Essays in equilibrium asset pricing

This thesis consists of four essays in equilibrium asset pricing. The main topic is investors' heterogeneity: I investigates the equilibrium implications for the financial markets when investors have different attitudes toward risk. The first chapter studies why expected risk and remuneration on the aggregate market are negatively related, even if intuition and standard theory suggest a positive relation. I show that the negative trade-off can obtain in equilibrium if investors' beliefs about economic fundamentals are procyclically biased and the market Sharpe ratio is countercyclical. I verify that such conditions hold in the real markets and I find empirical support for the risk-return dynamics predicted by the model. The second chapter consists of two essays. The first essay studies how het¬erogeneity in risk preferences interacts with other sources of heterogeneity and how this affects asset prices in equilibrium. Using perceived macroeconomic un¬certainty as source of heterogeneity, the model helps to explain some patterns of financial returns, even if heterogeneity is small as suggested by survey data. The second essay determines conditions such that equilibrium prices have analytical solutions when investors have heterogeneous risk attitudes and macroeconomic fundamentals feature latent uncertainty. This approach provides additional in-sights to the previous literature where models require numerical solutions. The third chapter studies why equity claims (i.e. assets paying a single future dividend) feature premia and risk decreasing with the horizon, even if standard models imply the opposite shape. I show that labor relations helps to explain the puzzle. When workers have bargaining power to exploit partial income insurance within the firm, wages are smoother and dividends are riskier than in a standard economy. Distributional risk among workers and shareholders provides a rationale to the equity short-term risk, which leads to downward sloping term structures of premia and risk for equity claim. Résumé Cette thèse se compose de quatre essais dans l'évaluation des actifs d'équilibre. Le sujet principal est l'hétérogénéité des investisseurs: J'étudie les implications d'équilibre pour les marchés financiers où les investisseurs ont des attitudes différentes face au risque. Le première chapitre étudie pourquoi attendus risque et la rémunération sur le marché global sont liées négativement, même si l'intuition et la théorie standard suggèrent une relation positive. Je montre que le compromis négatif peut obtenir en équilibre si les croyances des investisseurs sur les fondamentaux économiques sont procyclique biaisées et le ratio de Sharpe du marché est anticyclique. Je vérifier que ces conditions sont réalisées dans les marchés réels et je trouve un appui empirique à la dynamique risque-rendement prédites par le modèle. Le deuxième chapitre se compose de deux essais. Le première essai étudie com¬ment hétérogénéité dans les préférences de risque inter agit avec d'autres sources d'hétérogénéité et comment cela affecte les prix des actifs en équilibre. Utili¬sation de l'incertitude macroéconomique perù comme source d'hétérogénéité, le modèle permet d'expliquer certaines tendances de rendements financiers, même si l'hétérogénéité est faible comme suggéré par les données d'enquête. Le deuxième essai détermine des conditions telles que les prix d'équilibre disposer de solutions analytiques lorsque les investisseurs ont des attitudes des risques hétérogènes et les fondamentaux macroéconomiques disposent d'incertitude latente. Cette approche fournit un éclairage supplémentaire à la littérature antérieure où les modèles nécessitent des solutions numériques. Le troisième chapitre étudie pourquoi les equity-claims (actifs que paient un seul dividende futur) ont les primes et le risque décroissante avec l'horizon, mme si les modèles standards impliquent la forme opposée. Je montre que les relations de travail contribue à expliquer l'énigme. Lorsque les travailleurs ont le pouvoir de négociation d'exploiter assurance revenu partiel dans l'entreprise, les salaires sont plus lisses et les dividendes sont plus risqués que dans une économie standard. Risque de répartition entre les travailleurs et les actionnaires fournit une justification à le risque à court terme, ce qui conduit à des term-structures en pente descendante des primes et des risques pour les equity-claims.

A genome-wide significant linkage for severe depression on chromosome 3: the depression network study.

Objective: The purpose of this study was to find loci for major depression via linkage analysis of a large sibling pair sample. Method: The authors conducted a genome-wide linkage analysis of 839 families consisting of 971 affected sibling pairs with severe recurrent major depression, comprising waves I and II of the Depression Network Study cohort. In addition to examining affected status, linkage analyses in the full data set were performed using diagnoses restricted by impairment severity, and association mapping of hits in a large case-control data set was attempted. Results: The authors identified genome-wide significant linkage to chromosome 3p25-26 when the diagnoses were restricted by severity, which was a maximum LOD score of 4.0 centered at the linkage marker D3S1515. The linkage signal identified was genome-wide significant after correction for the multiple phenotypes tested, although subsequent association mapping of the region in a genome-wide association study of a U.K. depression sample did not provide significant results. Conclusions: The authors report a genome-wide significant locus for depression that implicates genes that are highly plausible for involvement in the etiology of recurrent depression. Despite the fact that association mapping in the region was negative, the linkage finding was replicated by another group who found genome-wide-significant linkage for depression in the same region. This suggests that 3p25-26 is a new locus for severe recurrent depression. This represents the first report of a genome-wide significant locus for depression that also has an independent genome-wide significant replication.

Genome-wide linkage and association analyses to identify genes influencing adiponectin levels: the GEMS Study.

Adiponectin has a variety of metabolic effects on obesity, insulin sensitivity, and atherosclerosis. To identify genes influencing variation in plasma adiponectin levels, we performed genome-wide linkage and association scans of adiponectin in two cohorts of subjects recruited in the Genetic Epidemiology of Metabolic Syndrome Study. The genome-wide linkage scan was conducted in families of Turkish and southern European (TSE, n = 789) and Northern and Western European (NWE, N = 2,280) origin. A whole genome association (WGA) analysis (500K Affymetrix platform) was carried out in a set of unrelated NWE subjects consisting of approximately 1,000 subjects with dyslipidemia and 1,000 overweight subjects with normal lipids. Peak evidence for linkage occurred at chromosome 8p23 in NWE subjects (lod = 3.10) and at chromosome 3q28 near ADIPOQ, the adiponectin structural gene, in TSE subjects (lod = 1.70). In the WGA analysis, the single-nucleotide polymorphisms (SNPs) most strongly associated with adiponectin were rs3774261 and rs6773957 (P < 10(-7)). These two SNPs were in high linkage disequilibrium (r(2) = 0.98) and located within ADIPOQ. Interestingly, our fourth strongest region of association (P < 2 x 10(-5)) was to an SNP within CDH13, whose protein product is a newly identified receptor for high-molecular-weight species of adiponectin. Through WGA analysis, we confirmed previous studies showing SNPs within ADIPOQ to be strongly associated with variation in adiponectin levels and further observed these to have the strongest effects on adiponectin levels throughout the genome. We additionally identified a second gene (CDH13) possibly influencing variation in adiponectin levels. The impact of these SNPs on health and disease has yet to be determined.

High-frequency linkage of co-expressing T-DNA in transgenic Arabidopsis thaliana transformed by vacuum-infiltration of Agrobacterium tumefaciens

The efficiency of co-expression and linkage of distinct T-DNAs present in separate Agrobacterium tumefaciens was analysed in Arabidopsis thaliana transformed by the vacuum infiltration method. Co-expression was monitored by the synthesis of three bacterial proteins involved in the production of polyhydroxybutyrate (PHB) in the plastids. Out of 80 kanamycin-resistant transgenic plants analysed, 13 plants were co-transformed with the two distinct T-DNAs and produced PHB. Of those, 7 lines had a kanamycin-resistance segregation ratio consistent with the presence of a single functional insert. Genetic linkage between the distinct T-DNAs was demonstrated for all 13 PHB-producing lines, while physical linkage between the distinct T-DNAs was shown for 12 out of 13 lines. T-DNAs were frequently linked in an inverted orientation about the left borders. Transformation of A. thaliana by the co-infiltration of two A. tumefaciens containing distinct T-DNAs is, thus, an efficient approach for the integration and expression of several transgenes at a single locus. This approach will facilitate the creation and study of novel metabolic pathways requiring the expression of numerous transgenes.

Financial protection of patients through compensation of providers: the impact of Health Equity Funds in Cambodia

Public providers have no financial incentive to respect their legal obligation to exempt the poor from user fees. Health Equity Funds (HEFs) aim to make exemptions effective by giving NGOs responsibility for assessing eligibility and compensating providers for lost revenue. We use the geographic spread of HEFs over time in Cambodia to identify their impact on out-of-pocket (OOP) payments. Among households with some OOP payment, HEFs reduce the amount paid by 35%, on average. The effect is larger for households that are poorer and mainly use public health care. Reimbursement of providers through a government operated scheme also reduces household OOP payments but the effect is not as well targeted on the poor. Both compensation models raise household non-medical consumption but have no impact on health-related debt. HEFs reduce the probability of primarily seeking care in the private sector.

State-Society Relationships, Social Trust and the Development of Labour Market Policies in Italy and Sweden

The first decade of the twenty-first century may be remembered for the rebirth of consensus on labour market policy. After three decades of bitter political and ideological controversy between a neo-liberal and a traditional social democratic approach, a new model, often labelled flexicurity, has emerged. This model is promoted by numerous political organisations since it promises to put an end to the old trade-off between equality and efficiency. Several countries are embracing the flexicurity model as a blueprint for labour market reform, but others, mostly belonging to the 'Mediterranean Rim', are clearly lagging behind. Why is it so difficult for these countries to implement the flexicurity model? This paper argues that the application of a flexicurity strategy in these countries is complicated by the lack of social trust between social partners and the state as well as political economy traditions that highlight the role of labour market regulation as a source of social protection.

Subjective health assessments and active labor market participation of older men: evidence from a semiparametric binary choice model with nonadditive correlated individual-specific effects

We use panel data from the U. S. Health and Retirement Study, 1992-2002, to estimate the effect of self-assessed health limitations on the active labor market participation of older men. Self-assessments of health are likely to be endogenous to labor supply due to justification bias and individual-specific heterogeneity in subjective evaluations. We address both concerns. We propose a semiparametric binary choice procedure that incorporates nonadditive correlated individual-specific effects. Our estimation strategy identifies and estimates the average partial effects of health and functioning on labor market participation. The results indicate that poor health plays a major role in labor market exit decisions.

Entrepreneur's Overconfidence, Private Benefits and the Market Performance of the Firm

Many firms around the world are managed and partially owned by entrepreneurs. These entrepreneurs hold under diversified portfolios and, therefore, bear idiosyncratic risk in addition to systematic risk. To compensate the additional risk borne, they extract private benefits. In this paper, we analyse how an entrepreneur's overconfidence affects the market performance of the firm, through the channel of private benefits. We show that two dimensions of overconfidence, namely overestimation of future cash-flows and underestimation of idiosyncratic risk (called miscalibration), have opposite effects on the private benefits extracted by the entrepreneur. As a consequence, firms managed and partially owned by overconfident entrepreneurs can deliver overperformance or underperformance, depending on the prevalence of overestimation or miscalibration of the beliefs of the entrepreneur.

Education, Equity and Distributive Beliefs: Evidences from the Chilean Case

During the year 2011, Chile has been scenario of several student's demonstrations claiming for more equity in the access to the higher education. The high support to the protests by the side of the general population (nearly 89% of approval in public opinion polls) seems to suggest the existence of a large consensus about the weaknesses of the Chilean educative model, a model that would challenge the traditional ideals of meritocracy and social mobility that are at the core of the educational systems in modern societies. In this context, a question that remains open is to what extent these claims are mostly based on consensual equality ideals, or whether they are influenced by individual socio-economic determinants vis-à-vis rational motives. Using data of the social inequality module International Social Survey Program (ISSP) of 2009, this research analyzes perceptions and beliefs about education and the distributive system as well as the influence of income and educational variables, through a structural equation modeling framework. Preliminary results indicate the presence of socioeconomic cleavages in relation to the fairness of the educational system, questioning the assumption about a normative consensus.

Annual Review of the European Football Players' Labour Market / Etude annuelle du marché du travail européen des footballeurs

The key reference on the labour market and the logics of squad formation in the big-5 European leagues. One hundred richly coloured pages, illustrated by graphics, maps, rankings, statistical models and analysis in French and English which inform managers about potential strategies to put their clubs on the road to success help managers of federations and players' unions to understand current trends and to take decisions ... suggest to journalists new lines of investigation likely to interest the general public allow researchers and students to benefit from reliable and comparable sources, developed with the greatest possible rigour ... give fans the possibility to understand in detail the dynamics at work in their favourite sport and club.