Asset pricing in created markets

We investigate the applicability of the present-value asset pricing model to fishing quota markets by applying instrumental variable panel data estimation techniques to 15 years of market transactions from New Zealand's individual transferable quota (ITQ) market. In addition to the influence of current fishing rents, we explore the effect of market interest rates, risk, and expected changes in future rents on quota asset prices. The results indicate that quota asset prices are positively related to declines in interest rates, lower levels of risk, expected increases in future fish prices, and expected cost reductions from rationalization under the quota system. © 2007 American Agricultural Economics Association.

Essays in Empirical Operations Management: Bayesian Learning of Service Quality and Structural Estimation of Complementary Product Pricing and Inventory Management

This dissertation contributes to the rapidly growing empirical research area in the field of operations management. It contains two essays, tackling two different sets of operations management questions which are motivated by and built on field data sets from two very different industries --- air cargo logistics and retailing.

The first essay, based on the data set obtained from a world leading third-party logistics company, develops a novel and general Bayesian hierarchical learning framework for estimating customers' spillover learning, that is, customers' learning about the quality of a service (or product) from their previous experiences with similar yet not identical services. We then apply our model to the data set to study how customers' experiences from shipping on a particular route affect their future decisions about shipping not only on that route, but also on other routes serviced by the same logistics company. We find that customers indeed borrow experiences from similar but different services to update their quality beliefs that determine future purchase decisions. Also, service quality beliefs have a significant impact on their future purchasing decisions. Moreover, customers are risk averse; they are averse to not only experience variability but also belief uncertainty (i.e., customer's uncertainty about their beliefs). Finally, belief uncertainty affects customers' utilities more compared to experience variability.

The second essay is based on a data set obtained from a large Chinese supermarket chain, which contains sales as well as both wholesale and retail prices of un-packaged perishable vegetables. Recognizing the special characteristics of this particularly product category, we develop a structural estimation model in a discrete-continuous choice model framework. Building on this framework, we then study an optimization model for joint pricing and inventory management strategies of multiple products, which aims at improving the company's profit from direct sales and at the same time reducing food waste and thus improving social welfare.

Collectively, the studies in this dissertation provide useful modeling ideas, decision tools, insights, and guidance for firms to utilize vast sales and operations data to devise more effective business strategies.

Long-term equity anticipation securities and stock market volatility dynamics

Recent empirical findings suggest that the long-run dependence in U.S. stock market volatility is best described by a slowly mean-reverting fractionally integrated process. The present study complements this existing time-series-based evidence by comparing the risk-neutralized option pricing distributions from various ARCH-type formulations. Utilizing a panel data set consisting of newly created exchange traded long-term equity anticipation securities, or leaps, on the Standard and Poor's 500 stock market index with maturity times ranging up to three years, we find that the degree of mean reversion in the volatility process implicit in these prices is best described by a Fractionally Integrated EGARCH (FIEGARCH) model. © 1999 Elsevier Science S.A. All rights reserved.

A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets

Assuming that daily spot exchange rates follow a martingale process, we derive the implied time series process for the vector of 30-day forward rate forecast errors from using weekly data. The conditional second moment matrix of this vector is modelled as a multivariate generalized ARCH process. The estimated model is used to test the hypothesis that the risk premium is a linear function of the conditional variances and covariances as suggested by the standard asset pricing theory literature. Little supportt is found for this theory; instead lagged changes in the forward rate appear to be correlated with the 'risk premium.'. © 1990.

Co-regulation of nuclear respiratory factor-1 by NFkappaB and CREB links LPS-induced inflammation to mitochondrial biogenesis.

The nuclear respiratory factor-1 (NRF1) gene is activated by lipopolysaccharide (LPS), which might reflect TLR4-mediated mitigation of cellular inflammatory damage via initiation of mitochondrial biogenesis. To test this hypothesis, we examined NRF1 promoter regulation by NFκB, and identified interspecies-conserved κB-responsive promoter and intronic elements in the NRF1 locus. In mice, activation of Nrf1 and its downstream target, Tfam, by Escherichia coli was contingent on NFκB, and in LPS-treated hepatocytes, NFκB served as an NRF1 enhancer element in conjunction with NFκB promoter binding. Unexpectedly, optimal NRF1 promoter activity after LPS also required binding by the energy-state-dependent transcription factor CREB. EMSA and ChIP assays confirmed p65 and CREB binding to the NRF1 promoter and p65 binding to intron 1. Functionality for both transcription factors was validated by gene-knockdown studies. LPS regulation of NRF1 led to mtDNA-encoded gene expression and expansion of mtDNA copy number. In cells expressing plasmid constructs containing the NRF-1 promoter and GFP, LPS-dependent reporter activity was abolished by cis-acting κB-element mutations, and nuclear accumulation of NFκB and CREB demonstrated dependence on mitochondrial H(2)O(2). These findings indicate that TLR4-dependent NFκB and CREB activation co-regulate the NRF1 promoter with NFκB intronic enhancement and redox-regulated nuclear translocation, leading to downstream target-gene expression, and identify NRF-1 as an early-phase component of the host antibacterial defenses.

Latent Stick-Breaking Processes.

We develop a model for stochastic processes with random marginal distributions. Our model relies on a stick-breaking construction for the marginal distribution of the process, and introduces dependence across locations by using a latent Gaussian copula model as the mechanism for selecting the atoms. The resulting latent stick-breaking process (LaSBP) induces a random partition of the index space, with points closer in space having a higher probability of being in the same cluster. We develop an efficient and straightforward Markov chain Monte Carlo (MCMC) algorithm for computation and discuss applications in financial econometrics and ecology. This article has supplementary material online.

Epigenetic regulation of the nitrosative stress response and intracellular macrophage survival by extraintestinal pathogenic Escherichia coli.

Extraintestinal pathogenic Escherichia coli (ExPEC) reside in the enteric tract as a commensal reservoir, but can transition to a pathogenic state by invading normally sterile niches, establishing infection and disseminating to invasive sites like the bloodstream. Macrophages are required for ExPEC dissemination, suggesting the pathogen has developed mechanisms to persist within professional phagocytes. Here, we report that FimX, an ExPEC-associated DNA invertase that regulates the major virulence factor type 1 pili (T1P), is also an epigenetic regulator of a LuxR-like response regulator HyxR. FimX regulated hyxR expression through bidirectional phase inversion of its promoter region at sites different from the type 1 pili promoter and independent of integration host factor (IHF). In vitro, transition from high to low HyxR expression produced enhanced tolerance of reactive nitrogen intermediates (RNIs), primarily through de-repression of hmpA, encoding a nitric oxide-detoxifying flavohaemoglobin. However, in the macrophage, HyxR produced large effects on intracellular survival in the presence and absence of RNI and independent of Hmp. Collectively, we have shown that the ability of ExPEC to survive in macrophages is contingent upon the proper transition from high to low HyxR expression through epigenetic regulatory control by FimX.

Designing Climate Mitigation Policy

This paper provides an exhaustive review of critical issues in the design of climate mitigation policy by pulling together key findings and controversies from diverse literatures on mitigation costs, damage valuation, policy instrument choice, technological innovation, and international climate policy. We begin with the broadest issue of how high assessments suggest the near and medium term price on greenhouse gases would need to be, both under cost-effective stabilization of global climate and under net benefit maximization or Pigouvian emissions pricing. The remainder of the paper focuses on the appropriate scope of regulation, issues in policy instrument choice, complementary technology policy, and international policy architectures.

The paradox of openness revisited: Collaborative innovation and patenting by UK innovators

© 2016 The Authors.We revisit the "paradox of openness" in the literature which consists of two conflicting views on the link between patenting and open innovation-the spillover prevention and the organizational openness views. We use the data from the Survey of Innovation and Patent Use and the Community Innovation Survey (CIS6) in the UK to assess the empirical support for the distinct predictions of these theories. We argue that both patenting and external sourcing (openness) are jointly-determined decisions made by firms. Their relationship is contingent upon whether the firms are technically superior to their rivals and lead in the market or not. Leading firms are more vulnerable to unintended knowledge spillovers during collaboration as compared to followers, and consequently, the increase in patenting due to openness is higher for leaders than for followers. We develop a simple framework that allows us to formally derive the empirical implications of this hypothesis and test it by estimating whether the reduced form relationship between patenting and collaboration is stronger for leaders than for followers.

Do You Want to Hear the Bad News? The Value of Diagnostic Tests for Alzheimer's Disease.

OBJECTIVE: The diagnosis of Alzheimer's disease (AD) remains difficult. Lack of diagnostic certainty or possible distress related to a positive result from diagnostic testing could limit the application of new testing technologies. The objective of this paper is to quantify respondents' preferences for obtaining AD diagnostic tests and to estimate the perceived value of AD test information. METHODS: Discrete-choice experiment and contingent-valuation questions were administered to respondents in Germany and the United Kingdom. Choice data were analyzed by using random-parameters logit. A probit model characterized respondents who were not willing to take a test. RESULTS: Most respondents indicated a positive value for AD diagnostic test information. Respondents who indicated an interest in testing preferred brain imaging without the use of radioactive markers. German respondents had relatively lower money-equivalent values for test features compared with respondents in the United Kingdom. CONCLUSIONS: Respondents preferred less invasive diagnostic procedures and tests with higher accuracy and expressed a willingness to pay up to €700 to receive a less invasive test with the highest accuracy.