Essays in asset price bubbles

This thesis studies the field of asset price bubbles. It is comprised of three independent chapters. Each of these chapters either directly or indirectly analyse the existence or implications of asset price bubbles. The type of bubbles assumed in each of these chapters is consistent with rational expectations. Thus, the kind of price bubbles investigated here are known as rational bubbles in the literature. The following describes the three chapters. Chapter 1: This chapter attempts to explain the recent US housing price bubble by developing a heterogeneous agent endowment economy asset pricing model with risky housing, endogenous collateral and defaults. Investment in housing is subject to an idiosyncratic risk and some mortgages are defaulted in equilibrium. We analytically derive the leverage or the endogenous loan to value ratio. This variable comes from a limited participation constraint in a one period mortgage contract with monitoring costs. Our results show that low values of housing investment risk produces a credit easing effect encouraging excess leverage and generates credit driven rational price bubbles in the housing good. Conversely, high values of housing investment risk produces a credit crunch characterized by tight borrowing constraints, low leverage and low house prices. Furthermore, the leverage ratio was found to be procyclical and the rate of defaults countercyclical consistent with empirical evidence. Chapter 2: It is widely believed that financial assets have considerable persistence and are susceptible to bubbles. However, identification of this persistence and potential bubbles is not straightforward. This chapter tests for price bubbles in the United States housing market accounting for long memory and structural breaks. The intuition is that the presence of long memory negates price bubbles while the presence of breaks could artificially induce bubble behaviour. Hence, we use procedures namely semi-parametric Whittle and parametric ARFIMA procedures that are consistent for a variety of residual biases to estimate the value of the long memory parameter, d, of the log rent-price ratio. We find that the semi-parametric estimation procedures robust to non-normality and heteroskedasticity errors found far more bubble regions than parametric ones. A structural break was identified in the mean and trend of all the series which when accounted for removed bubble behaviour in a number of regions. Importantly, the United States housing market showed evidence for rational bubbles at both the aggregate and regional levels. In the third and final chapter, we attempt to answer the following question: To what extend should individuals participate in the stock market and hold risky assets over their lifecycle? We answer this question by employing a lifecycle consumption-portfolio choice model with housing, labour income and time varying predictable returns where the agents are constrained in the level of their borrowing. We first analytically characterize and then numerically solve for the optimal asset allocation on the risky asset comparing the return predictability case with that of IID returns. We successfully resolve the puzzles and find equity holding and participation rates close to the data. We also find that return predictability substantially alter both the level of risky portfolio allocation and the rate of stock market participation. High factor (dividend-price ratio) realization and high persistence of factor process indicative of stock market bubbles raise the amount of wealth invested in risky assets and the level of stock market participation, respectively. Conversely, rare disasters were found to bring down these rates, the change being severe for investors in the later years of the life-cycle. Furthermore, investors following time varying returns (return predictability) hedged background risks significantly better than the IID ones.

Three dimensional study to quantify the relationship between facial hard and soft tissue movement as a result of orthognathic surgery

Introduction Prediction of soft tissue changes following orthognathic surgery has been frequently attempted in the past decades. It has gradually progressed from the classic “cut and paste” of photographs to the computer assisted 2D surgical prediction planning; and finally, comprehensive 3D surgical planning was introduced to help surgeons and patients to decide on the magnitude and direction of surgical movements as well as the type of surgery to be considered for the correction of facial dysmorphology. A wealth of experience was gained and numerous published literature is available which has augmented the knowledge of facial soft tissue behaviour and helped to improve the ability to closely simulate facial changes following orthognathic surgery. This was particularly noticed following the introduction of the three dimensional imaging into the medical research and clinical applications. Several approaches have been considered to mathematically predict soft tissue changes in three dimensions, following orthognathic surgery. The most common are the Finite element model and Mass tensor Model. These were developed into software packages which are currently used in clinical practice. In general, these methods produce an acceptable level of prediction accuracy of soft tissue changes following orthognathic surgery. Studies, however, have shown a limited prediction accuracy at specific regions of the face, in particular the areas around the lips. Aims The aim of this project is to conduct a comprehensive assessment of hard and soft tissue changes following orthognathic surgery and introduce a new method for prediction of facial soft tissue changes.   Methodology The study was carried out on the pre- and post-operative CBCT images of 100 patients who received their orthognathic surgery treatment at Glasgow dental hospital and school, Glasgow, UK. Three groups of patients were included in the analysis; patients who underwent Le Fort I maxillary advancement surgery; bilateral sagittal split mandibular advancement surgery or bimaxillary advancement surgery. A generic facial mesh was used to standardise the information obtained from individual patient’s facial image and Principal component analysis (PCA) was applied to interpolate the correlations between the skeletal surgical displacement and the resultant soft tissue changes. The identified relationship between hard tissue and soft tissue was then applied on a new set of preoperative 3D facial images and the predicted results were compared to the actual surgical changes measured from their post-operative 3D facial images. A set of validation studies was conducted. To include: • Comparison between voxel based registration and surface registration to analyse changes following orthognathic surgery. The results showed there was no statistically significant difference between the two methods. Voxel based registration, however, showed more reliability as it preserved the link between the soft tissue and skeletal structures of the face during the image registration process. Accordingly, voxel based registration was the method of choice for superimposition of the pre- and post-operative images. The result of this study was published in a refereed journal. • Direct DICOM slice landmarking; a novel technique to quantify the direction and magnitude of skeletal surgical movements. This method represents a new approach to quantify maxillary and mandibular surgical displacement in three dimensions. The technique includes measuring the distance of corresponding landmarks digitized directly on DICOM image slices in relation to three dimensional reference planes. The accuracy of the measurements was assessed against a set of “gold standard” measurements extracted from simulated model surgery. The results confirmed the accuracy of the method within 0.34mm. Therefore, the method was applied in this study. The results of this validation were published in a peer refereed journal. • The use of a generic mesh to assess soft tissue changes using stereophotogrammetry. The generic facial mesh played a major role in the soft tissue dense correspondence analysis. The conformed generic mesh represented the geometrical information of the individual’s facial mesh on which it was conformed (elastically deformed). Therefore, the accuracy of generic mesh conformation is essential to guarantee an accurate replica of the individual facial characteristics. The results showed an acceptable overall mean error of the conformation of generic mesh 1 mm. The results of this study were accepted for publication in peer refereed scientific journal. Skeletal tissue analysis was performed using the validated “Direct DICOM slices landmarking method” while soft tissue analysis was performed using Dense correspondence analysis. The analysis of soft tissue was novel and produced a comprehensive description of facial changes in response to orthognathic surgery. The results were accepted for publication in a refereed scientific Journal. The main soft tissue changes associated with Le Fort I were advancement at the midface region combined with widening of the paranasal, upper lip and nostrils. Minor changes were noticed at the tip of the nose and oral commissures. The main soft tissue changes associated with mandibular advancement surgery were advancement and downward displacement of the chin and lower lip regions, limited widening of the lower lip and slight reversion of the lower lip vermilion combined with minimal backward displacement of the upper lip were recorded. Minimal changes were observed on the oral commissures. The main soft tissue changes associated with bimaxillary advancement surgery were generalized advancement of the middle and lower thirds of the face combined with widening of the paranasal, upper lip and nostrils regions. In Le Fort I cases, the correlation between the changes of the facial soft tissue and the skeletal surgical movements was assessed using PCA. A statistical method known as ’Leave one out cross validation’ was applied on the 30 cases which had Le Fort I osteotomy surgical procedure to effectively utilize the data for the prediction algorithm. The prediction accuracy of soft tissue changes showed a mean error ranging between (0.0006mm±0.582) at the nose region to (-0.0316mm±2.1996) at the various facial regions.

Tenecteplase and alteplase in acute ischaemic stroke thrombolysis: clinical and imaging study

Introduction: Intravenous thrombolysis in acute ischaemic stroke with alteplase improves clinical outcomes, but it has limited efficacy and is associated with increased risk of intracranial haemorrhage. An improved tissue plasminogen activator, tenecteplase, was evidenced to be at least equally effective with lower risk of haemorrhage in acute myocardial infarction thrombolysis. To date, two completed phase II randomised controlled studies comparing tenecteplase and alteplase in acute ischaemic strokes showed variable results. Methods: A literature review of thrombolytic agents used in myocardial infarction and acute ischaemic stroke was performed, followed by a retrospective investigation of the bolus-to- infusion delay of alteplase administration. The main focus of this thesis is the report of our single centre phase II randomised controlled trial that compared tenecteplase (0.25mg/kg, maximum 25mg) and alteplase (0.9mg/kg, maximum 90mg, 10% as the initial bolus, following by one hour infusion with the rest of the dose) in acute ischaemic stroke thrombolysis using advanced imaging as biomarkers. Imaging comprised baseline computed tomography (CT), CT perfusion (CTP) and CT angiography (CTA), and CT+CTA at 24-48 hours. The primary end-point was penumbral salvage (CTP-defined penumbra volume minus follow-up CT infarct volume). A sub-study of coagulation and fibrinolysis analysis of the two agents was performed by comparing a group of coagulation variables measured pre-treatment, 3-12 hours, and 24±3 hours post thrombolysis. An individual patient data (IPD) meta-analysis was carried out using all three completed tenecteplase/alteplase comparison studies in stroke thrombolysis. We compared clinical outcomes including modified Rankin scale at 3 months, early neurological improvement at 24 hours, intracerebral haemorrhage rate and mortality at 3 months between all three tenecteplase doses (0.1mg/kg, 0.25 mg/kg, and 0.4mg/kg) examined and standard alteplase. Imaging outcomes including penumbra salvage, recanalisation rates were also compared using the data from the two studies that had advance imaging carried out. Results: Delay between the initial bolus and the subsequent infusion in administration of alteplase is common. This may reduce the likelihood of achieving a good functional outcome. Among the 104 patients recruited in ATTEST trial, 71 contributed to the imaging primary outcome. No significant differences were observed for penumbral salvage [68 (SD 28) % tenecteplase vs 68 (SD 23) % alteplase], mean difference 1% (95% confidence interval -10%, 12%, p=0·81) or for any secondary end-point. The SICH incidence (1/52, 2% vs 2/51, 4%, by SITS-MOST definition, p=0·55; by ECASS-2 definition, 3/52, 6% tenecteplase vs 4/51, 8% alteplase, p=0.59) did not differed significantly. There was a trend towards lower ICH risk in the tenecteplase group (8/52 tenecteplase, 15% vs 14/51 alteplase, 29%, p=0·091). Compared to baseline, alteplase caused significant hypofibrinogenaemia (p=0.002), prolonged Prothrombin Time (PT) (p=0.011), hypoplasminogenaemia (p=0.001) and lower Factor V (p=0.002) at 3-12 hours after administration with persistent hypofibrinogenaemia at 24h (p=0.011), while only minor hypoplasminogenaemia (P=0.029) was seen in the tenecteplase group. Tenecteplase consumed less plasminogen (p<0.001) and fibrinogen (p=0.002) compared with alteplase. In a pooled analysis, tenecteplase 0.25mg/kg had the greatest odds to achieve early neurological improvement (OR [95%CI] 3.3 [1.5, 7.2], p=0.093), excellent functional outcome (mRS 0-1) at three months (OR [95%CI] 1.9 [0.8, 4.4], p= 0.28), with reduced odds of ICH (OR [95%CI] 0.6 [0.2, 1.8], P=0.43) compared with alteplase. Only 19 patients were treated with tenecteplase 0.4mg/kg, which showed increased odds of SICH compared with alteplase (OR [95% CI] 6.2 [0.7, 56.3]). In the two studies where advanced imaging was performed, the imaging outcomes did not differ in the IPD analysis. Conclusion: Tenecteplase 0.25 mg/kg has the potential to be a better alternative to alteplase. It can be given as a single bolus, does not cause disruption to systemic coagulation, and is possibly safer and more effective in clot lysis. Further phase III study to compare tenecteplase and alteplase in acute ischaemic stroke is warranted.