We examine whether macroeconomic risk can explain momentum profits internationally. Neither an unconditional model based on the Chen, Roll, and Ross (1986) factors nor a conditional forecasting model based on lagged instruments provides any evidence that macroeconomic risk variables can explain momentum. In addition, momentum profits around the world are economically large and statistically reliable in both good and bad economic states. Further, these momentum profits reverse over 1‐ to 5‐year horizons, an action inconsistent with existing risk‐based explanations of momentum.

ObjectivesThe aim of this study was to conduct a rapid systematic review and meta-analysis of estimates of the incubation period of COVID-19.DesignRapid systematic review and meta-analysis of observational research.SettingInternational studies on incubation period of COVID-19.ParticipantsSearches were carried out in PubMed, Google Scholar, Embase, Cochrane Library as well as the preprint servers MedRxiv and BioRxiv. Studies were selected for meta-analysis if they reported either the parameters and CIs of the distributions fit to the data, or sufficient information to facilitate calculation of those values. After initial eligibility screening, 24 studies were selected for initial review, nine of these were shortlisted for meta-analysis. Final estimates are from meta-analysis of eight studies.Primary outcome measuresParameters of a lognormal distribution of incubation periods.ResultsThe incubation period distribution may be modelled with a lognormal distribution with pooled mu and sigma parameters (95% CIs) of 1.63 (95% CI 1.51 to 1.75) and 0.50 (95% CI 0.46 to 0.55), respectively. The corresponding mean (95% CIs) was 5.8 (95% CI 5.0 to 6.7) days. It should be noted that uncertainty increases towards the tail of the distribution: the pooled parameter estimates (95% CIs) resulted in a median incubation period of 5.1 (95% CI 4.5 to 5.8) days, whereas the 95th percentile was 11.7 (95% CI 9.7 to 14.2) days.ConclusionsThe choice of which parameter values are adopted will depend on how the information is used, the associated risks and the perceived consequences of decisions to be taken. These recommendations will need to be revisited once further relevant information becomes available. Accordingly, we present an R Shiny app that facilitates updating these estimates as new data become available.

This paper examines the relationship between book-to-market equity, distress risk, and stock returns. Among firms with the highest distress risk as proxied by Ohlson's~1980! O-score, the difference in returns between high and low book-tomarket securities is more than twice as large as that in other firms. This large return differential cannot be explained by the three-factor model or by differences in economic fundamentals. Consistent with mispricing arguments, firms with high distress risk exhibit the largest return reversals around earnings announcements, and the book-to-market effect is largest in small firms with low analyst coverage.

No abstract

ObjectivesOur objective was to review the literature on the inferred duration of the infectious period of COVID-19, caused by severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2) virus, and provide an overview of the variation depending on the methodological approach.DesignRapid scoping review. Literature review with fixed search terms, up to 1 April 2020. Central tendency and variation of the parameter estimates for infectious period in (A) asymptomatic and (B) symptomatic cases from (1) virological studies (repeated testing), (2) tracing studies and (3) modelling studies were gathered. Narrative review of viral dynamics.Information sourcesSearch strategies developed and the following searched: PubMed, Google Scholar, MedRxiv and BioRxiv. Additionally, the Health Information Quality Authority (Ireland) viral load synthesis was used, which screened literature from PubMed, Embase, ScienceDirect, NHS evidence, Cochrane, medRxiv and bioRxiv, and HRB open databases.ResultsThere was substantial variation in the estimates, and how infectious period was inferred. One study provided approximate median infectious period for asymptomatic cases of 6.5–9.5 days. Median presymptomatic infectious period across studies varied over <1–4 days. Estimated mean time from symptom onset to two negative RT-PCR tests was 13.4 days (95% CI 10.9 to 15.8) but was shorter when studies included children or less severe cases. Estimated mean duration from symptom onset to hospital discharge or death (potential maximal infectious period) was 18.1 days (95% CI 15.1 to 21.0); time to discharge was on average 4 days shorter than time to death. Viral dynamic data and model infectious parameters were often shorter than repeated diagnostic data.ConclusionsThere are limitations of inferring infectiousness from repeated diagnosis, viral loads and viral replication data alone and also potential patient recall bias relevant to estimating exposure and symptom onset times. Despite this, available data provide a preliminary evidence base to inform models of central tendency for key parameters and variation for exploring parameter space and sensitivity analysis.