Essays in equilibrium asset pricing

Introduction This dissertation consists of three essays in equilibrium asset pricing. The first chapter studies the asset pricing implications of a general equilibrium model in which real investment is reversible at a cost. Firms face higher costs in contracting than in expanding their capital stock and decide to invest when their productive capital is scarce relative to the overall capital of the economy. Positive shocks to the capital of the firm increase the size of the firm and reduce the value of growth options. As a result, the firm is burdened with more unproductive capital and its value lowers with respect to the accumulated capital. The optimal consumption policy alters the optimal allocation of resources and affects firm's value, generating mean-reverting dynamics for the M/B ratios. The model (1) captures convergence of price-to-book ratios -negative for growth stocks and positive for value stocks - (firm migration), (2) generates deviations from the classic CAPM in line with the cross-sectional variation in expected stock returns and (3) generates a non-monotone relationship between Tobin's q and conditional volatility consistent with the empirical evidence. The second chapter proposes a standard portfolio-choice problem with transaction costs and mean reversion in expected returns. In the presence of transactions costs, no matter how small, arbitrage activity does not necessarily render equal all riskless rates of return. When two such rates follow stochastic processes, it is not optimal immediately to arbitrage out any discrepancy that arises between them. The reason is that immediate arbitrage would induce a definite expenditure of transactions costs whereas, without arbitrage intervention, there exists some, perhaps sufficient, probability that these two interest rates will come back together without any costs having been incurred. Hence, one can surmise that at equilibrium the financial market will permit the coexistence of two riskless rates that are not equal to each other. For analogous reasons, randomly fluctuating expected rates of return on risky assets will be allowed to differ even after correction for risk, leading to important violations of the Capital Asset Pricing Model. The combination of randomness in expected rates of return and proportional transactions costs is a serious blow to existing frictionless pricing models. Finally, in the last chapter I propose a two-countries two-goods general equilibrium economy with uncertainty about the fundamentals' growth rates to study the joint behavior of equity volatilities and correlation at the business cycle frequency. I assume that dividend growth rates jump from one state to other, while countries' switches are possibly correlated. The model is solved in closed-form and the analytical expressions for stock prices are reported. When calibrated to the empirical data of United States and United Kingdom, the results show that, given the existing degree of synchronization across these business cycles, the model captures quite well the historical patterns of stock return volatilities. Moreover, I can explain the time behavior of the correlation, but exclusively under the assumption of a global business cycle.

I have faith in my thing, you know what I mean? Mixed method elements on individual investments on religious markets.

In contemporary society, religious signification and secular systems mix and influence each other. Holistic conceptions of a world in which man is integrated harmoniously with nature meet representations of a world run by an immanent God. On the market of the various systems, the individual goes from one system to another, following his immediate needs and expectations without necessarily leaving any marks in a meaningful long term system. This article presents the first results of an ongoing research in Switzerland on contemporary religion focusing on (new) paths of socialization of modern that individuals and the various (non-) belief systems that they simultaneously develop

Mean platelet volume in the early phase of acute ischemic stroke is not associated with severity or functional outcome.

Background: Previous studies reported an increase of mean platelet volume (MPV) in patients with acute ischemic stroke. However, its correlation with stroke severity has not been investigated. Moreover, studies on the association of MPV with functional outcome yielded inconsistent results. Methods: We included all consecutive ischemic stroke patients admitted to CHUV (Centre Hospitalier Universitaire Vaudois) Neurology Service within 24 h after stroke onset who had MPV measured on admission. The association of MPV with stroke severity (NIHSS score at admission and at 24 h) and outcome (Rankin Scale score at 3 and 12 months) was analyzed in univariate analysis. The chi(2) test was performed to compare the frequency of minor strokes (NIHSS score </=4) and good functional outcome (Rankin Scale score </=2) across MPV quartiles. The ANOVA test was used to compare MPV between stroke subtypes according to the TOAST classification. Student's two-tailed unpaired t test was performed to compare MPV between lacunar and nonlacunar strokes. MPV was generated at admission by the Sysmex XE-2100 automated cell counter (Sysmex Corporation, Kobe, Japan) from EDTA blood samples. Results: There was no significant difference in the frequency of minor strokes (p = 0.46) and good functional outcome (p = 0.06) across MPV quartiles. MPV was not associated with stroke severity or outcome in univariate analysis. There was no significant difference in MPV between stroke subtypes according to the TOAST classification (p = 0.173) or between lacunar and nonlacunar strokes (10.50 +/- 0.91 vs. 10.40 +/- 0.81 fl, p = 0.322). Conclusions: MPV, assessed within 24 h after ischemic stroke onset, is not associated with stroke severity or functional outcome.

Interaction between calcium intake and menarcheal age on bone mass gain: an eight-year follow-up study from prepuberty to postmenarche.

Both late menarcheal age and low calcium intake (Ca intake) during growth are risk factors for osteoporosis, probably by impairing peak bone mass. We investigated whether lasting gain in areal bone mineral density (aBMD) in response to increased Ca intake varies according to menarcheal age and, conversely, whether Ca intake could influence menarcheal age. In an initial study, 144 prepubertal girls were randomized in a double-blind controlled trial to receive either a Ca supplement (Ca-suppl.) of 850 mg/d or placebo from age 7.9-8.9 yr. Mean aBMD gain determined by dual energy x-ray absorptiometry at six sites (radius metaphysis, radius diaphysis, femoral neck, trochanter, femoral diaphysis, and L2-L4) was significantly (P = 0.004) greater in the Ca-suppl. than in the placebo group (27 vs. 21 mg/cm(2)). In 122 girls followed up, menarcheal age was recorded, and aBMD was determined at 16.4 yr of age. Menarcheal age was lower in the Ca-suppl. than in the placebo group (P = 0.048). Menarcheal age and Ca intake were negatively correlated (r = -0.35; P < 0.001), as were aBMD gains from age 7.9-16.4 yr and menarcheal age at all skeletal sites (range: r = -0.41 to r = -0.22; P < 0.001 to P = 0.016). The positive effect of Ca-suppl. on the mean aBMD gain from baseline remained significantly greater in girls below, but not in those above, the median of menarcheal age (13.0 yr). Early menarcheal age (12.1 +/- 0.5 yr): placebo, 286 +/- 36 mg/cm(2); Ca-suppl., 317 +/- 46 (P = 0.009); late menarcheal age (13.9 +/- 0.5 yr): placebo, 284 +/- 58; Ca-suppl., 276 +/- 50 (P > 0.05). The level of Ca intake during prepuberty may influence the timing of menarche, which, in turn, could influence long-term bone mass gain in response to Ca supplementation. Thus, both determinants of early menarcheal age and high Ca intake may positively interact on bone mineral mass accrual.

Body mass index: comparing mean values and prevalence rates from telephone and examination surveys.

BACKGROUND: Cost effective means of assessing the levels of risk factors in the population have to be defined in order to monitor these factors over time and across populations. This study is aimed at analyzing the difference in population estimates of the mean levels of body mass index (BMI) and the prevalences of overweight, between health examination survey and telephone survey. METHODS: The study compares the results of two health surveys, one by telephone (N=820) and the other by physical examination (N=1318). The two surveys, based on independent random samples of the population, were carried out over the same period (1992-1993) in the same population (canton of Vaud, Switzerland). RESULTS: Overall participation rates were 67% and 53% for the health interview survey (HIS) and the health examination survey (HES) respectively. In the HIS, the reporting rate was over 98% for weight and height values. Self-reported weight was on average lower than measured weight, by 2.2 kg in men and 3.5 kg in women, while self-reported height was on average greater than measured height, by 1.2 cm in men and 1.9 cm in women. As a result, in comparison to HES, HIS led to substantially lower mean levels of BMI, and to a reduction of the prevalence rates of obesity (BMI>30 kg/m(2)) by more than a half. These differences are larger for women than for men. CONCLUSION: The two surveys were based on different sampling procedures. However, this difference in design is unlikely to explain the systematic bias observed between self-reported and measured values for height and weight. This bias entails the overall validity of BMI assessment from telephone surveys.

Prosodic differences between Germans and German-speaking Swiss in L2

Cette recherche étudie dans quelle mesure l'origine géographique d'un locuteur influence son accent dans une langue étrangère. L'anglais et le français parlés par des Allemands et des Suisses alémaniques sont examinés à travers une expérience de perception et d'analyses phonétiques. L'expérience de perception démontre que les participants sont bien capables d'indiquer si une phrase est lue par un Allemand ou un Suisse alémanique; les participants de langue maternelle allemande y réussissent le mieux. L'analyse prosodique permet d'observer de nettes différences entre les deux groupes de locuteurs. Dans la lecture des phrases françaises, les Suisses alémaniques ont tendance à accentuer la première syllabe des mots, en montant avec leur intonation et en prolongeant la durée des voyelles. Les Allemands, en revanche, accentuent par une intonation fortement montante la dernière syllabe des mots.

Alcohol drinking and cardiovascular risk in a population with high mean alcohol consumption.

Moderate alcohol consumption has been associated with lower coronary artery disease (CAD) risk. However, data on the CAD risk associated with high alcohol consumption are conflicting. The aim of this study was to examine the impact of heavier drinking on 10-year CAD risk in a population with high mean alcohol consumption. In a population-based study of 5,769 adults (aged 35 to 75 years) without cardiovascular disease in Switzerland, 1-week alcohol consumption was categorized as 0, 1 to 6, 7 to 13, 14 to 20, 21 to 27, 28 to 34, and > or =35 drinks/week or as nondrinkers (0 drinks/week), moderate (1 to 13 drinks/week), high (14 to 34 drinks/week), and very high (> or =35 drinks/week). Blood pressure and lipids were measured, and 10-year CAD risk was calculated according to the Framingham risk score. Seventy-three percent (n = 4,214) of the participants consumed alcohol; 16% (n = 909) were high drinkers and 2% (n = 119) very high drinkers. In multivariate analysis, increasing alcohol consumption was associated with higher high-density lipoprotein cholesterol (from a mean +/- SE of 1.57 +/- 0.01 mmol/L in nondrinkers to 1.88 +/- 0.03 mmol/L in very high drinkers); triglycerides (1.17 +/- 1.01 to 1.32 +/- 1.05 mmol/L), and systolic and diastolic blood pressure (127.4 +/- 0.4 to 132.2 +/- 1.4 mm Hg and 78.7 +/- 0.3 to 81.7 +/- 0.9 mm Hg, respectively) (all p values for trend <0.001). Ten-year CAD risk increased from 4.31 +/- 0.10% to 4.90 +/- 0.37% (p = 0.03) with alcohol use, with a J-shaped relation. Increasing wine consumption was more related to high-density lipoprotein cholesterol levels, whereas beer and spirits were related to increased triglyceride levels. In conclusion, as measured by 10-year CAD risk, the protective effect of alcohol consumption disappears in very high drinkers, because the beneficial increase in high-density lipoprotein cholesterol is offset by the increases in blood pressure levels.

Improvement in secondary hyperparathyroidism due to drug adherence monitoring in dialysis patients.

BACKGROUND: Poor medication adherence is a frequent cause of treatment failure but is difficult to diagnose. In this study we have evaluated the impact of measuring adherence to cinacalcet-HCl and phosphate binders in dialysis patients with uncontrolled secondary hyperparathyroidism. METHODS: 7 chronic dialysis patients with iPTH-levels >= 300 pg/ml despite treatment with >= 60 mg cinacalcet-HCl were included. Medication adherence was measured using the "Medication Events Monitoring System" during 3 months, followed by another 3-month period without monitoring. The adherence results were monthly discussed with the patients, as well as strategies to improve them. RESULTS: During monitoring, the percentage of prescribed doses taken was higher for cinacalcet-HCl (87.4%) and sevelamer (86.3%) than for calcium acetate (76.1%), as was the taking adherence (81.9% vs. 57.3% vs. 49.1%) but not the percentage of drug holidays (12.3% vs. 4.5% vs. 3.6%). Mean PO4 levels (from 2.24 +/- 0.6 mmol/l to 1.73 +/- 0.41 mmol/l; p = 0.14) and Ca++ x PO4 product (4.73 +/- 1.43 to 3.41 +/- 1.04 mmol2/l2; p = 0.12) improved and iPTH-level improved significantly from 916 +/- 618 pg/ml to 442 +/- 326 pg/ml (p = 0.04), without any change in medication. However, as drug monitoring was interrupted, all laboratory parameters worsened again. CONCLUSIONS: Assessment of drug adherence helped to document episodes of non-compliance and helped to avoid seemingly necessary dose increases.

Phosphorylation of Phytochrome B Inhibits Light-Induced Signaling via Accelerated Dark Reversion in Arabidopsis.

The photoreceptor phytochrome B (phyB) interconverts between the biologically active Pfr (λmax = 730 nm) and inactive Pr (λmax = 660 nm) forms in a red/far-red-dependent fashion and regulates, as molecular switch, many aspects of light-dependent development in Arabidopsis thaliana. phyB signaling is launched by the biologically active Pfr conformer and mediated by specific protein-protein interactions between phyB Pfr and its downstream regulatory partners, whereas conversion of Pfr to Pr terminates signaling. Here, we provide evidence that phyB is phosphorylated in planta at Ser-86 located in the N-terminal domain of the photoreceptor. Analysis of phyB-9 transgenic plants expressing phospho-mimic and nonphosphorylatable phyB-yellow fluorescent protein (YFP) fusions demonstrated that phosphorylation of Ser-86 negatively regulates all physiological responses tested. The Ser86Asp and Ser86Ala substitutions do not affect stability, photoconversion, and spectral properties of the photoreceptor, but light-independent relaxation of the phyB(Ser86Asp) Pfr into Pr, also termed dark reversion, is strongly enhanced both in vivo and in vitro. Faster dark reversion attenuates red light-induced nuclear import and interaction of phyB(Ser86Asp)-YFP Pfr with the negative regulator PHYTOCHROME INTERACTING FACTOR3 compared with phyB-green fluorescent protein. These data suggest that accelerated inactivation of the photoreceptor phyB via phosphorylation of Ser-86 represents a new paradigm for modulating phytochrome-controlled signaling.

Structural and mean level analyses of the Five-Factor Model and Locus of Control: Further evidence from Africa

The present study examines the Five-Factor Model (FFM) of personality and locus of control in French-speaking samples in Burkina Faso (N = 470) and Switzerland (Ns = 1,090, 361), using the Revised NEO Personality Inventory (NEO-PI-R) and Levenson's Internality, Powerful others, and Chance (IPC) scales. Alpha reliabilities were consistently lower in Burkina Faso, but the factor structure of the NEO-PI-R was replicated in both cultures. The intended three-factor structure of the IPC could not be replicated, although a two-factor solution was replicable across the two samples. Although scalar equivalence has not been demonstrated, mean level comparisons showed the hypothesized effects for most of the five factors and locus of control; Burkinabè scored higher in Neuroticism than anticipated. Findings from this African sample generally replicate earlier results from Asian and Western cultures, and are consistent with a biologically-based theory of personality.

National character does not reflect mean personality trait levels in 49 cultures

Most people hold beliefs about personality characteristics typical members of their own and others' cultures. These perceptions of national character may be generalizations from personal experience, stereotypes with a "kernel of truth", or inaccurate stereotypes. We obtained national character ratings of 3989 people from 49 cultures and compared them with the average personality scores of culture members assessed by observer ratings and self-reports. National character ratings were reliable but did not converge with assessed traits. Perceptions of national character thus appear to be unfounded stereotypes that may serve the function of maintaining a national identity.

The truncated mean of an asymmetric distribution

This paper investigates a simple procedure to estimate robustly the mean of an asymmetric distribution. The procedure removes the observations which are larger or smaller than certain limits and takes the arithmetic mean of the remaining observations, the limits being determined with the help of a parametric model, e.g., the Gamma, the Weibull or the Lognormal distribution. The breakdown point, the influence function, the (asymptotic) variance, and the contamination bias of this estimator are explored and compared numerically with those of competing estimates.

Ambulatory blood pressure monitoring: a mean to stratify cardiovascular risk.

OBJECTIVE: Current hypertension guidelines stress the importance to assess total cardiovascular risk but do not describe precisely how to use ambulatory blood pressures in the cardiovascular risk stratification. METHOD: We calculated here global cardiovascular risk according to 2003 European Society of Hypertension/European Society of Cardiology guidelines in 127 patients in whom daytime ambulatory blood pressures were recorded and carotid/femoral ultrasonography performed. RESULTS: The presence of ambulatory blood pressures >or =135/85 mmHg shifted cardiovascular risk to higher categories, as did the presence of hypercholesterolemia and, even more so, the presence of atherosclerotic plaques. CONCLUSION: Further studies are, however, needed to define the position of ambulatory blood pressures in the assessment of cardiovascular risk.

Hypertension is an independent predictor of mean platelet volume in patients with acute ischaemic stroke.

Introduction: Mean platelet volume (MPV) was shown to be significantly increased in patients with acute ischaemic stroke, especially in non-lacunar strokes. Moreover, some studies concluded that increased MPV is related to poor functional outcome after ischaemic stroke, although this association is still controversial. However, the determinants of MPV in patients with acute ischaemic stroke have never been investigated. Subjects and methods: We recorded the main demographic, clinical and laboratory data of consecutive patients with acute (admitted within 24 h after stroke onset) ischaemic stroke admitted in our Neurology Service between January 2003 and December 2008. MPV was generated at admission by the Sysmex XE-2100 automated cell counter (Sysmex Corporation, Kobe, Japan) from ethylenediaminetetraacetic acid blood samples stored at room temperature until measurement. The association of these parameters with MPV was investigated in univariate and multivariate analysis. Results: A total of 636 patients was included in our study. The median MPV was 10.4 ± 0.82 fL. In univariate analysis, glucose (β= 0.03, P= 0.05), serum creatinine (β= 0.002, P= 0.02), haemoglobin (β= 0.009, P < 0.001), platelet count (β=-0.002, P < 0.001) and history of arterial hypertension (β= 0.21, P= 0.005) were found to be significantly associated with MPV. In multivariate robust regression analysis, only hypertension and platelet count remained as independent determinants of MPV. Conclusions: In patients with acute ischaemic stroke, platelet count and history of hypertension are the only determinants of MPV.