Essays in general equilibrium asset pricing

ABSTRACT : Research in empirical asset pricing has pointed out several anomalies both in the cross section and time series of asset prices, as well as in investors' portfolio choice. This dissertation aims to discover the forces driving some of these "puzzling" asset pricing dynamics and portfolio decisions observed in the financial market. Through the dissertation I construct and study dynamic general equilibrium models of heterogeneous investors in the presence of frictions and evaluate quantitatively their implications for financial-market asset prices and portfolio choice. I also explore the potential roots of puzzles in international finance. Chapter 1 shows that, by introducing jointly endogenous no-default type of borrowing constraints and heterogeneous beliefs in a dynamic general-equilibrium economy, many empirical features of stock return volatility can be reproduced. While most of the research on stock return volatility is empirical, this paper provides a theoretical framework that is able to reproduce simultaneously the cross section and time series stylized facts concerning stock returns and their volatility. In contrast to the existing theoretical literature related to stock return volatility, I don't impose persistence or regimes in any of the exogenous state variables or in preferences. Volatility clustering, asymmetry in the stock return-volatility relationship, and pricing of multi-factor volatility components in the cross section all arise endogenously as a consequence of the feedback between the binding of no-default constraints and heterogeneous beliefs. Chapters 2 and 3 explore the implications of differences of opinion across investors in different countries for international asset pricing anomalies. Chapter 2 demonstrates that several international finance "puzzles" can be reproduced by a single risk factor which captures heterogeneous beliefs across international investors. These puzzles include: (i) home equity preference; (ii) the dependence of firm returns on local and foreign factors; (iii) the co-movement of returns and international capital flows; and (iv) abnormal returns around foreign firm cross-listing events in the local market. These are reproduced in a setup with symmetric information and in a perfectly integrated world with multiple countries and independent processes producing the same good. Chapter 3 shows that by extending this framework to multiple goods and correlated production processes; the "forward premium puzzle" arises naturally as a compensation for the heterogeneous expectations about the depreciation of the exchange rate held by international investors. Chapters 2 and 3 propose differences of opinion across international investors as the potential resolution of several international finance `puzzles'. In a globalized world where both capital and information flow freely across countries, this explanation seems more appealing than existing asymmetric information or segmented markets theories aiming to explain international finance puzzles.

Constitutively active mutants of the alpha 2-adrenergic receptor.

We have mutated a single residue, Thr373 [corrected], in the C-terminal portion of the third intracellular loop of the alpha 2C10-adrenergic receptor into five different amino acids. In analogy with the effect of similar mutations in the alpha 1B- and beta 2-adrenergic receptors, these substitutions resulted in two major biochemical modifications: 1) increased constitutive activity of the alpha 2-adrenergic receptor leading to agonist-independent inhibition of adenylyl cyclase and 2) increased affinity of the receptor for binding agonist but not antagonists. The increased constitutive activity of the mutated alpha 2-adrenergic receptors could be inhibited by pertussis toxin, clearly indicating that it results from spontaneous ligand-independent receptor coupling to Gi. In contrast, the increased affinity of the mutant receptors for binding agonists was unaffected by pertussis toxin treatment, indicating that this is an inherent property of the receptors not dependent on interaction with Gi. Coexpression of the receptor mutants with the receptor-specific kinase, beta ARK1, indicated that the constitutively active alpha 2-adrenergic receptors are substrates for beta-adrenergic receptor kinase (beta ARK)-mediated phosphorylation even in the absence of agonist. These findings strengthen the idea that constitutively active adrenergic receptors mimic the "active" state of a G protein-coupled receptor adopting conformations similar to those induced by agonist when it binds to wild type receptors. In addition, these results extend the notion that in the adrenergic receptor family the C-terminal portion of the third intracellular loop plays a general role in the processes involved in receptor activation.

The course of malaria in mice: major histocompatibility complex (MHC) effects, but no general MHC heterozygote advantage in single-strain infections.

A general MHC-heterozygote advantage in parasite-infected organisms is often assumed, although there is little experimental evidence for this. We tested the response of MHC-congenic mice (F2 segregants) to malaria and found the course of infection to be significantly influenced by MHC haplotype, parasite strain, and host gender. However, the MHC heterozygotes did worse than expected from the average response of the homozygotes.

Success of a general school-based physical activity intervention on bone mineral content depends on pubertal stage but not on gender

Aims: We performed a randomised controlled trial in children of both gender and different pubertal stages to determine whether a school-based physical activity (PA) program during a full schoolyear influences bone mineral content (BMC) and whether there are differences in response for boys and girls before and during puberty. Methods: Twenty-eight 1st and 5th grade classes were cluster randomised to an intervention (INT, 16 classes, n=297) and control (CON; 12 classes, n=205) group. The intervention consisted of a multi-component PA intervention including daily physical education during a full school year. Each lesson was predetermined, included about ten minutes of jumping or strength training exercises of various intensity and was the same for all children. Measurements included anthropometry (height and weight), tanner stages (by self-assessment), PA (by accelerometry) and BMC for total body, femoral neck, total hip and lumbar spine using dualenergy X-ray absorptiometry (DXA). Bone parameters were normalized for gender and tanner stage (pre- vs. puberty). Analyses were performed by a regression model adjusted for gender, baseline height, baseline weight, baseline PA, post-intervention tanner stage, baseline BMC, and cluster. Researchers were blinded to group allocation. Children in the control group did not know about the intervention arm. Results: 217 (57%) of 380 children who initially agreed to have DXA measurements had also post-intervention DXA and PA data. Mean age of prepubertal and pubertal children at baseline was 9.0±2.1 and 11.2±0.6 years, respectively. 47/114 girls and 68/103 boys were prepubertal at the end of the intervention. Compared to CON, children in INT showed statistically significant increases in BMC of total body (adjusted z-score differences: 0.123; 95%>CI 0.035 to 0.212), femoral neck (0.155; 95%>CI 0.007 to 0.302), and lumbar spine (0.127; 95%>CI 0.026 to 0.228). Importantly, there was no gender*group, but a tanner*group interaction consistently favoring prepubertal children. Conclusions: Our findings show that a general, but stringent school-based PA intervention can improve BMC in elementary school children. Pubertal stage, but not gender seems to determine bone sensitivity to physical activity loading.

Nouveautés en médecine interne générale ambulatoire (2) [General internal medicine: review of year 2009 from the ambulatory perspective (2)]

Despite two international studies, there is still no consensus concerning prostate cancer screening. The results of a meta-analysis are making us question our convictions concerning pneumococcal vaccination. The preoperative work-up of cataract surgery can be simplified. When describing the efficacy of a treatment to a patient, relative risks are better understood than absolute risks. For rotator cuff syndrome, intramuscular corticosteroid injections are as efficient as intra-articular injections. In patients prescribed clopidogrel, a proton pump inhibitor is not absolutely necessary. The arrival of a anticoagulant that does not need blood monitoring is an interesting option in atrial fibrillation.

Incidents occurring during anesthesia for total hip arthroplasty: a comparison of general versus regional anaesthesia

Background: The type of anesthesia to be used for total hip arthroplasty (THA) is still a matter of debate. We compared the occurrence of per- and post-anesthesia incidents in patients receiving either general (GA) or regional anesthesia (RA). Methods: We used data from 29 hospitals, routinely collected in the Anaesthesia Databank Switzerland register between January 2001 and December 2003. We used multi-level logistic regression models. Results: There were more per- and post-anesthesia incidents under GA compared to RA (35.1% vs 32.7 %, n = 3191, and 23.1% vs 19.4%, n = 3258, respectively). In multi-level logistic regression analysis, RA was significantly associated with a lower incidence of per-anesthetic problems, especially hypertension, compared with GA. During the post-anesthetic period, RA was also less associated with pain. Conversely, RA was more associated with post-anesthetic hypotension, especially for epidural technique. In addition, age and ASA were more associated with incidents under GA compared to RA. Men were more associated with per-anesthetic problems under RA compared to GA. Whereas increased age (>67), gender (male), and ASA were linked with the choice of RA, we noticed that this choice depended also on hospital practices after we adjusted for the other variables. Conclusions: Compared to RA, GA was associated with an increased proportion of per- and post-anesthesia incidents. Although this study is only observational, it is rooted in daily practice. Whereas RA might be routinely proposed, GA might be indicated because of contraindications to RA, patients' preferences or other surgical or anaesthesiology related reasons. Finally, the choice of a type of anesthesia seems to depend on local practices that may differ between hospitals.

Acquisitions de la littérature en médecine interne générale ambulatoire en 2010 [2010 findings from literature on general internal ambulatory medicine].

From our reading over the current year 2010 we have singled out 8 items which seem to us significant for the practice of medicine. Small doses of colchicine are useful in the treatment of gout. No efficacious treatment for muscular cramps can be recommended. A cervical collar can be usefully prescribed for the treatment of cervical radiculopathy. A single dose of azithromycin can be envisaged as a third line treatment of syphilis. High doses of vitamin D should not be prescribed for the prevention of fractures in elderly women because of the risks of falling. The wearing of bifocals can be associated with these risks. A clinical score is available to help with the diagnosis of thoracic pain. The NT-pro BNP is of limited use for the follow-up of patients suffering from heart failure.

ANIBAL, stable isotope-based quantitative proteomics by aniline and benzoic acid labeling of amino and carboxylic groups

Identification and relative quantification of hundreds to thousands of proteins within complex biological samples have become realistic with the emergence of stable isotope labeling in combination with high throughput mass spectrometry. However, all current chemical approaches target a single amino acid functionality (most often lysine or cysteine) despite the fact that addressing two or more amino acid side chains would drastically increase quantifiable information as shown by in silico analysis in this study. Although the combination of existing approaches, e.g. ICAT with isotope-coded protein labeling, is analytically feasible, it implies high costs, and the combined application of two different chemistries (kits) may not be straightforward. Therefore, we describe here the development and validation of a new stable isotope-based quantitative proteomics approach, termed aniline benzoic acid labeling (ANIBAL), using a twin chemistry approach targeting two frequent amino acid functionalities, the carboxylic and amino groups. Two simple and inexpensive reagents, aniline and benzoic acid, in their (12)C and (13)C form with convenient mass peak spacing (6 Da) and without chromatographic discrimination or modification in fragmentation behavior, are used to modify carboxylic and amino groups at the protein level, resulting in an identical peptide bond-linked benzoyl modification for both reactions. The ANIBAL chemistry is simple and straightforward and is the first method that uses a (13)C-reagent for a general stable isotope labeling approach of carboxylic groups. In silico as well as in vitro analyses clearly revealed the increase in available quantifiable information using such a twin approach. ANIBAL was validated by means of model peptides and proteins with regard to the quality of the chemistry as well as the ionization behavior of the derivatized peptides. A milk fraction was used for dynamic range assessment of protein quantification, and a bacterial lysate was used for the evaluation of relative protein quantification in a complex sample in two different biological states

Une vue globale du secteur ambulatoire: étude structurelle et fonctionnelle dans les cantons de Vaud et Fribourg. [A general view of the ambulatory care sector: Structural and functional study in the cantons of Vaud and Fribourg].

The project "Quantification and qualification of ambulatory health care", financed by the Swiss National Science Foundation and covering the Cantons of Vaud and Fribourg, has two main goals: --a structural study of the elements of the ambulatory care sector. This is done through inventories of the professions concerned (physicians, public health nurses, physiotherapists, pharmacists, medical laboratories), allowing to better characterize the "offer". This inventory work includes the collect and analysis of existing statistical data as well as surveys, by questionnaires sent (from September 1980) to the different professions and by interviews. --a functional study, inspired from the US National Ambulatory Medical Care Survey and from similar studies elsewhere, in order to investigate the modes of practice of various providers, with particular regard to interprofessional collaboration (through studying referrals from the ones to the others). The first months of the project have been used for a methodological research in this regard, centered on the use of systems analysis, and for the elaboration of adequate instruments.

KCM, a general framework for codon-based model of evolution

With the advancement of high-throughput sequencing and dramatic increase of available genetic data, statistical modeling has become an essential part in the field of molecular evolution. Statistical modeling results in many interesting discoveries in the field, from detection of highly conserved or diverse regions in a genome to phylogenetic inference of species evolutionary history Among different types of genome sequences, protein coding regions are particularly interesting due to their impact on proteins. The building blocks of proteins, i.e. amino acids, are coded by triples of nucleotides, known as codons. Accordingly, studying the evolution of codons leads to fundamental understanding of how proteins function and evolve. The current codon models can be classified into three principal groups: mechanistic codon models, empirical codon models and hybrid ones. The mechanistic models grasp particular attention due to clarity of their underlying biological assumptions and parameters. However, they suffer from simplified assumptions that are required to overcome the burden of computational complexity. The main assumptions applied to the current mechanistic codon models are (a) double and triple substitutions of nucleotides within codons are negligible, (b) there is no mutation variation among nucleotides of a single codon and (c) assuming HKY nucleotide model is sufficient to capture essence of transition- transversion rates at nucleotide level. In this thesis, I develop a framework of mechanistic codon models, named KCM-based model family framework, based on holding or relaxing the mentioned assumptions. Accordingly, eight different models are proposed from eight combinations of holding or relaxing the assumptions from the simplest one that holds all the assumptions to the most general one that relaxes all of them. The models derived from the proposed framework allow me to investigate the biological plausibility of the three simplified assumptions on real data sets as well as finding the best model that is aligned with the underlying characteristics of the data sets. -- Avec l'avancement de séquençage à haut débit et l'augmentation dramatique des données géné¬tiques disponibles, la modélisation statistique est devenue un élément essentiel dans le domaine dé l'évolution moléculaire. Les résultats de la modélisation statistique dans de nombreuses découvertes intéressantes dans le domaine de la détection, de régions hautement conservées ou diverses dans un génome de l'inférence phylogénétique des espèces histoire évolutive. Parmi les différents types de séquences du génome, les régions codantes de protéines sont particulièrement intéressants en raison de leur impact sur les protéines. Les blocs de construction des protéines, à savoir les acides aminés, sont codés par des triplets de nucléotides, appelés codons. Par conséquent, l'étude de l'évolution des codons mène à la compréhension fondamentale de la façon dont les protéines fonctionnent et évoluent. Les modèles de codons actuels peuvent être classés en trois groupes principaux : les modèles de codons mécanistes, les modèles de codons empiriques et les hybrides. Les modèles mécanistes saisir une attention particulière en raison de la clarté de leurs hypothèses et les paramètres biologiques sous-jacents. Cependant, ils souffrent d'hypothèses simplificatrices qui permettent de surmonter le fardeau de la complexité des calculs. Les principales hypothèses retenues pour les modèles actuels de codons mécanistes sont : a) substitutions doubles et triples de nucleotides dans les codons sont négligeables, b) il n'y a pas de variation de la mutation chez les nucléotides d'un codon unique, et c) en supposant modèle nucléotidique HKY est suffisant pour capturer l'essence de taux de transition transversion au niveau nucléotidique. Dans cette thèse, je poursuis deux objectifs principaux. Le premier objectif est de développer un cadre de modèles de codons mécanistes, nommé cadre KCM-based model family, sur la base de la détention ou de l'assouplissement des hypothèses mentionnées. En conséquence, huit modèles différents sont proposés à partir de huit combinaisons de la détention ou l'assouplissement des hypothèses de la plus simple qui détient toutes les hypothèses à la plus générale qui détend tous. Les modèles dérivés du cadre proposé nous permettent d'enquêter sur la plausibilité biologique des trois hypothèses simplificatrices sur des données réelles ainsi que de trouver le meilleur modèle qui est aligné avec les caractéristiques sous-jacentes des jeux de données. Nos expériences montrent que, dans aucun des jeux de données réelles, tenant les trois hypothèses mentionnées est réaliste. Cela signifie en utilisant des modèles simples qui détiennent ces hypothèses peuvent être trompeuses et les résultats de l'estimation inexacte des paramètres. Le deuxième objectif est de développer un modèle mécaniste de codon généralisée qui détend les trois hypothèses simplificatrices, tandis que d'informatique efficace, en utilisant une opération de matrice appelée produit de Kronecker. Nos expériences montrent que sur un jeux de données choisis au hasard, le modèle proposé de codon mécaniste généralisée surpasse autre modèle de codon par rapport à AICc métrique dans environ la moitié des ensembles de données. En outre, je montre à travers plusieurs expériences que le modèle général proposé est biologiquement plausible.

The impact of triathlon training and racing on athletes' general health.

Although the sport of triathlon provides an opportunity to research the effect of multi-disciplinary exercise on health across the lifespan, much remains to be done. The literature has failed to consistently or adequately report subject age group, sex, ability level, and/or event-distance specialization. The demands of training and racing are relatively unquantified. Multiple definitions and reporting methods for injury and illness have been implemented. In general, risk factors for maladaptation have not been well-described. The data thus far collected indicate that the sport of triathlon is relatively safe for the well-prepared, well-supplied athlete. Most injuries 'causing cessation or reduction of training or seeking of medical aid' are not serious. However, as the extent to which they recur may be high and is undocumented, injury outcome is unclear. The sudden death rate for competition is 1.5 (0.9-2.5) [mostly swim-related] occurrences for every 100,000 participations. The sudden death rate is unknown for training, although stroke risk may be increased, in the long-term, in genetically susceptible athletes. During heavy training and up to 5 days post-competition, host protection against pathogens may also be compromised. The incidence of illness seems low, but its outcome is unclear. More prospective investigation of the immunological, oxidative stress-related and cardiovascular effects of triathlon training and competition is warranted. Training diaries may prove to be a promising method of monitoring negative adaptation and its potential risk factors. More longitudinal, medical-tent-based studies of the aetiology and treatment demands of race-related injury and illness are needed.

Stress ulcer prophylaxis in non-critically ill patients: a prospective evaluation of current practice in a general surgery department

Objective: There is little evidence regarding the benefit of stress ulcer prophylaxis (SUP) outside critical care setting. Over-prescription of SUP is not devoid of risks. This prospective study aimed to evaluate the use of proton pump inhibitors (PPIs) for SUP in a general surgery department.Methods: Data collection was performed prospectively during an 8-week period on patients hospitalized in a general surgery department (58 beds) by pharmacists. Patients with a PPI prescription for the treatment of ulcers, gastro-oesophageal reflux disease, oesophagitis or epigastric pain were excluded. Patients admitted twice during the study period were not re-included. The American Society of Health-System Pharmacists guidelines on SUP were used to assess the appropriateness of de novo PPI prescriptions.Results: Among 255 consecutive patients in the study, 138 (54%) received a prophylaxis with PPI, of which 86 (62%) were de novo PPI prescriptions. One-hundred twenty-nine patients (94%) received esomeprazole (according to the hospital drug policy). The most frequent dosage was 40 mg/day. Use of PPI for SUP was evaluated in 67 patients. Fifty-three patients (79%) had no risk factors for SUP. Twelve and 2 patients had one or two risk factors, respectively. At discharge, PPI prophylaxis was continued in 34% of patients with a de novo PPI prescription.Conclusion: This study highlights the overuse of PPIs in non-ICU patients and the inappropriate continuation of PPI prescriptions at discharge.Treatment

Le sevrage ultra-rapide sous anesthésie générale: l'expérience de l'Hôpital de St-Loup [Ultrafast opiate detoxification under general anesthesia: the St. Loup Hospital experience]

Rapid antagonist induction under anesthesia is a method that has been increasingly used to detoxify opiate addicts. These procedures are useful to reduce the duration and the discomfort of withdrawal. However, the high risk and the cost of these methods require randomized clinical trial to evaluate safety and clinical effectiveness. The University Substance Abuse Division of Lausanne and the Intensive Care Unit of the St-Loup Hospital work on a randomized clinical trial comparing anesthesia-assisted versus traditional clonidine detoxification combined with an additional psychosocial week. This paper describes the technique of anesthesia used in our study. Our clinical experience suggests that, integrating this technique in a multidisciplinary network, with a strong emphasis on post-anesthetic follow-up, is a viable and safe option in the treatment of opiate dependence.