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.

Phase I study of sorafenib combined with radiation therapy and temozolomide as first-line treatment of high-grade glioma.

BACKGROUND: Sorafenib (Sb) is a multiple kinase inhibitor targeting both tumour cell proliferation and angiogenesis that may further act as a potent radiosensitizer by arresting cells in the most radiosensitive cell cycle phase. This phase I open-label, noncontrolled dose escalation study was performed to determine the safety and maximum tolerated dose (MTD) of Sb in combination with radiation therapy (RT) and temozolomide (TMZ) in 17 patients with newly diagnosed high-grade glioma. METHODS: Patients were treated with RT (60 Gy in 2 Gy fractions) combined with TMZ 75 mg m(-2) daily, and Sb administered at three dose levels (200 mg daily, 200 mg BID, and 400 mg BID) starting on day 8 of RT. Thirty days after the end of RT, patients received monthly TMZ (150-200 mg m(-2) D1-5/28) and Sb (400 mg BID). Pharmacokinetic (PK) analyses were performed on day 8 (TMZ) and on day 21 (TMZ&Sb) (Clinicaltrials ID: NCT00884416). RESULTS: The MTD of Sb was established at 200 mg BID. Dose-limiting toxicities included thrombocytopenia (two patients), diarrhoea (one patient) and hypercholesterolaemia (one patient). Sb administration did not affect the mean area under the curve(0-24) and mean Cmax of TMZ and its metabolite 5-amino-imidazole-4-carboxamide (AIC). Tmax of both TMZ and AIC was delayed from 0.75 (TMZ alone) to 1.5 h (combined TMZ/Sb). The median progression-free survival was 7.9 months (95% confidence interval (CI): 5.4-14.55), and the median overall survival was 17.8 months (95% CI: 14.7-25.6). CONCLUSIONS: Although Sb can be combined with RT and TMZ, significant side effects and moderate outcome results do not support further clinical development in malignant gliomas. The robust PK data of the TMZ/Sb combination could be useful in other cancer settings.

Effect of indomethacin on the renal response to angiotensin II receptor blockade in healthy subjects.

BACKGROUND: Non-steroidal anti-inflammatory drugs are known to promote sodium retention and to blunt the blood pressure lowering effects of several classes of antihypertensive agents including beta-blockers, diuretics and angiotensin converting enzyme (ACE) inhibitors. The purpose of the present study was to investigate the acute and sustained effects of indomethacin on the renal response to the angiotensin II receptor antagonist valsartan and to the ACE inhibitor enalapril. METHODS: Twenty normotensive subjects maintained on fixed sodium intake (100 mmol sodium/day) were randomized to receive for one week: valsartan 80 mg o.d., enalapril 20 mg o.d., valsartan 80 mg o.d. + indomethacin 50 mg bid and enalapril 20 mg o.d. + indomethacin 50 mg bid. This single-blind study was designed as a parallel (valsartan vs. enalapril) and cross-over trial (valsartan or enalapril vs. valsartan + indomethacin or enalapril + indomethacin). Renal hemodynamics and urinary electrolyte excretion were measured for six hours after the first and seventh administration of each treatment regimen. RESULTS: The results show that valsartan and enalapril have comparable renal effects characterized by no change in glomerular filtration rate and significant increases in renal plasma flow and sodium excretion. The valsartan- and enalapril-induced renal vasodilation is not significantly blunted by indomethacin. However, indomethacin similarly abolishes the natriuresis induced by the angiotensin II antagonist and the ACE inhibitor. CONCLUSIONS: This observation suggests that although angiotensin receptor antagonists do not affect prostaglandin metabolism, the administration of a non-steroidal anti-inflammatory drug blunts the natriuretic response to angiotensin receptor blockade.

Adherence to oral anticancer treatment: focus on quality of execution during continuous schema of treatment

Background and objective: Oral anti-cancer treatments have expanded rapidly over the last years. While taking oral tablets at home ensures a better quality of life, it also exposes patients to the risk of sub-optimal adherence. The objective of this study is to assess how well ambulatory cancer patients execute their prescribed dosing regimen while they are engaged with continuous anti-cancer treatments. Design: This is an on-going longitudinal study. Consecutive patients starting an oral treatment are proposed to enter the study by the oncologist. Then they are referred to the pharmacy, where their oral anticancer treatment is dispensed in a Medication Event Monitoring System (MEMSTM), which records date and time of each opening of the drug container. Electronically compiled dosing history data from the MEMS are summarized and used as feedback during semistructured interviews with the pharmacist, which are dedicated to prevention and management of side effects. Interviews are scheduled before each medical visit. Report of the interview is available to the oncologist via an on-line secured portal. Setting: Seamless care approach between a Multidisciplinary Oncology Center and the Pharmacy of an Ambulatory Care and Community Medicine Department. Main outcome measures: For each patient, the comparison between the electronically compiled dosing history and the prescribed regimen was summarized using a daily binary indicator indicating whether yes or no the patient has taken the medication as prescribed. Results: Study started in March 2008. Among 22 eligible patients, 19 were included (11 men, median age 63 years old) and 3 (14%) refused to participate. 15 patients were prescribed a QD regimen, 3 patients a BID and 1 patient switched from QD to BID during follow-up. Median follow up was 182 days (IQR 72-252). Early discontinuation happened in four patients: side effects (n = 1), psychiatric reasons (n = 1), cancer progression (n = 1) and death (n = 1). On average, the daily number of medications was taken as prescribed in 99% of the follow-up days. Conclusions: Execution of the prescribed dosing regimens was almost perfect during the first 6 months. Maintaining this high degree of regimen execution and persistence over time might however be challenging in this population and need therefore to be confirmed in larger and longer follow-up cohort studies.

Forgoing dental care for economic reasons in Switzerland: a six-year cross-sectional population-based study

BACKGROUND: While oral health is part of general health and well-being, oral health disparities nevertheless persist. Potential mechanisms include socioeconomic factors that may influence access to dental care in the absence of universal dental care insurance coverage. We investigated the evolution, prevalence and determinants (including socioeconomic) of forgoing of dental care for economic reasons in a Swiss region, over the course of six years. METHODS: Repeated population-based surveys (2007-2012) of a representative sample of the adult population of the Canton of Geneva, Switzerland. Forgone dental care, socioeconomic and insurance status, marital status, and presence of dependent children were assessed using standardized methods. RESULTS: A total of 4313 subjects were included, 10.6% (457/4313) of whom reported having forgone dental care for economic reasons in the previous 12 months. The crude percentage varied from 2.4% in the wealthiest group (monthly income ≥ 13,000 CHF, 1 CHF ≈ 1$) to 23.5% among participants with the lowest income (<3,000 CHF). Since 2007/8, forgoing dental care remained stable overall, but in subjects with a monthly income of <3,000 CHF, the adjusted percentage increased from 16.3% in 2007/8 to 20.6% in 2012 (P trend = 0.002). Forgoing dental care for economic reasons was independently associated with lower income, younger age, female gender, current smoking, having dependent children, divorced status and not living with a partner, not having a supplementary health insurance, and receipt of a health insurance premium cost-subsidy. CONCLUSIONS: In a Swiss region without universal dental care insurance coverage, prevalence of forgoing dental care for economic reasons was high and highly dependent on income. Efforts should be made to prevent high-risk populations from forgoing dental care.

Preoperative hyperfractionated accelerated radiotherapy (HART) and concomitant CPT-11 in locally advanced rectal carcinoma: a phase I study.

PURPOSE: Patients with locally advanced rectal carcinoma are at risk for both local recurrence and distant metastases. We demonstrated the efficacy of preoperative hyperfractionated accelerated radiotherapy (HART). In this Phase I trial, we aimed at introducing chemotherapy early in the treatment course with both intrinsic antitumor activity and a radiosensitizer effect. METHODS AND MATERIALS: Twenty-eight patients (19 males; median age 63, range 28-75) with advanced rectal carcinoma (cT3: 24; cT4: 4; cN+: 12; M1: 5) were enrolled, including 8 patients treated at the maximally tolerated dose. Escalating doses of CPT-11 (30-105 mg/m(2)/week) were given on Days 1, 8, and 15, and concomitant HART (41.6 Gy, 1.6 Gy bid x 13 days) started on Day 8. Surgery was to be performed within 1 week after the end of radiochemotherapy. RESULTS: Twenty-six patients completed all preoperative radiochemotherapy as scheduled; all patients underwent surgery. Dose-limiting toxicity was diarrhea Grade 3 occurring at dose level 6 (105 mg/m(2)). Hematotoxicity was mild, with only 1 patient experiencing Grade 3 neutropenia. Postoperative complications (30 days) occurred in 7 patients, with an anastomotic leak rate of 22%. CONCLUSIONS: The recommended Phase II dose of CPT-11 in this setting is 90 mg/m(2)/week. Further Phase II exploration at this dose is warranted.

Complex molecular mechanisms cooperate to mediate histone deacetylase inhibitors anti-tumour activity in neuroblastoma cells

BACKGROUND: Histone deacetylase inhibitors (HDACi) are a new class of promising anti-tumour agent inhibiting cell proliferation and survival in tumour cells with very low toxicity toward normal cells. Neuroblastoma (NB) is the second most common solid tumour in children still associated with poor outcome in higher stages and, thus NB strongly requires novel treatment modalities. RESULTS: We show here that the HDACi Sodium Butyrate (NaB), suberoylanilide hydroxamic acid (SAHA) and Trichostatin A (TSA) strongly reduce NB cells viability. The anti-tumour activity of these HDACi involved the induction of cell cycle arrest in the G2/M phase, followed by the activation of the intrinsic apoptotic pathway, via the activation of the caspases cascade. Moreover, HDACi mediated the activation of the pro-apoptotic proteins Bid and BimEL and the inactivation of the anti-apoptotic proteins XIAP, Bcl-xL, RIP and survivin, that further enhanced the apoptotic signal. Interestingly, the activity of these apoptosis regulators was modulated by several different mechanisms, either by caspases dependent proteolytic cleavage or by degradation via the proteasome pathway. In addition, HDACi strongly impaired the hypoxia-induced secretion of VEGF by NB cells. CONCLUSION: HDACi are therefore interesting new anti-tumour agents for targeting highly malignant tumours such as NB, as these agents display a strong toxicity toward aggressive NB cells and they may possibly reduce angiogenesis by decreasing VEGF production by NB cells.

Hemodialysis for cefepime intoxication: A case report

Introduction: We report a case of cefepime intoxication with acute severe neurologic symptoms, which was treated by temporary hemodialysis. Patients (or Materials) and Methods: Cefepime 2 g BID for endovascular prosthesis infection was prescribed to a frail, chronically ill 88-year-old woman with a serum creatinine of 199 μmol/L and an estimated creatinine clearance of 13 mL/min (Cockroft formula). Two days later, she was transferred to a neurocritical care unit because of acute aphasia, myoclonic jerks, and delirium with a Glasgow coma scale score of 12/15. The following day, in the absence of other causes, cefepime intoxication was hypothesized, and cefepime was withdrawn after a total of 7 doses = 14 g. Over the next 24 hours, two 3-hour hemodialysis (HD) sessions were performed under cefepime concentration monitoring. Results: Cefepime plasma levels were measured by liquid chromatography/ mass spectrometry. There is no validated reference range, but a study (Chapuis T et al, Critical Care, 2010) found a 50% risk of neurotoxicity with residual levels > 15 mg/L. In our patient, levels were 83.3 mg/L 10 hours after last dose, 24.1 mg/L immediately after the first HD session, 13.4 mg/L immediately before the second HD session, and 2.5 mg/L immediately after the second HD session. The patient made a full clinical recovery over the next 48 hours. The 70% to 80% fall in plasmatic levels observed during each HD session is in accordance with literature data (Schmaldienst S et al, Eur J Clin Pharmacol, 2000, and Manyor LM et al, Pharmacotherapy, 2008). According to kinetic simulation, cefepime dropped at a concentration < 15 mg/L 15 hours earlier with HD than it would have without. Conclusion: Neuropsychiatric adverse effects of beta-lactam antibiotics can be easily overlooked by clinicians. One should be especially cautious with their use in very old and frail patients in whom plasma creatinine poorly estimates renal function and cognitive impairment is highly prevalent. Temporary hemodialysis effectively clears cefepime, but its role in hastening clinical recovery may be limited.

Structural macro factors and the affine term structure of interest rates

This work consists of three essays investigating the ability of structural macroeconomic models to price zero coupon U.S. government bonds. 1. A small scale 3 factor DSGE model implying constant term premium is able to provide reasonable a fit for the term structure only at the expense of the persistence parameters of the structural shocks. The test of the structural model against one that has constant but unrestricted prices of risk parameters shows that the exogenous prices of risk-model is only weakly preferred. We provide an MLE based variance-covariance matrix of the Metropolis Proposal Density that improves convergence speeds in MCMC chains. 2. Affine in observable macro-variables, prices of risk specification is excessively flexible and provides term-structure fit without significantly altering the structural parameters. The exogenous component of the SDF is separating the macro part of the model from the term structure and the good term structure fit has as a driving force an extremely volatile SDF and an implied average short rate that is inexplicable. We conclude that the no arbitrage restrictions do not suffice to temper the SDF, thus there is need for more restrictions. We introduce a penalty-function methodology that proves useful in showing that affine prices of risk specifications are able to reconcile stable macro-dynamics with good term structure fit and a plausible SDF. 3. The level factor is reproduced most importantly by the preference shock to which it is strongly and positively related but technology and monetary shocks, with negative loadings, are also contributing to its replication. The slope factor is only related to the monetary policy shocks and it is poorly explained. We find that there are gains in in- and out-of-sample forecast of consumption and inflation if term structure information is used in a time varying hybrid prices of risk setting. In-sample yield forecast are better in models with non-stationary shocks for the period 1982-1988. After this period, time varying market price of risk models provide better in-sample forecasts. For the period 2005-2008, out of sample forecast of consumption and inflation are better if term structure information is incorporated in the DSGE model but yields are better forecasted by a pure macro DSGE model.

High prevalence of forgoing healthcare for economic reasons in Switzerland: a population-based study in a region with universal health insurance coverage.

OBJECTIVE: To investigate the determinants and the 4-year evolution of the forgoing of healthcare for economic reasons in Switzerland. METHOD: Population-based survey (2007-2010) of a representative sample aged 35-74years in the Canton of Geneva, Switzerland. Healthcare forgone, socioeconomic and insurance status, marital status, and presence of dependent children were assessed using standardized methods. RESULTS: A total of 2601 subjects were included in the analyses. Of the subjects, 13.8% (358/2601) reported having forgone healthcare for economic reasons, with the percentage varying from 3.7% in the group with a monthly income ≥13,000CHF (1CHF≈1$) to 30.9% in the group with a monthly income <3000CHF. In subjects with a monthly income <3000CHF, the percentage who had forgone healthcare increased from 22.5% in 2007/8 to 34.7% in 2010 (P trend=0.2). Forgoing healthcare for economic reasons was associated with lower income, female gender, smoking status, lower job position, having dependent children, being divorced and single, paying a higher deductible, and receiving a premium subsidy. CONCLUSION: In a Swiss region with universal health insurance coverage, the reported prevalence of forgoing healthcare for economic reasons was high and greatly dependent on socioeconomic factors. Our data suggested an increasing trend among participants with the lowest income.

Zins-Spreads als Einnahmequelle für Kantone : Die Abhängigkeit des Passivzinssatzes von den Bruttoschulden und damit einhergehende Renditemöglichkeiten am Kapitalmarkt

Über eine längere Zeitdauer betrachtet, weisen staatliche Schulden tendenziell tiefere Zinssätze respektive Renditen auf als andere auf dem Markt gehandelte papiere, was teilweise durch das geringere Risiko erklärt werden kann (Mehra & Prescott, 2003: S.892). Indem die Abhängigkeit der Schuldzinssätze von den Schuldenquoten der Schweizer Kantone modelliert und in Beziehung zu einer adäquaten Marktrendite gebracht wird, zeigt diese Arbeit, welches Einnahmepotential sich aus diesem Zins-Spread für die Schweizer Kantone ergibt. Zur Schätzung der Zinskurve wird vom Marktgleichgewicht ausgegangen, bei welchem die investoren mit einem Default Premium für einen möglichen Ausfall des Kantons als Schuldner, im Vergleich zu einer risikolosen Anlage, abgegolten werden müssen (Bayoumi, Goldstein und Woglom, 1995: S. 1048-1051). Dazu werden die für den Schweizer Kontext spezifischen Determinanten für die Ausfallswahrscheinlichkeit identifiziert (Daldoss und Foraita, 2003: S. 87). Empirisch überprüft wird dieses Modell anhand eines quantitativen Ansatzes, wobei in erster Linie die Generalisierte Momenten-Methode (GMM) angewandt wird. Als Datenbasis dient hauptsächlich die Finanzstatistik der Eidgenössischen Finanzverwaltung (EFV), wobei alle 26 Schweizer Kantone im Zeitraum von 1981 bis 2011 betrachtet werden. Als Marktrendite wird die durchschnittliche Rendite der Schweizer Pensionskassen verwendet. Mit den verwendeten Daten und Modellen kann die Form der Zinskurve jedoch nicht eindeutig bestimmt werden, was grösstenteils auf die Endogenitätsproblematik zurückzuführen ist. Diese kann aufgrund ungenügender und mangelhafter Instrumente ohne zusätzliche Daten nicht überwunden werden. Folglich kann auch keine optimale Schuldenquote bestimmt werden. Die quantitativen Resultate deuten dennoch auf ein gewisses Einnahmepotential hin. Wie das Fallbeispiel Kanton Aargau zeigt, kann dieses punktuell auch gebraucht werden und findet in der Praxis Anwendung (Anonymer Interviewpartner, 2013).

Randomised, multicentre, phase III, open-label study of alectinib vs crizotinib in treatment-naïve anaplastic lymphoma kinase (ALK)-positive advanced NSCLC (ALEX study).

Background: In ∼5% of advanced NSCLC tumours, ALK tyrosine kinase is constitutively activated after translocation of ALK. ALK+ NSCLC was shown to be highly sensitive to the first approved ALK inhibitor, crizotinib. However, all pts eventually relapse on crizotinib mainly due to secondary ALK mutations/amplification or CNS metastases. Alectinib is a highly selective, potent, oral next-generation ALK inhibitor. Clinical phase II alectinib data in 46 crizotinib-naïve pts with ALK+ NSCLC reported an objective response rate (ORR) of 93.5% and a 1-year progression-free rate of 83% (95% CI: 68-92) (Inoue et al. J Thorac Oncol 2013). CNS activity was seen: of 14 pts with baseline brain metastasis, 11 had prior CNS radiation, 9 of these experienced CNS and systemic PFS of >12 months; of the 3 pts without prior CNS radiation, 2 were >15 months progression free. Trial design: Randomised, multicentre, phase III, open-label study in pts with treatment-naïve ALK+ advanced, recurrent, or metastatic NSCLC. All pts must provide pretreatment tumour tissue to confirm ALK rearrangement (by IHC). Pts (∼286 from ∼180 centres, ∼30 countries worldwide) will be randomised to alectinib (600mg oral bid, with food) or crizotinib (250mg oral bid, with/without food) until disease progression (PD), unacceptable toxicity, withdrawal of consent, or death. Stratification factors are: ECOG PS (0/1 vs 2), race (Asian vs non-Asian), baseline CNS metastases (yes vs no). Primary endpoint: PFS by investigators (RECIST v1.1). Secondary endpoints: PFS by Independent Review Committee (IRC); ORR; duration of response; OS; safety; pharmacokinetics; quality of life. Additionally, time to CNS progression will be evaluated (MRI) for the first time in a prospective randomised NSCLC trial as a secondary endpoint. Pts with isolated asymptomatic CNS progression will be allowed to continue treatment beyond documented progression until systemic PD and/or symptomatic CNS progression, according to investigator opinion. Time to CNS progression will be retrospectively assessed by the IRC using two separate criteria, RECIST and RANO. Further details: ClinicalTrials.gov (NCT02075840). Disclosure: T.S.K. Mok: Advisory boards: AZ, Roche, Eli Lilly, Merck Serono, Eisai, BMS, AVEO, Pfizer, Taiho, Boehringer Ingelheim, Novartis, GSK Biologicals, Clovis Oncology, Amgen, Janssen, BioMarin; board of directors: IASLC; corporate sponsored research: AZ; M. Perol: Advisory boards: Roche; S.I. Ou: Consulting: Pfizer, Chugai, Genentech Speaker Bureau: Pfizer, Genentech, Boehringer Ingelheim; I. Bara: Employee: F. Hoffmann-La Roche Ltd; V. Henschel: Employee and stock: F. Hoffmann-La Roche Ltd.; D.R. Camidge: Honoraria: Roche/Genentech. All other authors have declared no conflicts of interest.