Essays in higher moment asset pricing and liquidity risk

This thesis focuses on theoretical asset pricing models and their empirical applications. I aim to investigate the following noteworthy problems: i) if the relationship between asset prices and investors' propensities to gamble and to fear disaster is time varying, ii) if the conflicting evidence for the firm and market level skewness can be explained by downside risk, Hi) if costly learning drives liquidity risk. Moreover, empirical tests support the above assumptions and provide novel findings in asset pricing, investment decisions, and firms' funding liquidity. The first chapter considers a partial equilibrium model where investors have heterogeneous propensities to gamble and fear disaster. Skewness preference represents the desire to gamble, while kurtosis aversion represents fear of extreme returns. Using US data from 1988 to 2012, my model demonstrates that in bad times, risk aversion is higher, more people fear disaster, and fewer people gamble, in contrast to good times. This leads to a new empirical finding: gambling preference has a greater impact on asset prices during market downturns than during booms. The second chapter consists of two essays. The first essay introduces a foramula based on conditional CAPM for decomposing the market skewness. We find that the major market upward and downward movements can be well preadicted by the asymmetric comovement of betas, which is characterized by an indicator called "Systematic Downside Risk" (SDR). We find that SDR can efafectively forecast future stock market movements and we obtain out-of-sample R-squares (compared with a strategy using historical mean) of more than 2.27% with monthly data. The second essay reconciles a well-known empirical fact: aggregating positively skewed firm returns leads to negatively skewed market return. We reconcile this fact through firms' greater response to negative maraket news than positive market news. We also propose several market return predictors, such as downside idiosyncratic skewness. The third chapter studies the funding liquidity risk based on a general equialibrium model which features two agents: one entrepreneur and one external investor. Only the investor needs to acquire information to estimate the unobservable fundamentals driving the economic outputs. The novelty is that information acquisition is more costly in bad times than in good times, i.e. counter-cyclical information cost, as supported by previous empirical evidence. Later we show that liquidity risks are principally driven by costly learning. Résumé Cette thèse présente des modèles théoriques dévaluation des actifs et leurs applications empiriques. Mon objectif est d'étudier les problèmes suivants: la relation entre l'évaluation des actifs et les tendances des investisseurs à parier et à crainadre le désastre varie selon le temps ; les indications contraires pour l'entreprise et l'asymétrie des niveaux de marché peuvent être expliquées par les risques de perte en cas de baisse; l'apprentissage coûteux augmente le risque de liquidité. En outre, des tests empiriques confirment les suppositions ci-dessus et fournissent de nouvelles découvertes en ce qui concerne l'évaluation des actifs, les décisions relatives aux investissements et la liquidité de financement des entreprises. Le premier chapitre examine un modèle d'équilibre où les investisseurs ont des tendances hétérogènes à parier et à craindre le désastre. La préférence asymétrique représente le désir de parier, alors que le kurtosis d'aversion représente la crainte du désastre. En utilisant les données des Etats-Unis de 1988 à 2012, mon modèle démontre que dans les mauvaises périodes, l'aversion du risque est plus grande, plus de gens craignent le désastre et moins de gens parient, conatrairement aux bonnes périodes. Ceci mène à une nouvelle découverte empirique: la préférence relative au pari a un plus grand impact sur les évaluations des actifs durant les ralentissements de marché que durant les booms économiques. Exploitant uniquement cette relation générera un revenu excédentaire annuel de 7,74% qui n'est pas expliqué par les modèles factoriels populaires. Le second chapitre comprend deux essais. Le premier essai introduit une foramule base sur le CAPM conditionnel pour décomposer l'asymétrie du marché. Nous avons découvert que les mouvements de hausses et de baisses majeures du marché peuvent être prédits par les mouvements communs des bêtas. Un inadicateur appelé Systematic Downside Risk, SDR (risque de ralentissement systématique) est créé pour caractériser cette asymétrie dans les mouvements communs des bêtas. Nous avons découvert que le risque de ralentissement systématique peut prévoir les prochains mouvements des marchés boursiers de manière efficace, et nous obtenons des carrés R hors échantillon (comparés avec une stratégie utilisant des moyens historiques) de plus de 2,272% avec des données mensuelles. Un investisseur qui évalue le marché en utilisant le risque de ralentissement systématique aurait obtenu une forte hausse du ratio de 0,206. Le second essai fait cadrer un fait empirique bien connu dans l'asymétrie des niveaux de march et d'entreprise, le total des revenus des entreprises positiveament asymétriques conduit à un revenu de marché négativement asymétrique. Nous décomposons l'asymétrie des revenus du marché au niveau de l'entreprise et faisons cadrer ce fait par une plus grande réaction des entreprises aux nouvelles négatives du marché qu'aux nouvelles positives du marché. Cette décomposition révélé plusieurs variables de revenus de marché efficaces tels que l'asymétrie caractéristique pondérée par la volatilité ainsi que l'asymétrie caractéristique de ralentissement. Le troisième chapitre fournit une nouvelle base théorique pour les problèmes de liquidité qui varient selon le temps au sein d'un environnement de marché incomplet. Nous proposons un modèle d'équilibre général avec deux agents: un entrepreneur et un investisseur externe. Seul l'investisseur a besoin de connaitre le véritable état de l'entreprise, par conséquent, les informations de paiement coutent de l'argent. La nouveauté est que l'acquisition de l'information coute plus cher durant les mauvaises périodes que durant les bonnes périodes, comme cela a été confirmé par de précédentes expériences. Lorsque la récession comamence, l'apprentissage coûteux fait augmenter les primes de liquidité causant un problème d'évaporation de liquidité, comme cela a été aussi confirmé par de précédentes expériences.

Fourth order pseudo maximum likelihood methods

We extend PML theory to account for information on the conditional moments up to order four, but without assuming a parametric model, to avoid a risk of misspecification of the conditional distribution. The key statistical tool is the quartic exponential family, which allows us to generalize the PML2 and QGPML1 methods proposed in Gourieroux et al. (1984) to PML4 and QGPML2 methods, respectively. An asymptotic theory is developed. The key numerical tool that we use is the Gauss-Freud integration scheme that solves a computational problem that has previously been raised in several fields. Simulation exercises demonstrate the feasibility and robustness of the methods [Authors]

Effectiveness of career counseling: A one-year follow-up

The aim of this study was to analyze the psychometric properties of the Career Adapt-Abilities Scale (CAAS) in a French-speaking Swiss sample and its relationship with personality dimensions and work engagement. The heterogeneous sample of 391 participants (Mage = 39.59, SD = 12.30) completed the CAAS-International and a short version of the Utrecht Work Engagement Scale. To assess personality dimensions, participants completed either the Zuckerman-Kuhlman-Aluja Personality Questionnaire (n=283) or the NEO-FFI-R (n=108). The internal consistencies for the four subscales and total scores of the CAAS ranged from good to excellent, and skewness and kurtosis values indicated that scores were normally distributed. Gender differences and cor- relations with age were small or negligible. Several CFA models confirmed the factor structure of the French version of the CAAS-International, with loadings very similar to the ones observed for the international form. Adaptability was related to different personality dimensions, particularly neuroticism and conscientiousness, and also to work engagement. When predicting work engage- ment, career adaptability had a significant incremental validity over personality dimensions. Fi- nally, career adaptability partially moderated the relationship between personality and work engagement, suggesting that career adaptability also contributes to regulating the expression of personality dispositions.

Quantitative analysis of crystal/grain sizes and their distributions in 2D and 3D

We review methods to estimate the average crystal (grain) size and the crystal (grain) size distribution in solid rocks. Average grain sizes often provide the base for stress estimates or rheological calculations requiring the quantification of grain sizes in a rock's microstructure. The primary data for grain size data are either 1D (i.e. line intercept methods), 2D (area analysis) or 3D (e.g., computed tomography, serial sectioning). These data have been used for different data treatments over the years, whereas several studies assume a certain probability function (e.g., logarithm, square root) to calculate statistical parameters as the mean, median, mode or the skewness of a crystal size distribution. The finally calculated average grain sizes have to be compatible between the different grain size estimation approaches in order to be properly applied, for example, in paleo-piezometers or grain size sensitive flow laws. Such compatibility is tested for different data treatments using one- and two-dimensional measurements. We propose an empirical conversion matrix for different datasets. These conversion factors provide the option to make different datasets compatible with each other, although the primary calculations were obtained in different ways. In order to present an average grain size, we propose to use the area-weighted and volume-weighted mean in the case of unimodal grain size distributions, respectively, for 2D and 3D measurements. The shape of the crystal size distribution is important for studies of nucleation and growth of minerals. The shape of the crystal size distribution of garnet populations is compared between different 2D and 3D measurements, which are serial sectioning and computed tomography. The comparison of different direct measured 3D data; stereological data and direct presented 20 data show the problems of the quality of the smallest grain sizes and the overestimation of small grain sizes in stereological tools, depending on the type of CSD. (C) 2011 Published by Elsevier Ltd.

hMMP9 as predictive factor for response and progression free survival in breast cancer patients treated with bevacizumab and pegylated liposomal doxorubicin (PLD)

Background: The anti-angiogenic drug, bevacizumab (Bv), is currently used in the treatment of different malignancies including breast cancer. Many angiogenesis-associated molecules are found in the circulation of cancer patients. Until now, there are no prognostic or predictive factors identified in breast cancer patients treated with Bv. We present here the first results of the prospective monitoring of 6 angiogenesis-related molecules in the peripheral blood of breast cancer patients treated with a combination of Bv and PLD in the phase II trial, SAKK 24/06. Methods: Patients were treated with PLD (20 mg/m2) and Bv (10 mg/kg) on days 1 and 15 of each 4-week cycle for a maximum of 6 cycles, followed by Bv monotherapy maintenance (10 mg/m2 q2 weeks) until progression or severe toxicity. Plasma and serum samples were collected at baseline, after 2 months of therapy, then every 3 months and at treatment discontinuation. Enzyme-linked immunosorbent assays (Quantikine, R&D Systems and Reliatech) were used to measure the expression levels of human vascular endothelial growth factor (hVEGF), placental growth factor (hPlGF), matrix metalloproteinase 9 (hMMP9) and soluble VEGF receptors hsVEGFR-1, hsVEGFR-2 and hsVEGFR-3. The log-transformed data (to reduce the skewness) for each marker was analyzed using an analysis of variance (ANOVA) model to determine if there was a difference between the mean of the subgroups of interest (where α = 0.05). The untransformed data was also analyzed in the same manner as a "sensitivity" check. Results: 132 blood samples were collected in 41 out of 43 enrolled patients. Baseline levels of the molecules were compared to disease status according to RECIST. There was a statistically significant difference in the mean of the log-transformed levels of hMMP9 between responders [CR+PR] versus the mean in patients with PD (p-value=0.0004, log fold change=0.7536), and between patients with disease control [CR+PR+SD] and those with PD (p-value=<0.0001, log fold change=0.81559), with the log-transformed level of hMMP9 being higher for the responder group. The mean of the log-transformed levels of hsVEGFR-1 was statistically significantly different between patients with disease control [CR+PR+SD] and those with PD (p-value=0.0068, log fold change=-0.6089), where the log-transformed level of hsVEGFR-1 was lower for the responder group. The log-transformed level of hMMP9 at baseline was identified as a significant prognostic factor in terms of progression free survival (PFS): p-value=0.0417, hazard ratio (HR)=0.574 with a corresponding 95% confidence interval (0.336 - 0.979)). No strong correlation was shown either between the log-transformed levels of hsVEGF, hPlGF, hsVEGFR-2 or hsVEGFR-3 and clinical response or the occurrence of severe toxicity, or between the levels of the different molecules. Conclusions: Our results suggest that baseline plasma level of the matrix metalloproteinase, hMMP9, could predict tumor response and PFS in patients treated with a combination of Bv and PLD. These data justify further investigation in breast cancer patients treated with anti-angiogenic therapy.

25-Hydroxyvitamin D in African-origin populations at varying latitudes challenges the construct of a physiologic norm.

BACKGROUND: The vitamin D-endocrine system is thought to play a role in physiologic processes that range from mineral metabolism to immune function. Serum 25-hydroxyvitamin D [25(OH)D] is the accepted biomarker for vitamin D status. Skin color is a key determinant of circulating 25(OH)D concentrations, and genes responsible for melanin content have been shown to be under strong evolutionary selection in populations living in temperate zones. Little is known about the effect of latitude on mean concentrations of 25(OH)D in dark-skinned populations. OBJECTIVE: The objective was to describe the distribution of 25(OH)D and its subcomponents in 5 population samples of African origin from the United States, Jamaica, Ghana, South Africa, and the Seychelles. DESIGN: Participants were drawn from the Modeling of the Epidemiologic Transition Study, a cross-sectional observational study in 2500 adults, ages 25-45 y, enrolled between January 2010 and December 2011. Five hundred participants, ∼50% of whom were female, were enrolled in each of 5 study sites: Chicago, IL (latitude: 41°N); Kingston, Jamaica (17°N); Kumasi, Ghana (6°N); Victoria, Seychelles (4°S); and Cape Town, South Africa (34°S). All participants had an ancestry primarily of African origin; participants from the Seychelles trace their history to East Africa. RESULTS: A negative correlation between 25(OH)D and distance from the equator was observed across population samples. The frequency distribution of 25(OH)D in Ghana was almost perfectly normal (Gaussian), with progressively lower means and increasing skewness observed at higher latitudes. CONCLUSIONS: It is widely assumed that lighter skin color in populations outside the tropics resulted from positive selection, driven in part by the relation between sun exposure, skin melanin content, and 25(OH)D production. Our findings show that robust compensatory mechanisms exist that create tolerance for wide variation in circulating concentrations of 25(OH)D across populations, suggesting a more complex evolutionary relation between skin color and the vitamin D pathway. This trial was registered at clinicaltrials.gov as NCT02111902.

Quantitative Analysis of Myelin and Axonal Remodeling in the Uninjured Motor Network After Stroke.

Contralesional brain connectivity plasticity was previously reported after stroke. This study aims at disentangling the biological mechanisms underlying connectivity plasticity in the uninjured motor network after an ischemic lesion. In particular, we measured generalized fractional anisotropy (GFA) and magnetization transfer ratio (MTR) to assess whether poststroke connectivity remodeling depends on axonal and/or myelin changes. Diffusion-spectrum imaging and magnetization transfer MRI at 3T were performed in 10 patients in acute phase, at 1 and 6 months after stroke, which was affecting motor cortical and/or subcortical areas. Ten age- and gender-matched healthy volunteers were scanned 1 month apart for longitudinal comparison. Clinical assessment was also performed in patients prior to magnetic resonance imaging (MRI). In the contralesional hemisphere, average measures and tract-based quantitative analysis of GFA and MTR were performed to assess axonal integrity and myelination along motor connections as well as their variations in time. Mean and tract-based measures of MTR and GFA showed significant changes in a number of contralesional motor connections, confirming both axonal and myelin plasticity in our cohort of patients. Moreover, density-derived features (peak height, standard deviation, and skewness) of GFA and MTR along the tracts showed additional correlation with clinical scores than mean values. These findings reveal the interplay between contralateral myelin and axonal remodeling after stroke.