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.

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.

Embolic strokes of undetermined source in the athens stroke registry: a descriptive analysis.

BACKGROUND AND PURPOSE: A new clinical construct termed embolic stroke of undetermined source (ESUS) was recently introduced, but no such population has been described yet. Our aim is to provide a detailed descriptive analysis of an ESUS population derived from a large prospective ischemic stroke registry using the proposed diagnostic criteria. METHODS: The criteria proposed by the Cryptogenic Stroke/ESUS International Working Group were applied to the Athens Stroke Registry to identify all ESUS patients. ESUS was defined as a radiologically confirmed nonlacunar brain infarct in the absence of (a) extracranial or intracranial atherosclerosis causing ≥50% luminal stenosis in arteries supplying the ischemic area, (b) major-risk cardioembolic source, and (c) any other specific cause of stroke. RESULTS: Among 2735 patients admitted between 1992 and 2011, 275 (10.0%) were classified as ESUS. In the majority of ESUS (74.2%), symptoms were maximal at onset. ESUS were of moderate severity (median National Institute Health Stroke Scale score, 5). The most prevalent risk factor was arterial hypertension (64.7%), and 50.9% of patients were dyslipidemic. Among potential causes of the ESUS, covert atrial fibrillation (AF) was the most prevalent: in 30 (10.9%) patients, AF was diagnosed during hospitalization for stroke recurrence, whereas in 50 (18.2%) patients AF was detected after repeated ECG monitoring during follow-up. Also, covert AF was strongly suggested in 38 patients (13.8%) but never recorded. CONCLUSIONS: About 10% of patients with first-ever ischemic stroke met criteria for ESUS; covert paroxysmal AF seems to be a frequent cause of ESUS.

High-density electric source imaging (esi) in focal epilepsy: a prospective study of 150 operated patients

Purpose: EEG is mandatory in the diagnosis of the epilepsy syndrome. However, its potential as imaging tool is still under estimated. In the present study, we aim to determine the prerequisites of maximal benefit of electric source imaging (ESI) to localize the irritative zone in patients with focal epilepsy. Methods: One hundred fifty patients suffering from focal epilepsy and with minimum 1 year postoperative follow-up were studied prospectively and blinded to the underlying diagnosis. We evaluated the influence of two important factors on sensitivity and specificity of ESI: the number of electrodes (low resolution, LR-ESI: <30 versus high resolution, HR-ESI: 128-256 electrodes), and the use of individual MRI (i-MRI) versus template MRI (t-MRI) as the head model. Findings: ESI had a sensitivity of 85% and a specificity of 87% when HR-ESI with i-MRI was used. Using LR-ESI, sensitivity decreased to 68%, or even 57% when only t-MRI was available. The sensitivity of HR-ESI/i-MRI compared favorably with those of MRI (76%), PET (69%) and ictal/interictal SPECT (64%). Interpretation: This study on a large patient group shows excellent sensitivity and specificity of ESI if 128 EEG channels or more are used for ESI and if the results are coregistered to the patient's individual MRI. Localization precision is as high as or even higher than established brain imagery techniques. HR-ESI appears to be a valuable additional imaging tool, given that larger electrode arrays are easily and rapidly applied with modern EEG equipment and that structural MRI is nearly always available for these patients.

Interhemispheric coupling between the posterior sylvian regions impacts successful auditory temporal order judgment

Introduction: Accurate registration of the relative timing between the occurrence of sensory events on a sub-second time scale is crucial for both sensory-motor and cognitive functions (Mauk and Buonomano, 2004; Habib, 2000). Support for this assumption comes notably from evidence that temporal processing impairments are implicated in a range of neurological and psychiatric conditions (e.g. Buhusi & Meck, 2005). For instance, deficits in fast auditory temporal integration have been regularly put forward as resulting in phonologic discrimination impairments at the basis of speech comprehension deficits characterizing e.g. dyslexia (Habib, 2000). At least two aspects of the brain mechanisms of temporal order judgment remain unknown. First, it is unknown when during the course of stimulus processing a temporal ,,stamp‟ is established to guide TOJ perception. Second, the extent of interplay between the cerebral hemispheres in engendering accurate TOJ performance is unresolved Methods: We investigated the spatiotemporal brain dynamics of auditory temporal order judgment (aTOJ) using electrical neuroimaging analyses of auditory evoked potentials (AEPs) recorded while participants completed a near-threshold task requiring spatial discrimination of left-right and right-left sound sequences. Results: AEPs to sound pairs modulated topographically as a function of aTOJ accuracy over the 39-77ms post-stimulus period, indicating the engagement of distinct configurations of brain networks during early auditory processing stages. Source estimations revealed that accurate and inaccurate performance were linked to bilateral posterior sylvian regions activity (PSR). However, activity within left, but not right, PSR predicted behavioral performance suggesting that left PSR activity during early encoding phases of pairs of auditory spatial stimuli appears critical for the perception of their order of occurrence. Correlation analyses of source estimations further revealed that activity between left and right PSR was significantly correlated in the inaccurate but not accurate condition, indicating that aTOJ accuracy depends on the functional de-coupling between homotopic PSR areas. Conclusions: These results support a model of temporal order processing wherein behaviorally relevant temporal information - i.e. a temporal 'stamp'- is extracted within the early stages of cortical processes within left PSR but critically modulated by inputs from right PSR. We discuss our results with regard to current models of temporal of temporal order processing, namely gating and latency mechanisms.

"Accomodating science" : a new way of thinking about rhetorical dynamics

By analyzing three case studies (neutrinos, victimization survey and quality of mass media), our present issue is to figure out if underlying successive accommodations to new rhetorical situations will have an impact on the respective importance of logos, ethos and pathos. We would like to pinpoint the stakes of science's public dimensions considering the scientists' image, their expertise, and also the given results' implication. We will especially take into account scientific papers that may be or are potentially controversial in the political, media and civic spheres.

HIV-1 reverse transcriptase connection domain mutations: dynamics of emergence and implications for success of combination antiretroviral therapy.

BACKGROUND: Factors promoting the emergence of human immunodeficiency virus type 1 (HIV-1) reverse transcriptase (RT) connection domain mutations and their effect on antiretroviral therapy (ART) are still largely undetermined. We investigated this matter by analyzing genotypic resistance tests covering 400 amino acid positions in the RT of HIV-1 subtype B viruses and corresponding treatment histories and laboratory measurements. METHODS: The emergence of connection domain mutations was studied in 334 patients receiving monotherapy or dual therapy with thymidine analogues at the time of the genotypic resistance test. Response to subsequent combination ART (cART) was analyzed using Cox regression for 291 patients receiving unboosted protease inhibitors. Response was defined by ever reaching an HIV RNA level <50 copies/mL during the first cART. RESULTS: The connection domain mutations N348I, R356K, R358K, A360V, and A371V were more frequently observed in ART-exposed than ART-naive patients, of which only N348I and A360V were nonpolymorphic (with a prevalence of <1.5% in untreated patients). N348I correlated with M184V and predominantly occurred in patients receiving lamivudine and zidovudine concomitantly. A360V was not associated with specific drug combinations and was found to emerge later than M184V or thymidine analogue mutations. Nonpolymorphic connection domain mutations were rarely detected in the absence of established drug resistance mutations in ART-exposed individuals (prevalence, <1%). None of the 5 connection domain mutations associated with treatment showed a statistically significant effect on response to cART. CONCLUSIONS: Despite their frequent emergence, connection domain mutations did not show large detrimental effects on response to cART. Currently, routine implementation of connection domain sequencing seems unnecessary for developed health care settings.

ELECTROCORTICAL DYNAMICS OF MOTOR INHIBITORY CONTROL WITH AGING

Motor inhibitory control plays a central role in adaptive behaviors during the entire lifespan. Inhibitory motor control refers to the ability to stop all (global) or a part (selective) of a planned or ongoing motor action. Although the neural processing underlying the global inhibitory control has received much attention from cognitive neuroscientists, brain modulations that occur during selective inhibitory motor control remain unknown. The aim of the present thesis is to investigate the spatio-temporal brain processes of selective inhibitory motor control in young and old adults using high-density electroencephalography. In the first part, we focus on early (preparatory period) spatio-temporal brain processes involved in selective and global inhibitory control in young (study I) and old adults (study II) using a modified Go/No-go task. In study I, we distinguished global from selective inhibition in the early attentional stage of inhibitory control and provided neurophysiological evidence in favor of the combination model. In study II, we showed an under-recruitment of neural resources associated with preservation of performance in old adults during selective inhibition, suggesting efficient cerebral and behavioral adaptations to environmental changes. In the second part, we investigate beta oscillations in the late (post-execution period) spatio-temporal brain processes of selective inhibition during a motor Switching task (i.e., tapping movement from bimanual to unimanual) in young (study III) and old adults (study IV). In study III, we identified concomitant beta synchronization related (i) to sensory reafference processes, which enabled the stabilization of the movement that was perturbed after switching, and (ii) to active inhibition processes that prevented movement of the stopping hand. In study IV, we demonstrated a larger beta synchronization in frontal and parietal regions in old adults compared to young adults, suggesting age-related brain modulations in active inhibition processes. Apart from contributing to a basic understanding of the electrocortical dynamics underlying inhibitory motor control, the findings of the present studies contribute to knowledge regarding the further establishment of specific trainings with aging. -- Le contrôle de l'inhibition motrice joue un rôle central dans les adaptations comportementales quel que soit l'âge. L'inhibition motrice se réfère à la capacité à arrêter entièrement (globale) ou en partie (sélective) une action motrice planifiée ou en cours. Bien que les processus neuronaux sous-jacents de l'inhibition globale aient suscité un grand intérêt auprès des neurosciences cognitives, les modulations cérébrales dans le contrôle de l'inhibition motrice sélective sont encore peu connues. Le but de cette thèse est d'étudier les processus cérébraux spatio-temporels du contrôle de l'inhibition motrice sélective chez les adultes jeunes et âgés en utilisant l'électroencéphalogramme à haute densité. Dans la première partie, nous comparons les processus cérébraux spatio-temporels précoces (préparation motrice) de l'inhibition sélective et globale chez des adultes jeunes (étude I) et âgés (étude II) en utilisant une tâche Go/No-go modifiée. Dans l'étude I, nous avons distingué l'inhibition globale et sélective au niveau des processus attentionnels précoces du contrôle de l'inhibition et nous avons apporté des preuves neurophysiologiques de l'existence d'un modèle de combinaison. Dans l'étude II, nous avons montré une sous-activation neuronale associée à un maintien de la performance dans l'inhibition sélective chez les adultes âgés, suggérant des adaptations cérébrales et comportementales aux contraintes environnementales. Dans la seconde partie, nous examinons les processus cérébraux spatio-temporels tardifs (post-exécution motrice) de l'inhibition sélective pendant une tâche de Switching (tapping bimanuel vers un tapping unimanuel) chez des adultes jeunes (étude III) et âgés (étude IV). Dans l'étude III, nous avons distingué des synchronisations beta liées (i) au traitement des réafférences sensorielles permettant de stabiliser le mouvement perturbé après le switching, et (ii) aux processus d'inhibition active afin d'empêcher les mouvements de la main arrêtée. Dans l'étude IV, cette synchronisation beta était plus forte dans les régions frontales et pariétales chez les âgés par rapport aux jeunes adultes suggérant des modulations cérébrales de l'inhibition active avec l'âge. Outre la contribution fondamentale sur la compréhension des dynamiques électrocorticales dans le contrôle de l'inhibition motrice, les résultats de ces études contribuent à développer les connaissances pour la mise en place de programmes d'entraînements adaptés aux personnes âgées.

Actin filament dynamics impacts keratinocyte stem cell maintenance.

Cultured human epidermal keratinocyte stem cells (holoclones) are crucial for regenerative medicine for burns and genetic disorders. In serial culture, holoclones progressively lose their proliferative capacity to become transient amplifying cells with limited growth (paraclones), a phenomenon termed clonal conversion. Although it negatively impacts the culture lifespan and the success of cell transplantation, little is known on the molecular mechanism underlying clonal conversion. Here, we show that holoclones and paraclones differ in their actin filament organization, with actin bundles distributed radially in holoclones and circumferentially in paraclones. Moreover, actin organization sets the stage for a differing response to epidermal growth factor (EGF), since EGF signalling induces a rapid expansion of colony size in holoclones and a significant reduction in paraclones. Furthermore, inhibition of PI3K or Rac1 in holoclones results in the reorganization of actin filaments in a pattern that is similar to that of paraclones. Importantly, continuous Rac1 inhibition in holoclones results in clonal conversion and reduction of growth potential. Together, our data connect loss of stem cells to EGF-induced colony dynamics governed by Rac1.

Niche dynamics in space and time.

Niche conservatism, the tendency of a species niche to remain unchanged over time, is often assumed when discussing, explaining or predicting biogeographical patterns. Unfortunately, there has been no basis for predicting niche dynamics over relevant timescales, from tens to a few hundreds of years. The recent application of species distribution models (SDMs) and phylogenetic methods to analysis of niche characteristics has provided insight to niche dynamics. Niche shifts and conservatism have both occurred within the last 100 years, with recent speciation events, and deep within clades of species. There is increasing evidence that coordinated application of these methods can help to identify species which likely fulfill one key assumption in the predictive application of SDMs: an unchanging niche. This will improve confidence in SDM-based predictions of the impacts of climate change and species invasions on species distributions and biodiversity.

Impact of thermal proofing of a church on its indoor air-quality - The combustion of candles and incense as a source of pollution

Some years ago, a parish in Geneva decided to reduce heating costs by insulating its church to make it more energy efficient. Three years after the last renovations, it was observed that the internal surfaces of the naves had already become dusty compared with the customary frequency of 10-12 years. Dust even deposited on various surfaces during religious services. Our investigation showed that nearly all the dust found inside the church may in fact be soot from incense and candle combustion. Incense appears to be a significant source of polycyclic aromatic hydrocarbons. With a mechanical ventilation system and petrol lamps resembling candles the problem can be resolved.