Essays in general equilibrium asset pricing

ABSTRACT : Research in empirical asset pricing has pointed out several anomalies both in the cross section and time series of asset prices, as well as in investors' portfolio choice. This dissertation aims to discover the forces driving some of these "puzzling" asset pricing dynamics and portfolio decisions observed in the financial market. Through the dissertation I construct and study dynamic general equilibrium models of heterogeneous investors in the presence of frictions and evaluate quantitatively their implications for financial-market asset prices and portfolio choice. I also explore the potential roots of puzzles in international finance. Chapter 1 shows that, by introducing jointly endogenous no-default type of borrowing constraints and heterogeneous beliefs in a dynamic general-equilibrium economy, many empirical features of stock return volatility can be reproduced. While most of the research on stock return volatility is empirical, this paper provides a theoretical framework that is able to reproduce simultaneously the cross section and time series stylized facts concerning stock returns and their volatility. In contrast to the existing theoretical literature related to stock return volatility, I don't impose persistence or regimes in any of the exogenous state variables or in preferences. Volatility clustering, asymmetry in the stock return-volatility relationship, and pricing of multi-factor volatility components in the cross section all arise endogenously as a consequence of the feedback between the binding of no-default constraints and heterogeneous beliefs. Chapters 2 and 3 explore the implications of differences of opinion across investors in different countries for international asset pricing anomalies. Chapter 2 demonstrates that several international finance "puzzles" can be reproduced by a single risk factor which captures heterogeneous beliefs across international investors. These puzzles include: (i) home equity preference; (ii) the dependence of firm returns on local and foreign factors; (iii) the co-movement of returns and international capital flows; and (iv) abnormal returns around foreign firm cross-listing events in the local market. These are reproduced in a setup with symmetric information and in a perfectly integrated world with multiple countries and independent processes producing the same good. Chapter 3 shows that by extending this framework to multiple goods and correlated production processes; the "forward premium puzzle" arises naturally as a compensation for the heterogeneous expectations about the depreciation of the exchange rate held by international investors. Chapters 2 and 3 propose differences of opinion across international investors as the potential resolution of several international finance `puzzles'. In a globalized world where both capital and information flow freely across countries, this explanation seems more appealing than existing asymmetric information or segmented markets theories aiming to explain international finance puzzles.

Reply to 'Sources of uncertainties in cod distribution models'

Ingvaldsen et al. comment on our study assessing global fish interchanges between the North Atlantic and Pacific oceans for more than 500 species during the entire 21st century. They propose that discrepancies between our model projections and observed data for cod in the Barents Sea are the result of the choice of Atmosphere-Ocean General Circulation Models (AOGCMs). We address this assertion here, re-running the cod model with additional observation data from the Barents Sea1, 3, and show that the lack of open-access, archived data for the Barents Sea was the primary cause of local prediction mismatch. This finding recalls the importance of systematic deposit of biodiversity data in global databases

Forecasting the effects of global warming on biodiversity

The demand for accurate forecasting of the effects of global warming on biodiversity is growing, but current methods for forecasting have limitations. in this article, we compare and discuss the different uses of four forecasting methods: (1) models that consider species individually, (2) niche-theory models that group species by habitat (more specifically, by environmental conditions under which a species can persist or does persist), (3) general circulation models and coupled ocean-atmosphere-biosphere models, and (4) specics-area curve models that consider all species or large aggregates of species. After outlining the different uses and limitations of these methods, we make eight primary suggestions for improving forecasts. We find that greater use of the fossil record and of modern genetic studies would improve forecasting methods. We note a Quaternary conundrum: While current empirical and theoretical ecological results suggest that many species could be at risk from global warming, during the recent ice ages surprisingly few species became extinct. The potential resolution of this conundrum gives insights into the requirements for more accurate and reliable forecasting. Our eight suggestions also point to constructive synergies in the solution to the different problems.

The impact of insight in a first-episode mania with psychosis population on outcome at 18 months.

BACKGROUND: To explore whether poor initial insight during a first episode of mania with psychotic features was predictive of poor psychosocial and clinical outcomes at 18 months. METHODS: Secondary analysis was performed on data collected during an 8-week RCT comparing the efficacy of olanzapine versus chlorpromazine as an adjunct to lithium, and at 18-month follow-up. 74 participants were divided into three groups (no insight, partial insight, and full insight) according to the insight item from the Young Mania Rating Scale (YMRS). Differences between these three groups were examined at baseline and at 18 months on measures of symptoms (YMRS, HAMD-21, and CGI-S), and social and occupational functioning (SOFAS). Baseline differences between the three groups were determined using general linear models and chi-squared analyses. Group differences from baseline to 18-month follow-up were determined using repeated measures general linear models. RESULTS: At baseline there were significant differences between the three insight groups in terms of mania and functioning, but at 18 months all groups had improved significantly in terms of psychopathology, mania, depression and social and occupational functioning. There were no significant differences between the three groups at study completion with respect to these domains. LIMITATIONS: The study was limited by the lack of availability of a more detailed rating scale for insight, and it did not account for the duration of untreated psychosis (DUI). CONCLUSIONS: Poor initial insight during a first episode of mania with psychotic features does not predict poor clinical and psychosocial outcome at 18 months.

Difficulties associated with out-patient management of drug abusers by general practitioners. A cross sectional survey of general practitioners with and without methadone patients in Switzerland

Résumé de l'article Contexte : En Suisse, les médecins de premier recours traitent la plupart des patients dépendants aux opiacés méthadone en tant que traitement de substitution. Méthode : Nous avons étudié les difficultés rencontrées dans la prise en charge des patients toxicodépendants en envoyant par poste un questionnaire d'enquête. Nous avons envoyé ce questionnaire à tous les médecins de premier recours de Suisse Romande prescrivant de la méthadone (556 médecins). Nous avons envoyé un autre questionnaire, plus court, à des médecins de premier recours du Canton de Vaud qui ne prescrivent pas de méthadone. Résultats : le taux de réponse global est de 63,3 %. La plus haute dose de méthadone donnée par les médecins de premier recours est de 120,4 mg/j (moyenne). Questionnés au sujet de l'aide qu'ils désireraient recevoir face à ces patients, les médecins de premier recours avec patients substitués par méthadone ont mentionné premièrement l'importance d'un meilleur remboursement des services prodigués. Les autres éléments demandés ont été une meilleure formation, de meilleures connaissances des pathologies psychiatriques et des groupes de discussion de cas cliniques. Les médecins sans patients sous méthadone refusent de traiter ces patients surtout pour des raisons émotionnelles et relationnelles. En conclusion : les médecins acceptant des patients sous méthadone rencontrent des difficultés relationnelles et émotionnelles. Ils désirent un meilleur remboursement pour les services prodigués.

The relation of body mass index and abdominal adiposity with dyslipidemia in 27 general populations of the WHO MONICA Project.

The association between adiposity measures and dyslipidemia has seldom been assessed in a multipopulational setting. 27 populations from Europe, Australia, New Zealand and Canada (WHO MONICA project) using health surveys conducted between 1990 and 1997 in adults aged 35-64 years (n = 40,480). Dyslipidemia was defined as the total/HDL cholesterol ratio >6 (men) and >5 (women). Overall prevalence of dyslipidemia was 25% in men and 23% in women. Logistic regression showed that dyslipidemia was strongly associated with body mass index (BMI) in men and with waist circumference (WC) in women, after adjusting for region, age and smoking. Among normal-weight men and women (BMI<25 kg/m(2)), an increase in the odds for being dyslipidemic was observed between lowest and highest WC quartiles (OR = 3.6, p < 0.001). Among obese men (BMI ≥ 30), the corresponding increase was smaller (OR = 1.2, p = 0.036). A similar weakening was observed among women. Classification tree analysis was performed to assign subjects into classes of risk for dyslipidemia. BMI thresholds (25.4 and 29.2 kg/m(2)) in men and WC thresholds (81.7 and 92.6 cm) in women came out at first stages. High WC (>84.8 cm) in normal-weight men, menopause in women and regular smoking further defined subgroups at increased risk. standard categories of BMI and WC, or their combinations, do not lead to optimal risk stratification for dyslipidemia in middle-age adults. Sex-specific adaptations are necessary, in particular by taking into account abdominal obesity in normal-weight men, post-menopausal age in women and regular smoking in both sexes.

A health behaviour cross-sectional study of immigrants and non-immigrants in a Swiss urban general-practice setting.

BACKGROUND: Little is known about smoking, unhealthy use of alcohol, and risk behaviours for sexually transmitted diseases (STDs) in immigrants from developed and developing countries. METHOD: We performed a cross-sectional study of 400 patients who consulted an academic emergency care centre at a Swiss university hospital. The odds ratios for having one or more risk behaviours were adjusted for age, gender, and education level. RESULTS: Immigrants from developing countries were less likely to use alcohol in an unhealthy manner (OR = 0.35, 95% CI 0.22-0.57) or practise risk behaviours for STDs (OR = 0.31, 95% CI 0.13-0.74). They were also less likely to have any of the three studied risk behaviours (OR = 2.5, 95% CI 1.5-4.3). DISCUSSION: In addition to the usual determinants, health behaviours are also associated with origin; distinguishing between immigrants from developing and developed countries is useful in clinical settings. Surprisingly, patients from developing countries tend to possess several protective characteristics.

Difficulties associated with outpatient management of drug abusers by general practitioners. A cross-sectional survey of general practitioners with and without methadone patients in Switzerland.

BACKGROUND: In Switzerland, general practitioners (GPs) manage most of the patients receiving methadone maintenance treatment (MMT). METHODS: Using a cross-sectional postal survey of GPs who treat MMT patients and GPs who do not, we studied the difficulties encountered in the out-patient management of drug-addicted patients. We sent a questionnaire to every GP with MMT patients (556) in the French-speaking part of Switzerland (1,757,000 inhabitants). We sent another shorter questionnaire to primary care physicians without MMT patients living in the Swiss Canton of Vaud. RESULTS: The response rate was 63.3%. The highest methadone dose given by GPs to MMT patients averaged 120.4 mg/day. When asked about help they would like to be given, GPs with MMT patients primarily mentioned the importance of receiving adequate fees for the care they provide. Secondly, they mentioned the importance of better training, better knowledge of psychiatric pathologies, and discussion groups on practical cases. GPs without MMT patients refuse to treat these patients mostly for emotional and relational reasons. CONCLUSION: GPs encounter financial, relational and emotional difficulties with MMT patients. They desire better fees for services and better training.

Differential associations of personal and general just-world beliefs with the Five-Factor and HEXACO models of personality.

Recent literature evidences differential associations of personal and general just-world beliefs with constructs in the interpersonal domain. In line with this research, we examine the respective relationships of each just-world belief with the Five-Factor and the HEXACO models of personality in one representative sample of the working population of Switzerland and one sample of the general US population, respectively. One suppressor effect was observed in both samples: Neuroticism and emotionality was positively associated with general just-world belief, but only after controlling for personal just-world belief. In addition, agreeableness was positively and honesty-humility negatively associated with general just-world belief but unrelated to personal just-world belief. Conscientiousness was consistently unrelated to any of the just-world belief and extraversion and openness to experience revealed unstable coefficients across studies. We discuss these points in light of just-world theory and their implications for future research taking both dimensions into account.

Screening of mental health and substance users in frequent users of a general Swiss emergency department.

BACKGROUND: The objectives of this study were to determine the proportions of psychiatric and substance use disorders suffered by emergency departments' (EDs') frequent users compared to the mainstream ED population, to evaluate how effectively these disorders were diagnosed in both groups of patients by ED physicians, and to determine if these disorders were predictive of a frequent use of ED services. METHODS: This study is a cross-sectional study with concurrent and retrospective data collection. Between November 2009 and June 2010, patients' mental health and substance use disorders were identified prospectively in face-to-face research interviews using a screening questionnaire (i.e. researcher screening). These data were compared to the data obtained from a retrospective medical chart review performed in August 2011, searching for mental health and substance use disorders diagnosed by ED physicians and recorded in the patients' ED medical files (i.e. ED physician diagnosis). The sample consisted of 399 eligible adult patients (≥18 years old) admitted to the urban, general ED of a University Hospital. Among them, 389 patients completed the researcher screening. Two hundred and twenty frequent users defined by >4 ED visits in the previous twelve months were included and compared to 169 patients with ≤4 ED visits in the same period (control group). RESULTS: Researcher screening showed that ED frequent users were more likely than members of the control group to have an anxiety, depressive disorder, post-traumatic stress disorder (PTSD), or suffer from alcohol, illicit drug abuse/addiction. Reviewing the ED physician diagnosis, we found that the proportions of mental health and substance use disorders diagnosed by ED physicians were low both among ED frequent users and in the control group. Using multiple logistic regression analyses to predict frequent ED use, we found that ED patients who screened positive for psychiatric disorders only and those who screened positive for both psychiatric and substance use disorders were more likely to be ED frequent users compared to ED patients with no disorder. CONCLUSIONS: This study found high proportions of screened mental health and/or substance use disorders in ED frequent users, but it showed low rates of detection of such disorders in day-to-day ED activities which can be a cause for concern. Active screening for these disorders in this population, followed by an intervention and/or a referral for treatment by a case-management team may constitute a relevant intervention for integration into a general ED setting.

Drinking locations and alcohol-related harm: Cross-sectional and longitudinal associations in a sample of young Swiss men.

BACKGROUND: Alcohol consumption--in particular drinking volume (DV) and risky single occasion drinking (RSOD)--has been related to a wide range of negative consequences and health problems. Previous studies also suggested that drinking in certain locations may be more strongly associated with the occurrence of alcohol-related harm than drinking in others. However, they were conducted in countries culturally and legally different from European countries and were limited to cross-sectional designs. This study investigates the cross-sectional and longitudinal associations of alcohol-related harm with DVs in different locations in a sample of young Swiss men. METHODS: A representative sample of 4536 young Swiss male drinkers completed baseline and 15-month follow-up questionnaires. These assessed DVs in 11 locations, alcohol-related harm (i.e. number of alcohol-related consequences and alcohol use disorder criteria) and frequency of RSOD. Cross-sectional and longitudinal associations of alcohol-related harm with DVs in each location were tested using regression models, with and without adjustment for frequency of RSOD. RESULTS: Both cross-sectional and longitudinal analyses showed significant positive associations between alcohol-related harm and DVs at friends' homes, in discos/nightclubs and in outdoor public places, when controlling for frequency of RSOD. In contrast, the contribution of DVs at one's own home and in restaurants was consistently not significant when adjusted for frequency of RSOD. When controlling for RSOD, associations between alcohol-related harm and DVs in bars/pubs, when playing sports, during other leisure activities, at cinemas/theatres, during sporting events, and during special events were not consistent between cross-sectional and longitudinal analyses. CONCLUSION: Results suggest that prevention interventions should not only target reducing the overall volume of alcohol consumed and the frequency of RSOD in general, but they should additionally focus on limiting alcohol consumption in outdoor public places, discos/nightclubs, and in friends' homes in particular, or at least on preventing harm occurring in these occasions.

Relationship of physical activity with motor skills, aerobic fitness and body fat in preschool children: a cross-sectional and longitudinal study (Ballabeina).

Adiposity, low aerobic fitness and low levels of activity are all associated with clustered cardiovascular disease risk in children and their high prevalence represents a major public health concern. The aim of this study is to investigate the relationship of objectively measured physical activity (PA) with motor skills (agility and balance), aerobic fitness and %body fat in young children. This study is a cross-sectional and longitudinal analyses using mixed linear models. Longitudinal data were adjusted for baseline outcome parameters. In all, 217 healthy preschool children (age 4-6 years, 48% boys) participated in this study. PA (accelerometers), agility (obstacle course), dynamic balance (balance beam), aerobic fitness (20-m shuttle run) and %body fat (bioelectric impedance) at baseline and 9 months later. PA was positively associated with both motor skills and aerobic fitness at baseline as well as with their longitudinal changes. Specifically, only vigorous, but not total or moderate PA, was related to changes in aerobic fitness. Higher PA was associated with less %body fat at baseline, but not with its change. Conversely, baseline motor skills, aerobic fitness or %body fat were not related to changes in PA. In young children, baseline PA was associated with improvements in motor skills and in aerobic fitness, an important determinant of cardiovascular risk.

Physiotherapy practice in the private sector: organizational characteristics and models.

BACKGROUND: Even if a large proportion of physiotherapists work in the private sector worldwide, very little is known of the organizations within which they practice. Such knowledge is important to help understand contexts of practice and how they influence the quality of services and patient outcomes. The purpose of this study was to: 1) describe characteristics of organizations where physiotherapists practice in the private sector, and 2) explore the existence of a taxonomy of organizational models. METHODS: This was a cross-sectional quantitative survey of 236 randomly-selected physiotherapists. Participants completed a purpose-designed questionnaire online or by telephone, covering organizational vision, resources, structures and practices. Organizational characteristics were analyzed descriptively, while organizational models were identified by multiple correspondence analyses. RESULTS: Most organizations were for-profit (93.2%), located in urban areas (91.5%), and within buildings containing multiple businesses/organizations (76.7%). The majority included multiple providers (89.8%) from diverse professions, mainly physiotherapy assistants (68.7%), massage therapists (67.3%) and osteopaths (50.2%). Four organizational models were identified: 1) solo practice, 2) middle-scale multiprovider, 3) large-scale multiprovider and 4) mixed. CONCLUSIONS: The results of this study provide a detailed description of the organizations where physiotherapists practice, and highlight the importance of human resources in differentiating organizational models. Further research examining the influences of these organizational characteristics and models on outcomes such as physiotherapists' professional practices and patient outcomes are needed.

A cross-sectional survey of attitudes to HIV risk and rapid HIV testing among clients of sex workers in Switzerland.

OBJECTIVES: To assess attitudes to HIV risk and acceptability of rapid HIV testing among clients of street-based female sex workers (FSW) in Lausanne, Switzerland, where HIV prevalence in the general population is 0.4%. METHODS: The authors conducted a cross-sectional study in the red light district of Lausanne for five nights in September of 2008, 2009 and 2010. Clients of FSW were invited to complete a questionnaire in the street assessing demographic characteristics, attitudes to HIV risk and HIV testing history. All clients interviewed were then offered anonymous finger stick rapid HIV testing in a van parked on-site. RESULTS: The authors interviewed 112, 127 and 79 clients in 2008, 2009 and 2010, respectively. All were men, average age 32-37 years old; 40-60% were in a stable relationship. History of unprotected sex was higher with non-commercial partners (33-50%) than with FSW (6-11%); 29-46% of clients had never undergone an HIV test. Anonymous rapid HIV testing was accepted by 45-50% of clients. Out of 109 HIV tests conducted during the three study periods, none was reactive. CONCLUSIONS: On-site HIV counselling and testing is acceptable among clients of FSW in this urban setting. These individuals represent an unquantified population, a proportion of which has an incomplete understanding of HIV risk in the face of high-risk behaviour, with implications for potential onward transmission to non-commercial sexual partners.