Asset pricing with return asymmetries

This thesis consists of three essays about the impact on asset prices of return asymmetries. In the first essay, I investigate the dynamic properties of widely used U.S. equity risk factors such as size, value, and momentum. These factors display significant return asymmetries as well as time-varying dependence, which is especially striking since their linear unconditional cross-correlations are near zero. Therefore, an analysis based only on linear correlations drastically overstates the diversification benefits offered by these risk factors. I propose a novel econometric methodology to capture dynamic dependence and multivariate asymmetries, and I show that these features have a significant impact on optimal portfolio allocations, as well as on risk measures.The second essay answers an important question: Has financial integration eroded the benefits of international diversification? Using an extension of the methodology used in the first essay, I can capture the evolution over time of dependence in a large cross-section of developed and emerging equity markets. Correlations and tail dependence have significantly increased for both groups of countries, but tail dependence in emerging markets is still relatively low. Hence, international diversification benefits have reduced over time, but emerging markets still offer important benefits especially during large market downturns.In the third essay, I explore the theoretical implications of these return asymmetries in a rational framework. Using a distribution related to the one used in the first two essays, I derive an asset pricing model that incorporates both systematic and idiosyncratic return asymmetries. Systematic asymmetry can have a positive or negative risk premium depending on the asymmetry of the market portfolio, whereas idiosyncratic asymmetry always commands a negative risk premium. In the empirical section, I find that systematic and idiosyncratic asymmetries help explain the variation in expected returns for U.S. and international equity markets, government bonds, currencies, and commodities. Therefore, I provide a risk-based explanation of expected returns using both systematic and idiosyncratic asymmetries, and contribute to our understanding of asset prices in different markets.Cette thèse comporte trois essais sur l'impact des asymétries de rendements sur les prix d'actifs. Dans le premier essai, j'examine les propriétés dynamiques des facteurs de risque souvent utilisés pour le marché des actions américaines tels que les facteurs de taille, de valeur et de momentum. Ces facteurs démontrent des asymétries de rendements significatives ainsi que de la dépendance variant à travers le temps, ce qui est frappant étant donné que leurs corrélations inconditionnelles sont près de zéro. Donc, une analyse basée sur les corrélations linéaires surestime drastiquement les bénéfices de diversification offerts par ces facteurs de risque. Je propose une nouvelle méthodologie économétrique pour capturer la dépendance dynamique et les asymétries multivariées, et je montre que ces caractéristiques impactent significativement les allocations optimales de portefeuille ainsi que les mesures de risque.Le deuxième essai répond à une question importante: Est-ce que l'intégration financière a érodé les bénéfices venant de la diversification internationale? En utilisant une extension de la méthodologie utilisée dans le premier essai, je peux capturer l'évolution de la dépendance à travers le temps pour un large échantillon d'indices d'actions de marchés développés et émergents. Les corrélations et la dépendance des événements extrêmes ont considérablement augmenté pour les deux groupes, mais la dépendance entre les événements extrêmes pour les marchés émergents est encore relativement faible. Donc, les avantages de la diversification internationale ont diminué au fil du temps, mais les marchés émergents offrent toujours des avantages importants, en particulier lors de grandes baisses de marché.Dans le troisième essai, j'explore les implications théoriques de ces asymétries de rendements dans un cadre rationnel. Utilisant une distribution basée sur celle utilisée dans les deux premiers essais, je dérive un modèle d'évaluation d'actifs qui intègre à la fois les asymétries de rendements systématiques et idiosyncratiques. L'asymétrie systématique peut avoir une prime de risque positive ou négative dépendamment de l'asymétrie du portefeuille de marché, alors que l'asymétrie idiosyncratique est toujours accompagnée d'une prime de risque négative. Dans la partie empirique, je trouve que les asymétries systématiques et idiosyncratiques aident à expliquer les variations d'espérances de rendements dans les marchés d'actions américaines et internationales, d'obligations gouvernementales, de devises et de commodités. Par conséquent, je propose une explication des espérances de rendements fondée sur le risque en utilisant les asymétries systématiques et idiosyncratiques, et je contribue à notre compréhension des prix d'actifs dans ces différents marchés

COVID-19 outcomes in patients with inflammatory rheumatic and musculoskeletal diseases treated with rituximab: a cohort study

International audienceBackground: Various observations have suggested that the course of COVID-19 might be less favourable in patients with inflammatory rheumatic and musculoskeletal diseases receiving rituximab compared with those not receiving rituximab. We aimed to investigate whether treatment with rituximab is associated with severe COVID-19 outcomes in patients with inflammatory rheumatic and musculoskeletal diseases.Methods: In this cohort study, we analysed data from the French RMD COVID-19 cohort, which included patients aged 18 years or older with inflammatory rheumatic and musculoskeletal diseases and highly suspected or confirmed COVID-19. The primary endpoint was the severity of COVID-19 in patients treated with rituximab (rituximab group) compared with patients who did not receive rituximab (no rituximab group). Severe disease was defined as that requiring admission to an intensive care unit or leading to death. Secondary objectives were to analyse deaths and duration of hospital stay. The inverse probability of treatment weighting propensity score method was used to adjust for potential confounding factors (age, sex, arterial hypertension, diabetes, smoking status, body-mass index, interstitial lung disease, cardiovascular diseases, cancer, corticosteroid use, chronic renal failure, and the underlying disease [rheumatoid arthritis vs others]). Odds ratios and hazard ratios and their 95% CIs were calculated as effect size, by dividing the two population mean differences by their SD. This study is registered with ClinicalTrials.gov, NCT04353609.Findings: Between April 15, 2020, and Nov 20, 2020, data were collected for 1090 patients (mean age 55·2 years [SD 16·4]); 734 (67%) were female and 356 (33%) were male. Of the 1090 patients, 137 (13%) developed severe COVID-19 and 89 (8%) died. After adjusting for potential confounding factors, severe disease was observed more frequently (effect size 3·26, 95% CI 1·66-6·40, p=0·0006) and the duration of hospital stay was markedly longer (0·62, 0·46-0·85, p=0·0024) in the 63 patients in the rituximab group than in the 1027 patients in the no rituximab group. 13 (21%) of 63 patients in the rituximab group died compared with 76 (7%) of 1027 patients in the no rituximab group, but the adjusted risk of death was not significantly increased in the rituximab group (effect size 1·32, 95% CI 0·55-3·19, p=0·53).Interpretation: Rituximab therapy is associated with more severe COVID-19. Rituximab will have to be prescribed with particular caution in patients with inflammatory rheumatic and musculoskeletal diseases

Severity of COVID-19 and survival in patients with rheumatic and inflammatory diseases: data from the French RMD COVID-19 cohort of 694 patients

International audienceObjectives: There is little known about the impact of SARS-CoV-2 on patients with inflammatory rheumatic and musculoskeletal diseases (iRMD). We examined epidemiological characteristics associated with severe disease, then with death. We also compared mortality between patients hospitalised for COVID-19 with and without iRMD.Methods: Individuals with suspected iRMD-COVID-19 were included in this French cohort. Logistic regression models adjusted for age and sex were used to estimate adjusted ORs and 95% CIs of severe COVID-19. The most significant clinically relevant factors were analysed by multivariable penalised logistic regression models, using a forward selection method. The death rate of hospitalised patients with iRMD-COVID-19 (moderate-severe) was compared with a subset of patients with non-iRMD-COVID-19 from a French hospital matched for age, sex, and comorbidities.Results: Of 694 adults, 438 (63%) developed mild (not hospitalised), 169 (24%) moderate (hospitalised out of the intensive care unit (ICU) and 87 (13%) severe (patients in ICU/deceased) disease. In multivariable imputed analyses, the variables associated with severe infection were age (OR=1.08, 95% CI: 1.05-1.10), female gender (OR=0.45, 95% CI: 0.25-0.80), body mass index (OR=1.07, 95% CI: 1.02-1.12), hypertension (OR=1.86, 95% CI: 1.01-3.42), and use of corticosteroids (OR=1.97, 95% CI: 1.09-3.54), mycophenolate mofetil (OR=6.6, 95% CI: 1.47-29.62) and rituximab (OR=4.21, 95% CI: 1.61-10.98). Fifty-eight patients died (8% (total) and 23% (hospitalised)). Compared with 175 matched hospitalised patients with non-iRMD-COVID-19, the OR of mortality associated with hospitalised patients with iRMD-COVID-19 was 1.45 (95% CI: 0.87-2.42) (n=175 each group).Conclusions: In the French RMD COVID-19 cohort, as already identified in the general population, older age, male gender, obesity, and hypertension were found to be associated with severe COVID-19. Patients with iRMD on corticosteroids, but not methotrexate, or tumour necrosis factor alpha and interleukin-6 inhibitors, should be considered as more likely to develop severe COVID-19. Unlike common comorbidities such as obesity, and cardiovascular or lung diseases, the risk of death is not significantly increased in patients with iRMD

Severity of COVID-19 and survival in patients with rheumatic and inflammatory diseases: data from the French RMD COVID-19 cohort of 694 patients

International audienceObjectives: There is little known about the impact of SARS-CoV-2 on patients with inflammatory rheumatic and musculoskeletal diseases (iRMD). We examined epidemiological characteristics associated with severe disease, then with death. We also compared mortality between patients hospitalised for COVID-19 with and without iRMD.Methods: Individuals with suspected iRMD-COVID-19 were included in this French cohort. Logistic regression models adjusted for age and sex were used to estimate adjusted ORs and 95% CIs of severe COVID-19. The most significant clinically relevant factors were analysed by multivariable penalised logistic regression models, using a forward selection method. The death rate of hospitalised patients with iRMD-COVID-19 (moderate-severe) was compared with a subset of patients with non-iRMD-COVID-19 from a French hospital matched for age, sex, and comorbidities.Results: Of 694 adults, 438 (63%) developed mild (not hospitalised), 169 (24%) moderate (hospitalised out of the intensive care unit (ICU) and 87 (13%) severe (patients in ICU/deceased) disease. In multivariable imputed analyses, the variables associated with severe infection were age (OR=1.08, 95% CI: 1.05-1.10), female gender (OR=0.45, 95% CI: 0.25-0.80), body mass index (OR=1.07, 95% CI: 1.02-1.12), hypertension (OR=1.86, 95% CI: 1.01-3.42), and use of corticosteroids (OR=1.97, 95% CI: 1.09-3.54), mycophenolate mofetil (OR=6.6, 95% CI: 1.47-29.62) and rituximab (OR=4.21, 95% CI: 1.61-10.98). Fifty-eight patients died (8% (total) and 23% (hospitalised)). Compared with 175 matched hospitalised patients with non-iRMD-COVID-19, the OR of mortality associated with hospitalised patients with iRMD-COVID-19 was 1.45 (95% CI: 0.87-2.42) (n=175 each group).Conclusions: In the French RMD COVID-19 cohort, as already identified in the general population, older age, male gender, obesity, and hypertension were found to be associated with severe COVID-19. Patients with iRMD on corticosteroids, but not methotrexate, or tumour necrosis factor alpha and interleukin-6 inhibitors, should be considered as more likely to develop severe COVID-19. Unlike common comorbidities such as obesity, and cardiovascular or lung diseases, the risk of death is not significantly increased in patients with iRMD

Long-term neurological symptoms after acute COVID-19 illness requiring hospitalization in adult patients: insights from the ISARIC-COVID-19 follow-up study

in this study we aimed to characterize the type and prevalence of neurological symptoms related to neurological long-COVID-19 from a large international multicenter cohort of adults after discharge from hospital for acute COVID-19

Paediatric COVID-19 mortality: a database analysis of the impact of health resource disparity

Background The impact of the COVID-19 pandemic on paediatric populations varied between high-income countries (HICs) versus low-income to middle-income countries (LMICs). We sought to investigate differences in paediatric clinical outcomes and identify factors contributing to disparity between countries.Methods The International Severe Acute Respiratory and Emerging Infections Consortium (ISARIC) COVID-19 database was queried to include children under 19 years of age admitted to hospital from January 2020 to April 2021 with suspected or confirmed COVID-19 diagnosis. Univariate and multivariable analysis of contributing factors for mortality were assessed by country group (HICs vs LMICs) as defined by the World Bank criteria.Results A total of 12 860 children (3819 from 21 HICs and 9041 from 15 LMICs) participated in this study. Of these, 8961 were laboratory-confirmed and 3899 suspected COVID-19 cases. About 52% of LMICs children were black, and more than 40% were infants and adolescent. Overall in-hospital mortality rate (95% CI) was 3.3% [=(3.0% to 3.6%), higher in LMICs than HICs (4.0% (3.6% to 4.4%) and 1.7% (1.3% to 2.1%), respectively). There were significant differences between country income groups in intervention profile, with higher use of antibiotics, antivirals, corticosteroids, prone positioning, high flow nasal cannula, non-invasive and invasive mechanical ventilation in HICs. Out of the 439 mechanically ventilated children, mortality occurred in 106 (24.1%) subjects, which was higher in LMICs than HICs (89 (43.6%) vs 17 (7.2%) respectively). Pre-existing infectious comorbidities (tuberculosis and HIV) and some complications (bacterial pneumonia, acute respiratory distress syndrome and myocarditis) were significantly higher in LMICs compared with HICs. On multivariable analysis, LMIC as country income group was associated with increased risk of mortality (adjusted HR 4.73 (3.16 to 7.10)).Conclusion Mortality and morbidities were higher in LMICs than HICs, and it may be attributable to differences in patient demographics, complications and access to supportive and treatment modalities

Respiratory support in patients with severe COVID-19 in the International Severe Acute Respiratory and Emerging Infection (ISARIC) COVID-19 study: a prospective, multinational, observational study

Background: Up to 30% of hospitalised patients with COVID-19 require advanced respiratory support, including high-flow nasal cannulas (HFNC), non-invasive mechanical ventilation (NIV), or invasive mechanical ventilation (IMV). We aimed to describe the clinical characteristics, outcomes and risk factors for failing non-invasive respiratory support in patients treated with severe COVID-19 during the first two years of the pandemic in high-income countries (HICs) and low middle-income countries (LMICs). Methods: This is a multinational, multicentre, prospective cohort study embedded in the ISARIC-WHO COVID-19 Clinical Characterisation Protocol. Patients with laboratory-confirmed SARS-CoV-2 infection who required hospital admission were recruited prospectively. Patients treated with HFNC, NIV, or IMV within the first 24 h of hospital admission were included in this study. Descriptive statistics, random forest, and logistic regression analyses were used to describe clinical characteristics and compare clinical outcomes among patients treated with the different types of advanced respiratory support. Results: A total of 66,565 patients were included in this study. Overall, 82.6% of patients were treated in HIC, and 40.6% were admitted to the hospital during the first pandemic wave. During the first 24 h after hospital admission, patients in HICs were more frequently treated with HFNC (48.0%), followed by NIV (38.6%) and IMV (13.4%). In contrast, patients admitted in lower- and middle-income countries (LMICs) were less frequently treated with HFNC (16.1%) and the majority received IMV (59.1%). The failure rate of non-invasive respiratory support (i.e. HFNC or NIV) was 15.5%, of which 71.2% were from HIC and 28.8% from LMIC. The variables most strongly associated with non-invasive ventilation failure, defined as progression to IMV, were high leukocyte counts at hospital admission (OR [95%CI]; 5.86 [4.83-7.10]), treatment in an LMIC (OR [95%CI]; 2.04 [1.97-2.11]), and tachypnoea at hospital admission (OR [95%CI]; 1.16 [1.14-1.18]). Patients who failed HFNC/NIV had a higher 28-day fatality ratio (OR [95%CI]; 1.27 [1.25-1.30]). Conclusions: In the present international cohort, the most frequently used advanced respiratory support was the HFNC. However, IMV was used more often in LMIC. Higher leucocyte count, tachypnoea, and treatment in LMIC were risk factors for HFNC/NIV failure. HFNC/NIV failure was related to worse clinical outcomes, such as 28-day mortality. Trial registration This is a prospective observational study; therefore, no health care interventions were applied to participants, and trial registration is not applicable

Respiratory support in patients with severe COVID-19 in the International Severe Acute Respiratory and Emerging Infection (ISARIC) COVID-19 study: a prospective, multinational, observational study

International audienceBackground: Up to 30% of hospitalised patients with COVID-19 require advanced respiratory support, including high-flow nasal cannulas (HFNC), non-invasive mechanical ventilation (NIV), or invasive mechanical ventilation (IMV). We aimed to describe the clinical characteristics, outcomes and risk factors for failing non-invasive respiratory support in patients treated with severe COVID-19 during the first two years of the pandemic in high-income countries (HICs) and low middle-income countries (LMICs).Methods: This is a multinational, multicentre, prospective cohort study embedded in the ISARIC-WHO COVID-19 Clinical Characterisation Protocol. Patients with laboratory-confirmed SARS-CoV-2 infection who required hospital admission were recruited prospectively. Patients treated with HFNC, NIV, or IMV within the first 24 h of hospital admission were included in this study. Descriptive statistics, random forest, and logistic regression analyses were used to describe clinical characteristics and compare clinical outcomes among patients treated with the different types of advanced respiratory support.Results: A total of 66,565 patients were included in this study. Overall, 82.6% of patients were treated in HIC, and 40.6% were admitted to the hospital during the first pandemic wave. During the first 24 h after hospital admission, patients in HICs were more frequently treated with HFNC (48.0%), followed by NIV (38.6%) and IMV (13.4%). In contrast, patients admitted in lower- and middle-income countries (LMICs) were less frequently treated with HFNC (16.1%) and the majority received IMV (59.1%). The failure rate of non-invasive respiratory support (i.e. HFNC or NIV) was 15.5%, of which 71.2% were from HIC and 28.8% from LMIC. The variables most strongly associated with non-invasive ventilation failure, defined as progression to IMV, were high leukocyte counts at hospital admission (OR [95%CI]; 5.86 [4.83-7.10]), treatment in an LMIC (OR [95%CI]; 2.04 [1.97-2.11]), and tachypnoea at hospital admission (OR [95%CI]; 1.16 [1.14-1.18]). Patients who failed HFNC/NIV had a higher 28-day fatality ratio (OR [95%CI]; 1.27 [1.25-1.30]).Conclusions: In the present international cohort, the most frequently used advanced respiratory support was the HFNC. However, IMV was used more often in LMIC. Higher leucocyte count, tachypnoea, and treatment in LMIC were risk factors for HFNC/NIV failure. HFNC/NIV failure was related to worse clinical outcomes, such as 28-day mortality. Trial registration This is a prospective observational study; therefore, no health care interventions were applied to participants, and trial registration is not applicable