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.

Teaching Motivational Interviewing to Medical Students to Improve Behavior Change Counseling Skills - Results of a Pilot Test

BACKGROUND: Patient behavior accounts for half or more of the variance in health, disease, mortality and treatment outcome and costs. Counseling using motivational interviewing (MI) effectively improves the substance use and medical compliance behavior of patients. Medical training should include substantial focus on this key issue of health promotion. The objective of the study is to test the efficacy of teaching MI to medical students. METHODS: Thirteen fourth-year medical students volunteered to participate. Seven days before and after an 8-hour interactive MI training workshop, each student performed a video-recorded interview with two standardized patients: a 60 year-old alcohol dependent female consulting a primary care physician for the first time about fatigue and depression symptoms; and a 50 year-old male cigarette smoker hospitalized for myocardial infarction. All 52 videos (13 students×2 interviews before and after training) were independently coded by two blinded clinicians using the Motivational Interviewing Training Integrity (MITI, 3.0). MITI scores consist of global spirit (Evocation, Collaboration, Autonomy/Support), global Empathy and Direction, and behavior count summary scores (% Open questions, Reflection to question ratio, % Complex reflections, % MI-adherent behaviors). A "beginning proficiency" threshold (BPT) is defined for each of these 9 scores. The proportion of students reaching BPT before and after training was compared using McNemar exact tests. Inter-rater reliability was evaluated by comparing double coding, and test-retest analyses were conducted on a sub-sample of 10 consecutive interviews by each coder. Weighted Kappas were used for global rating scales and intra-class correlations (ICC) were computed for behavior count summary scores. RESULTS: The percent of counselors reaching BPT before and after MI training increased significantly for Evocation (15% to 65%, p<.001), Collaboration (27% to 77%, p=.001), Autonomy/Support (15% to 54%, p=.006), and % Open questions (4% to 38%, p=.004). Proportions increased, but were not statistically significant for Empathy (38% to 58%, p=.18), Reflection to question ratio (0% to 15%, p=.12), % Complex reflection (35% to 54%, p=.23), and % MI-adherent behaviors (8% to 15%, p=.69). There was virtually no change for the Direction scale (92% to 88%, p=1.00). The reliability analyses produced mixed results. Weighted kappas for inter-rater reliability ranged from .14 for Direction to .51 for Collaboration, and from .27 for Direction to .80 for Empathy for test-retest. ICCs ranged from .20 for Complex reflections to .89 for Open questions (inter-rater), and from .67 for Complex reflections to .99 for Reflection to question ratio (test-retest). CONCLUSION: This pilot study indicates that a single 8-hour training in motivational interviewing for voluntary fourth-year medical students results in significant improvement of some MI skills. A larger sample of randomly selected medical students observed over longer periods should be studied to test if MI training generalizes to medical students. Inter-rater reliability and test-retest findings indicate a need for caution when interpreting the present results, as well as for more intensive training to help appropriately capture more dimensions of the process in future studies.

Schizotypal perceptual aberrations of time: correlation between score, behavior and brain activity.

A fundamental trait of the human self is its continuum experience of space and time. Perceptual aberrations of this spatial and temporal continuity is a major characteristic of schizophrenia spectrum disturbances--including schizophrenia, schizotypal personality disorder and schizotypy. We have previously found the classical Perceptual Aberration Scale (PAS) scores, related to body and space, to be positively correlated with both behavior and temporo-parietal activation in healthy participants performing a task involving self-projection in space. However, not much is known about the relationship between temporal perceptual aberration, behavior and brain activity. To this aim, we composed a temporal Perceptual Aberration Scale (tPAS) similar to the traditional PAS. Testing on 170 participants suggested similar performance for PAS and tPAS. We then correlated tPAS and PAS scores to participants' performance and neural activity in a task of self-projection in time. tPAS scores correlated positively with reaction times across task conditions, as did PAS scores. Evoked potential mapping and electrical neuroimaging showed self-projection in time to recruit a network of brain regions at the left anterior temporal cortex, right temporo-parietal junction, and occipito-temporal cortex, and duration of activation in this network positively correlated with tPAS and PAS scores. These data demonstrate that schizotypal perceptual aberrations of both time and space, as reflected by tPAS and PAS scores, are positively correlated with performance and brain activation during self-projection in time in healthy individuals along the schizophrenia spectrum.

Trust in medical organizations predicts pandemic (H1N1) 2009 vaccination behavior and perceived efficacy of protection measures in the Swiss public

Following the recent avian influenza and pandemic (H1N1) 2009 outbreaks, public trust in medical and political authorities is emerging as a new predictor of compliance with officially recommended protection measures. In a two-wave longitudinal survey of adults in French-speaking Switzerland, trust in medical organizations longitudinally predicted actual vaccination status 6 months later, during the pandemic (H1N1) 2009 vaccination campaign. No other variables explained significant amounts of variance. Trust in medical organizations also predicted perceived efficacy of officially recommended protection measures (getting vaccinated, washing hands, wearing a mask, sneezing into the elbow), as did beliefs about health issues (perceived vulnerability to disease, threat perceptions). These findings show that in the case of emerging infectious diseases, actual behavior and perceived efficacy of protection measures may have different antecedents. Moreover, they suggest that public trust is a crucial determinant of vaccination behavior and underscore the practical importance of managing trust in disease prevention campaigns.

Diverging Cave- and River-Dwelling Newts Exert the Same Mate Preference in their Native Light Conditions

When colonizing a new habitat, populations must adapt their sexual behaviour to new ecological constraints. Because caves display drastically different conditions from surface habitats and cave animals are deprived from visual information, hypogean populations are expected to have modified their mate preference and signalling behaviour after cave colonization. Here, we experimentally examined the female preference and the sexual behaviour of brook newts Calotriton asper from different cave and river populations, either in light or in darkness. Our results suggest that females prefer large individuals in both hypogean and epigean populations, but that this preference is only expressed in the light conditions of their native habitat. Hence, some mate choice criteria would be maintained across genetically divergent populations and throughout dissimilar habitats. However, this sexual behaviour is likely to be expressed via a different sensory pathway in the different habitats, suggesting that a sensory shift has occurred in cave populations, enabling animals to communicate through a non-visual channel.

The handaxe and the microscope: individual and social learning in a multidimensional model of adaptation

When individuals learn by trial-and-error, they perform randomly chosen actions and then reinforce those actions that led to a high payoff. However, individuals do not always have to physically perform an action in order to evaluate its consequences. Rather, they may be able to mentally simulate actions and their consequences without actually performing them. Such fictitious learners can select actions with high payoffs without making long chains of trial-and-error learning. Here, we analyze the evolution of an n-dimensional cultural trait (or artifact) by learning, in a payoff landscape with a single optimum. We derive the stochastic learning dynamics of the distance to the optimum in trait space when choice between alternative artifacts follows the standard logit choice rule. We show that for both trial-and-error and fictitious learners, the learning dynamics stabilize at an approximate distance of root n/(2 lambda(e)) away from the optimum, where lambda(e) is an effective learning performance parameter depending on the learning rule under scrutiny. Individual learners are thus unlikely to reach the optimum when traits are complex (n large), and so face a barrier to further improvement of the artifact. We show, however, that this barrier can be significantly reduced in a large population of learners performing payoff-biased social learning, in which case lambda(e) becomes proportional to population size. Overall, our results illustrate the effects of errors in learning, levels of cognition, and population size for the evolution of complex cultural traits. (C) 2013 Elsevier Inc. All rights reserved.