Essays in equilibrium asset pricing

This thesis consists of four essays in equilibrium asset pricing. The main topic is investors' heterogeneity: I investigates the equilibrium implications for the financial markets when investors have different attitudes toward risk. The first chapter studies why expected risk and remuneration on the aggregate market are negatively related, even if intuition and standard theory suggest a positive relation. I show that the negative trade-off can obtain in equilibrium if investors' beliefs about economic fundamentals are procyclically biased and the market Sharpe ratio is countercyclical. I verify that such conditions hold in the real markets and I find empirical support for the risk-return dynamics predicted by the model. The second chapter consists of two essays. The first essay studies how het¬erogeneity in risk preferences interacts with other sources of heterogeneity and how this affects asset prices in equilibrium. Using perceived macroeconomic un¬certainty as source of heterogeneity, the model helps to explain some patterns of financial returns, even if heterogeneity is small as suggested by survey data. The second essay determines conditions such that equilibrium prices have analytical solutions when investors have heterogeneous risk attitudes and macroeconomic fundamentals feature latent uncertainty. This approach provides additional in-sights to the previous literature where models require numerical solutions. The third chapter studies why equity claims (i.e. assets paying a single future dividend) feature premia and risk decreasing with the horizon, even if standard models imply the opposite shape. I show that labor relations helps to explain the puzzle. When workers have bargaining power to exploit partial income insurance within the firm, wages are smoother and dividends are riskier than in a standard economy. Distributional risk among workers and shareholders provides a rationale to the equity short-term risk, which leads to downward sloping term structures of premia and risk for equity claim. Résumé Cette thèse se compose de quatre essais dans l'évaluation des actifs d'équilibre. Le sujet principal est l'hétérogénéité des investisseurs: J'étudie les implications d'équilibre pour les marchés financiers où les investisseurs ont des attitudes différentes face au risque. Le première chapitre étudie pourquoi attendus risque et la rémunération sur le marché global sont liées négativement, même si l'intuition et la théorie standard suggèrent une relation positive. Je montre que le compromis négatif peut obtenir en équilibre si les croyances des investisseurs sur les fondamentaux économiques sont procyclique biaisées et le ratio de Sharpe du marché est anticyclique. Je vérifier que ces conditions sont réalisées dans les marchés réels et je trouve un appui empirique à la dynamique risque-rendement prédites par le modèle. Le deuxième chapitre se compose de deux essais. Le première essai étudie com¬ment hétérogénéité dans les préférences de risque inter agit avec d'autres sources d'hétérogénéité et comment cela affecte les prix des actifs en équilibre. Utili¬sation de l'incertitude macroéconomique perù comme source d'hétérogénéité, le modèle permet d'expliquer certaines tendances de rendements financiers, même si l'hétérogénéité est faible comme suggéré par les données d'enquête. Le deuxième essai détermine des conditions telles que les prix d'équilibre disposer de solutions analytiques lorsque les investisseurs ont des attitudes des risques hétérogènes et les fondamentaux macroéconomiques disposent d'incertitude latente. Cette approche fournit un éclairage supplémentaire à la littérature antérieure où les modèles nécessitent des solutions numériques. Le troisième chapitre étudie pourquoi les equity-claims (actifs que paient un seul dividende futur) ont les primes et le risque décroissante avec l'horizon, mme si les modèles standards impliquent la forme opposée. Je montre que les relations de travail contribue à expliquer l'énigme. Lorsque les travailleurs ont le pouvoir de négociation d'exploiter assurance revenu partiel dans l'entreprise, les salaires sont plus lisses et les dividendes sont plus risqués que dans une économie standard. Risque de répartition entre les travailleurs et les actionnaires fournit une justification à le risque à court terme, ce qui conduit à des term-structures en pente descendante des primes et des risques pour les equity-claims.

Clinical and pathological importance of vacA allele heterogeneity and cagA status in peptic ulcer disease in patients from North Brazil

We have examined the prevalence of gene cagA and vacA alleles in 129 patients, 69 with gastritis and 60 with peptic ulcer diseases from North Brazil and their relation with histopathological data. vacA and cagA genotype were determined by polymerase chain reaction. Hematoxylin-eosin staining was used for histological diagnosis. 96.6% of the patients were colonized by Helicobacter pylori strains harboring single vacA genotype (nont-mixed infection). Among them, 11.8% had subtype s1a, 67.8% had subtype s1b, and 17% subtype s2. In regard to the middle region analysis, m1 alleles were found in 75.4% and m2 in 21.2% of patients. The cagA gene was detected in 78% patients infected with H. pylori and was associated with the s1-m1 vacA genotype. The H. pylori strains, vacA s1b m1/cagA-positive, were associated with increased risk of peptic ulcer disease and higher amounts of lymphocytic and neutrophilic infiltrates and the presence of intestinal metaplasia. These findings show that cagA and vacA genotyping may have clinical relevance in Brazil.

Antigenic heterogeneity of clones and subclones from human melanoma cell lines demonstrated by a panel of monoclonal antibodies and flow microfluorometry analysis.

Cells from two melanoma cell lines, Me43 and GLL-19, were cloned in methylcellulose cultures and 20 randomly selected colonies from each line were picked up by micromanipulation, expanded in liquid cultures, and considered as clones of the original cell lines. The antigenic cell surface phenotype of these clones defined by panel of 12 monoclonal antibodies (MAb) was analyzed by flow microfluorometry (FMF) using a fluorescence-activated cell sorter (FACS II) and compared with the known stable phenotype of the parent cell line. The antibody panel consisted of eight MAb against melanoma-associated antigens, two MAb against monomorphic determinants of HLA-DR (la) and HLA-ABC, respectively, one MAb against the common acute lymphoblastic leukemia antigen (CALLA) and one MAb against carcinoembryonic antigen used as control. A remarkable heterogeneity in terms of qualitative and quantitative expression of the cell surface antigens studied was observed among and within the different clones. The single-cell origin of the clones was assessed by comparing the clonogenic cell frequency, determined by limiting dilutions in microculture plates, with the cloning efficiency observed in Petri dishes. Both techniques using methylcellulose medium gave the same percentages of growing colonies. Cells from four Me43 clones were recloned in methylcellulose and the phenotype of five randomly selected subclones from each clone was analysed using the same panel of monoclonal antibodies. Each subclone also displayed heterogeneity with individual phenotypes different from that of the original clone and from the parental Me43 cell line. The antigen expression by individual cells in situ within clones was analyzed on frozen sections from colonies using the same panel of MAb and a biotin-avidin immunoperoxidase method. The results confirmed the marked heterogeneity of antigen expression within and among colonies, as indicated by the FMF analysis.

Polymorphisms in DNA-Repair Genes in a Cohort of Prostate Cancer Patients from Different Areas in Spain: Heterogeneity between Populations as a Confounding Factor in Association Studies.

BACKGROUND Differences in the distribution of genotypes between individuals of the same ethnicity are an important confounder factor commonly undervalued in typical association studies conducted in radiogenomics. OBJECTIVE To evaluate the genotypic distribution of SNPs in a wide set of Spanish prostate cancer patients for determine the homogeneity of the population and to disclose potential bias. DESIGN SETTING AND PARTICIPANTS A total of 601 prostate cancer patients from Andalusia, Basque Country, Canary and Catalonia were genotyped for 10 SNPs located in 6 different genes associated to DNA repair: XRCC1 (rs25487, rs25489, rs1799782), ERCC2 (rs13181), ERCC1 (rs11615), LIG4 (rs1805388, rs1805386), ATM (rs17503908, rs1800057) and P53 (rs1042522). The SNP genotyping was made in a Biotrove OpenArray® NT Cycler. OUTCOME MEASUREMENTS AND STATISTICAL ANALYSIS Comparisons of genotypic and allelic frequencies among populations, as well as haplotype analyses were determined using the web-based environment SNPator. Principal component analysis was made using the SnpMatrix and XSnpMatrix classes and methods implemented as an R package. Non-supervised hierarchical cluster of SNP was made using MultiExperiment Viewer. RESULTS AND LIMITATIONS We observed that genotype distribution of 4 out 10 SNPs was statistically different among the studied populations, showing the greatest differences between Andalusia and Catalonia. These observations were confirmed in cluster analysis, principal component analysis and in the differential distribution of haplotypes among the populations. Because tumor characteristics have not been taken into account, it is possible that some polymorphisms may influence tumor characteristics in the same way that it may pose a risk factor for other disease characteristics. CONCLUSION Differences in distribution of genotypes within different populations of the same ethnicity could be an important confounding factor responsible for the lack of validation of SNPs associated with radiation-induced toxicity, especially when extensive meta-analysis with subjects from different countries are carried out.

Functional heterogeneity of memory CD4 T cell responses in different conditions of antigen exposure and persistence.

Memory CD4 T cell responses are functionally and phenotypically heterogeneous. In the present study, memory CD4 T cell responses were analyzed in different models of Ag-specific immune responses differing on Ag exposure and/or persistence. Ag-specific CD4 T cell responses for tetanus toxoid, HSV, EBV, CMV, and HIV-1 were compared. Three distinct patterns of T cell response were observed. A dominant single IL-2 CD4 T cell response was associated with the model in which the Ag can be cleared. Polyfunctional (single IL-2 plus IL-2/IFN-gamma plus single IFN-gamma) CD4 T cell responses were associated with Ag persistence and low Ag levels. A dominant single IFN-gamma CD4 T cell response was associated with the model of Ag persistence and high Ag levels. The results obtained supported the hypothesis that the different patterns observed were substantially influenced by different conditions of Ag exposure and persistence.

Profitability, uncertainty and multi-product firm product proliferation: The Spanish car industry

This article studies how product introduction decisions relate to profitability and uncertainty in the context of multi-product firms and product differentiation. These two features, common to many modern industries, have not received much attention in the literature as compared to the classical problem of firm entry, even if the determinants of firm and product entry are quite different. The theoretical predictions about the sign of the impact of uncertainty on product entry are not conclusive. Therefore, an econometric model relating firms’ product introduction decisions with profitability and profit uncertainty is proposed. Firm’s estimated profits are obtained from a structural model of product demand and supply, and uncertainty is proxied by profits’ variance. The empirical analysis is carried out using data on the Spanish car industry for the period 1990-2000. The results show a positive relationship between product introduction and profitability, and a negative one with respect to profit variability. Interestingly, the degree of uncertainty appears to be a driving force of entry stronger than profitability, suggesting that the product proliferation process in the Spanish car market may have been mainly a consequence of lower uncertainty rather than the result of having a more profitable market

Regional Determinants of Firm Entry in a Developing Country

Regional policies aiming to attract new firms are largely based on evidence that originates from Europe, the USA and Japan. This may raise doubts about the usefulness of such policies when applied to developing economies. This paper addresses this issue by providing estimates of the determinants of firm entry in the Argentinean provinces. We find that most of the determinants used in previous studies analysing developed countries are still relevant. However, there is a need for additional explanatory variables that reflect the specificities of developing economies. Key words: firm entry, regional economics, Argentina. JEL: R12; R30; C33

Measuring sustained superior performance at the firm level

This paper proposes a two-dimensional Strategic Performance Measure (SPM) to evaluate the achievement of sustained superior performance. This proposal builds primarily on the fact that, under the strategic management perspective, a firm's prevalent objective is the pursuit of sustained superior performance. Three basicconceptual dimensions stem from this objective: relativity, sign dependence, and dynamism. These are the foundations of the SPM, which carries out a separate evaluation of the attained superior performance and of its sustainability over time. In contrast to existing measures of performance, the SPM provides: (i) a dynamic approach by considering the progress or regress in performance over time, and (ii) a cardinal measurement of performance differences and its changes over time. The paper also proposes an axiomatic framework that ameasure of strategic performance should comply with to be theoretically and managerially sound. Finally, anempirical illustration of the Spanish banking sector during 1987-1999 is herein provided by discussing some relevant case

Long-range heterogeneity at the 3' ends of human mRNAs.

The publication of a draft of the human genome and of large collections of transcribed sequences has made it possible to study the complex relationship between the transcriptome and the genome. In the work presented here, we have focused on mapping mRNA 3' ends onto the genome by use of the raw data generated by the expressed sequence tag (EST) sequencing projects. We find that at least half of the human genes encode multiple transcripts whose polyadenylation is driven by multiple signals. The corresponding transcript 3' ends are spread over distances in the kilobase range. This finding has profound implications for our understanding of gene expression regulation and of the diversity of human transcripts, for the design of cDNA microarray probes, and for the interpretation of gene expression profiling experiments.

Colorectal Cancer Classification and Cell Heterogeneity: A Systems Oncology Approach.

Colorectal cancer is a heterogeneous disease that manifests through diverse clinical scenarios. During many years, our knowledge about the variability of colorectal tumors was limited to the histopathological analysis from which generic classifications associated with different clinical expectations are derived. However, currently we are beginning to understand that under the intense pathological and clinical variability of these tumors there underlies strong genetic and biological heterogeneity. Thus, with the increasing available information of inter-tumor and intra-tumor heterogeneity, the classical pathological approach is being displaced in favor of novel molecular classifications. In the present article, we summarize the most relevant proposals of molecular classifications obtained from the analysis of colorectal tumors using powerful high throughput techniques and devices. We also discuss the role that cancer systems biology may play in the integration and interpretation of the high amount of data generated and the challenges to be addressed in the future development of precision oncology. In addition, we review the current state of implementation of these novel tools in the pathological laboratory and in clinical practice.

Relationships and knowledge in the firm internationalization process

Based on the variables relationship and knowledge, this article aimed at analyzing how a multinational enterprise selects an entry mode to operate in a particular international market and how this initial choice evolves over time. We devised a rather new theoretical framework to address it by combining three theoretical approaches that have dealt with the firm internationalization: the Uppsala model, the relational approach, and the subsidiary development literature. We constructed a qualitative backward-looking longitudinal case study of the internationalization process of a North-American multinational enterprise in the Brazilian market. Results show that four types of relationships and three types of knowledge played the role in the events that characterized the internationalization of this firm. Based on these results, five new hypotheses concerning the interplay between relationships and knowledge in the internationalization process of the firm are suggested for future empirical tests.

Structural alterations of the coronary arterial wall are associated with myocardial flow heterogeneity in type 2 diabetes mellitus.

PURPOSE: To determine the relationship between carotid intima-media thickness (IMT), coronary artery calcification (CAC), and myocardial blood flow (MBF) at rest and during vasomotor stress in type 2 diabetes mellitus (DM). METHODS: In 68 individuals, carotid IMT was measured using high-resolution vascular ultrasound, while the presence of CAC was determined with electron beam tomography (EBT). Global and regional MBF was determined in milliliters per gram per minute with (13)N-ammonia and positron emission tomography (PET) at rest, during cold pressor testing (CPT), and during adenosine (ADO) stimulation. RESULTS: There was neither a relationship between carotid IMT and CAC (r = 0.10, p = 0.32) nor between carotid IMT and coronary circulatory function in response to CPT and during ADO (r = -0.18, p = 0.25 and r = 0.10, p = 0.54, respectively). In 33 individuals, EBT detected CAC with a mean Agatston-derived calcium score of 44 +/- 18. There was a significant difference in regional MBFs between territories with and without CAC at rest and during ADO-stimulated hyperemia (0.69 +/- 0.24 vs. 0.74 +/- 0.23 and 1.82 +/- 0.50 vs. 1.95 +/- 0.51 ml/g/min; p < or = 0.05, respectively) and also during CPT in DM but less pronounced (0.81 +/- 0.24 vs. 0.83 +/- 0.23 ml/g/min; p = ns). The increase in CAC was paralleled with a progressive regional decrease in resting as well as in CPT- and ADO-related MBFs (r = -0.36, p < or = 0.014; r = -0.46, p < or = 0.007; and r = -0.33, p < or = 0.041, respectively). CONCLUSIONS: The absence of any correlation between carotid IMT and coronary circulatory function in type 2 DM suggests different features and stages of early atherosclerosis in the peripheral and coronary circulation. PET-measured MBF heterogeneity at rest and during vasomotor stress may reflect downstream fluid dynamic effects of coronary artery disease (CAD)-related early structural alterations of the arterial wall.