This paper provides new evidence on the pricing of market skewness risk by incorporating investor sentiment in the relation between sensitivity to innovations in implied market skewness and expected ...stock returns. Using both univariate and multivariate specifications, we conduct an extensive series of asset pricing tests on the cross-section of stocks during high and low sentiment periods separately. We find that market skewness risk carries a negative premium that cannot be explained away by known risk factors when sentiment is low. In contrast, the results are not conducive to a risk explanation when sentiment is high.
The recent asset pricing evidence on the return-liquidity risk relationship is mixed and somewhat ambiguous. We reevaluate the importance of market-wide liquidity and liquidity risk for equity ...pricing by taking the role of investor sentiment into account. Regarding the market-wide liquidity level as a systematic factor, we find that high market sentiment tends to weaken the effect of market-wide illiquidity - both expected and unexpected - on stocks returns. With respect to systematic liquidity exposure as a priced risk factor, the results show that the effect of exposure to shocks in aggregate liquidity on expected returns is significantly positive when sentiment is low, while it is significantly negative when sentiment is high suggesting that "rational" asset pricing is only valid in the low sentiment regime without too much turbulence caused by sentiment traders.
•Aggregate volatility is a priced risk factor only during low sentiment periods.•In high sentiment periods, the relation between aggregate volatility risk and expected returns is undermined.•The role ...of investor sentiment in the pricing of aggregate volatility risk is robust to various controls.
This paper aims at providing new insights on the pricing of aggregate volatility risk by incorporating investor sentiment in the relation between sensitivity to innovations in implied market volatility and expected stock returns. Using both cross-sectional and time series analysis, we investigate the effect of the exposure to aggregate volatility risk on stock returns in both high-sentiment and low-sentiment regimes. We find that exposure to aggregate volatility risk is negatively related to returns when sentiment is low. However, this relation loses its significance when sentiment is high. The documented negative relation is robust to controls for other variables and to the use of various sentiment proxies, suggesting that aggregate volatility risk is an independent risk factor only during low sentiment periods.
Background Neuroleptic malignant syndrome (NMS) is a rare but potentially life-threatening neuropsychiatric emergency. The aim of our study was to update our bedside procedures by investigating NMS ...cases managed in the intensive care unit (ICU). Methods This retrospective study included all NMS patients admitted to our hospital between January 2012 and December 2019. The variables analyzed included demographics, diagnosis, therapeutics, and outcomes. Results This study included 20 patients, with an average age of 36.6 years. The male to female ratio was 1:4. No patient had a history of NMS, and 60% of the patients had schizophrenia. First-generation neuroleptics (NLs) were the most commonly prescribed drugs (80%). The mean time between the introduction of NLs and onset of symptoms was 7.6 days. Rigidity was observed in 90% of the patients, hyperthermia and neuropsychic syndrome in 65%, and dysautonomia in 50%. The creatine phosphokinase level in all patients was four times the normal value. Mechanical ventilation was required in 20% of the patients and hemodialysis in one patient. None of the patients received specific therapy. The mean duration of ICU stay was 10 days. The mortality rate was 10%,, mainly associated with renal failure. The analysis of the predictors of mortality was limited by the size of our cohort. Conclusion NMS is a rare condition requiring multidisciplinary implementation of contextualized and updated procedures. Early detection and supportive treatment could improve the prognosis in resource-limited settings, where specific treatments are not available. Predictive risk factors should be investigated in larger multicenter cohorts.
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