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.

Iterative image reconstruction techniques: cardiothoracic computed tomography applications.

Iterative image reconstruction algorithms provide significant improvements over traditional filtered back projection in computed tomography (CT). Clinically available through recent advances in modern CT technology, iterative reconstruction enhances image quality through cyclical image calculation, suppressing image noise and artifacts, particularly blooming artifacts. The advantages of iterative reconstruction are apparent in traditionally challenging cases-for example, in obese patients, those with significant artery calcification, or those with coronary artery stents. In addition, as clinical use of CT has grown, so have concerns over ionizing radiation associated with CT examinations. Through noise reduction, iterative reconstruction has been shown to permit radiation dose reduction while preserving diagnostic image quality. This approach is becoming increasingly attractive as the routine use of CT for pediatric and repeated follow-up evaluation grows ever more common. Cardiovascular CT in particular, with its focus on detailed structural and functional analyses, stands to benefit greatly from the promising iterative solutions that are readily available.

Genetic causes of transitions from sexual reproduction to asexuality in plants and animals.

The persistence of sexual reproduction in the face of competition from asexual invaders is more likely if asexual lineages are produced infrequently or have low fitness. The generation rate and success of new asexual lineages will be influenced by the proximate mechanisms underlying transitions to asexuality. As such, characterization of these mechanisms can help explain the distribution of reproductive modes among natural populations. Here, we synthesize the literature addressing proximate causes of transitions from sexual to asexual reproduction in plants and animals. In cyclical and facultatively asexual taxa, individual mutations can cause obligate asexuality. The evolution of asexuality in obligately sexual groups is more complex, requiring the simultaneous acquisition of two traits generally controlled by different genetic factors: unreduced gamete formation and spontaneous development of unfertilized gametes. At least three 'pre-adaptations' could favour transitions to obligate asexuality in obligate sexuals. First, linkage among loci affecting separate key components of asexuality facilitates its spread, with evidence for these linkage blocks in plants. Second, asexuality should evolve more readily in haplodiploids; support for this hypothesis comes from two examples where a single locus causes transitions to asexuality. Third, standing genetic variation for the production of unreduced gametes could facilitate transitions to asexuality, but whether the ability to produce unreduced gametes contributes to the evolution of obligate asexuality remains unclear. We close by reviewing the associations between asexuality, hybridization and polyploidy, and argue that current data suggest that hybridization is more likely to play a causal role in transitions to asexuality than polyploidy.

Three essays in control, entrepreneurship and innovation

One of the key emphases of these three essays is to provide practical managerial insight. However, good practical insight, can only be created by grounding it firmly on theoretical and empirical research. Practical experience-based understanding without theoretical grounding remains tacit and cannot be easily disseminated. Theoretical understanding without links to real life remains sterile. My studies aim to increase the understanding of how radical innovation could be generated at large established firms and how it can have an impact on business performance as most businesses pursue innovation with one prime objective: value creation. My studies focus on large established firms with sales revenue exceeding USD $ 1 billion. Usually large established firms cannot rely on informal ways of management, as these firms tend to be multinational businesses operating with subsidiaries, offices, or production facilities in more than one country. I. Internal and External Determinants of Corporate Venture Capital Investment The goal of this chapter is to focus on CVC as one of the mechanisms available for established firms to source new ideas that can be exploited. We explore the internal and external determinants under which established firms engage in CVC to source new knowledge through investment in startups. We attempt to make scholars and managers aware of the forces that influence CVC activity by providing findings and insights to facilitate the strategic management of CVC. There are research opportunities to further understand the CVC phenomenon. Why do companies engage in CVC? What motivates them to continue "playing the game" and keep their active CVC investment status. The study examines CVC investment activity, and the importance of understanding the influential factors that make a firm decide to engage in CVC. The main question is: How do established firms' CVC programs adapt to changing internal conditions and external environments. Adaptation typically involves learning from exploratory endeavors, which enable companies to transform the ways they compete (Guth & Ginsberg, 1990). Our study extends the current stream of research on CVC. It aims to contribute to the literature by providing an extensive comparison of internal and external determinants leading to CVC investment activity. To our knowledge, this is the first study to examine the influence of internal and external determinants on CVC activity throughout specific expansion and contraction periods determined by structural breaks occurring between 1985 to 2008. Our econometric analysis indicates a strong and significant positive association between CVC activity and R&D, cash flow availability and environmental financial market conditions, as well as a significant negative association between sales growth and the decision to engage into CVC. The analysis of this study reveals that CVC investment is highly volatile, as demonstrated by dramatic fluctuations in CVC investment activity over the past decades. When analyzing the overall cyclical CVC period from 1985 to 2008 the results of our study suggest that CVC activity has a pattern influenced by financial factors such as the level of R&D, free cash flow, lack of sales growth, and external conditions of the economy, with the NASDAQ price index as the most significant variable influencing CVC during this period. II. Contribution of CVC and its Interaction with R&D to Value Creation The second essay takes into account the demands of corporate executives and shareholders regarding business performance and value creation justifications for investments in innovation. Billions of dollars are invested in CVC and R&D. However there is little evidence that CVC and its interaction with R&D create value. Firms operating in dynamic business sectors seek to innovate to create the value demanded by changing market conditions, consumer preferences, and competitive offerings. Consequently, firms operating in such business sectors put a premium on finding new, sustainable and competitive value propositions. CVC and R&D can help them in this challenge. Dushnitsky and Lenox (2006) presented evidence that CVC investment is associated with value creation. However, studies have shown that the most innovative firms do not necessarily benefit from innovation. For instance Oyon (2007) indicated that between 1995 and 2005 the most innovative automotive companies did not obtain adequate rewards for shareholders. The interaction between CVC and R&D has generated much debate in the CVC literature. Some researchers see them as substitutes suggesting that firms have to choose between CVC and R&D (Hellmann, 2002), while others expect them to be complementary (Chesbrough & Tucci, 2004). This study explores the interaction that CVC and R&D have on value creation. This essay examines the impact of CVC and R&D on value creation over sixteen years across six business sectors and different geographical regions. Our findings suggest that the effect of CVC and its interaction with R&D on value creation is positive and significant. In dynamic business sectors technologies rapidly relinquish obsolete, consequently firms operating in such business sectors need to continuously develop new sources of value creation (Eisenhardt & Martin, 2000; Qualls, Olshavsky, & Michaels, 1981). We conclude that in order to impact value creation, firms operating in business sectors such as Engineering & Business Services, and Information Communication & Technology ought to consider CVC as a vital element of their innovation strategy. Moreover, regarding the CVC and R&D interaction effect, our findings suggest that R&D and CVC are complementary to value creation hence firms in certain business sectors can be better off supporting both R&D and CVC simultaneously to increase the probability of generating value creation. III. MCS and Organizational Structures for Radical Innovation Incremental innovation is necessary for continuous improvement but it does not provide a sustainable permanent source of competitiveness (Cooper, 2003). On the other hand, radical innovation pursuing new technologies and new market frontiers can generate new platforms for growth providing firms with competitive advantages and high economic margin rents (Duchesneau et al., 1979; Markides & Geroski, 2005; O'Connor & DeMartino, 2006; Utterback, 1994). Interestingly, not all companies distinguish between incremental and radical innovation, and more importantly firms that manage innovation through a one-sizefits- all process can almost guarantee a sub-optimization of certain systems and resources (Davila et al., 2006). Moreover, we conducted research on the utilization of MCS along with radical innovation and flexible organizational structures as these have been associated with firm growth (Cooper, 2003; Davila & Foster, 2005, 2007; Markides & Geroski, 2005; O'Connor & DeMartino, 2006). Davila et al. (2009) identified research opportunities for innovation management and provided a list of pending issues: How do companies manage the process of radical and incremental innovation? What are the performance measures companies use to manage radical ideas and how do they select them? The fundamental objective of this paper is to address the following research question: What are the processes, MCS, and organizational structures for generating radical innovation? Moreover, in recent years, research on innovation management has been conducted mainly at either the firm level (Birkinshaw, Hamel, & Mol, 2008a) or at the project level examining appropriate management techniques associated with high levels of uncertainty (Burgelman & Sayles, 1988; Dougherty & Heller, 1994; Jelinek & Schoonhoven, 1993; Kanter, North, Bernstein, & Williamson, 1990; Leifer et al., 2000). Therefore, we embarked on a novel process-related research framework to observe the process stages, MCS, and organizational structures that can generate radical innovation. This article is based on a case study at Alcan Engineered Products, a division of a multinational company provider of lightweight material solutions. Our observations suggest that incremental and radical innovation should be managed through different processes, MCS and organizational structures that ought to be activated and adapted contingent to the type of innovation that is being pursued (i.e. incremental or radical innovation). More importantly, we conclude that radical can be generated in a systematic way through enablers such as processes, MCS, and organizational structures. This is in line with the findings of Jelinek and Schoonhoven (1993) and Davila et al. (2006; 2007) who show that innovative firms have institutionalized mechanisms, arguing that radical innovation cannot occur in an organic environment where flexibility and consensus are the main managerial mechanisms. They rather argue that radical innovation requires a clear organizational structure and formal MCS.

Developmental stage-specific expression of cyclic adenosine 3',5'-monophosphate response element-binding protein CREB during spermatogenesis involves alternative exon splicing.

Spermatogenesis is a temporally regulated developmental process by which the gonadotropin-responsive somatic Sertoli and Leydig cells act interdependently to direct the maturation of the germinal cells. The metabolism of Sertoli and Leydig cells is regulated by the pituitary gonadotropins FSH and LH, which, in turn, activate adenylate cyclase. Because the cAMP-second messenger pathway is activated by FSH and LH, we postulated that the cAMP-responsive element-binding protein (CREB) plays a physiological role in Sertoli and Leydig cells, respectively. Immunocytochemical analyses of rat testicular sections show a remarkably high expression of CREB in the haploid round spermatids and, to some extent, in pachytene spermatocytes and Sertoli cells. Although most of the CREB antigen is detected in the nuclei, some CREB antigen is also present in the cytoplasm. Remarkably, the cytoplasmic CREB results from the translation of a unique alternatively spliced transcript of the CREB gene that incorporates an exon containing multiple stop codons inserted immediately up-stream of the exons encoding the DNA-binding domain of CREB. Thus, the RNA containing the alternatively spliced exon encodes a truncated transcriptional transactivator protein lacking both the DNA-binding domain and nuclear translocation signal of CREB. Most of the CREB transcripts detected in the germinal cells contain the alternatively spliced exon, suggesting a function of the exon to modulate the synthesis of CREB. In the Sertoli cells we observed a striking cyclical (12-day periodicity) increase in the levels of CREB mRNA that coincides with the splicing out of the restrictive exon containing the stop codons. Because earlier studies established that FSH-stimulated cAMP levels in Sertoli cells are also cyclical, and the CREB gene promoter contains cAMP-responsive enhancers, we suggest that the alternative RNA splicing controls a positive autoregulation of CREB gene expression mediated by cAMP.

The promoter of the gene encoding 3',5'-cyclic adenosine monophosphate (cAMP) response element binding protein contains cAMP response elements: evidence for positive autoregulation of gene transcription.

The transcriptional transactivational activities of the phosphoprotein cAMP-response element-binding protein (CREB) are activated by the cAMP-dependent protein kinase A signaling pathway. Dimers of CREB bind to the palindromic DNA element 5'-TGACGTCA-3' (or similar motifs) called cAMP-responsive enhancers (CREs) found in the control regions of many genes, and activate transcription in response to phosphorylation of CREB by protein kinase A. Earlier we reported on the cyclical expression of the CREB gene in the Sertoli cells of the rat testis that occurred concomitant with the FSH-induced rise in cellular cAMP levels and suggested that transcription of the CREB gene may be autoregulated by cAMP-dependent transcriptional proteins. We now report the structure of the 5'-flanking sequence of the human CREB gene containing promoter activity. The promoter has a high content of guanosines and cytosines and lacks canonical TATA and CCAAT boxes typically found in the promoters of genes in eukaryotes. Notably, the promoter contains three CREs and transcriptional activities of a promoter-luciferase reporter plasmid transfected to placental JEG-3 cells are increased 3- to 5-fold over basal activities in response to either cAMP or 12-O-tetradecanoyl phorbol-14-acetate, and give 6- to 7-fold responses when both agents are added. The CREs bind recombinant CREB and endogenous CREB or CREB-like proteins contained in placental JEG-3 cells and also confer cAMP-inducible transcriptional activation to a heterologous minimal promoter. Our studies suggest that the expression of the CREB gene is positively autoregulated in trans.

The "Abdominal Circulatory Pump": An Auxiliary Heart during Exercise?

Apart from its role as a flow generator for ventilation the diaphragm has a circulatory role. The cyclical abdominal pressure variations from its contractions cause swings in venous return from the splanchnic venous circulation. During exercise the action of the abdominal muscles may enhance this circulatory function of the diaphragm. Eleven healthy subjects (25 ± 7 year, 70 ± 11 kg, 1.78 ± 0.1 m, 3 F) performed plantar flexion exercise at ~4 METs. Changes in body volume (ΔVb) and trunk volume (ΔVtr) were measured simultaneously by double body plethysmography. Volume of blood shifts between trunk and extremities (Vbs) was determined non-invasively as ΔVtr-ΔVb. Three types of breathing were studied: spontaneous (SE), rib cage (RCE, voluntary emphasized inspiratory rib cage breathing), and abdominal (ABE, voluntary active abdominal expiration breathing). During SE and RCE blood was displaced from the extremities into the trunk (on average 0.16 ± 0.33 L and 0.48 ± 0.55 L, p < 0.05 SE vs. RCE), while during ABE it was displaced from the trunk to the extremities (0.22 ± 0.20 L p < 0.001, p < 0.05 RCE and SE vs. ABE respectively). At baseline, Vbs swings (maximum to minimum amplitude) were bimodal and averaged 0.13 ± 0.08 L. During exercise, Vbs swings consistently increased (0.42 ± 0.34 L, 0.40 ± 0.26 L, 0.46 ± 0.21 L, for SE, RCE and ABE respectively, all p < 0.01 vs. baseline). It follows that during leg exercise significant bi-directional blood shifting occurs between the trunk and the extremities. The dynamics and partitioning of these blood shifts strongly depend on the relative predominance of the action of the diaphragm, the rib cage and the abdominal muscles. Depending on the partitioning between respiratory muscles for the act of breathing, the distribution of blood between trunk and extremities can vary by up to 1 L. We conclude that during exercise the abdominal muscles and the diaphragm might play a role of an "auxiliary heart."

Self, mémoire épisodique et narration chez l'enfant de 6 à 9 ans

Le self est une notion polysémique qui fait l'objet d'un consensus relatif dans plusieurs domaines, dont la psychologie du développement. Elle rend compte de la faculté de s'éprouver le même au fil du temps et de distinguer le « je » qui regarde du « moi » regardé. C'est le garant d'un sens de soi plus ou moins cohérent au fil du temps, en dépit des changements qui surviennent au cours de la vie. Le self combine des processus de réflexivité et d'intersubjectivité. Nous en avons analysé trois composantes fonctionnelles : la mémoire de travail, la mémoire épisodique et la narration, à partir d'un protocole expérimental témoignant de son ontogenèse chez des enfants de 6 à 9 ans (n=24 répartis en deux groupes de 6‐7 et 8-9 ans). Nous avons créé le « jeu informatique du lutin » qui propose un parcours semiorienté dans un monde imaginaire. C'est une narration de soi, opérant la mise en sens des temporalités et des espaces auxquels les événements se réfèrent. Deux semaines après cette « aventure », on recueille la narration des souvenirs épisodiques de cette histoire. Nous avons également utilisé un test de mémoire de travail visuospatiale non verbale. Des différences développementales affectent les dimensions narratives de la mémoire de l'épisode du jeu, comme l'efficacité de la mémoire de travail visuospatiale. Ces développements témoignent d'une augmentation de « l'épaisseur temporelle de la conscience» entre 6 et 9 ans. L'épaisseur de la conscience renvoie fondamentalement à la faculté du self de vivre le temps dans une cyclicité incluant le passé, le présent et le futur anticipé. Le développment observé élargit les possibilités de mettre en lien des mémoires et des scénarios futurs, tout comme les mises en sens des relations aux autres et à soi-­même. Self is a polysemic concept of common use in various scientific fields, among which developmental psychology. It accounts for the capacity to maintain the conviction to be « oneself », always the same through circumstances and throughout my life. This important function contributes in maintaining coherence and some sorte of Ariadne's thread in memory. To analyse the ontogeny of the self, we have focused upon three components : working memory, episodic memory and narration in children aged between 6 and 9 years. We used a non verbal working memory task. It was completed by a video game specially designed for our purpose, in which children were engaged in moving an elf in a landscape changing through seasons, in order to deliver a princess from a mischievous wizard. Two weeks after the game, the children had to tell what happened while they moved the elf. It is a self-narrative that creates a link‐up of temporality and spaces to which the events refer. The narrated episode was assessed for its coherence and continuity dimensions. Developmental differences affect the narrative dimensions of the memory of the episode of the game, as the effectiveness of visuospatial working memory. These developments show an increase in "temporal thickness of consciousness" between 6 and 9 years. The thickness of consciousness basically refers to the ability of the self to live in a cyclical time including past, present and anticipated future. The observed development broadens the possibilities to link memories and future scenarios, like setting sense of relations with others and with oneself.