Recovery Risk in Stock Returns

In this paper we argue that book-to-market and size attributes represent sensitivities of firm returns to several risk factors, and in so doing they subsume the information in other attributes. Although this gives them high cross-sectional explanatory power, they are not very indicative if we are concerned with testing whether an individual risk factor is priced. In that regard, claiming that financial distress is not priced, by only considering probability of bankruptcy, seems premature. Rational investors may also care about recovery rates and the relatively higher mean returns observed for small firms with very low book-to-market ratios is consistent with this view. To analyse recovery risk, we construct mimicking portfolios by sorting stocks on less noisy attributes such as fixed-assets and intangible-assets ratios. We find that recovery risk mimicking portfolios exhibit typical risk factor characteristics, and perform well in explaining the cross-section of returns. The results suggest that recovery risk factor is a good candidate to be priced, and much of the explanatory power of the size attribute comes from the fact that it embodies useful information regarding recovery risk. Overall, our findings have important portfolio management implications.

A generalization of the 0-numerical range

Let H be a complex Hilbert space. Given a bounded linear operator A on H, we describe the set Rn(A) = {V*AW : V,W : H, V*V = W*W = In, V*W = 0}. It is shown that the closed matricial convex hull of Rn(A) is a closed ball of radius min {|A - I| : } centered at the origin

Parental Quality of Life in the Framework of Paediatric Chronic Gastrointestinal Disease

Chronic gastrointestinal diseases, such as inflammatory bowel disease (IBD) and celiac disease (CD), might have impact not only on the affected child but also on their parents since inside the family framework, a change in each member may have influence on the whole system. The aim of this study was to test the hypothesis that parents whose children have IBD or CD will have a lower quality of life (QoL) compared to parents of healthy children, as well as that lower QoL will be found among parents who perceive lower health related quality of life (HRQOL) of their child. 55 parents of children with IBD, 49 of CD and 53 parents of healthy children were included in the study. Children were aged 7–18 years. In order to measure parental QoL, a Croatian version of the WHOQOL-BREF questionnaire was administered, with four domains: physical health, psychological health, social relationship and environment. The Total QoL was calculated as a sum of all domain items. The parent-proxy report of children’s HRQOL, PedsQLTM 4.0 Generic Core Scales was used.Main result shows that parents of children with IBD report a significantly lower psychological health, compared to parents of other children, and significantly lower physical health compared to parents of healthy children. Among parents of children with CD and parents of healthy children, better parental Total QoL was significantly correlated with better parental report of children’s HRQOL, while for parents of children with IBD those associations were not found. Results of study show association between presence of the disease in offspring with poorer parental QoL, thus highlight the importance of supporting not only children with chronic disease but also involving their parents in psychosocial interventions, as well as supporting the patient’s association groups which gather both children with chronic disease and their parents

Stock Market Performance and the Term Structure of Credit Spreads

We build a structural two-factor model of default where the stock market index is one of the stochastic factors. We allow the firm to adjust its leverage ratio in response to changes in the business climate for which the past performance of the stock market index acts as a proxy. We assume that the firm's log-leverage ratio follows a mean-reverting process and that the past performance of the stock index negatively affects the firms target leverage ratio. We show that for most credit ratings our model may explain actual yield spreads better than other well-known structural credit risk models. Also, our model shows that the past performance of the stock index returns and the firm's assets beta have a significant impact on credit spreads. Hence, our model can explain why credit spreads may be different within the same credit rating groups and why spreads are lower during economic expansions and higher during recession

Uvod u teorijsku arheologiju - stvaraoci i pravci u 20. stoljeću

Knjiga donosi pregled pravaca u arheološkoj misli tijekom 20. stoljeća i ključnih autora unutar pojedinog pravca te raspravu o važnosti teorijskih koncepata u arheologiji

Uvod u teorijsku arheologiju - stvaraoci i pravci u 20. stoljeću

Knjiga donosi pregled pravaca u arheološkoj misli tijekom 20. stoljeća i ključnih autora unutar pojedinog pravca te raspravu o važnosti teorijskih koncepata u arheologiji