Essays in equilibrium asset pricing

Introduction This dissertation consists of three essays in equilibrium asset pricing. The first chapter studies the asset pricing implications of a general equilibrium model in which real investment is reversible at a cost. Firms face higher costs in contracting than in expanding their capital stock and decide to invest when their productive capital is scarce relative to the overall capital of the economy. Positive shocks to the capital of the firm increase the size of the firm and reduce the value of growth options. As a result, the firm is burdened with more unproductive capital and its value lowers with respect to the accumulated capital. The optimal consumption policy alters the optimal allocation of resources and affects firm's value, generating mean-reverting dynamics for the M/B ratios. The model (1) captures convergence of price-to-book ratios -negative for growth stocks and positive for value stocks - (firm migration), (2) generates deviations from the classic CAPM in line with the cross-sectional variation in expected stock returns and (3) generates a non-monotone relationship between Tobin's q and conditional volatility consistent with the empirical evidence. The second chapter proposes a standard portfolio-choice problem with transaction costs and mean reversion in expected returns. In the presence of transactions costs, no matter how small, arbitrage activity does not necessarily render equal all riskless rates of return. When two such rates follow stochastic processes, it is not optimal immediately to arbitrage out any discrepancy that arises between them. The reason is that immediate arbitrage would induce a definite expenditure of transactions costs whereas, without arbitrage intervention, there exists some, perhaps sufficient, probability that these two interest rates will come back together without any costs having been incurred. Hence, one can surmise that at equilibrium the financial market will permit the coexistence of two riskless rates that are not equal to each other. For analogous reasons, randomly fluctuating expected rates of return on risky assets will be allowed to differ even after correction for risk, leading to important violations of the Capital Asset Pricing Model. The combination of randomness in expected rates of return and proportional transactions costs is a serious blow to existing frictionless pricing models. Finally, in the last chapter I propose a two-countries two-goods general equilibrium economy with uncertainty about the fundamentals' growth rates to study the joint behavior of equity volatilities and correlation at the business cycle frequency. I assume that dividend growth rates jump from one state to other, while countries' switches are possibly correlated. The model is solved in closed-form and the analytical expressions for stock prices are reported. When calibrated to the empirical data of United States and United Kingdom, the results show that, given the existing degree of synchronization across these business cycles, the model captures quite well the historical patterns of stock return volatilities. Moreover, I can explain the time behavior of the correlation, but exclusively under the assumption of a global business cycle.

Thermal energetics of the New-Guinean moss-forest rat (Rattus niobe) in comparison with other tropical murid rodents.

The thermal energetics of rodents from cool, wet tropical highlands are poorly known. Metabolic rate, body temperature and thermal conductance were measured in the moss-forest rat, Rattus niobe (Rodentia), a small murid endemic to the highlands of New Guinea. These data were evaluated in the context of the variation observed in the genus Rattus and among tropical murids. In 7 adult R. niobe, basal metabolic rate (BMR) averaged 53.6±6.6mLO2h(-1), or 103% of the value predicted for a body mass of 42.3±5.8g. Compared to other species of Rattus, R. niobe combines a low body temperature (35.5±0.6°C) and a moderately low minimal wet thermal conductance cmin (5.88±0.7mLO2h(-1)°C(-1), 95% of predicted) with a small size, all of which lead to reduced energy expenditure in a constantly cool environment. The correlations of mean annual rainfall and temperature, altitude and body mass with BMR, body temperature and cmin were analyzed comparatively among tropical Muridae. Neither BMR, nor cmin or body temperature correlated with ambient temperature or altitude. Some of the factors which promote high BMR in higher latitude habitats, such as seasonal exposure to very low temperature and short reproductive season, are lacking in wet montane tropical forests. BMR increased with rainfall, confirming a pattern observed among other assemblages of mammals. This correlation was due to the low BMR of several desert adapted murids, while R. niobe and other species from wet habitats had a moderate BMR.

PulseCath iVAC 3LTM hemodynamic performance for simple assisted flow.

The PulseCath iVAC 3L? left ventricular assist device is an option to treat transitory left heart failure or dysfunction post-cardiac surgery. Assisted blood flow should reach up to 3 l/min. In the present in vitro model exact pump flow, depending on various frequencies and afterload was examined. Optimal flow was achieved with inflation/deflation frequencies of about 70-80/min. The maximal flow rate was achieved at about 2.5 l/min with a minimal afterload of 22 mmHg. Handling of the device was easy due to the connection to a standard intra-aortic balloon pump console. With increasing afterload (up to a simulated mean systemic pressure of 66 mmHg) flow rate and cardiac support are in some extent limited.

Primary isolated aortic valve surgery in octogenarians.

We reviewed our surgery registry, to identify predictive risk factors for operative results, and to analyse the long-term survival outcome in octogenarians operated for primary isolated aortic valve replacement (AVR). A total of 124 consecutive octogenarians underwent open AVR from January 1990 to December 2005. Combined procedures and redo surgery were excluded. Selected variables were studied as risk factors for hospital mortality and early neurological events. A follow-up (FU; mean FU time: 77 months) was obtained (90% complete), and Kaplan-Meier plots were used to determine survival rates. The mean age was 82+/-2.2 (range: 80-90 years; 63% females). Of the group, four patients (3%) required urgent procedures, 10 (8%) had a previous myocardial infarction, six (5%) had a previous coronary angioplasty and stenting, 13 patients (10%) suffered from angina and 59 (48%) were in the New York Heart Association (NYHA) class III-IV. We identified 114 (92%) degenerative stenosis, six (5%) post-rheumatic stenosis and four (3%) active endocarditis. The predicted mortality calculated by logistic European System for Cardiac Operative Risk Evaluation (EuroSCORE) was 12.6+/-5.7%, and the observed hospital mortality was 5.6%. Causes of death included severe cardiac failure (four patients), multi-organ failure (two) and sepsis (one). Complications were transitory neurological events in three patients (2%), short-term haemodialysis in three (2%), atrial fibrillation in 60 (48%) and six patients were re-operated for bleeding. Atrio-ventricular block, myocardial infarction or permanent stroke was not detected. The age at surgery and the postoperative renal failure were predictors for hospital mortality (p value <0.05), whereas we did not find predictors for neurological events. The mean FU time was 77 months (6.5 years) and the mean age of surviving patients was 87+/-4 years (81-95 years). The actuarial survival estimates at 5 and 10 years were 88% and 50%, respectively. Our experience shows good short-term results after primary isolated standard AVR in patients more than 80 years of age. The FU suggests that aortic valve surgery in octogenarians guarantees satisfactory long-term survival rates and a good quality of life, free from cardiac re-operations. In the era of catheter-based aortic valve implantation, open-heart surgery for AVR remains the standard of care for healthy octogenarians.

I have faith in my thing, you know what I mean? Mixed method elements on individual investments on religious markets.

In contemporary society, religious signification and secular systems mix and influence each other. Holistic conceptions of a world in which man is integrated harmoniously with nature meet representations of a world run by an immanent God. On the market of the various systems, the individual goes from one system to another, following his immediate needs and expectations without necessarily leaving any marks in a meaningful long term system. This article presents the first results of an ongoing research in Switzerland on contemporary religion focusing on (new) paths of socialization of modern that individuals and the various (non-) belief systems that they simultaneously develop

3D geoelectrical monitoring to follow hydric soil behaviour during rainfall

RESUME Durant les dernières années, les méthodes électriques ont souvent été utilisées pour l'investigation des structures de subsurface. L'imagerie électrique (Electrical Resistivity Tomography, ERT) est une technique de prospection non-invasive et spatialement intégrée. La méthode ERT a subi des améliorations significatives avec le développement de nouveaux algorithmes d'inversion et le perfectionnement des techniques d'acquisition. La technologie multicanale et les ordinateurs de dernière génération permettent la collecte et le traitement de données en quelques heures. Les domaines d'application sont nombreux et divers: géologie et hydrogéologie, génie civil et géotechnique, archéologie et études environnementales. En particulier, les méthodes électriques sont souvent employées dans l'étude hydrologique de la zone vadose. Le but de ce travail est le développement d'un système de monitorage 3D automatique, non- invasif, fiable, peu coûteux, basé sur une technique multicanale et approprié pour suivre les variations de résistivité électrique dans le sous-sol lors d'événements pluvieux. En raison des limitations techniques et afin d'éviter toute perturbation physique dans la subsurface, ce dispositif de mesure emploie une installation non-conventionnelle, où toutes les électrodes de courant sont placées au bord de la zone d'étude. Le dispositif le plus approprié pour suivre les variations verticales et latérales de la résistivité électrique à partir d'une installation permanente a été choisi à l'aide de modélisations numériques. Les résultats démontrent que le dispositif pôle-dipôle offre une meilleure résolution que le dispositif pôle-pôle et plus apte à détecter les variations latérales et verticales de la résistivité électrique, et cela malgré la configuration non-conventionnelle des électrodes. Pour tester l'efficacité du système proposé, des données de terrain ont été collectées sur un site d'étude expérimental. La technique de monitorage utilisée permet de suivre le processus d'infiltration 3D pendant des événements pluvieux. Une bonne corrélation est observée entre les résultats de modélisation numérique et les données de terrain, confirmant par ailleurs que le dispositif pôle-dipôle offre une meilleure résolution que le dispositif pôle-pôle. La nouvelle technique de monitorage 3D de résistivité électrique permet de caractériser les zones d'écoulement préférentiel et de caractériser le rôle de la lithologie et de la pédologie de manière quantitative dans les processus hydrologiques responsables d'écoulement de crue. ABSTRACT During the last years, electrical methods were often used for the investigation of subsurface structures. Electrical resistivity tomography (ERT) has been reported to be a useful non-invasive and spatially integrative prospecting technique. The ERT method provides significant improvements, with the developments of new inversion algorithms, and the increasing efficiency of data collection techniques. Multichannel technology and powerful computers allow collecting and processing resistivity data within few hours. Application domains are numerous and varied: geology and hydrogeology, civil engineering and geotechnics, archaeology and environmental studies. In particular, electrical methods are commonly used in hydrological studies of the vadose zone. The aim of this study was to develop a multichannel, automatic, non-invasive, reliable and inexpensive 3D monitoring system designed to follow electrical resistivity variations in soil during rainfall. Because of technical limitations and in order to not disturb the subsurface, the proposed measurement device uses a non-conventional electrode set-up, where all the current electrodes are located near the edges of the survey grid. Using numerical modelling, the most appropriate arrays were selected to detect vertical and lateral variations of the electrical resistivity in the framework of a permanent surveying installation system. The results show that a pole-dipole array has a better resolution than a pole-pole array and can successfully follow vertical and lateral resistivity variations despite the non-conventional electrode configuration used. Field data are then collected at a test site to assess the efficiency of the proposed monitoring technique. The system allows following the 3D infiltration processes during a rainfall event. A good correlation between the results of numerical modelling and field data results can be observed since the field pole-dipole data give a better resolution image than the pole-pole data. The new device and technique makes it possible to better characterize the zones of preferential flow and to quantify the role of lithology and pedology in flood- generating hydrological processes.

Sociogenomics of Cooperation and Conflict during Colony Founding in the Fire Ant Solenopsis invicta.

One of the fundamental questions in biology is how cooperative and altruistic behaviors evolved. The majority of studies seeking to identify the genes regulating these behaviors have been performed in systems where behavioral and physiological differences are relatively fixed, such as in the honey bee. During colony founding in the monogyne (one queen per colony) social form of the fire ant Solenopsis invicta, newly-mated queens may start new colonies either individually (haplometrosis) or in groups (pleometrosis). However, only one queen (the "winner") in pleometrotic associations survives and takes the lead of the young colony while the others (the "losers") are executed. Thus, colony founding in fire ants provides an excellent system in which to examine the genes underpinning cooperative behavior and how the social environment shapes the expression of these genes. We developed a new whole genome microarray platform for S. invicta to characterize the gene expression patterns associated with colony founding behavior. First, we compared haplometrotic queens, pleometrotic winners and pleometrotic losers. Second, we manipulated pleometrotic couples in order to switch or maintain the social ranks of the two cofoundresses. Haplometrotic and pleometrotic queens differed in the expression of genes involved in stress response, aging, immunity, reproduction and lipid biosynthesis. Smaller sets of genes were differentially expressed between winners and losers. In the second experiment, switching social rank had a much greater impact on gene expression patterns than the initial/final rank. Expression differences for several candidate genes involved in key biological processes were confirmed using qRT-PCR. Our findings indicate that, in S. invicta, social environment plays a major role in the determination of the patterns of gene expression, while the queen's physiological state is secondary. These results highlight the powerful influence of social environment on regulation of the genomic state, physiology and ultimately, social behavior of animals.

Binding under Conflict Conditions: State-Space Analysis of Multivariate EEG Synchronization.

Real-world objects are often endowed with features that violate Gestalt principles. In our experiment, we examined the neural correlates of binding under conflict conditions in terms of the binding-by-synchronization hypothesis. We presented an ambiguous stimulus ("diamond illusion") to 12 observers. The display consisted of four oblique gratings drifting within circular apertures. Its interpretation fluctuates between bound ("diamond") and unbound (component gratings) percepts. To model a situation in which Gestalt-driven analysis contradicts the perceptually explicit bound interpretation, we modified the original diamond (OD) stimulus by speeding up one grating. Using OD and modified diamond (MD) stimuli, we managed to dissociate the neural correlates of Gestalt-related (OD vs. MD) and perception-related (bound vs. unbound) factors. Their interaction was expected to reveal the neural networks synchronized specifically in the conflict situation. The synchronization topography of EEG was analyzed with the multivariate S-estimator technique. We found that good Gestalt (OD vs. MD) was associated with a higher posterior synchronization in the beta-gamma band. The effect of perception manifested itself as reciprocal modulations over the posterior and anterior regions (theta/beta-gamma bands). Specifically, higher posterior and lower anterior synchronization supported the bound percept, and the opposite was true for the unbound percept. The interaction showed that binding under challenging perceptual conditions is sustained by enhanced parietal synchronization. We argue that this distributed pattern of synchronization relates to the processes of multistage integration ranging from early grouping operations in the visual areas to maintaining representations in the frontal networks of sensory memory.

Mean platelet volume in the early phase of acute ischemic stroke is not associated with severity or functional outcome.

Background: Previous studies reported an increase of mean platelet volume (MPV) in patients with acute ischemic stroke. However, its correlation with stroke severity has not been investigated. Moreover, studies on the association of MPV with functional outcome yielded inconsistent results. Methods: We included all consecutive ischemic stroke patients admitted to CHUV (Centre Hospitalier Universitaire Vaudois) Neurology Service within 24 h after stroke onset who had MPV measured on admission. The association of MPV with stroke severity (NIHSS score at admission and at 24 h) and outcome (Rankin Scale score at 3 and 12 months) was analyzed in univariate analysis. The chi(2) test was performed to compare the frequency of minor strokes (NIHSS score </=4) and good functional outcome (Rankin Scale score </=2) across MPV quartiles. The ANOVA test was used to compare MPV between stroke subtypes according to the TOAST classification. Student's two-tailed unpaired t test was performed to compare MPV between lacunar and nonlacunar strokes. MPV was generated at admission by the Sysmex XE-2100 automated cell counter (Sysmex Corporation, Kobe, Japan) from EDTA blood samples. Results: There was no significant difference in the frequency of minor strokes (p = 0.46) and good functional outcome (p = 0.06) across MPV quartiles. MPV was not associated with stroke severity or outcome in univariate analysis. There was no significant difference in MPV between stroke subtypes according to the TOAST classification (p = 0.173) or between lacunar and nonlacunar strokes (10.50 +/- 0.91 vs. 10.40 +/- 0.81 fl, p = 0.322). Conclusions: MPV, assessed within 24 h after ischemic stroke onset, is not associated with stroke severity or functional outcome.

Body mass index: comparing mean values and prevalence rates from telephone and examination surveys.

BACKGROUND: Cost effective means of assessing the levels of risk factors in the population have to be defined in order to monitor these factors over time and across populations. This study is aimed at analyzing the difference in population estimates of the mean levels of body mass index (BMI) and the prevalences of overweight, between health examination survey and telephone survey. METHODS: The study compares the results of two health surveys, one by telephone (N=820) and the other by physical examination (N=1318). The two surveys, based on independent random samples of the population, were carried out over the same period (1992-1993) in the same population (canton of Vaud, Switzerland). RESULTS: Overall participation rates were 67% and 53% for the health interview survey (HIS) and the health examination survey (HES) respectively. In the HIS, the reporting rate was over 98% for weight and height values. Self-reported weight was on average lower than measured weight, by 2.2 kg in men and 3.5 kg in women, while self-reported height was on average greater than measured height, by 1.2 cm in men and 1.9 cm in women. As a result, in comparison to HES, HIS led to substantially lower mean levels of BMI, and to a reduction of the prevalence rates of obesity (BMI>30 kg/m(2)) by more than a half. These differences are larger for women than for men. CONCLUSION: The two surveys were based on different sampling procedures. However, this difference in design is unlikely to explain the systematic bias observed between self-reported and measured values for height and weight. This bias entails the overall validity of BMI assessment from telephone surveys.

Alcohol drinking and cardiovascular risk in a population with high mean alcohol consumption.

Moderate alcohol consumption has been associated with lower coronary artery disease (CAD) risk. However, data on the CAD risk associated with high alcohol consumption are conflicting. The aim of this study was to examine the impact of heavier drinking on 10-year CAD risk in a population with high mean alcohol consumption. In a population-based study of 5,769 adults (aged 35 to 75 years) without cardiovascular disease in Switzerland, 1-week alcohol consumption was categorized as 0, 1 to 6, 7 to 13, 14 to 20, 21 to 27, 28 to 34, and > or =35 drinks/week or as nondrinkers (0 drinks/week), moderate (1 to 13 drinks/week), high (14 to 34 drinks/week), and very high (> or =35 drinks/week). Blood pressure and lipids were measured, and 10-year CAD risk was calculated according to the Framingham risk score. Seventy-three percent (n = 4,214) of the participants consumed alcohol; 16% (n = 909) were high drinkers and 2% (n = 119) very high drinkers. In multivariate analysis, increasing alcohol consumption was associated with higher high-density lipoprotein cholesterol (from a mean +/- SE of 1.57 +/- 0.01 mmol/L in nondrinkers to 1.88 +/- 0.03 mmol/L in very high drinkers); triglycerides (1.17 +/- 1.01 to 1.32 +/- 1.05 mmol/L), and systolic and diastolic blood pressure (127.4 +/- 0.4 to 132.2 +/- 1.4 mm Hg and 78.7 +/- 0.3 to 81.7 +/- 0.9 mm Hg, respectively) (all p values for trend <0.001). Ten-year CAD risk increased from 4.31 +/- 0.10% to 4.90 +/- 0.37% (p = 0.03) with alcohol use, with a J-shaped relation. Increasing wine consumption was more related to high-density lipoprotein cholesterol levels, whereas beer and spirits were related to increased triglyceride levels. In conclusion, as measured by 10-year CAD risk, the protective effect of alcohol consumption disappears in very high drinkers, because the beneficial increase in high-density lipoprotein cholesterol is offset by the increases in blood pressure levels.