Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions

In this paper, we propose exact inference procedures for asset pricing models that can be formulated in the framework of a multivariate linear regression (CAPM), allowing for stable error distributions. The normality assumption on the distribution of stock returns is usually rejected in empirical studies, due to excess kurtosis and asymmetry. To model such data, we propose a comprehensive statistical approach which allows for alternative - possibly asymmetric - heavy tailed distributions without the use of large-sample approximations. The methods suggested are based on Monte Carlo test techniques. Goodness-of-fit tests are formally incorporated to ensure that the error distributions considered are empirically sustainable, from which exact confidence sets for the unknown tail area and asymmetry parameters of the stable error distribution are derived. Tests for the efficiency of the market portfolio (zero intercepts) which explicitly allow for the presence of (unknown) nuisance parameter in the stable error distribution are derived. The methods proposed are applied to monthly returns on 12 portfolios of the New York Stock Exchange over the period 1926-1995 (5 year subperiods). We find that stable possibly skewed distributions provide statistically significant improvement in goodness-of-fit and lead to fewer rejections of the efficiency hypothesis.

Von Neumann-Morgenstern Stable Sets in Matching Problems

The following properties of the core of a one well-known: (i) the core is non-empty; (ii) the core is a lattice; and (iii) the set of unmatched agents is identical for any two matchings belonging to the core. The literature on two-sided matching focuses almost exclusively on the core and studies extensively its properties. Our main result is the following characterization of (von Neumann-Morgenstern) stable sets in one-to-one matching problem only if it is a maximal set satisfying the following properties : (a) the core is a subset of the set; (b) the set is a lattice; (c) the set of unmatched agents is identical for any two matchings belonging to the set. Furthermore, a set is a stable set if it is the unique maximal set satisfying properties (a), (b) and (c). We also show that our main result does not extend from one-to-one matching problems to many-to-one matching problems.

The Effects of the Length of the Period of Commitment on the Size of Stable International Environmental Agreements

This paper extends the standard model of self-enforcing dynamic international environmental agreements by allowing the length of the period of commitment of such agreements to vary as a parameter. It analyzes the pattern of behavior of the size of stable coalitions, the stock of pollutant and the emission rate as a function of the length of the period of commitment. It is shown that the length of the period of commitment can have very significant effects on the equilibrium. Three distinct intervals for the length of the period of commitment are identified, across which the equilibrium and its dynamic behavior differ considerably. Whereas for sufficiently high values of the period of commitment only self-enforcing agreements of two countries are possible, for sufficiently low such values full cooperation can be generated. Lengths of periods of commitment between those two thresholds are characterized by an inverse relationship between the length of commitment and the membership size of the agreement. This suggests that considerable attention should be given to the determination of the length of such international agreements.

Dérivation de cellules souches pluripotentes induites autologues à partir du clonage somatique équin

Le recours aux cellules souches pour améliorer la réparation et guérison des blessures et maladies musculosquelettiques chez le cheval est de plus en plus fréquent. Les développements récents dans la reprogrammation cellulaire ont permis le développement de nouvelles sources de cellules souches pour ces thérapies régénératives. Des cellules souches pluripotentes induites (iPS) autologues peuvent être dérivées de cellules adultes par la reprogrammation directe à travers l'expression induite des gènes de pluripotence. Le clonage par transfert nucléaire (SCNT) suivi de la dérivation de cellules souches embryonnaires (ES) permet la reprogrammation indirecte des cellules adultes. Cependant, l’efficacité de ces deux méthodes pour la dérivation de cellules pluripotentes génétiquement stables est faible. Nous avons donc combiné les techniques SCNT et iPS dans le but de développer un protocole efficace de dérivation de cellules iPS autologues à partir de fibroblastes de la peau équine. Quatre facteurs de reprogrammation ont été introduits dans les cellules fibroblastes de fœtus clonés (ntFF) ainsi que les cellules ES provenant d’embryons clonés (ntES) pour induire leur reprogrammation en cellules iPS autologues. Les cellules ntFF-iPS et ntES-iPS ont des capacités prolifératives avancées et expriment des marqueurs de pluripotence importants. Par contre, les cellules ntES ont une efficacité de reprogrammation significativement supérieure aux cellules nt-FF et forment des colonies trois fois plus rapidement. Contrairement aux cellules ntES, les cellules ntES-iPS démontrent une augmentation de l’expression des marqueurs de pluripotence et survivent à la culture cellulaire prolongée. Les résultats présentés dans ce mémoire attestent que l’utilisation de la reprogrammation secondaire de cellules FF et ES clonées permet la production de cellules souches pluripotentes autologues stables chez le cheval.