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.

Socioeconomic gradients in mortality in the oldest old: a review.

This review aims at identifying gaps in knowledge on socioeconomic gradients in mortality in the oldest old. The authors review literature on oldest old population with a focus on unanswered questions: do socioeconomic status (SES) gradients in mortality persist after 80; does the magnitude of the gradient change as compared with younger populations; which socioeconomic/socio-demographic determinants should be used in this population with specific characteristics (e.g., with respect to sex ratio and household type)? Results are often inconsistent while conclusions drawn by selected studies are generally limited by the difficulty of disentangling the effects of age and cohort, and of generalizing results observed in preponderantly small, selected samples (which typically exclude institutionalized persons). Future research should explore the effects of socio-demographic indicators other than education and social class (e.g., marital status, loss of the partner) and adequately differentiate the social position of oldest old women. The authors recommend that research applies a life-course perspective combined with an interdisciplinary perspective to improve our understanding of the SES gradients in later life. Research is needed to elucidate which causal pathways depending on SES in younger age impact on mortality in higher ages up to oldest old.

Assessment of free-living physical activity in humans: an overview of currently available and proposed new measures.

The number of physical activity measures and indexes used in the human literature is large and may result in some difficulty for the average investigator to choose the most appropriate measure. Accordingly, this review is intended to provide information on the utility and limitations of the various measures. Its primary focus is the objective assessment of free-living physical activity in humans based on physiological and biomechanical methods. The physical activity measures have been classified into three categories: Measures based on energy expenditure or oxygen uptake, such as activity energy expenditure, activity-related time equivalent, physical activity level, physical activity ratio, metabolic equivalent, and a new index of potential interest, daytime physical activity level. Measures based on heart rate monitoring, such as net heart rate, physical activity ratio heart rate, physical activity level heart rate, activity-related time equivalent, and daytime physical activity level heart rate. Measures based on whole-body accelerometry (counts/U time). Quantification of the velocity and duration of displacement in outdoor conditions by satellites using the Differential Global Positioning System may constitute a surrogate for physical activity, because walking is the primary activity of man in free-living conditions. A general outline of the measures and indexes described above is presented in tabular form, along with their respective definition, usual applications, advantages, and shortcomings. A practical example is given with typical values in obese and non-obese subjects. The various factors to be considered in the selection of physical activity methods include experimental goals, sample size, budget, cultural and social/environmental factors, physical burden for the subject, and statistical factors, such as accuracy and precision. It is concluded that no single current technique is able to quantify all aspects of physical activity under free-living conditions, requiring the use of complementary methods. In the future, physical activity sensors, which are of low-cost, small-sized, and convenient for subjects, investigators, and clinicians, are needed to reliably monitor, during extended periods in free-living situations, small changes in movements and grade as well as duration and intensity of typical physical activities.

Further characterization of the executive memory impairment following frontal lobe lesions.

In this article we describe a 41-year-old man who, following an operation to repair a ruptured anterior communicating artery aneurysm, manifested the "hallmark" features of a dysexecutive memory impairment. Of particular note was the patient's apparently normal level of recognition memory but impaired recall on tasks matched for difficulty in control subjects. However, further testing revealed that the patient's recognition memory was not normal under all circumstances. Implications of these data for the interpretation and further investigation of the dysexecutive deficit are discussed.

Cutting artefacts and cutting process in vitreous sections for cryo-electron microscopy.

Cryo-electron microscopy of vitreous sections (CEMOVIS) has recently been shown to provide images of biological specimens with unprecedented quality and resolution. Cutting the sections remains however the major difficulty. Here, we examine the parameters influencing the quality of the sections and analyse the resulting artefacts. They are in particular: knife marks, compression, crevasses, and chatter. We propose a model taking into account the interplay between viscous flow and fracture. We confirm that crevasses are formed on only one side of the section, and define conditions by which they can be avoided. Chatter is an effect of irregular compression due to friction of the section of the knife edge and conditions to prevent this are also explored. In absence of crevasses and chatter, the bulk of the section is compressed approximately homogeneously. Within this approximation, it is possible to correct for compression by a simple linear transformation for the bulk of the section. A research program is proposed to test and refine our understanding of the sectioning process.

Willingness and preferred methods to help quitting smoking in Switzerland

Purpose: to assess among current smokers in Switzerland the willingness to quit and the preferred methods to help quitting smoking. Methods: cross-sectional study including 1265 current smokers (607 women and 658 men). Difficulty quitting smoking and the preferred methods to help quitting smoking were assessed by questionnaire. Results: 89% of women and 84% of men reported being "very difficult" or "difficult" to quit smoking. Almost three quarters of smokers (73% of women and 70% of men) reported some willingness to quit smoking, but less than 25% of them wanted to do so within the next 30 days, and only 64% within the next 6 months. Willingness to quit was stronger among younger smokers while no differences were found for gender, physical activity or education al Javel. The preferred methods to help quitting smoking were personalized counselling by a doctor (51.4%), acupuncture (35.9%); nicotine replacement therapy (37.6%); hypnosis (28.8%); information flyers (24.9%); autogenic training (15.3%); bupropion (15.2%); personalized counselling by a non-doctor (14.7%) and group interventions (13.2%). Acupuncture and hypnosis were more favoured by women, and autogenic training by younger smokers. Still, a sizable fraction (between 19 and 51%) of smokers did not know some of the methods to help quitting smoking. Conclusion: although more than two thirds of Swiss smokers want to quit, only a small fraction wishes to do so in the short term. Setter information regarding the different methods to help quitting is also necessary.

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The chapter provides an account of the changing role played by active labour market policies (ALMPs) in Europe since the post-war years. Focusing on six countries (Sweden, Denmark, France, Germany, Italy, and the United Kingdom), it shows that the role of ALMPs is related to the broad economic situation. At times of rapid expansion and labour shortage, like the 1950s and 1960s, their key objective was to upskill the workforce. After the oil shocks of the 1970s, the raison d'être of ALMPs shifted from economic to social policy, and since the mid-1990s, we see the development of a new function, well captured by the notion of activation, which refers to the strengthening of work incentives and the removal of obstacles to employment, mostly for low-skilled people. The adequacy between economic context and policy is not always optimal, though. Like other ones, this policy domain suffers from inertia, with the result that the countries that have led the way in one period have more difficulty adapting to the economic conditions prevailing in the following one.

Genetic male infertility and mutation of CATSPER ion channels.

A clinically significant proportion of couples experience difficulty in conceiving a child. In about half of these cases male infertility is the cause and often genetic factors are involved. Despite advances in clinical diagnostics ∼50% of male infertility cases remain idiopathic. Based on this, further analysis of infertile males is required to identify new genetic factors involved in male infertility. This review focuses on cation channel of sperm (CATSPER)-related male infertility. It is based on PubMed literature searches using the keywords 'CATSPER', 'male infertility', 'male contraception', 'immunocontraception' and 'pharmacologic contraception' (publication dates from January 1979 to December 2009). Previously, contiguous gene deletions including the CATSPER2 gene implicated the sperm-specific CATSPER channel in syndromic male infertility (SMI). Recently, we identified insertion mutations of the CATSPER1 gene in families with recessively inherited nonsyndromic male infertility (NSMI). The CATSPER channel therefore represents a novel human male fertility factor. In this review we summarize the genetic and clinical data showing the role of CATSPER mutation in human forms of NSMI and SMI. In addition, we discuss clinical management and therapeutic options for these patients. Finally, we describe how the CATSPER channel could be used as a target for development of a male contraceptive.

Enquête préliminaire et évaluation de la satisfaction globale des soins dans une structure ambulatoire psychiatrique pour enfants et adolescents

The complexity and difficulty of assessing psychiatric care for children and adolescents is a widely accepted reality. However, this should not discourage necessary efforts to stress the richness and efficiency of clinical practices, regardless of their theoretical models. We present the results of a quality-like survey addressing patient satisfaction and therapeutic alliance conducted in 2007 in an outpatient ward of the department of psychiatry for children and adolescents of the University of Lausanne (Service Universitaire de Psychiatrie de l'Enfant et de l'Adolescent - SUPEA, Lausanne). We developed a questionnaire on the basis of a "traditional" patient satisfaction survey, consisting of questions dealing with a range of different types of ambulatory settings and evaluating: access to care, quality of reception, patient's perception of the type of care and support offered, the therapeutic alliance and global satisfaction. Questions regarding the therapeutic alliance were based on the Revised Help Alliance Questionnaire (HAQ-II, Lester Luborski). Questionnaires were anonymous and self-administered by children from 10 years old up and parents separately. High levels of global satisfaction were reported (80% satisfied or very satisfied). Certain specific aspects seem to influence the global satisfaction level and therapeutic alliance. Patients with self-reported anxiety problems were less satisfied than those with selfreported conduct problems. The mode of reference of the patient, self or by parents versus by school or social workers, affected the perceived alliance. A higher frequency of sessions was also related to a better perceived alliance and satisfaction.

La maladie de Still de l'adulte [Adult-onset Still's disease]

La maladie de Still de l'adulte reste un diagnostic souvent évoqué, mais difficile à poser en l'absence d'anomalie clinique ou de laboratoire pathognomonique. Il est encore un diagnostic d'exclusion et la difficulté réside dans l'utilisation rationnelle et adéquate de ces tests d'exclusion. Le traitement reste quant à lui pragmatique, basé sur une analyse de situation et une définition claire des objectifs. Finalement, si les traitements biologiques semblent efficaces, ils restent réservés aux cas résistant aux traitements conventionnels ou corticodépendants. If the diagnosis of Adult-onset Still disease is often entertained, the disease remains difficult to diagnose in the absence of any specific clinical or laboratory anomaly. Diagnosis is still a diagnosis of exclusion, and the difficulty rests in the rational and appropriate use of those exclusion tests. Treatment is pragmatic, based on an analysis of the situation and a clear definition of the objectives. Finally, if biological treatments appear efficient, they should be reserved for patients resistant to conventional therapy or corticodependant

The T-381C SNP in BNP gene may be modestly associated with type 2 diabetes: an updated meta-analysis in 49 279 subjects.

A recent study reported an association between the brain natriuretic peptide (BNP) promoter T-381C polymorphism (rs198389) and protection against type 2 diabetes (T2D). As replication in several studies is mandatory to confirm genetic results, we analyzed the T-381C polymorphism in seven independent case-control cohorts and in 291 T2D-enriched pedigrees totalling 39 557 subjects of European origin. A meta-analysis of the seven case-control studies (n = 39 040) showed a nominal protective effect [odds ratio (OR) = 0.86 (0.79-0.94), P = 0.0006] of the CC genotype on T2D risk, consistent with the previous study. By combining all available data (n = 49 279), we further confirmed a modest contribution of the BNP T-381C polymorphism for protection against T2D [OR = 0.86 (0.80-0.92), P = 1.4 x 10(-5)]. Potential confounders such as gender, age, obesity status or family history were tested in 4335 T2D and 4179 normoglycemic subjects and they had no influence on T2D risk. This study provides further evidence of a modest contribution of the BNP T-381C polymorphism in protection against T2D and illustrates the difficulty of unambiguously proving modest-sized associations even with large sample sizes.

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Different arbuscular mycorrhizal (AMF) fungal taxa have a differential effect on the growth of co-existing plant species. This means that in order to fully understand the role of these fungi in plant communities, information is needed on whether the symbiosis is specific. In this chapter, I briefly review the ecological consequences of specificity versus non-specificity in the arbuscular mycorrhizal symbiosis on plant ecology. Both from a theoretical approach, and based on observations, there has been an underlying assumption that no specificity exists in the arbuscular mycorrhizal symbiosis. I consider why these assumptions have been made. Direct evidence for or against specificity in the symbiosis is scant and the reason is mainly due to the difficulty in describing AMF community structure in natural communities (see Clapp et al., Chap.8, this Vol.). Here, I take an evolutionary, as well as an ecological, approach to look at the evidence that predicts that evolution of specificity in the arbuscular mycorrhizal symbiosis could occur. I then consider alternative hypotheses and evidence that could explain why the evolution of specificity might not occur. These hypotheses are based on the growth habit, reproductive strategies and foraging behaviour of AMF and on new findings concerning ANF genetics.

Environnement et capacités cognitives chez le rat : compétition entre les facteurs qui influencent les stratégies spatiales

RESUME Ce travail se propose de discuter des résultats comportementaux observés chez des rats obtenus dans trois paradigmes expérimentaux différents : le bassin de Morris (Morris Water Maze, Morris, 1984) ; la table à trous (Homing Board, Schenk, 1989) et le labyrinthe radial (Radial Arm Maze, Olton et Samuelson, 1976). Les deux premières tâches sont spatiales et permettent un apprentissage de place en environnements contrôlés, et la troisième est une tâche comportementale qui différencie deux habiletés particulières, celle d'élimination (basée sur la mémoire de travail) et celle de sélection (basée sur la mémoire de référence). La discussion des résultats porte sur les stratégies de navigation utilisées par les animaux pour résoudre les tâches et plus précisément sur les facteurs qui peuvent influencer le choix de ces stratégies. Le facteur environnemental (environnement contrôlé) et le facteur cognitif (vieillissement) représentent les variables étudiées ici. C'est ainsi que certaines hypothèses communément acceptées ont été malmenées par nos résultats. Or si l'espace est habituellement supposé homogène (toutes les positions spatiales présentent le même degré de difficulté lors d'un apprentissage en champ ouvert), ce travail établit qu'une position associée -sans contiguïté - à l'un des trois indices visuels situés dans la périphérie de l'environnement est plus difficile à apprendre qu'une position située entre deux des trois indices. Deuxièmement, alors qu'il est admis que l'apprentissage d'une place dans un environnement riche requiert le même type d'information. dans la bassin de Morris (tâche nagée) que sur la table à trous (tâche marchée), nous avons montré que la discrimination spatiale en bassin ne peut être assurée par les trois indices visuels périphériques et nécessite la présence d'au moins un élément supplémentaire. Enfin, l'étude du vieillissement a souvent montré que l'âge réduit les capacités cognitives nécessaires à la navigation spatiale, conduisant à un déficit général des performances d'un animal sénescent, alors que dans notre travail, nous avons trouvé les animaux âgés plus performants et plus efficaces que les adultes dans une tâche particulière de collecte de nourriture. Ces expériences s'inscrivent dans une étude générale qui met à l'épreuve le modèle théorique proposé pax Schenk et Jacobs (2003), selon lequel l'encodage de la carte cognitive (Tolman, 1948 ; O'Keefe et Nadel, 1978) se ferait dans l'hippocampe par l'activité de deux modules complémentaires :d'une part le CA3 - Gyrus Denté pour le traitement d'une trame spatiale basée sur des éléments directionnels et Jou distribués en gradient (bearing map) et d'autre part le CAl - Subiculum pour le traitement des représentations locales basées sur les positions relatives des éléments fixes de l'environnement (sketch map). SUMMARY This work proposes to talk about behavioural results observed in three different experimental paradigms with rats: the Morris Water Maze (Morris, 1984); the Homing Board (Schenk, 1989) and the Radial Arm Maze (Olton and Samuelson, 1976). The two first tasks are spatial ones and allow place learning in controlled environments. The third one is a behavioural task which contrasts two particular skills, the elimination (based on working memory) and the selection one (based on reference memory). The topic of the discussion will be the navigation strategies used by animals to solve the different tasks, and more precisely the factors which can bias this strategies' choice. The environmental (controlled) and the cognitive (aging) factors are the variables studied here. Thus, some hypotheses usually accepted were manhandled by our results. Indeed, if space is habitually homogenously considered (all spatial positions present the same degree of difficulty in an open field learning), this work establishes that an associated position -without being adjacent - to one of the three visual cues localised in the environmental periphery is more difficult to learn than a configurationnel position (situated between two of the three cues). Secondly, if it is received that place learning in a rich environment requires the same information in the Morris water maze (swimming task) that on the Homing board (walking task), we showed that spatial discrimination in the water maze can't be provided by the three peripheral cue cards and needs the presence of a supplementary cue. At last, aging studies often showed that oldness decreases cognitive skills in spatial navigation, leading to a general deficit in performances. But, in our work, we found that senescent rats were more efficient than adult ones in a special food collecting task. These experiments come within the scope of a general study which tests the theoretical model proposed by Jacobs and Schenk (2003), according to which the cognitive map's encoding (Tolman, 1948, O'Keefe and Nadel, 1978) should take place in the hippocampus by two complementary modules, first the DG-CA3 should encode directional and/or gradients references (the bearing map), and secondly the Subiculum-CAl should process locale elements (the sketch map).

Biased thinking assessed by external observers in borderline personality disorder

Objectives. Biased thinking (to some extent overlapping with the concepts of cognitive distortions and cognitive errors) is a key concept in cognitive therapy of Borderline Personality Disorder (BPD). Specific contents and cognitive processes related to BPD functioning are known. However, most studies are based on self-report measures which present a number of important limitations, in particular the difficulty in assessing non-conscious processes infused by affect. So far, no studies were conducted using valid observer-rated methodology addressing the question of biased thinking in BPD as it unfolds spontaneously in session. Design. This is a controlled interview study comparing two matched groups, BPD patients and healthy controls. Methods. A total of N= 25 clinical dynamic interviews with patients presenting with BPD were transcribed and rated using the Cognitive Errors Rating Scale (Drapeau, Perry, & Dunkley, 2008); their cognitive profiles were compared to those of N= 25 healthy controls who underwent the same procedure. Results. Overall, results indicated that no between-group difference in the frequency of specific biases was found. However, heightened levels of negative cognitive biases, in particular over-generalizing and fortune-telling, were associated with BPD. Furthermore, negative over-generalizing was associated with the number of BPD symptoms. Conclusions. These results have high levels of ecological validity and are promising for the refinement of cognitive theory of BPD. Clinical implications for assessment and intervention are discussed.