Three essays on the psychology of investment and financial markets

Préface My thesis consists of three essays where I consider equilibrium asset prices and investment strategies when the market is likely to experience crashes and possibly sharp windfalls. Although each part is written as an independent and self contained article, the papers share a common behavioral approach in representing investors preferences regarding to extremal returns. Investors utility is defined over their relative performance rather than over their final wealth position, a method first proposed by Markowitz (1952b) and by Kahneman and Tversky (1979), that I extend to incorporate preferences over extremal outcomes. With the failure of the traditional expected utility models in reproducing the observed stylized features of financial markets, the Prospect theory of Kahneman and Tversky (1979) offered the first significant alternative to the expected utility paradigm by considering that people focus on gains and losses rather than on final positions. Under this setting, Barberis, Huang, and Santos (2000) and McQueen and Vorkink (2004) were able to build a representative agent optimization model which solution reproduced some of the observed risk premium and excess volatility. The research in behavioral finance is relatively new and its potential still to explore. The three essays composing my thesis propose to use and extend this setting to study investors behavior and investment strategies in a market where crashes and sharp windfalls are likely to occur. In the first paper, the preferences of a representative agent, relative to time varying positive and negative extremal thresholds are modelled and estimated. A new utility function that conciliates between expected utility maximization and tail-related performance measures is proposed. The model estimation shows that the representative agent preferences reveals a significant level of crash aversion and lottery-pursuit. Assuming a single risky asset economy the proposed specification is able to reproduce some of the distributional features exhibited by financial return series. The second part proposes and illustrates a preference-based asset allocation model taking into account investors crash aversion. Using the skewed t distribution, optimal allocations are characterized as a resulting tradeoff between the distribution four moments. The specification highlights the preference for odd moments and the aversion for even moments. Qualitatively, optimal portfolios are analyzed in terms of firm characteristics and in a setting that reflects real-time asset allocation, a systematic over-performance is obtained compared to the aggregate stock market. Finally, in my third article, dynamic option-based investment strategies are derived and illustrated for investors presenting downside loss aversion. The problem is solved in closed form when the stock market exhibits stochastic volatility and jumps. The specification of downside loss averse utility functions allows corresponding terminal wealth profiles to be expressed as options on the stochastic discount factor contingent on the loss aversion level. Therefore dynamic strategies reduce to the replicating portfolio using exchange traded and well selected options, and the risky stock.

Three essays on bankruptcy risk

Abstract Market prices of corporate bond spreads and of credit default swap (CDS) rates do not match each other. In this paper, we argue that the liquidity premium, the cheapest-to-deliver (CTD) option and actual market segmentation explain the pricing differences. Using the European transaction data from Reuters and Bloomberg, we estimate the liquidity premium that is time- varying and firm-specific. We show that when time-dependent liquidity premiums are considered, corporate bond spreads and CDS rates behave in a much closer way than previous studies have shown. We find that high equity volatility drives pricing differences that can be explained by the CTD option.

Life partnerships in childhood cancer survivors, their siblings, and the general population.

BACKGROUND: Life partnerships other than marriage are rarely studied in childhood cancer survivors (CCS). We aimed (1) to describe life partnership and marriage in CCS and compare them to life partnerships in siblings and the general population; and (2) to identify socio-demographic and cancer-related factors associated with life partnership and marriage. METHODS: As part of the Swiss Childhood Cancer Survivor Study (SCCSS), a questionnaire was sent to all CCS (aged 20-40 years) registered in the Swiss Childhood Cancer Registry (SCCR), aged <16 years at diagnosis, who had survived ≥ 5 years. The proportion with life partner or married was compared between CSS and siblings and participants in the Swiss Health Survey (SHS). Multivariable logistic regression was used to identify factors associated with life partnership or marriage. RESULTS: We included 1,096 CCS of the SCCSS, 500 siblings and 5,593 participants of the SHS. Fewer CCS (47%) than siblings (61%, P < 0.001) had life partners, and fewer CCS were married (16%) than among the SHS population (26%, P > 0.001). Older (OR = 1.14, P < 0.001) and female CCS (OR = 1.85, <0.001) were more likely to have life partners. CCS who had undergone radiotherapy, bone marrow transplants (global P Treatment = 0.018) or who had a CNS diagnosis (global P Diagnosis < 0.001) were less likely to have life partners. CONCLUSION: CCS are less likely to have life partners than their peers. Most CCS with a life partner were not married. Future research should focus on the effect of these disparities on the quality of life of CCS.

Holy harlots : authority, gender, and the body in medieval English hagiography

This doctoral dissertation aims at describing the representation of holy harlots (Mary Magdalene, Mary of Egypt, Pelagia, Thai's, Afra of Augsburg) in medieval English hagiography. These saints are unique representatives that combine both extremes of the feminine in the medieval imaginaire: she is both, as a saint, the Virgin Mary, the pure and virtuous woman, and, in her past as a prostitute, Eve, the evil female tempter who led all mankind to destruction. The initial question of this thesis is how did hagiographers negotiate the representation of a formerly sinful, sexually active, long- living woman as an authoritative saint? This thesis aims at finding elements of answer to this question, investigating the intersections between gender and authority in the saints' lives of repentant prostitutes in all the vernaculars of medieval England: Old English, Anglo-Norman, and Middle English. It posits that the portrayal of holy harlots' authority and gender is dependent upon social, religious and literary shifts during the medieval period. My contention is that the harlot's gender portrayal changes over the course of the eleventh and twelfth centuries, due notably to the rise of affective piety and the important influence of the romance genre over hagiography. In Anglo-Saxon England, the harlot's gender changes with the saint's conversion: a woman beforehand, her gender is portrayed after her repentance as ambiguous in order for her to become a saint. Her authority derives from her own sanctity in this case. From the twelfth century onward, however, the harlot, now often turned into a beautiful and landed romance lady, is more and more represented as a woman throughout her life, and becomes after her conversion a Bride of Christ. In this way, the dangerously free woman who roamed the streets and prostituted her body becomes less threatening after her conversion, being (re-)inscribed within the male dominated institution of marriage. She now draws her authoritative stance from her gendered intimacy with Christ: although she submits to Christ as his bride, she also gains greater authority than before by way of her privileged relationship with the Savior.

Lire, écrire : d'un désir l'autre : le "roman de Meliadus" du XIIIe au XVIIIe siècle

Continuation elleptique du Tristan en prose, qui s'inscrit dans l'interstice séparant la naissance de Tristan du remariage de Méliadus avec la fille du roi Hoël, le Roman de Meliadus (1235-1240) est une oeuvre fondamentalement ouverte, de par son inachèvement et de par le dialogue constant qu'il instaure avec les autres romans arthuriens. S'il revendique sa filiation et assume son statut de récit puîné, les réminiscences qu'il exhibe masquent aussi les gauchissements, les infléchissements qui lui permettent de faire du neuf avec du vieux. C'est ce jeu - aux deux sens du terme - que cette étude se propose de mettre en lumière et de voir fonctionner, non seulement dans le Roman de Meliadus proprement dit, mais également dans trois de ses relectures, qui actualisent et renouvellent la signification du roman en profondeur. La première est une continuation qui date de la toute fin du XIIIe ou du début du XIVe siècle et qui est aujourd'hui conservée par le seul manuscrit Ferrell 5. La deuxième actualisation retenue est celle qu'offre Meliadus de Leonnoys, l'imprimé publié en 1528 par Galliot du Pré, puis en 1532 par Denis Janot, fruit d'un minutieux travail de découpage et de remontage. La dernière enfin est l'extrait paru en 1776 dans la Bibliothèque Universelle des Romans sous le titre Méliadus de Léonnois. An ellipitic continuation of the Prose Tristan, which inscribes itself in the space separating the birth of Tristan from Meliadus' new marriage with king Hoël's daughter, the Meliadus' romance (1235-1240) is essentially an open text on account of its incompleteness and the dialogue it establishes with other arthurian romances. Even asserting filiation status, the reminiscences also show the reshaping and the inflection that allow the text to transform old into new. Analyzing this game is the central purpose of this work; to observe the operation in the Meliadus' romance, as well as in three of its recuperations that profoundly renew the significance of the novel; beginning with a continuation from the end of the 13th century or the early 14th century, preserved nowadays in only one manuscript (Ferrel 5); followed by the meticulous work of cutting and reassembling offered by the Meliadus of Leonnoys (printed by Galliot du Pré in 1528 first and again by Denis Janot in 1532) and finally an excerpt published in 1776 in the Bibliothèque Universelle des Romans with the title Méliadus of Leonnois.

Disagreements among cohabiting and married couples in 22 European countries

Background: Cross-national research suggests that married people have higher levels of well-being than cohabiting people. However, relationship quality has both positive and negative dimensions. Researchers have paid little attention to disagreements within cohabiting and married couples. Objective: This study aims to improve our understanding of the meaning of cohabitation by examining disagreements within marital and cohabiting relationships. We examine variations in couples' disagreements about housework, paid work and money by country and gender. Methods: The data come from the 2004 European Social Survey. We selected respondents living in a heterosexual couple relationship and aged between 18 and 45. In total, the study makes use of data from 22 European countries and 9,657 people. Given that our dependent variable was dichotomous, we estimated multilevel logit models, with (1) disagree and (0) never disagree. Results: We find that cohabitors had more disagreements about housework, the same disagreements about money, but fewer disagreements about paid work than did married people. These findings could not be explained by socio-economic or demographic measures, nor did we find gender or cross-country differences in the association between union status and conflict. Conclusions: Cohabiting couples have more disagreements about housework but fewer disagreements about paid work than married people. There are no gender or cross-country differences in these associations. The results provide further evidence that the meaning of cohabitation differs from that of marriage, and that this difference remains consistent across nations.

From Support to Control : A Configurational Perspective on Conjugal Quality

The topic of conjugal quality provides an empirical illustration of the relevance of the configurational perspective on families. Based on a longitudinal sample of 1,534 couples living in Switzerland drawn from the study "Social Stratification, Cohesion and Conflict in Contemporary Families", we show that various types of interdependencies with relatives and friends promote distinct conflict management strategies for couples as well as unequal levels of conjugal quality. We find that configurations characterized by supportive and non-interfering relationships with relatives and friends for both partners are associated with higher conjugal quality, while configurations characterized by interference are associated with lower conjugal quality.

Association of education and receiving social transfers with allostatic load in the Swiss population-based CoLaus study.

BACKGROUND: Allostatic load reflects cumulative exposure to stressors throughout lifetime and has been associated with several adverse health outcomes. It is hypothesized that people with low socioeconomic status (SES) are exposed to higher chronic stress and have therefore greater levels of allostatic load. OBJECTIVE: To assess the association of receiving social transfers and low education with allostatic load. METHODS: We included 3589 participants (1812 women) aged over 35years and under retirement age from the population-based CoLaus study (Lausanne, Switzerland, 2003-2006). We computed an allostatic load index aggregating cardiovascular, metabolic, dyslipidemic and inflammatory markers. A novel index additionally including markers of oxidative stress was also examined. RESULTS: Men with low vs. high SES were more likely to have higher levels of allostatic load (odds ratio (OR)=1.93/2.34 for social transfers/education, 95%CI from 1.45 to 4.17). The same patterns were observed among women. Associations persisted after controlling for health behaviors and marital status. CONCLUSIONS: Low education and receiving social transfers independently and cumulatively predict high allostatic load and dysregulation of several homeostatic systems in a Swiss population-based study. Participants with low SES are at higher risk of oxidative stress, which may justify its inclusion as a separate component of allostatic load.

Three essays in control, entrepreneurship and innovation

One of the key emphases of these three essays is to provide practical managerial insight. However, good practical insight, can only be created by grounding it firmly on theoretical and empirical research. Practical experience-based understanding without theoretical grounding remains tacit and cannot be easily disseminated. Theoretical understanding without links to real life remains sterile. My studies aim to increase the understanding of how radical innovation could be generated at large established firms and how it can have an impact on business performance as most businesses pursue innovation with one prime objective: value creation. My studies focus on large established firms with sales revenue exceeding USD $ 1 billion. Usually large established firms cannot rely on informal ways of management, as these firms tend to be multinational businesses operating with subsidiaries, offices, or production facilities in more than one country. I. Internal and External Determinants of Corporate Venture Capital Investment The goal of this chapter is to focus on CVC as one of the mechanisms available for established firms to source new ideas that can be exploited. We explore the internal and external determinants under which established firms engage in CVC to source new knowledge through investment in startups. We attempt to make scholars and managers aware of the forces that influence CVC activity by providing findings and insights to facilitate the strategic management of CVC. There are research opportunities to further understand the CVC phenomenon. Why do companies engage in CVC? What motivates them to continue "playing the game" and keep their active CVC investment status. The study examines CVC investment activity, and the importance of understanding the influential factors that make a firm decide to engage in CVC. The main question is: How do established firms' CVC programs adapt to changing internal conditions and external environments. Adaptation typically involves learning from exploratory endeavors, which enable companies to transform the ways they compete (Guth & Ginsberg, 1990). Our study extends the current stream of research on CVC. It aims to contribute to the literature by providing an extensive comparison of internal and external determinants leading to CVC investment activity. To our knowledge, this is the first study to examine the influence of internal and external determinants on CVC activity throughout specific expansion and contraction periods determined by structural breaks occurring between 1985 to 2008. Our econometric analysis indicates a strong and significant positive association between CVC activity and R&D, cash flow availability and environmental financial market conditions, as well as a significant negative association between sales growth and the decision to engage into CVC. The analysis of this study reveals that CVC investment is highly volatile, as demonstrated by dramatic fluctuations in CVC investment activity over the past decades. When analyzing the overall cyclical CVC period from 1985 to 2008 the results of our study suggest that CVC activity has a pattern influenced by financial factors such as the level of R&D, free cash flow, lack of sales growth, and external conditions of the economy, with the NASDAQ price index as the most significant variable influencing CVC during this period. II. Contribution of CVC and its Interaction with R&D to Value Creation The second essay takes into account the demands of corporate executives and shareholders regarding business performance and value creation justifications for investments in innovation. Billions of dollars are invested in CVC and R&D. However there is little evidence that CVC and its interaction with R&D create value. Firms operating in dynamic business sectors seek to innovate to create the value demanded by changing market conditions, consumer preferences, and competitive offerings. Consequently, firms operating in such business sectors put a premium on finding new, sustainable and competitive value propositions. CVC and R&D can help them in this challenge. Dushnitsky and Lenox (2006) presented evidence that CVC investment is associated with value creation. However, studies have shown that the most innovative firms do not necessarily benefit from innovation. For instance Oyon (2007) indicated that between 1995 and 2005 the most innovative automotive companies did not obtain adequate rewards for shareholders. The interaction between CVC and R&D has generated much debate in the CVC literature. Some researchers see them as substitutes suggesting that firms have to choose between CVC and R&D (Hellmann, 2002), while others expect them to be complementary (Chesbrough & Tucci, 2004). This study explores the interaction that CVC and R&D have on value creation. This essay examines the impact of CVC and R&D on value creation over sixteen years across six business sectors and different geographical regions. Our findings suggest that the effect of CVC and its interaction with R&D on value creation is positive and significant. In dynamic business sectors technologies rapidly relinquish obsolete, consequently firms operating in such business sectors need to continuously develop new sources of value creation (Eisenhardt & Martin, 2000; Qualls, Olshavsky, & Michaels, 1981). We conclude that in order to impact value creation, firms operating in business sectors such as Engineering & Business Services, and Information Communication & Technology ought to consider CVC as a vital element of their innovation strategy. Moreover, regarding the CVC and R&D interaction effect, our findings suggest that R&D and CVC are complementary to value creation hence firms in certain business sectors can be better off supporting both R&D and CVC simultaneously to increase the probability of generating value creation. III. MCS and Organizational Structures for Radical Innovation Incremental innovation is necessary for continuous improvement but it does not provide a sustainable permanent source of competitiveness (Cooper, 2003). On the other hand, radical innovation pursuing new technologies and new market frontiers can generate new platforms for growth providing firms with competitive advantages and high economic margin rents (Duchesneau et al., 1979; Markides & Geroski, 2005; O'Connor & DeMartino, 2006; Utterback, 1994). Interestingly, not all companies distinguish between incremental and radical innovation, and more importantly firms that manage innovation through a one-sizefits- all process can almost guarantee a sub-optimization of certain systems and resources (Davila et al., 2006). Moreover, we conducted research on the utilization of MCS along with radical innovation and flexible organizational structures as these have been associated with firm growth (Cooper, 2003; Davila & Foster, 2005, 2007; Markides & Geroski, 2005; O'Connor & DeMartino, 2006). Davila et al. (2009) identified research opportunities for innovation management and provided a list of pending issues: How do companies manage the process of radical and incremental innovation? What are the performance measures companies use to manage radical ideas and how do they select them? The fundamental objective of this paper is to address the following research question: What are the processes, MCS, and organizational structures for generating radical innovation? Moreover, in recent years, research on innovation management has been conducted mainly at either the firm level (Birkinshaw, Hamel, & Mol, 2008a) or at the project level examining appropriate management techniques associated with high levels of uncertainty (Burgelman & Sayles, 1988; Dougherty & Heller, 1994; Jelinek & Schoonhoven, 1993; Kanter, North, Bernstein, & Williamson, 1990; Leifer et al., 2000). Therefore, we embarked on a novel process-related research framework to observe the process stages, MCS, and organizational structures that can generate radical innovation. This article is based on a case study at Alcan Engineered Products, a division of a multinational company provider of lightweight material solutions. Our observations suggest that incremental and radical innovation should be managed through different processes, MCS and organizational structures that ought to be activated and adapted contingent to the type of innovation that is being pursued (i.e. incremental or radical innovation). More importantly, we conclude that radical can be generated in a systematic way through enablers such as processes, MCS, and organizational structures. This is in line with the findings of Jelinek and Schoonhoven (1993) and Davila et al. (2006; 2007) who show that innovative firms have institutionalized mechanisms, arguing that radical innovation cannot occur in an organic environment where flexibility and consensus are the main managerial mechanisms. They rather argue that radical innovation requires a clear organizational structure and formal MCS.

Le mariage à l'épreuve: les défis du partenariat de même sexe et de la procréation médicalement assistée en Suisse

Afin de rendre compte des luttes de?finitionnelles qui visent a? transformer ou a? pre?server le sens du mariage en tant qu?institution de l?he?te?rosexualite?, cet article examine deux de?bats cle?s qui ont re?cemment mis a? l?e?preuve l?institution du mariage en Suisse : l?institutionnalisation juridique des couples de me?me sexe avec l?adoption de la loi fe?de?rale sur le partenariat et la pre?servation du sche?ma familial he?te?rosexuel avec la loi fe?de?rale sur la procre?ation me?dicalement assiste?e. Ce texte de?fend que pour saisir l?e?volution du sens politique accorde? au mariage et a? la famille dans les de?bats sur le partenariat homosexuel, il convient d?e?tudier le processus d?institutionnalisation des couples homosexuels dans une temporalite? longue prenant place sur diffe?rentes sce?nes le?gislatives. This article examines how the heteronormative norm embedded in the institution of marriage has been put into question through the legal recognition of same sex couples and the access to assisted reproductive technologies in Switzerland. The paper shows that assessing the transformation of the meaning scheme attributed to the marriage and the family in the ongoing political debates on same-sex couples is enhanced by a diachronic analytical perspective focused on the different regulatory scenes, where the debate has taken place.

Ejaculation failure on the day of oocyte retrieval for IVF: case report.

Unexpected ejaculation failure on the day of oocyte retrieval for IVF occurs once or twice a year in our Reproductive Medicine Unit, where approximately 500 oocyte retrievals are performed each year. Two clinical situations which occurred in 2001 are presented. In the first case, sperm were finally obtained by epididymal aspiration and resulted in the fertilization of five oocytes by ICSI. The transfer of two fresh embryos did not result in a pregnancy and the three supernumerary zygotes were cryopreserved. The male patient presented an anxio-depressive episode necessitating psychiatric hospitalization 1 week after the oocyte retrieval. In the second case, no sperm were obtained and the four oocytes were therefore lost. The couple went through a crisis in their relationship and tried another cycle of IVF 10 months later, after the preventive cryopreservation of a sperm sample. On the day of oocyte retrieval the patient was unable to produce a fresh sample but three zygotes were obtained through ICSI using the back-up cryopreserved sperm. Two embryos were transferred but no pregnancy ensued. The clinical decision-making processes for these two cases are described, as well as the measures employed to help prevent these unfortunate situations.

Like Man, Like Woman: Roman Women, Gender Qualities and Conjugal Relationships at the Turn of the First Century

Modern scholarship often discusses Roman women in terms of their difference from their male counterparts, frequently defining them as 'other'. This book shows how Roman male writers at the turn of the first century actually described women as not so different from men: the same qualities and abilities pertaining to the domains of parenthood, intellect and morals are ascribed by writers to women as well as to men. There are two voices, however: a traditional, ideal voice and an individual, realistic voice. This creates a duality of representations of women, which recurs across literary genres and reflects a duality of mentality. How can we interpret the paradoxical information about Roman women given by the male-authored texts? How does this duality of mentality inform us about gender roles and gender hierarchy? This work analyses well-known, as well as overlooked, passages from the writings of Pliny the Younger, Tacitus, Suetonius, Quintilian, Statius, Martial and Juvenal and sheds new light on Roman views of women and their abilities, on the notions of private and public and on conjugal relationships. In the process, the famous sixth satire of Juvenal is revisited and its topic reassessed, providing further insights into the complex issues of gender roles, marriage and emotions. By contrasting representations of women across a broad spectrum of literary genres, this book provides consistent findings that have wide significance for the study of Latin literature and the social history of the late first and early second centuries.

The influence of supplementary health insurance on switching behaviour: evidence from Swiss data.

This paper focuses on the switching behaviour of enrolees in the Swiss basic health insurance system. Even though the new Federal Law on Social Health Insurance (LAMal) was implemented in 1996 to promote competition among health insurers in basic insurance, there is limited evidence of premium convergence within cantons. This indicates that competition has not been effective so far, and reveals some inertia among consumers who seem reluctant to switch to less expensive funds. We investigate one possible barrier to switching behaviour, namely the influence of supplementary insurance. We use survey data on health plan choice (a sample of 1943 individuals whose switching behaviours were observed between 1997 and 2000) as well as administrative data relative to all insurance companies that operated in the 26 Swiss cantons between 1996 and 2005. The decision to switch and the decision to subscribe to a supplementary contract are jointly estimated.Our findings show that holding a supplementary insurance contract substantially decreases the propensity to switch. However, there is no negative impact of supplementary insurance on switching when the individual assesses his/her health as 'very good'. Our results give empirical support to one possible mechanism through which supplementary insurance might influence switching decisions: given that subscribing to basic and supplementary contracts with two different insurers may induce some administrative costs for the subscriber, holding supplementary insurance acts as a barrier to switch if customers who consider themselves 'bad risks' also believe that insurers reject applications for supplementary insurance on these grounds. In comparison with previous research, our main contribution is to offer a possible explanation for consumer inertia. Our analysis illustrates how consumer choice for one's basic health plan interacts with the decision to subscribe to supplementary insurance.