Herd Behavior: An Estimate for the Italian Stock Exchange

Herd behavior is widely believed to play a crucial role in financial markets and particularly when the market is in stress. This work analyses the phenomenon of herd behavior from both a theoretical and an empirical point of view. We apply the approach by Hwang and Salmon (2004), based on the cross-sectional standard deviations of the betas, to analyse herd behavior in the Italian Stock Exchange in the period January 1998 - December 2012. We find that herd behavior towards the market portfolio is significant and persistent, independently from and given the particular state of the market, and it shows a positive correlation with the FTSE MIB. Another remarkable result, given that herd behavior can lead to significant mispricing, is that herd behavior is never greater than the 40% of its maximum potential value during the sample period. Further, we examine herd behavior towards SMB and HML factors and find evidence of significant periods of herd behavior towards SMB and HML

Investor Climate Sentiment and Financial Markets

We propose to measure investor climate sentiment by performing sentiment analysis on StockTwits posts on climate change and global warming. In financial markets, stocks of emission (carbon-intensive) firms underperform clean (low-emission) stocks when investor climate sentiment is more positive. We document investors overreaction to climate change risk and reversal in longer horizons. Salient but uninformative climate change events (i.e., release of a report on climate change, abnormal weather events, and high carbon prices) facilitate the investor learning process and correction of the mispricing

Passives are not hard to interpret but hard to remember : evidence from online and offline studies

Passive sentences are considered more difficult to comprehend than active ones. Previous online-only studies cast doubt on this generalization. The current paper directly compares online and offline processing of passivization and manipulates verb type: state vs event. Stative passives are temporarily ambiguous (adjectival vs verbal), eventive passives are not (always verbal). Across 4 experiments (self-paced reading with comprehension questions), passives were consistently read faster than actives. This contradicts the claim that passives are difficult to parse and/or interpret, as argued by main perspectives of passive processing (heuristic or syntactic). The reading time facilitation is compatible with broader expectation/surprisal theories. When comprehension targeted theta-roles assignment, passives were more errorful, regardless of verb type. Verbal WM measures did not correlate with the difference in accuracy, excluding it as an explanation. The accuracy effect is argued to reflect a post-interpretive difficulty associated with generating/maintaining a propositional representation of passives required by specific tasks

Commentary to "Critical Limitations of Digital Epidemiology: Why COVID-19 Apps Are Useless"

editorial reviewe

Numerical evaluation of Cauchy principal value integrals by means of nodal spline approximation

Not available

Carbon Risk Premium and Worries about Climate Change

This paper sheds light on the impact of public attitudes towards climate change on the pricing of emission (carbon-intensive) and clean (low-emission) stocks. We develop a regional indicator of worries about climate change using data from the European Social Survey Round 8. We classify European regions as little worried, worried and very worried. We confirm previous evidence that emission stocks tend to have higher returns than clean stocks. However, when we focus on stocks quoted in exchange markets located in regions with low level of worries about climate change, we do not find evidence of a carbon risk premium. Conversely, the emission premium in worried regions is significant for medium-high quantiles of the return distribution

Processing unambiguous verbal passives in German

Passivization played a central role in shaping both linguistic theory and psycholinguistic approaches to sentence processing, language acquisition and impairment. We present the results of two experiments that simultaneously test online processing (self-paced reading) and offline comprehension (through comprehension questions) of passives in German while also manipulating the event structure of the predicates used. In contrast to English, German passives are unambiguously verbal, allowing for the study of passivization independent of a confound in the degree of interpretive ambiguity (verbal/adjectival). In English, this ambiguity interacts with event structure, with passives of stative predicates naturally receiving an adjectival interpretation. In a recent study, Paolazzi et al. (2015, 2016) showed that in contrast to the mainstream theoretical perspective, passive sentences are not inherently harder to process than actives. Complexity of passivization in English is tied to the aspectual class of the verbal predicate passivized: With eventive predicates, passives are read faster (as hinted at in previous literature) and generate no comprehension difficulties (in contrast to previous findings with mixed predicates). Complexity effects with passivization, in turn, are only found with stative predicates. The asymmetry is claimed to stem from the temporary adjectival/verbal ambiguity of stative passives in English. We predict that the observed difficulty with English stative passives disappears in German, given that in this language the passive construction under investigation is unambiguously verbal. The results support this prediction: Both offline and online there was no difficulty with passivization, under either eventive or stative predicates. In fact, passives and their rich morphology eased parsing across both types of predicates

Social Interaction, Stochastic Volatility, and Momentum

This paper incorporates information uncertainty and social interaction among investors into a random utility framework and develops an evolutionary equilibrium model of asset pricing and investor choice dynamics. We show that strong social interaction can lead to endogenous switching between two persistent regimes for the mean choice and return volatility, which can simultaneously generate time-series momentum and volatility clustering in asset returns. By using StockTwits post volume as a proxy for social interaction, we provide empirical evidence for the model predictions for various equity indices

Social interaction, volatility clustering, and momentum

peer reviewe

Subcutaneous Direct-to-Implant Breast Reconstruction: Surgical, Functional, and Aesthetic Results after Long-Term Follow-Up

BACKGROUND: Direct-to-implant breast reconstruction can be achieved more easily by means of soft-tissue replacement devices such as dermal matrices and synthetic meshes. The feasibility of a subcutaneous approach has been recently investigated by some studies with different devices functioning as implant support. Aim of this study is to analyze the long-term results, both objective and subjective, of a previous nonrandomized trial comparing prepectoral (subcutaneous) and retropectoral breast reconstructions. METHODS: Patients enrolled in a nonrandomized prospective trial, comparing the standard retropectoral reconstruction and the prepectoral subcutaneous approach, using a titanium-coated mesh in both techniques, were followed up and evaluated for long-term results. Cases were compared in terms of the causes and rate of reinterventions, of the postoperative BREAST-Q questionnaire results, and of an objective surgical evaluation. RESULTS: The subcutaneous group had a rate of implant failure and removal of 5.1% when compared with 0% in the retropectoral group. Aesthetic outcome was significantly better for the subcutaneous group both at a subjective and at an objective evaluation. Capsular contracture rate was 0% in the subcutaneous group. CONCLUSIONS: A higher rate of implant failure and removal, although not significant, always because of skin flaps and wound problems, should be taken into account for a careful patients selection. The subcutaneous breast reconstruction shows good long-term results. A coherent subjective and objective cosmetic advantage of this approach emerges. Moreover, no capsular contracture is evident, albeit in a relatively limited number of cases