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.

Visualization of aqueous shunt position and patency using anterior segment optical coherence tomography.

PURPOSE: To describe the use of anterior segment optical coherence tomography (AS-OCT) to clarify the position and patency of aqueous shunt devices in the anterior chamber of eyes where corneal edema or tube position does not permit a satisfactory view. DESIGN: Noncomparative observational case series. METHODS: Four cases are reported in which aqueous shunt malposition or obstruction was suspected but the shunt could not be seen on clinical examination. The patients underwent AS-OCT to identify the position and patency of the shunt tip. RESULTS: In each case, AS-OCT provided data regarding tube position and/or patency that could not be obtained by slit-lamp examination or by gonioscopy that influenced management. CONCLUSIONS: AS-OCT can be used to visualize anterior chamber tubes in the presence of corneal edema that precludes an adequate view or in cases where the tube is retracted into the cornea. In such cases, AS-OCT is useful in identifying shunt patency and position, which helps guide clinical decision making.

V3 net charge: additional tool in HIV-1 tropism prediction.

Genotype-based algorithms are valuable tools for the identification of patients eligible for CCR5 inhibitors administration in clinical practice. Among the available methods, geno2pheno[coreceptor] (G2P) is the most used online tool for tropism prediction. This study was conceived to assess if the combination of G2P prediction with V3 peptide net charge (NC) value could improve the accuracy of tropism prediction. A total of 172 V3 bulk sequences from 143 patients were analyzed by G2P and NC values. A phenotypic assay was performed by cloning the complete env gene and tropism determination was assessed on U87_CCR5(+)/CXCR4(+) cells. Sequences were stratified according to the agreement between NC values and G2P results. Of sequences predicted as X4 by G2P, 61% showed NC values higher than 5; similarly, 76% of sequences predicted as R5 by G2P had NC values below 4. Sequences with NC values between 4 and 5 were associated with different G2P predictions: 65% of samples were predicted as R5-tropic and 35% of sequences as X4-tropic. Sequences identified as X4 by NC value had at least one positive residue at positions known to be involved in tropism prediction and positive residues in position 32. These data supported the hypothesis that NC values between 4 and 5 could be associated with the presence of dual/mixed-tropic (DM) variants. The phenotypic assay performed on a subset of sequences confirmed the tropism prediction for concordant sequences and showed that NC values between 4 and 5 are associated with DM tropism. These results suggest that the combination of G2P and NC could increase the accuracy of tropism prediction. A more reliable identification of X4 variants would be useful for better selecting candidates for Maraviroc (MVC) administration, but also as a predictive marker in coreceptor switching, strongly associated with the phase of infection.