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Low risk anomalies?
(2016)
This paper shows theoretically and empirically that beta- and volatility-based low risk anomalies are driven by return skewness. The empirical patterns concisely match the predictions of our model which generates skewness of stock returns via default risk. With increasing downside risk, the standard capital asset pricing model increasingly overestimates required equity returns relative to firms' true (skew-adjusted) market risk. Empirically, the profitability of betting against beta/volatility increases with firms' downside risk. Our results suggest that the returns to betting against beta/volatility do not necessarily pose asset pricing puzzles but rather that such strategies collect premia that compensate for skew risk.
Bipolar disorder (BD) is a genetically complex mental illness characterized by severe oscillations of mood and behavior. Genome-wide association studies (GWAS) have identified several risk loci that together account for a small portion of the heritability. To identify additional risk loci, we performed a two-stage meta-analysis of >9 million genetic variants in 9,784 bipolar disorder patients and 30,471 controls, the largest GWAS of BD to date. In this study, to increase power we used ~2,000 lithium-treated cases with a long-term diagnosis of BD from the Consortium on Lithium Genetics, excess controls, and analytic methods optimized for markers on the Xchromosome. In addition to four known loci, results revealed genome-wide significant associations at two novel loci: an intergenic region on 9p21.3 (rs12553324, p = 5.87×10-9; odds ratio = 1.12) and markers within ERBB2 (rs2517959, p = 4.53×10-9; odds ratio = 1.13). No significant X-chromosome associations were detected and X-linked markers explained very little BD heritability. The results add to a growing list of common autosomal variants involved in BD and illustrate the power of comparing well-characterized cases to an excess of controls in GWAS.