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.

Acting, predicting and intervening in a socio-hydrological world

This paper asks a simple question: if humans and their actions co-evolve with hydrological systems (Sivapalan et al., 2012), what is the role of hydrological scientists, who are also humans, within this system? To put it more directly, as traditionally there is a supposed separation of scientists and society, can we maintain this separation as socio-hydrologists studying a socio-hydrological world? This paper argues that we cannot, using four linked sections. The first section draws directly upon the concern of science-technology studies to make a case to the (socio-hydrological) community that we need to be sensitive to constructivist accounts of science in general and socio-hydrology in particular. I review three positions taken by such accounts and apply them to hydrological science, supported with specific examples: (a) the ways in which scientific activities frame socio-hydrological research, such that at least some of the knowledge that we obtain is constructed by precisely what we do; (b) the need to attend to how socio-hydrological knowledge is used in decision-making, as evidence suggests that hydrological knowledge does not flow simply from science into policy; and (c) the observation that those who do not normally label themselves as socio-hydrologists may actually have a profound knowledge of socio-hydrology. The second section provides an empirical basis for considering these three issues by detailing the history of the practice of roughness parameterisation, using parameters like Manning's n, in hydrological and hydraulic models for flood inundation mapping. This history sustains the third section that is a more general consideration of one type of socio-hydrological practice: predictive modelling. I show that as part of a socio-hydrological analysis, hydrological prediction needs to be thought through much more carefully: not only because hydrological prediction exists to help inform decisions that are made about water management; but also because those predictions contain assumptions, the predictions are only correct in so far as those assumptions hold, and for those assumptions to hold, the socio-hydrological system (i.e. the world) has to be shaped so as to include them. Here, I add to the ``normal'' view that ideally our models should represent the world around us, to argue that for our models (and hence our predictions) to be valid, we have to make the world look like our models. Decisions over how the world is modelled may transform the world as much as they represent the world. Thus, socio-hydrological modelling has to become a socially accountable process such that the world is transformed, through the implications of modelling, in a fair and just manner. This leads into the final section of the paper where I consider how socio-hydrological research may be made more socially accountable, in a way that is both sensitive to the constructivist critique (Sect. 1), but which retains the contribution that hydrologists might make to socio-hydrological studies. This includes (1) working with conflict and controversy in hydrological science, rather than trying to eliminate them; (2) using hydrological events to avoid becoming locked into our own frames of explanation and prediction; (3) being empirical and experimental but in a socio-hydrological sense; and (4) co-producing socio-hydrological predictions. I will show how this might be done through a project that specifically developed predictive models for making interventions in river catchments to increase high river flow attenuation. Therein, I found myself becoming detached from my normal disciplinary networks and attached to the co-production of a predictive hydrological model with communities normally excluded from the practice of hydrological science.

Four-month-olds make triangular bids to father and mother during trilogue play with still-face

(from the journal abstract) A new observational procedure, Trilogue Play with Still-face, revealed 4-month-olds' capacities to address both their fathers and mothers, by rapidly shifting gaze and affect between them. Infants were observed in four interactive contexts: (1) '3-together' play with both parents; (2) '2 + 1' play with one parent engaging and the other as third party; (3) the same, with one parent posing a still-face; (4) '3-together' play. Infants were able to discriminate between the four contexts. They coordinated three social poles of attention in each one. Their affect configurations were context sensitive. These findings demonstrate the infant's social capacities for triangular, three-person interactions, in addition to dyadic, two-person, and triadic, two-person plus object, ones. They support a view of intersubjectivity as primary and point to a promising field of investigation for the study of family process. (PsycINFO Database Record (c) 2005 APA, all rights reserved)

Alcohol may not cause partner violence but it seems to make it worse: a cross national comparison of the relationship between alcohol and severity of partner violence.

This study assesses whether severity of physical partner aggression is associated with alcohol consumption at the time of the incident, and whether the relationship between drinking and aggression severity is the same for men and women and across different countries. National or large regional general population surveys were conducted in 13 countries as part of the GENACIS collaboration. Respondents described the most physically aggressive act done to them by a partner in the past 2 years, rated the severity of aggression on a scale of 1 to 10, and reported whether either partner had been drinking when the incident occurred. Severity ratings were significantly higher for incidents in which one or both partners had been drinking compared to incidents in which neither partner had been drinking. The relationship did not differ significantly for men and women or by country. We conclude that alcohol consumption may serve to potentiate violence when it occurs, and this pattern holds across a diverse set of cultures. Further research is needed that focuses explicitly on the nature of alcohol's contribution to intimate partner aggression. Prevention needs to address the possibility of enhanced dangers of intimate partner violence when the partners have been drinking and eliminate any systemic factors that permit alcohol to be used as an excuse. Clinical services for perpetrators and victims of partner violence need to address the role of drinking practices, including the dynamics and process of aggressive incidents that occur when one or both partners have been drinking.

Au-delà de l'ennui: l'effort pour rendre l'autre intéressant [Beyond boredom: the effort to make a patient interesting]

The doctors' emotional reaction towards the patients has an impact on the doctor-patient relationship. This article focuses on a particular emotion, boredom which is evoked by certain patients. By means of a case vignette, this phenomenon is elucidated and confronted with the psycho-analytical concept of "pensée opératoire", and ways are identified to raise the interest in patients.

Alcohol may not "cause" partner violence but it seems to make it worse : a cross-national comparison of partner aggression involving alcohol with aggression not involving alcohol

This study assesses whether severity of physical partner aggression is associated with alcohol consumption at the time of the incident, and whether the relationship between drinking and aggression severity is the same for men and women and across different countries. National or large regional general population surveys were conducted in 13 countries as part of the GENACIS collaboration. Respondents described the most physically aggressive act done to them by a partner in the past 2 years, rated the severity of aggression on a scale of 1 to 10, and reported whether either partner had been drinking when the incident occurred. Severity ratings were significantly higher for incidents in which one or both partners had been drinking compared to incidents in which neither partner had been drinking. The relationship did not differ significantly for men and women or by country. We conclude that alcohol consumption may serve to potentiate violence when it occurs, and this pattern holds across a diverse set of cultures. Further research is needed that focuses explicitly on the nature of alcohol's contribution to intimate partner aggression. Prevention needs to address the possibility of enhanced dangers of intimate partner violence when the partners have been drinking and eliminate any systemic factors that permit alcohol to be used as an excuse. Clinical services for perpetrators and victims of partner violence need to address the role of drinking practices, including the dynamics and process of aggressive incidents that occur when one or both partners have been drinking.

Est-ce qu'en discuter fait la différence ? Opinions de jeunes adultes atteints de maladies chroniques après avoir été transférés vers des soins pour adultes [Does talking about it make a difference? Opinions of chronically ill young adults after being transferred to adult care].

1) Introduction: pour les jeunes souffrant de maladie chronique, l'objectif de la transition vers les soins pour adultes est d'optimiser leur fonctionnement et leur potentiel. Le but de cette étude pilote était d'évaluer si les jeunes adultes souffrant de maladie chronique jugeaient que le passage vers les soins adultes était plus facile lorsque la question de la transition avait été discutée au préalable avec leur pédiatre. 2) Matériel et méthodes: deux groupes de jeunes adultes atteints de maladie chronique ont été identifiés selon l'existence (n = 70) ou non (n = 22) d'une discussion préalable avec leur pédiatre à propos de la transition vers une prise en charge pour adultes. Ces deux groupes ont été comparés pour des variables démographiques et de santé. Les variables significatives en analyse bivariée ont été incluses dans une régression logistique descendante pas à pas. 3) Résultats: les jeunes adultes qui avaient discuté de la transition étaient significativement plus nombreux à se sentir prêts (72,9 % vs 45,5 %) et accompagnés (58,6 % vs 27,3 %) pour le transfert, à avoir consulté leur spécialiste pour adultes (60 % vs 31,8 %) et à voir leur médecin sans la présence de leurs parents (70 % vs 40,9 %). En analyse multivariée, seuls, le fait de se sentir accompagné (odds ratio ajustée [ORa] : 3,56) et celui d'avoir consulté leur spécialiste pour adultes (ORa : 4,14) étaient significatifs. 4) Conclusions: la préparation des jeunes souffrant de maladie chronique au transfert vers les soins pour adultes semble bénéfique. Cependant, le transfert lui-même n'est qu'une petite partie du concept beaucoup plus large de la transition vers la vie adulte. Une transition bien planifiée doit permettre à ces jeunes adultes d'atteindre tout leur potentiel. INTRODUCTION: The goal of transition in healthcare for young people with chronic illnesses is to maximize their functioning and potential. The purpose of this pilot study was to assess whether young adults with chronic illnesses found that the transition to adult care was easier when the transition was discussed in advance with their pediatric specialist. METHODS: Two groups were created according to whether patients had discussed (n=70) or not (n=22) the transition with their pediatric specialist and compared regarding demographic and health-related variables. All the significant variables at the bivariate level were included in a backward stepwise logistic regression. RESULTS: Youth who had discussed the transition were significantly more likely to feel ready for the transfer (72.9% vs 45.5%) and accompanied (58.6% vs 27. %) during transfer, to have consulted their specialist for adults (60.0% vs 31.8%), and seen their doctor without the presence of their parents (70.0% vs 40.9%). At the multivariate level, only feeling accompanied during transfer (adjusted odds ratio (aOR): 3.56) and having consulted their specialist for adults (aOR: 4.14) remained significant. CONCLUSIONS: Preparing chronically ill youths for transfer to adult care appears to be beneficial for them. However, transfer is only a small part of the much broader transition that is preparation for adult life. A well-planned transition should allow these young people to reach their full potential.

International survey of acute stroke imaging used to make revascularization treatment decisions.

BACKGROUND: To assess the differences across continental regions in terms of stroke imaging obtained for making acute revascularization therapy decisions, and to identify obstacles to participating in randomized trials involving multimodal imaging. METHODS: STroke Imaging Repository (STIR) and Virtual International Stroke Trials Archive (VISTA)-Imaging circulated an online survey through its website, through the websites of national professional societies from multiple countries as well as through email distribution lists from STIR and the above mentioned societies. RESULTS: We received responses from 223 centers (2 from Africa, 38 from Asia, 10 from Australia, 101 from Europe, 4 from Middle East, 55 from North America, 13 from South America). In combination, the sites surveyed administered acute revascularization therapy to a total of 25,326 acute stroke patients in 2012. Seventy-three percent of these patients received intravenous (i.v.) tissue plasminogen activator (tPA), and 27%, endovascular therapy. Vascular imaging was routinely obtained in 79% (152/193) of sites for endovascular therapy decisions, and also as part of standard IV tPA treatment decisions at 46% (92/198) of sites. Modality, availability and use of acute vascular and perfusion imaging before revascularization varied substantially between geographical areas. The main obstacles to participate in randomized trials involving multimodal imaging included: mainly insufficient research support and staff (50%, 79/158) and infrequent use of multimodal imaging (27%, 43/158) . CONCLUSION: There were significant variations among sites and geographical areas in terms of stroke imaging work-up used tomake decisions both for intravenous and endovascular revascularization. Clinical trials using advanced imaging as a selection tool for acute revascularization therapy should address the need for additional resources and technical support, and take into consideration the lack of routine use of such techniques in trial planning.

Insertion dans les soins après une première hospitalisation dans un secteur pour psychose [Linkage to care after first hospitalisation for psychosis]

BACKGROUND: First hospitalisation for a psychotic episode causes intense distress to patients and families, but offers an opportunity to make a diagnosis and start treatment. However, linkage to outpatient psychiatric care remains a notoriously difficult step for young psychotic patients, who frequently interrupt treatment after hospitalisation. Persistence of symptoms, and untreated psychosis may therefore remain a problem despite hospitalisation and proper diagnosis. With persisting psychotic symptoms, numerous complications may arise: breakdown in relationships, loss of family and social support, loss of employment or study interruption, denial of disease, depression, suicide, substance abuse and violence. Understanding mechanisms that might promote linkage to outpatient psychiatric care is therefore a critical issue, especially in early intervention in psychotic disorders. OBJECTIVE: To study which factors hinder or promote linkage of young psychotic patients to outpatient psychiatric care after a first hospitalisation, in the absence of a vertically integrated program for early psychosis. Method. File audit study of all patients aged 18 to 30 who were admitted for the first time to the psychiatric University Hospital of Lausanne in the year 2000. For statistical analysis, chi2 tests were used for categorical variables and t-test for dimensional variables; p<0.05 was considered as statistically significant. RESULTS: 230 patients aged 18 to 30 were admitted to the Lausanne University psychiatric hospital for the first time during the year 2000, 52 of them with a diagnosis of psychosis (23%). Patients with psychosis were mostly male (83%) when compared with non-psychosis patients (49%). Furthermore, they had (1) 10 days longer mean duration of stay (24 vs 14 days), (2) a higher rate of compulsory admissions (53% vs 22%) and (3) were more often hospitalised by a psychiatrist rather than by a general practitioner (83% vs 53%). Other socio-demographic and clinical features at admission were similar in the two groups. Among the 52 psychotic patients, 10 did not stay in the catchment area for subsequent treatment. Among the 42 psychotic patients who remained in the catchment area after discharge, 20 (48%) did not attend the scheduled or rescheduled outpatient appointment. None of the socio demographic characteristics were associated with attendance to outpatient appointments. On the other hand, voluntary admission and suicidal ideation before admission were significantly related to attending the initial appointment. Moreover, some elements of treatment seemed to be associated with higher likelihood to attend outpatient treatment: (1) provision of information to the patient regarding diagnosis, (2) discussion about the treatment plan between in- and outpatient staff, (3) involvement of outpatient team during hospitalisation, and (4) elaboration of concrete strategies to face basic needs, organise daily activities or education and reach for help in case of need. CONCLUSION: As in other studies, half of the patients admitted for a first psychotic episode failed to link to outpatient psychiatric care. Our study suggests that treatment rather than patient's characteristics play a critical role in this phenomenon. Development of a partnership and involvement of patients in the decision process, provision of good information regarding the illness, clear definition of the treatment plan, development of concrete strategies to cope with the illness and its potential complications, and involvement of the outpatient treating team already during hospitalisation, all came out as critical strategies to facilitate adherence to outpatient care. While the current rate of disengagement after admission is highly concerning, our finding are encouraging since they constitute strategies that can easily be implemented. An open approach to psychosis, the development of partnership with patients and a better coordination between inpatient and outpatient teams should therefore be among the targets of early intervention programs. These observations might help setting up priorities when conceptualising new programs and facilitate the implementation of services that facilitate engagement of patients in treatment during the critical initial phase of psychotic disorders.