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.

Division of labour influences the rate of ageing in weaver ant workers.

The evolutionary theory of ageing predicts that the timing of senescence has been primarily shaped by the extrinsic mortality rate, which causes selection intensity to decline over time. One difficulty in testing the evolutionary theory of ageing is that extrinsic mortality risk is often confounded with body size and fecundity, which may also directly affect lifespan. Social insects with a pronounced division of labour between worker castes provide a unique opportunity to study the direct effect of extrinsic mortality on the evolution of ageing rates independently of body size, reproductive effort and genetic configuration. In the weaver ant, Oecophylla smaragdina, the major (large) workers perform the risky tasks outside the nest, while the minor (small) workers stay within the highly protected arboreal nest. Hence, this pronounced division of labour is associated with high differences in extrinsic mortality risks. The evolutionary theory of ageing predicts that the minor workers should have a longer intrinsic lifespan than the major workers. In line with this prediction, we found that in a protected environment the minor workers lived significantly longer than the major workers did. Hence, the ageing rate appears to have been moulded by variation in the extrinsic mortality rate independently of size, reproductive effort and genetic configuration.

What is the most relevant standard of success in assisted reproduction?: The cumulated singleton/twin delivery rates per oocyte pick-up: the CUSIDERA and CUTWIDERA.

National and international registries are essential tools for establishing new standards and comparing success rates, but they do not take into account the total pregnancy/delivery rate per oocyte recovery. In Switzerland and Germany, because of legal constraints, a maximum of three two-pronuclear zygotes are allocated for transfer whereas all the supernumerary pronuclear zygotes are immediately cryopreserved, preventing selection of the transferred embryos. We report on a 10 years' experience (1993-2002) of our centre which performs transfers of unselected embryos and cryopreservation at the two-pronuclear zygote stage. As approximately 30% of all deliveries are from cryo cycles, it is essential to take into account the contribution of the cryo transfers, and we propose therefore to evaluate, as a measure of IVF performance, the cumulated delivery rate per oocyte pick-up. This delivery rate is broken down further into the cumulated singleton delivery rate (CUSIDERA) and the cumulated twin delivery rate (CUTWIDERA). The sum (S) of these two rates is a measure of efficacy while the ratio CUTWIDERA/S as a percentage is a measure of safety of IVF treatments. Using these new indexes, the average 10 year efficacy and safety of our IVF programme were 26 and 19%, respectively. Both CUSIDERA and CUTWIDERA can be calculated easily in any clinical situation and yield useful parameters for patient counselling and internal/external benchmarking purposes.

Effective exposure to solar UV in building workers: influence of local and individual factors.

Excessive exposure to solar UV light is the main cause of skin cancers in humans. UV exposure depends on environmental as well as individual factors related to activity. Although outdoor occupational activities contribute significantly to the individual dose received, data on effective exposure are scarce and limited to a few occupations. A study was undertaken in order to assess effective short-term exposure among building workers and characterize the influence of individual and local factors on exposure. The effective exposure of construction workers in a mountainous area in the southern part of Switzerland was investigated through short-term dosimetry (97 dosimeters). Three altitudes, of about 500, 1500 and 2500 m were considered. Individual measurements over 20 working periods were performed using Spore film dosimeters on five body locations. The postural activity of workers was concomitantly recorded and static UV measurements were also performed. Effective exposure among building workers was high and exceeded occupational recommendations, for all individuals for at least one body location. The mean daily UV dose in plain was 11.9 SED (0.0-31.3 SED), in middle mountain 21.4 SED (6.6-46.8 SED) and in high mountain 28.6 SED (0.0-91.1 SED). Measured doses between workers and anatomical locations exhibited a high variability, stressing the role of local exposure conditions and individual factors. Short-term effective exposure ranged between 0 and 200% of ambient irradiation, indicating the occurrence of intense, subacute exposures. A predictive irradiation model was developed to investigate the role of individual factors. Posture and orientation were found to account for at least 38% of the total variance of relative individual exposure, and were also found to account more than altitude on the total variance of effective daily exposures. Targeted sensitization actions through professional information channels and specific prevention messages are recommended. Altitude outdoor workers should also benefit from preventive medical examination.

The effect of a smoking ban introduction to environmental tobacco smoke exposure in Swiss hospitality workers : Abstracts of the 23rd Annual Conference of the International Society of Environmental Epidemiology (ISEE), September 13-16, 2011, Barcelona, Spain

Background and Aims: To protect the population from environmental tobacco smoke (ETS) Switzerland introduced a nationwide rather heterogeneous smoking ban in May 2010. The exposure situation of non-smoking hospitality workers before and after implementation of the new law is being assessed in a prospective cohort study. Methods: Exposure to ETS was measured using a novel method developed by the Institute for Work and Health in Lausanne. It is a passive sampler called MoNIC (Monitor of NICotine). The nicotine of the ETS is fixed onto a filter and transformed into salt of not volatile nicotine. Subsequently the number of passively smoked cigarettes is calculated. Badges were placed at the workplace as well as distributed to the participants for personal measuring. Additionally a salivary sample was taken to determine nicotine concentration. Results: At baseline Spearman's correlation between workplace and personal badge was 0.47. The average cigarette equivalents per day at the workplace obtained by badge significantly dropped from 5.1 (95%- CI: 2.4 to 7.9) at baseline to 0.3 (0.2 to 0.4) at first follow-up (n=29) three months later (p<0.001). For personal badges the number of passively smoked cigarettes declined from 1.5 (2.7 to 0.4) per day to 0.5 (0.3 to 0.8) (n=16).Salivary nicotine concentration in a subset of 13 participants who had worked on the day prior to the examination was 2.63 ng/ml before and 1.53 ng/ml after the ban (p=0.04). Spearman's correlation of salivary nicotine was 0.56 with workplace badge and 0.79 with personal badge concentrations. Conclusions: Workplace measurements clearly reflect the smoking regulation in a venue. The MoNIC badge proves to be a sensitive measuring device to determine personal ETS exposure and it is a demonstrative measure for communication with lay audiences and study participants as the number of passively smoked cigarettes is an easily conceivable result.

Manufacturing and characterization of a recombinant adeno-associated virus type 8 reference standard material.

Gene therapy approaches using recombinant adeno-associated virus serotype 2 (rAAV2) and serotype 8 (rAAV8) have achieved significant clinical benefits. The generation of rAAV Reference Standard Materials (RSM) is key to providing points of reference for particle titer, vector genome titer, and infectious titer for gene transfer vectors. Following the example of the rAAV2RSM, here we have generated and characterized a novel RSM based on rAAV serotype 8. The rAAV8RSM was produced using transient transfection, and the purification was based on density gradient ultracentrifugation. The rAAV8RSM was distributed for characterization along with standard assay protocols to 16 laboratories worldwide. Mean titers and 95% confidence intervals were determined for capsid particles (mean, 5.50×10(11) pt/ml; CI, 4.26×10(11) to 6.75×10(11) pt/ml), vector genomes (mean, 5.75×10(11) vg/ml; CI, 3.05×10(11) to 1.09×10(12) vg/ml), and infectious units (mean, 1.26×10(9) IU/ml; CI, 6.46×10(8) to 2.51×10(9) IU/ml). Notably, there was a significant degree of variation between institutions for each assay despite the relatively tight correlation of assay results within an institution. This outcome emphasizes the need to use RSMs to calibrate the titers of rAAV vectors in preclinical and clinical studies at a time when the field is maturing rapidly. The rAAV8RSM has been deposited at the American Type Culture Collection (VR-1816) and is available to the scientific community.

An image quality comparison of standard and dual-side read CR systems for pediatric radiology.

An objective analysis of image quality parameters was performed for a computed radiography (CR) system using both standard single-side and prototype dual-side read plates. The pre-sampled modulation transfer function (MTF), noise power spectrum (NPS), and detective quantum efficiency (DQE) for the systems were determined at three different beam qualities representative of pediatric chest radiography, at an entrance detector air kerma of 5 microGy. The NPS and DQE measurements were realized under clinically relevant x-ray spectra for pediatric radiology, including x-ray scatter radiations. Compared to the standard single-side read system, the MTF for the dual-side read system is reduced, but this is offset by a significant decrease in image noise, resulting in a marked increase in DQE (+40%) in the low spatial frequency range. Thus, for the same image quality, the new technology permits the CR system to be used at a reduced dose level.

The effect of standard and high-fluence corneal cross-linking (CXL) on cornea and limbus.

PURPOSE: When treating peripheral ectatic disease-like pellucid marginal degeneration (PMD), corneal cross-linking with UV-A and riboflavin (CXL) must be applied eccentrically to the periphery of the lower cornea, partly irradiating the corneal limbus. Here, we investigated the effect of standard and double-standard fluence corneal cross-linking with riboflavin and UV-A (CXL) on cornea and corneal limbus in the rabbit eye in vivo. METHODS: Epithelium-off CXL was performed in male New Zealand White rabbits with two irradiation diameters (7 mm central cornea, 13 mm cornea and limbus), using standard fluence (5.4 J/cm(2)) and double-standard fluence (10.8 J/cm(2)) settings. Controls were subjected to epithelial removal and riboflavin instillation, but were not irradiated with UV-A. Following CXL, animals were examined daily until complete closure of the epithelium, and at 7, 14, 21, and 28 days. Animals were killed and a corneoscleral button was excised and processed for light microscopy and immunohistochemistry. RESULTS: For both irradiation diameters and fluences tested, no signs of endothelial damage or limbal vessel thrombosis were observed, and time to re-epithelialization was similar to untreated controls. Histological and immunohistochemical analysis revealed no differences in the p63 putative stem cell marker expression pattern. CONCLUSIONS: Even when using fluence twice as high as the one used in current clinical CXL settings, circumferential UV-A irradiation of the corneal limbus does not alter the regenerative capacity of the limbal epithelial cells, and the expression pattern of the putative stem cell marker p63 remains unchanged. This suggests that eccentric CXL may be performed safely in PMD.

Navigator-gated coronary magnetic resonance angiography using steady-state-free-precession: comparison to standard T2-prepared gradient-echo and spiral imaging.

RATIONALE AND OBJECTIVES: Recent developments of magnetic resonance imaging enabled free-breathing coronary MRA (cMRA) using steady-state-free-precession (SSFP) for endogenous contrast. The purpose of this study was a systematic comparison of SSFP cMRA with standard T2-prepared gradient-echo and spiral cMRA. METHODS: Navigator-gated free-breathing T2-prepared SSFP-, T2-prepared gradient-echo- and T2-prepared spiral cMRA was performed in 18 healthy swine (45-68 kg body-weight). Image quality was investigated subjectively and signal-to-noise ratio (SNR), contrast-to-noise ratio (CNR) and vessel sharpness were compared. RESULTS: SSFP cMRA allowed for high quality cMRA during free breathing with substantial improvements in SNR, CNR and vessel sharpness when compared with standard T2-prepared gradient-echo imaging. Spiral imaging demonstrated the highest SNR while image quality score and vessel definition was best for SSFP imaging. CONCLUSION: Navigator-gated free-breathing T2-prepared SSFP cMRA is a promising new imaging approach for high signal and high contrast imaging of the coronary arteries with improved vessel border definition.

Clara cell protein and surfactant protein B in garbage collectors and in wastewater workers exposed to bioaerosols

OBJECTIVES: Inhalation of bioaerosols has been hypothesised to cause "toxic pneumonitis" that should increase lung epithelial permeability at the bronchioloalveolar level. Serum Clara cell protein (CC16) and serum surfactant protein B (SPB) have been proposed as sensitive markers of lung epithelial injury. This study was aimed at looking for increased lung epithelial permeability by determining CC16 and SPB in workers exposed to bioaerosols from wastewater or garbage. METHODS: Subjects (778 wastewater, garbage and control workers; participation 61%) underwent a medical examination, lung function tests [American Thoracic Society (ATS) criteria], and determination of CC16 and SPB. Symptoms of endotoxin exposure and several potential confounders (age, gender, smoking, kidney function, obesity) were looked for. Results were examined with multiple linear or logistic regression. RESULTS: Exposure to bioaerosols increased CC16 concentration in the wastewater workers. No effect of exposure on SPB was found. No clue to work-related respiratory diseases was found. CONCLUSIONS: The increase in CC16 in serum supports the hypothesis that bioaerosols cause subclinical "toxic pneumonitis", even at low exposure. [Authors]

Development of a retrospective job exposure matrix for PCB-exposed workers in capacitor manufacturing

Objectives: Polychlorinated biphenyls (PCBs) are considered probable human carcinogens by the International Agency for Research on Cancer and one congener, PCB126, has been rated as a known human carcinogen. A period-specific job exposure matrix (JEM) was developed for former PCB-exposed capacitor manufacturing workers (n=12,605) (1938-1977). Methods: A detailed exposure assessment for this plant was based on a number of exposure determinants (proximity, degree of contact with PCBs, temperature, ventilation, process control, job mobility). The intensity and frequency of PCB exposures by job for both inhalation and dermal exposures, and additional chemical exposures were reviewed. The JEM was developed in nine steps: (1) all unique jobs (n=1,684) were assessed using (2) defined PCB exposure determinants; (3) the exposure determinants were used to develop exposure profiles; (4) similar exposure profiles were combined into categories having similar PCB exposures; (5) qualitative intensity (high-medium-low-baseline) and frequency (continuous-intermittent) ratings were developed, and (6) used to qualitatively rate inhalation and dermal exposure separately for each category; (7) quantitative intensity ratings based on available air concentrations were developed for inhalation and dermal exposures based on equal importance of both routes of exposure; (8) adjustments were made for overall exposure, and (9) for each category the product of intensity and frequency was calculated, and exposure in the earlier era was weighted. Results: A period-specific JEM modified for two eras of stable PCB exposure conditions. Conclusions: These exposure estimates, derived from a systematic and rigorous use of the exposure determinant data, lead to cumulative PCB exposure-response relationships in the epidemiological cancer mortality and incidence studies of this cohort. [Authors]

Affymetrix Whole-Transcript Human Gene 1.0 ST array is highly concordant with standard 3' expression arrays.

The recently released Affymetrix Human Gene 1.0 ST array has two major differences compared with standard 3' based arrays: (i) it interrogates the entire mRNA transcript, and (ii) it uses DNA targets. To assess the impact of these differences on array performance, we performed a series of comparative hybridizations between the Human Gene 1.0 ST and the Affymetrix HG-U133 Plus 2.0 and the Illumina HumanRef-8 BeadChip arrays. Additionally, both RNA and DNA targets were hybridized on HG-U133 Plus 2.0 arrays. The results show that the overall reproducibility of the Gene 1.0 ST array is best. When looking only at the high intensity probes, the reproducibility of the Gene 1.0 ST array and the Illumina BeadChip array is equally good. Concordance of array results was assessed using different inter-platform mappings. Agreements are best between the two labeling protocols using HG-U133 Plus 2.0 array. The Gene 1.0 ST array is most concordant with the HG-U133 array hybridized with cDNA targets. This may reflect the impact of the target type. Overall, the high degree of correspondence provides strong evidence for the reliability of the Gene 1.0 ST array.