net corporate bond inflow and a significant short term positive response to the net corporate stock inflow. The net corporate stock inflow does not respond to risk aversion, while bond inflows do exhibit a significant midterm response to an increase in risk aversion. Consistent with previous empirical findings, the results show that internal country-specific factors may influence foreign portfolio inflows

Faith-based and sin portfolios: An empirical inquiry into norm-neglect vs norm-conforming investor behavior

Purpose – The purpose of this paper is to investigate relative portfolio performance between sin stock returns and faith-based returns. Design/methodology/approach – Similar to Hong and Kacperczyk, Jensen's alpha was utilized to conduct tests along with three asset-pricing models and rolling regression technique to reveal that faith-based and sin betas move in opposite directions during most of the sample period. Findings – Norm-neglect was found, in that Jensen's alpha is positive and significant for the sin portfolio. Further, evidence in favor of norm-conforming investor behavior was found, where Jensen's alpha is negative and significant for the faith-based portfolio. These findings provide evidence that the sin portfolio outperforms the faith-based portfolio relative to the market. A rolling regression technique reveals that faith-based and sin betas tend to move in opposite directions during most of the sample period. The evidence suggests that faith-based beta has an average estimated beta of one, mimicking the market. The sin portfolio, however, has an average estimated beta of one-half. Finally, the reward-to-risk measure, Sharpe ratio, is statistically higher for the sin portfolio relative to the faith-based portfolio. Originality/value – This paper contributes to the literature in the following distinct ways. First, three asset-pricing models are estimated to examine Jensen's alpha for sin and faith-based portfolios. Second, a rolling regression procedure is used to examine the dynamic behavior relative to the market of the sin and faith-based portfolios. Third, use is made of the Jobson and Korkie test, which allows for statistical comparisons of Sharpe ratios. Lastly, daily instead of monthly data and a different sample period are used to examine the research questions posed in this study.Asset valuation, Financial management, Investors, Portfolio investment

The Effect of U.S. Investor Sentiment on Cross-Listed Securities Returns: A High-Frequency Approach

This paper studies the impact of a high-frequency investor sentiment measure (New FEARS) on the returns of foreign securities listed in U.S. markets as American Depository Receipts (ADRs). We recreate a high-frequency investor sentiment measure by aggregating search volume indices (SVIs) for a set of negative economic search terms. We find that ADR aggregate market returns exhibit a negative reaction to increases in searches for negative economic terms such as “recession”, “crisis”, and “bankruptcy” by U.S. households. This is the first paper to measure the effects of high-frequency investor sentiment on cross-listed securities. Moreover, the results are consistent throughout our study regardless of the variation of sentiment and aggregate market return measure we use. We also explore ADR regional market indices and show that Latin American ADRs are more sensitive to this investor sentiment measure

The impact of TARP bailouts on stock market volatility and investor fear

The Emergency Economic Stabilization Act of 2008 was the response of the Federal government to the economic crisis of 2007-2009. Within this act, the Troubled Asset Relief Program (TARP) was the mechanism to attempt to stabilize the financial market through the injection of liquidity into troubled firms. This paper examines the effect of TARP bailouts on stock market volatility and investor fear. Using an event study methodology, we find evidence of a significant decrease in stock-market volatility on the day of bailouts, and the day after. Additionally, findings show that the VIX, a proxy of investor fear, significantly declines on the second day subsequent to bailouts. The results suggest that government intervention, in the form of bailouts, is successful in stabilizing financial markets and reducing investor anxiety in the short-run

Abnormal differentiation of B cells and megakaryocytes in patients with Roifman syndrome

BACKGROUND: Roifman syndrome is a rare inherited disorder characterized by spondyloepiphyseal dysplasia, growth retardation, cognitive delay, hypogammaglobulinemia, and, in some patients, thrombocytopenia. Compound heterozygous variants in the small nuclear RNA gene RNU4ATAC, which is necessary for U12-type intron splicing, were identified recently as driving Roifman syndrome. OBJECTIVE: We studied 3 patients from 2 unrelated kindreds harboring compound heterozygous or homozygous stem II variants in RNU4ATAC to gain insight into the mechanisms behind this disorder. METHODS: We systematically profiled the immunologic and hematologic compartments of the 3 patients with Roifman syndrome and performed RNA sequencing to unravel important splicing defects in both cell lineages. RESULTS: The patients exhibited a dramatic reduction in B-cell numbers, with differentiation halted at the transitional B-cell stage. Despite abundant B-cell activating factor availability, development past this B-cell activating factor-dependent stage was crippled, with disturbed minor splicing of the critical mitogen-activated protein kinase 1 signaling component. In the hematologic compartment patients with Roifman syndrome demonstrated defects in megakaryocyte differentiation, with inadequate generation of proplatelets. Platelets from patients with Roifman syndrome were rounder, with increased tubulin and actin levels, and contained increased α-granule and dense granule markers. Significant minor intron retention in 354 megakaryocyte genes was observed, including DIAPH1 and HPS1, genes known to regulate platelet and dense granule formation, respectively. CONCLUSION: Together, our results provide novel molecular and cellular data toward understanding the immunologic and hematologic features of Roifman syndrome.status: publishe

Abnormal differentiation of B cells and megakaryocytes in patients with Roifman syndrome.

BACKGROUND: Roifman syndrome is a rare inherited disorder characterized by spondyloepiphyseal dysplasia, growth retardation, cognitive delay, hypogammaglobulinemia, and, in some patients, thrombocytopenia. Compound heterozygous variants in the small nuclear RNA gene RNU4ATAC, which is necessary for U12-type intron splicing, were identified recently as driving Roifman syndrome. OBJECTIVE: We studied 3 patients from 2 unrelated kindreds harboring compound heterozygous or homozygous stem II variants in RNU4ATAC to gain insight into the mechanisms behind this disorder. METHODS: We systematically profiled the immunologic and hematologic compartments of the 3 patients with Roifman syndrome and performed RNA sequencing to unravel important splicing defects in both cell lineages. RESULTS: The patients exhibited a dramatic reduction in B-cell numbers, with differentiation halted at the transitional B-cell stage. Despite abundant B-cell activating factor availability, development past this B-cell activating factor-dependent stage was crippled, with disturbed minor splicing of the critical mitogen-activated protein kinase 1 signaling component. In the hematologic compartment patients with Roifman syndrome demonstrated defects in megakaryocyte differentiation, with inadequate generation of proplatelets. Platelets from patients with Roifman syndrome were rounder, with increased tubulin and actin levels, and contained increased α-granule and dense granule markers. Significant minor intron retention in 354 megakaryocyte genes was observed, including DIAPH1 and HPS1, genes known to regulate platelet and dense granule formation, respectively. CONCLUSION: Together, our results provide novel molecular and cellular data toward understanding the immunologic and hematologic features of Roifman syndrome