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.

A Novel Pulse-Chase SILAC Strategy Measures Changes in Protein Decay and Synthesis Rates Induced by Perturbation of Proteostasis with an Hsp90 Inhibitor.

Standard proteomics methods allow the relative quantitation of levels of thousands of proteins in two or more samples. While such methods are invaluable for defining the variations in protein concentrations which follow the perturbation of a biological system, they do not offer information on the mechanisms underlying such changes. Expanding on previous work [1], we developed a pulse-chase (pc) variant of SILAC (stable isotope labeling by amino acids in cell culture). pcSILAC can quantitate in one experiment and for two conditions the relative levels of proteins newly synthesized in a given time as well as the relative levels of remaining preexisting proteins. We validated the method studying the drug-mediated inhibition of the Hsp90 molecular chaperone, which is known to lead to increased synthesis of stress response proteins as well as the increased decay of Hsp90 "clients". We showed that pcSILAC can give information on changes in global cellular proteostasis induced by treatment with the inhibitor, which are normally not captured by standard relative quantitation techniques. Furthermore, we have developed a mathematical model and computational framework that uses pcSILAC data to determine degradation constants kd and synthesis rates Vs for proteins in both control and drug-treated cells. The results show that Hsp90 inhibition induced a generalized slowdown of protein synthesis and an increase in protein decay. Treatment with the inhibitor also resulted in widespread protein-specific changes in relative synthesis rates, together with variations in protein decay rates. The latter were more restricted to individual proteins or protein families than the variations in synthesis. Our results establish pcSILAC as a viable workflow for the mechanistic dissection of changes in the proteome which follow perturbations. Data are available via ProteomeXchange with identifier PXD000538.

Incidence of presumed endophthalmitis after intravitreal injection performed in the operating room: a retrospective multicenter study.

PURPOSE: To evaluate the incidence of presumed endophthalmitis (EO) after intravitreal injection (IVI) of anti-vascular endothelial growth factor agents performed in the operating room. METHODS: Retrospective study at 2 Swiss eye hospitals between 2004 and 2012. Hospital records were used to identify patients treated with an IVI of an anti-vascular endothelial growth factor agent between 2004 and 2012 and those treated for EO, defined as any intraocular inflammation treated with intravitreal antibiotics. All IVIs were performed using standard sterile technique in a Swiss Class 1 operating room. No patient received preinjection topical antibiotics. Postinjection topical antibiotics were used only in one hospital. RESULTS: A total of 40,011 IVIs were performed at the 2 centers during the study period. Of the IVIs, ranibizumab was injected in 36,398 (91%), bevacizumab in 3,518 (9%), aflibercept in 89 (0.2%), and pegaptanib in 6 (<0.1%). Three cases of post-IVI presumed EO occurred, yielding a combined incidence of 0.0075% per injection (95% confidence interval: 0.0026-0.0220%) or 1 case per 13,337 IVIs. Two of the three cases of EO occurred in patients using post-IVI antibiotics. All three cases followed ranibizumab injection and were culture negative by anterior chamber tap or vitreous biopsy. CONCLUSION: The risk of EO after IVI performed under the sterile conditions of the operating room was very low.

Atherosclerotic renal artery stenosis: update on management strategies.

Purpose of reviewAtherosclerotic renal artery stenosis (ARAS) usually occurs in patients at high risk of vascular disease, and is associated with increased mortality. The primary goals of ARAS treatment include the control of blood pressure (BP), the improved renal function, and the benefit on cardiovascular events. Although medical therapy remains the standard approach to the management of ARAS, percutaneous transluminal renal angioplasty (PTRA) revascularization can be a therapeutic option under certain conditions.Recent findingsRecent evidence confirms that ARAS increases cardiovascular risk, independent of BP and renal function. This suggests that revascularization might potentially improve overall prognosis, but no data are available currently. In cases of significant ARAS, the accepted indications for PTRA are uncontrollable hypertension, gradual or acute renal function decline with the use of agents blocking the renin-angiotensin-aldosterone system, and recurrent flash pulmonary edema. The key point of treatment success remains in all cases a careful patient selection.SummaryAlthough the atherosclerotic lesions of the renal arteries tend to progress over time, the anatomical lesion progression is not always associated with changes in BP. Furthermore, a poor correlation was noted between the degree of anatomic stenosis and glomerular filtration rate. The high cardiovascular risk warrants aggressive pharmacological treatment to prevent progression of the generalized vascular disorder. Ongoing trials will show whether PTRA revascularization has added, long-term effects on BP, renal function, and cardiovascular prognosis. With or without PTRA revascularization, medical therapy using antihypertensive agents, statins, and aspirin is necessary in almost all cases.

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.

Calbindin-immunoreactive sensory neurons in dissociated dorsal root ganglion cell cultures of chick embryo: role of culture conditions.

Immunoreactivity to calbindin D-28k, a vitamin D-dependent calcium-binding protein, is expressed by neuronal subpopulations of dorsal root ganglia (DRG) in the chick embryo. To determine whether the expression of this phenotypic characteristic is maintained in vitro and controlled by environmental factors, dissociated DRG cell cultures were performed under various conditions. Subpopulations of DRG cells cultured at embryonic day 10 displayed calbindin-immunoreactive cell bodies and neurites in both neuron-enriched or mixed DRG cell cultures. The number of calbindin-immunoreactive ganglion cells increased up to 7-10 days of culture independently of the changes occurring in the whole neuronal population. The presence of non-neuronal cells, which promotes the maturation of the sensory neurons, tended to reduce the percentage of calbindin-immunoreactive cell bodies. Addition of horse serum enhanced both the number of calbindin-positive neurons and the intensity of the immunostaining, but does not prevent the decline of the subpopulation of calbindin-immunoreactive neurons during the second week of culture; on the contrary, the addition of muscular extract to cultures at 10 days maintained the number of calbindin-expressing neurons. While calbindin-immunoreactive cell bodies grown in culture were small- or medium-sized, no correlation was found between cell size and immunostaining density. At the ultrastructural level, the calbindin immunoreaction was distributed throughout the neuroplasm. These results indicate that the expression of calbindin by sensory neurons grown in vitro may be modulated by horse serum-contained factors or interaction with non-neuronal cells. As distinct from horse serum, muscular extract is able to maintain the expression of calbindin by a subpopulation of DRG cells.

Effect of a national primary care pay for performance scheme on emergency hospital admissions for ambulatory care sensitive conditions: controlled longitudinal study.

OBJECTIVE: To estimate the impact of a national primary care pay for performance scheme, the Quality and Outcomes Framework in England, on emergency hospital admissions for ambulatory care sensitive conditions (ACSCs). DESIGN: Controlled longitudinal study. SETTING: English National Health Service between 1998/99 and 2010/11. PARTICIPANTS: Populations registered with each of 6975 family practices in England. MAIN OUTCOME MEASURES: Year specific differences between trend adjusted emergency hospital admission rates for incentivised ACSCs before and after the introduction of the Quality and Outcomes Framework scheme and two comparators: non-incentivised ACSCs and non-ACSCs. RESULTS: Incentivised ACSC admissions showed a relative reduction of 2.7% (95% confidence interval 1.6% to 3.8%) in the first year of the Quality and Outcomes Framework compared with ACSCs that were not incentivised. This increased to a relative reduction of 8.0% (6.9% to 9.1%) in 2010/11. Compared with conditions that are not regarded as being influenced by the quality of ambulatory care (non-ACSCs), incentivised ACSCs also showed a relative reduction in rates of emergency admissions of 2.8% (2.0% to 3.6%) in the first year increasing to 10.9% (10.1% to 11.7%) by 2010/11. CONCLUSIONS: The introduction of a major national pay for performance scheme for primary care in England was associated with a decrease in emergency admissions for incentivised conditions compared with conditions that were not incentivised. Contemporaneous health service changes seem unlikely to have caused the sharp change in the trajectory of incentivised ACSC admissions immediately after the introduction of the Quality and Outcomes Framework. The decrease seems larger than would be expected from the changes in the process measures that were incentivised, suggesting that the pay for performance scheme may have had impacts on quality of care beyond the directly incentivised activities.

Population pharmacokinetic-pharmacodynamic modelling of angiotensin receptor blockade in healthy volunteers.

OBJECTIVE: To compare the pharmacokinetic and pharmacodynamic characteristics of angiotensin II receptor antagonists as a therapeutic class. DESIGN: Population pharmacokinetic-pharmacodynamic modelling study. METHODS: The data of 14 phase I studies with 10 different drugs were analysed. A common population pharmacokinetic model (two compartments, mixed zero- and first-order absorption, two metabolite compartments) was applied to the 2685 drug and 900 metabolite concentration measurements. A standard nonlinear mixed effect modelling approach was used to estimate the drug-specific parameters and their variabilities. Similarly, a pharmacodynamic model was applied to the 7360 effect measurements, i.e. the decrease of peak blood pressure response to intravenous angiotensin challenge recorded by finger photoplethysmography. The concentration of drug and metabolite in an effect compartment was assumed to translate into receptor blockade [maximum effect (Emax) model with first-order link]. RESULTS: A general pharmacokinetic-pharmacodynamic (PK-PD) model for angiotensin antagonism in healthy individuals was successfully built up for the 10 drugs studied. Representatives of this class share different pharmacokinetic and pharmacodynamic profiles. Their effects on blood pressure are dose-dependent, but the time course of the effect varies between the drugs. CONCLUSIONS: The characterisation of PK-PD relationships for these drugs gives the opportunity to optimise therapeutic regimens and to suggest dosage adjustments in specific conditions. Such a model can be used to further refine the use of this class of drugs.

Sinusite aiguë: prise en charge en médecine de premier recours [Acute sinusitis]

Les infections des voies aériennes supérieures sont parmi les motifs de consultation les plus fréquents en médecine de premier recours. Lorsque la localisation est principalement rhinosinusienne, la cause est en général virale. Nous passons en revue dans cet article les conditions permettant de suspecter une origine bactérienne avec comme question centrale les critères pour l'instauration d'un traitement antibiotique. La place des examens paracliniques dans la stratégie diagnostique est discutée et en particulier celle de la radiographie standard. Rhino-sinusitis is one of the most complaint in ambulatory clinic sitting and nasal obstruction. This diagnosis is however difficult and general practitioners might overdiagnose acute bacterial sinusitis. Most imaging is not useful in determining sinusitis. Acute sinusitis is very often a self-limiting disease. Antibiotics should be prescribed only after one week of symptoms' duration and in case of the presence of two additional criteria: pain and purulent nasal discharge with nasal obstruction

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.