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.

Binary classification of dyslipidemia from the waist-to-hip ratio and body mass index: a comparison of linear, logistic, and CART models.

BACKGROUND: We sought to improve upon previously published statistical modeling strategies for binary classification of dyslipidemia for general population screening purposes based on the waist-to-hip circumference ratio and body mass index anthropometric measurements. METHODS: Study subjects were participants in WHO-MONICA population-based surveys conducted in two Swiss regions. Outcome variables were based on the total serum cholesterol to high density lipoprotein cholesterol ratio. The other potential predictor variables were gender, age, current cigarette smoking, and hypertension. The models investigated were: (i) linear regression; (ii) logistic classification; (iii) regression trees; (iv) classification trees (iii and iv are collectively known as "CART"). Binary classification performance of the region-specific models was externally validated by classifying the subjects from the other region. RESULTS: Waist-to-hip circumference ratio and body mass index remained modest predictors of dyslipidemia. Correct classification rates for all models were 60-80%, with marked gender differences. Gender-specific models provided only small gains in classification. The external validations provided assurance about the stability of the models. CONCLUSIONS: There were no striking differences between either the algebraic (i, ii) vs. non-algebraic (iii, iv), or the regression (i, iii) vs. classification (ii, iv) modeling approaches. Anticipated advantages of the CART vs. simple additive linear and logistic models were less than expected in this particular application with a relatively small set of predictor variables. CART models may be more useful when considering main effects and interactions between larger sets of predictor variables.

Uncertainty about the true source. A note on the likelihood ratio at the activity level.

This paper focuses on likelihood ratio based evaluations of fibre evidence in cases in which there is uncertainty about whether or not the reference item available for analysis - that is, an item typically taken from the suspect or seized at his home - is the item actually worn at the time of the offence. A likelihood ratio approach is proposed that, for situations in which certain categorical assumptions can be made about additionally introduced parameters, converges to formula described in existing literature. The properties of the proposed likelihood ratio approach are analysed through sensitivity analyses and discussed with respect to possible argumentative implications that arise in practice.

Analytical validation of a lymphocytic choriomeningitis virus real-time RT-PCR assay.

Lymphocytic choriomeningitis virus (LCMV) is a rare cause of central nervous system disease in humans. Screening by real-time RT-PCR assay is of interest in the case of aseptic meningitis of unknown etiology. A specific LCMV real-time RT-PCR assay, based on the detection of genomic sequences of the viral nucleoprotein (NP), was developed to assess the presence of LCMV in cerebrospinal fluids (CSF) sent for viral screening to a Swiss university hospital laboratory. A 10-fold dilution series assay using a plasmid containing the cDNA of the viral NP of the LCMV isolate Armstrong (Arm) 53b demonstrated the high sensitivity of the assay with a lowest detection limit of ≤50 copies per reaction. High sensitivity was confirmed by dilution series assays in a pool of human CSF using four different LCMV isolates (Arm53b, WE54, Traub and E350) with observed detection limits of ≤10PFU/ml (Arm53b and WE54) and 1PFU/ml (Traub and E350). Analysis of 130 CSF showed no cases of acute infection. The absence of positive cases was confirmed by a published PCR assay detecting all Old World arenaviruses. This study validates a specific and sensitive real-time RT-PCR assay for the diagnosis of LCMV infections. Results showed that LCMV infections are extremely rare in hospitalized patients western in Switzerland.

Impact of Sirtuin 2 knockout on innate immune responses

Purpose/Objective: Histone deacetylases (HDACs) deacetylate histones and transcriptional regulators thereby affecting numerous biological functions. Seven mammalian sirtuins (SIRT1-7) constitute the NAD-dependent class III subfamily of HDACs. Sirtuins are the center of great interest due to their regulatory role in the control of metabolism, ageing and age-related diseases. Up to now, little is known about the influence of sirtuins on immune responses, and nothing about the role of SIRT2. The aim of the study was to analyze the influence of SIRT2 knockout on immune cell development and innate immune responses in vitro and in vivo. Materials and methods: SIRT2 germline knockout were produced on a C57BL/6J background. The cellularity of thymus and spleen was assessed by flow cytometry (n = 3). Bone marrow derived macrophages (BMDMs) and dendritic cells (BMDCs) and splenocytes were stimulated with LPS, Pam3CSK4 lipopeptide, CpG ODN, E. coli, S. aureus, TSST-1, SEB, anti-CD3+ CD28 and concanavalin A (n = 3_8). TNF, IL-2, IL-6, IL-12p40 and IFNc production, SIRT1_7 and CD40 expression, and proliferation were quantified by real time-PCR, ELISA, flow cytometry and H3-thymidine incorporation. Mice (n = 6_16) were challenged with LPS, TNF/D-galactosamine, E. coli and K. pneumonia titrated to cause either mild or severe infections or shock. Blood was collected to quantify cytokines and bacteria. Mortality was checked regularly. Results: SIRT2 is the most expressed sirtuin in macrophages and myeloid DCs. To test whether SIRT2 impacts on innate immune responses, we generated SIRT2 germline knockout mice. SIRT2-/- mice born at the expected Mendelian ratio and develop normally. The proportions and absolute numbers of DN1-4, DP and SP thymocytes, and of T-cells (DN and SP, naı¨ve and memory), B-cells (immature and mature), DCs (cDCs and pDCs) and granulocytes in the spleen are similar in SIRT2+/+ and SIRT2-/- mice. SIRT2+/+ and SIRT2-/- BMDMs, BMDCs and splenocytes produce cytokines (RNA and protein), upregulate CD40, and proliferate to the same extent. SIRT2+/+ and SIRT2-/- mice respond similarly (cytokine blood levels, bacterial counts and mortality) to non-severe and lethal endotoxemia, E. coli peritonitis, K. pneumonia pneumonia and TNF-induced shock. Conclusions: SIRT2 knockout has no dramatic impact on the development of immune cells and on innate immune responses in vitro and in vivo. Considering that SIRT2 may participate to control metabolic homeostasis, we are currently assessing the impact of SIRT2 deficiency on innate immune responses under metabolic stress.

Genetic variation near IRS1 associates with reduced adiposity and an impaired metabolic profile.

Genome-wide association studies have identified 32 loci influencing body mass index, but this measure does not distinguish lean from fat mass. To identify adiposity loci, we meta-analyzed associations between ∼2.5 million SNPs and body fat percentage from 36,626 individuals and followed up the 14 most significant (P < 10(-6)) independent loci in 39,576 individuals. We confirmed a previously established adiposity locus in FTO (P = 3 × 10(-26)) and identified two new loci associated with body fat percentage, one near IRS1 (P = 4 × 10(-11)) and one near SPRY2 (P = 3 × 10(-8)). Both loci contain genes with potential links to adipocyte physiology. Notably, the body-fat-decreasing allele near IRS1 is associated with decreased IRS1 expression and with an impaired metabolic profile, including an increased visceral to subcutaneous fat ratio, insulin resistance, dyslipidemia, risk of diabetes and coronary artery disease and decreased adiponectin levels. Our findings provide new insights into adiposity and insulin resistance.

Measuring an effect size from dichotomized data : contrasted results whether using a correlation or an odds-ratio

It is well known that dichotomizing continuous data has the effect to decrease statistical power when the goal is to test for a statistical association between two variables. Modern researchers however are focusing not only on statistical significance but also on an estimation of the "effect size" (i.e., the strength of association between the variables) to judge whether a significant association is also clinically relevant. In this article, we are interested in the consequences of dichotomizing continuous data on the value of an effect size in some classical settings. It turns out that the conclusions will not be the same whether using a correlation or an odds ratio to summarize the strength of association between the variables: Whereas the value of a correlation is typically decreased by a factor pi/2 after each dichotomization, the value of an odds ratio is at the same time raised to the power 2. From a descriptive statistical point of view, it is thus not clear whether dichotomizing continuous data leads to a decrease or to an increase in the effect size, as illustrated using a data set to investigate the relationship between motor and intellectual functions in children and adolescents

Sulfur isotope analysis of cinnabar from Roman wall paintings by elemental analysis/isotope ratio mass spectrometry - tracking the origin of archaeological red pigments and their authenticity

The most valuable pigment of the Roman wall paintings was the red color obtained from powdered cinnabar (Minium Cinnabaris pigment), the red mercury sulfide (HgS), which was brought from mercury (Hg) deposits in the Roman Empire. To address the question of whether sulfur isotope signatures can serve as a rapid method to establish the provenance of the red pigment in Roman frescoes, we have measured the sulfur isotope composition (delta(34) S value in parts per thousand VCDT) in samples of wall painting from the Roman city Aventicum (Avenches, Vaud, Switzerland) and compared them with values from cinnabar from European mercury deposits (Almaden in Spain, Idria in Slovenia, Monte Amiata in Italy, Moschellandsberg in Germany, and Genepy in France). Our study shows that the delta(34) S values of cinnabar from the studied Roman wall paintings fall within or near to the composition of Almaden cinnabar; thus, the provenance of the raw material may be deduced. This approach may provide information on provenance and authenticity in archaeological, restoration and forensic studies of Roman and Greek frescoes. Copyright (c) 2010 John Wiley & Sons, Ltd.

Right-left digit ratio (2D:4D) and maximal oxygen uptake.

A low digit ratio (2D:4D) and low 2D:4D in the right compared with the left hand (right-left 2D:4D) are thought to be determined by high in utero concentrations of testosterone, and are related to "masculine" traits such as aggression and performance in sports like running and rugby. Low right-left 2D:4D is also related to sensitivity to testosterone as measured by the number of cytosine-adenine-guanine triplet repeats in exon 1 of the androgen receptor gene. Here we show that low right-left 2D:4D is associated with high maximal oxygen uptake (VO2(max)), high velocity at VO2(max), and high maximum lactate concentration in a sample of teenage boys. We suggest that low right-left 2D:4D is linked to performance in some sports because it is a proxy of high sensitivity to prenatal and maybe also circulating testosterone and high VO2(max).

Increased expression of urokinase-type plasminogen activator mRNA determines adverse prognosis in ErbB2-positive primary breast cancer.

PURPOSE: To evaluate and validate mRNA expression markers capable of identifying patients with ErbB2-positive breast cancer associated with distant metastasis and reduced survival. PATIENTS AND METHODS: Expression of 60 genes involved in breast cancer biology was assessed by quantitative real-time PCR (qrt-PCR) in 317 primary breast cancer patients and correlated with clinical outcome data. Results were validated subsequently using two previously published and publicly available microarray data sets with different patient populations comprising 295 and 286 breast cancer samples, respectively. RESULTS: Of the 60 genes measured by qrt-PCR, urokinase-type plasminogen activator (uPA or PLAU) mRNA expression was the most significant marker associated with distant metastasis-free survival (MFS) by univariate Cox analysis in patients with ErbB2-positive tumors and an independent factor in multivariate analysis. Subsequent validation in two microarray data sets confirmed the prognostic value of uPA in ErbB2-positive tumors by both univariate and multivariate analysis. uPA mRNA expression was not significantly associated with MFS in ErbB2-negative tumors. Kaplan-Meier analysis showed in all three study populations that patients with ErbB2-positive/uPA-positive tumors exhibited significantly reduced MFS (hazard ratios [HR], 4.3; 95% CI, 1.6 to 11.8; HR, 2.7; 95% CI, 1.2 to 6.2; and, HR, 2.8; 95% CI, 1.1 to 7.1; all P < .02) as compared with the group with ErbB2-positive/uPA-negative tumors who exhibited similar outcome to those with ErbB2-negative tumors, irrespective of uPA status. CONCLUSION: After evaluation of 898 breast cancer patients, uPA mRNA expression emerged as a powerful prognostic indicator in ErbB2-positive tumors. These results were consistent among three independent study populations assayed by different techniques, including qrt-PCR and two microarray platforms.

Using 3D surface datasets to understand landslide evolution: From analogue models to real case study

Early detection of landslide surface deformation with 3D remote sensing techniques, as TLS, has become a great challenge during last decade. To improve our understanding of landslide deformation, a series of analogue simulation have been carried out on non-rigid bodies coupled with 3D digitizer. All these experiments have been carried out under controlled conditions, as water level and slope angle inclination. We were able to follow 3D surface deformation suffered by complex landslide bodies from precursory deformation still larger failures. These experiments were the basis for the development of a new algorithm for the quantification of surface deformation using automatic tracking method on discrete points of the slope surface. To validate the algorithm, comparisons were made between manually obtained results and algorithm surface displacement results. Outputs will help in understanding 3D deformation during pre-failure stages and failure mechanisms, which are fundamental aspects for future implementation of 3D remote sensing techniques in early warning systems.

Urinary analysis of 16(5alpha)-androsten-3alpha-ol by gas chromatography/combustion/isotope ratio mass spectrometry: implications in anti-doping analysis.

We present a method for the analysis of urinary 16(5alpha)-androsten-3alpha-ol together with 5beta-pregnane-3alpha,20alpha-diol and four testosterone metabolites: androsterone (Andro), etiocholanolone (Etio), 5alpha-androstane-3alpha,17beta-diol (5alphaA), 5beta-androstane-3alpha,17beta-diol (5betaA) by means of gas chromatography/combustion/isotopic ratio mass spectrometry (GC/C/IRMS). The within-assay and between-assay precision S.D.s of the investigated steroids were lower than 0.3 and 0.6 per thousand, respectively. A comparative study on a population composed of 20 subjects has shown that the differences of the intra-individual delta(13)C-values for 16(5alpha)-androsten-3alpha-ol and 5beta-pregnane-3alpha,20alpha-diol are less than 0.9 per thousand. Thereafter, the method has been applied in the frame of an excretion study following oral ingestion of 50 mg DHEA initially and oral ingestion of 50mg pregnenolone 48 h later. Our findings show that administration of DHEA does not affect the isotopic ratio values of 16(5alpha)-androsten-3alpha-ol and 5beta-pregnane-3alpha,20alpha-diol, whereas the isotopic ratio values of 5beta-pregnane-3alpha,20alpha-diol vary by more 5 per thousand upon ingestion of pregnenolone. We have observed delta(13)C-value changes lower than 1 per thousand for 16(5alpha)-androsten-3alpha-ol, though pregnenolone is a precursor of the 16-ene steroids. In contrast to 5beta-pregnane-3alpha,20alpha-diol, the 16-ene steroid may be used as an endogenous reference compound when pregnenolone is administered.

Detection of live and antibiotic-killed bacteria by quantitative real-time PCR of specific fragments of ribosomal RNA

RÉSUMÉ Le but d'un traitement antimicrobien est d'éradiquer une infection bactérienne. Cependant, il est souvent difficile d'en évaluer rapidement l'efficacité en utilisant les techniques standard. L'estimation de la viabilité bactérienne par marqueurs moléculaires permettrait d'accélérer le processus. Ce travail étudie donc la possibilité d'utiliser le RNA ribosomal (rRNA) à cet effet. Des cultures de Streptococcus gordonii sensibles (parent Wt) et tolérants (mutant Tol 1) à l'action bactéricide de la pénicilline ont été exposées à différents antibiotiques. La survie bactérienne au cours du temps a été déterminée en comparant deux méthodes. La méthode de référence par compte viable a été comparée à une méthode moléculaire consistant à amplifier par PCR quantitative en temps réel une partie du génome bactérien. La cible choisie devait refléter la viabilité cellulaire et par conséquent être synthétisée de manière constitutive lors de la vie de la bactérie et être détruite rapidement lors de la mort cellulaire. Le choix s'est porté sur un fragment du gène 16S-rRNA. Ce travail a permis de valider ce choix en corrélant ce marqueur moléculaire à la viabilité bactérienne au cours d'un traitement antibiotique bactéricide. De manière attendue, les S. gordonii sensibles à la pénicilline ont perdu ≥ 4 log10 CFU/ml après 48 heures de traitement par pénicilline alors que le mutant tolérant Tol1 en a perdu ≥ 1 log10 CFU/ml. De manière intéressant, la quantité de marqueur a augmenté proportionnellement au compte viable durant la phase de croissance bactérienne. Après administration du traitement antibiotique, l'évolution du marqueur dépendait de la capacité de la bactérie à survivre à l'action de l'antibiotique. Stable lors du traitement des souches tolérantes, la quantité de marqueur détectée diminuait de manière proportionnelle au compte viable lors du traitement des souches sensibles. Cette corrélation s'est confirmée lors de l'utilisation d'autres antibiotiques bactéricides. En conclusion, l'amplification par PCR du RNA ribosomal 16S permet d'évaluer rapidement la viabilité bactérienne au cours d'un traitement antibiotique en évitant le recours à la mise en culture dont les résultats ne sont obtenus qu'après plus de 24 heures. Cette méthode offre donc au clinicien une évaluation rapide de l'efficacité du traitement, particulièrement dans les situations, comme le choc septique, où l'initiation sans délai d'un traitement efficace est une des conditions essentielles du succès thérapeutique. ABSTRACT Assessing bacterial viability by molecular markers might help accelerate the measurement of antibiotic-induced killing. This study investigated whether ribosomal RNA (rRNA) could be suitable for this purpose. Cultures of penicillin-susceptible and penicillin-tolerant (Tol1 mutant) Streptococcus gordonii were exposed to mechanistically different penicillin and levofloxacin. Bacterial survival was assessed by viable counts, and compared to quantitative real-time PCR amplification of either the 16S-rRNA genes (rDNA) or the 16S rRNA, following reverse transcription. Penicillin-susceptible S. gordonii lost ≥ 4 log10 CFU/ml of viability over 48 h of penicillin treatment. In comparison, the Toll mutant lost ≤ 1 log10 CFU/ml. Amplification of a 427-base fragment of 16S rDNA yielded amplicons that increased proportionally to viable counts during bacterial growth, but did not decrease during drug-induced killing. In contrast, the same 427-base fragment amplified from 16S rDNA paralleled both bacterial growth and drug-induced killing. It also differentiated between penicillin-induced killing of the parent and the Toll mutant (≥4 log10 CFU/ml and ≤1 lo10 CFU/ml, respectively), and detected killing by mechanistically unrelated levofloxacin. Since large fragments of polynucleotides might be degraded faster than smaller fragments the experiments were repeated by amplifying a 119-base region internal to the origina1 427-base fragment. The amount of 119-base amplicons increased proportionally to viability during growth, but remained stable during drug treatment. Thus, 16S rRNA was a marker of antibiotic-induced killing, but the size of the amplified fragment was critical to differentiate between live and dead bacteria.

A system to test the toxicity of brake wear particles

Fine particulate matter from traffic increases mortality and morbidity. An important source of traffic particles is brake wear. American studies reported cars to emit break wear particles at a rate of about 11mg/km to 20mg/km of driven distance. A German study estimated that break wear contributes about 12.5% to 21% of the total traffic particle emissions. The goal of this study was to build a system that allows the study of brake wear particle emissions during different braking behaviours of different car and brake types. The particles should be characterize in terms of size, number, metal, and elemental and organic carbon composition. In addition, the influence of different deceleration schemes on the particle composition and size distribution should be studied. Finally, this system should allow exposing human cell cultures to these particles. An exposure-box (0.25 cubic-m volume) was built that can be mounted around a car's braking system. This allows exposing cells to fresh brake wear particles. Concentrations of particle numbers, mass and surface, metals, and carbon compounds were quantified. Tests were conducted with A549 lung epithelial cells. Five different cars and two typical braking behaviours (full stop and normal deceleration) were tested. Particle number and size distribution was analysed for the first six minutes. In this time, two braking events occurred. Full stop produced significantly higher particle concentrations than normal deceleration (average of 23'000 vs. 10'400 #/cm3, p= 0.016). The particle number distribution was bi-modal with one peak at 60 to 100 nm (depending on the tested car and braking behaviour) and a second peak at 200 to 400 nm. Metal concentrations varied depending on the tested car type. Iron (range of 163 to 15'600 μg/m3) and Manganese (range of 0.9 to 135 μg/m3) were present in all samples, while Copper was absent in some samples (<6 to 1220 μg/m3). The overall "fleet" metal ratio was Fe:Cu:Mn = 128:14:1. Temperature and humidity varied little. A549-cells were successfully exposed in the various experimental settings and retained their viability. Culture supernatant was stored and cell culture samples were fixated to test for inflammatory response. Analysis of these samples is ongoing. The established system allowed testing brake wear particle emissions from real-world cars. The large variability of chemical composition and emitted amounts of brake wear particles between car models seems to be related to differences between brake pad compositions of different producers. Initial results suggest that the conditions inside the exposure box allow exposing human lung epithelial cells to freshly produced brake wear particles.