Essays in general equilibrium asset pricing

ABSTRACT : Research in empirical asset pricing has pointed out several anomalies both in the cross section and time series of asset prices, as well as in investors' portfolio choice. This dissertation aims to discover the forces driving some of these "puzzling" asset pricing dynamics and portfolio decisions observed in the financial market. Through the dissertation I construct and study dynamic general equilibrium models of heterogeneous investors in the presence of frictions and evaluate quantitatively their implications for financial-market asset prices and portfolio choice. I also explore the potential roots of puzzles in international finance. Chapter 1 shows that, by introducing jointly endogenous no-default type of borrowing constraints and heterogeneous beliefs in a dynamic general-equilibrium economy, many empirical features of stock return volatility can be reproduced. While most of the research on stock return volatility is empirical, this paper provides a theoretical framework that is able to reproduce simultaneously the cross section and time series stylized facts concerning stock returns and their volatility. In contrast to the existing theoretical literature related to stock return volatility, I don't impose persistence or regimes in any of the exogenous state variables or in preferences. Volatility clustering, asymmetry in the stock return-volatility relationship, and pricing of multi-factor volatility components in the cross section all arise endogenously as a consequence of the feedback between the binding of no-default constraints and heterogeneous beliefs. Chapters 2 and 3 explore the implications of differences of opinion across investors in different countries for international asset pricing anomalies. Chapter 2 demonstrates that several international finance "puzzles" can be reproduced by a single risk factor which captures heterogeneous beliefs across international investors. These puzzles include: (i) home equity preference; (ii) the dependence of firm returns on local and foreign factors; (iii) the co-movement of returns and international capital flows; and (iv) abnormal returns around foreign firm cross-listing events in the local market. These are reproduced in a setup with symmetric information and in a perfectly integrated world with multiple countries and independent processes producing the same good. Chapter 3 shows that by extending this framework to multiple goods and correlated production processes; the "forward premium puzzle" arises naturally as a compensation for the heterogeneous expectations about the depreciation of the exchange rate held by international investors. Chapters 2 and 3 propose differences of opinion across international investors as the potential resolution of several international finance `puzzles'. In a globalized world where both capital and information flow freely across countries, this explanation seems more appealing than existing asymmetric information or segmented markets theories aiming to explain international finance puzzles.

Pièces relatives à l'histoire de la ville de TULLE. I

Contient : Copies de bulles, lettres royaux, etc., concernant l'histoire de la ville de Tulle (1372-1547), extraites des archives et de la Bibliothèque du Roi, des archives de l'église de Tulle et d'originaux en la possession de Baluze ; Accord entre l'évêque et le chapitre de Tulle (1429), extrait du « Codex magnorum statutorum » ; Accords entre Louis d'Aubusson, évêque de Tulle, et Guichard de Comborn, abbé d'Uzerche (1456-1465) ; Hommage fait par Charles de Malemont à Clément de Brillac, évêque de Tulle (18 avril 1503) ; « Acta primi ingressus Hugonis de Albuconia, episcopi Tutellensis » (1451) ; « Acta primi ingressus Dionysii de Barro, episcopi Tutelensis » (1472) ; Serments prêtés par les évêques de Tulle de respecter les libertés de la ville (1495-1561) ; Description de l'église cathédrale de Tulle ; Copie figurée d'une inscription de l'église de Moissac, relative à la dédicace de cette église en 1063 (Cf. Gall. christ., t. I, col. 158) ; Pièces relatives à l'envoi du comte de Ventadour comme gouverneur du Limousin (1634) ; originaux ; Catalogus abbatum et episcoporum Tullensium, par Et. Baluze (placard imprimé ; Tulle, 1669) ; Procès-verbaux « touchant l'argent que la ville a prins des coffres du Roi » (31 octobre 1685) ; copies contemporaines ; Lettres royaux portant convocation de l'assemblée des trois ordres à Tulle pour l'envoi de députés aux Etats généraux (août 1614) ; placard imprimé ; Confirmation par Louis XIII du droit, pour les habitants de Tulle, de percevoir un octroi aux portes de la ville (16 mars 1611-22 novembre 1612) ; Défense faite aux curés de Saint-Pierre et de Saint-Jacques de Tulle de marier des étrangers sans autorisation du maire et des consuls (10 mars 1586) ; Extrait des registres de la Maison de ville de Tulle (1587-1588) ; « Estat de la recette que j'ay fait durant mon quartier, qui a commencé le 1er de septembre 1599 et finy le dernier de novembre audit an ; » original, sans indication de provenance ; Etat de sommes à percevoir dans les diverses parroisses de l'évêché de Tulle (1589) ; original ; Inventaire de titres concernant les vicomtes de Comborn (1441-1489) ; Accensement des revenus de la prévôté de Clergoux (21 janvier 1531-1532 n. st.) ; copie contemporaine ; Pièces relatives au différend entre le vicaire général et le chapitre de Tulle au sujet de l'ouverture du jubilé (avril 1656) ; Lettre du vicaire général, Guillaume Dumas, à M. Javel, sénéchal de Turenne (21 juillet 1655) ; Bulletins de service pour la garde des portes de la ville de Tulle (1586) ; originaux ; Lettre écrite de Tulle [à Baluze ?] par M. Collier (13 mars 1679) ; Mémoires sur la ville de Tulle, par M. Brivazat, vissenéchal de Tulle ; Procès-verbal d'une assemblée de conseillers de ladite ville (20 mars 1586) ; Lettre de G. de Juré aux consuls de la ville de Tulle (s. d.) ; original ; Requête présentée à « nossieurs des Comptes » par Bertrand Fagerdie (s. d.) ; original ; Mémoire sur la gestion du même au siège royal de Tulle (1551) ; Accord entre les habitants de Tulle et ceux de Brive pour le rétablissement du siège royal (1553) ; copie contemporaine ; Lettre d'Etienne de l'Estang à [Antoine] de Noailles, lieutenant du roi en Guyenne, relative à la même affaire (1551) ; copie donnée à Baluze par vyon d'Herouval en 1684 ; Accord entre B. Fagerdie et Antoine de La Tour, chanoine de Tulle (1561) ; original ; Enquête faite au sujet de l'anoblissement de Guillaume de Marne, lieutenant-général au siège de Tulle (1597) ; original ; Anoblissement de Pierre Geneste et de divers autres jurats de la ville de Bordeaux (juin 1589) ; Rôle de taille et taillon de la ville de Tulle (février 1595) ; original ; Factum pour le syndic du clergé du diocèse de Tulle contre les prétendus reformez d'Argentat ; imprimé de 4 p. in-4°, s. d., avec une note relative à la destruction du temple d'Argentat en 1682 ; Mandements et ordonnances des évêques et des vicaires généraux de Tulle (1668-1696) ; placards imprimés

Human leukocyte antigen class II variants and adult-onset asthma: does occupational allergen exposure play a role?

Recently, a locus centred on rs9273349 in the HLA-DQ region emerged from genome-wide association studies of adult-onset asthma. We aimed to further investigate the role of human leukocyte antigen (HLA) class II in adult-onset asthma and a possible interaction with occupational exposures. We imputed classical HLA-II alleles from 7579 single-nucleotide polymorphisms in 6025 subjects (1202 with adult-onset asthma) from European cohorts: ECRHS, SAPALDIA, EGEA and B58C, and from surveys of bakers and agricultural workers. Based on an asthma-specific job-exposure matrix, 2629 subjects had ever been exposed to high molecular weight (HMW) allergens. We explored associations between 23 common HLA-II alleles and adult-onset asthma, and tested for gene-environment interaction with occupational exposure to HMW allergens. Interaction was also tested for rs9273349. Marginal associations of classical HLA-II alleles and adult-onset asthma were not statistically significant. Interaction was detected between the DPB1*03:01 allele and exposure to HMW allergens (p = 0.009), in particular to latex (p = 0.01). In the unexposed group, the DPB1*03:01 allele was associated with adult-onset asthma (OR 0.67, 95%CI 0.53-0.86). HMW allergen exposures did not modify the association of rs9273349 with adult-onset asthma. Common classical HLA-II alleles were not marginally associated with adult-onset asthma. The association of latex exposure and adult-onset asthma may be modified by DPB1*03:01.

A cryptic heterogametic transition revealed by sex-linked DNA markers in Palearctic green toads.

In sharp contrast to birds and mammals, most cold-blooded vertebrates have homomorphic (morphologically undifferentiated) sex chromosomes. This might result either from recurrent X-Y recombination (occurring e.g. during occasional events of sex reversal) or from frequent turnovers (during which sex-determining genes are overthrown by new autosomal mutations). Evidence for turnovers is indeed mounting in fish, but very few have so far been documented in amphibians, possibly because of practical difficulties in identifying sex chromosomes. Female heterogamety (ZW) has long been established in Bufo bufo, based on sex reversal and crossing experiments. Here, we investigate a sex-linked marker identified from a laboratory cross between Palearctic green toads (Bufo viridis subgroup). The F(1) offspring produced by a female Bufo balearicus and a male Bufo siculus were phenotypically sexed, displaying an even sex ratio. A sex-specific marker detected in highly reproducible AFLP genotypes was cloned. Sequencing revealed a noncoding, microsatellite-containing fragment. Reamplification and genotyping of families of this and a reciprocal cross showed B. siculus to be male heterogametic (XY) and suggested the same system for B. balearicus. Our results thus reveal a cryptic heterogametic transition within bufonid frogs and help explain patterns of hybrid fitness within the B. viridis subgroup. Turnovers of genetic sex-determination systems may be more frequent in amphibians than previously thought and thus contribute to the prevalence of homomorphic sex chromosomes in this group.

Evolutionary dynamics of interlinked public goods traits: an experimental study of siderophore production in Pseudomonas aeruginosa.

Public goods cooperation is common in microbes, and there is much interest in understanding how such traits evolve. Research in recent years has identified several important factors that shape the evolutionary dynamics of such systems, yet few studies have investigated scenarios involving interactions between multiple public goods. Here, we offer general predictions about the evolutionary trajectories of two public goods traits having positive, negative or neutral regulatory influence on one another's expression, and we report on a test of some of our predictions in the context of Pseudomonas aeruginosa's production of two interlinked iron-scavenging siderophores. First, we confirmed that both pyoverdine and pyochelin siderophores do operate as public goods under appropriate environmental conditions. We then tracked their production in lines experimentally evolved under different iron-limitation regimes known to favour different siderophore expression profiles. Under strong iron limitation, where pyoverdine represses pyochelin, we saw a decline in pyoverdine and a concomitant increase in pyochelin - consistent with expansion of pyoverdine-defective cheats derepressed for pyochelin. Under moderate iron limitation, pyochelin declined - again consistent with an expected cheat invasion scenario - but there was no concomitant shift in pyoverdine because cross-suppression between the traits is unidirectional only. Alternating exposure to strong and moderate iron limitation caused qualitatively similar though lesser shifts compared to the constant-environment regimes. Our results confirm that the regulatory interconnections between public goods traits can significantly modulate the course of evolution, yet also suggest how we can start to predict the impacts such complexities will have on phenotypic divergence and community stability.

Lack of the alanine-serine-cysteine transporter 1 causes tremors, seizures, and early postnatal death in mice.

The Na(+)-independent alanine-serine-cysteine transporter 1 (Asc-1) is exclusively expressed in neuronal structures throughout the central nervous system (CNS). Asc-1 transports small neutral amino acids with high affinity especially for D-serine and glycine (K(i): 8-12 microM), two endogenous glutamate co-agonists that activate N-methyl-D-aspartate (NMDA) receptors through interacting with the strychnine-insensitive glycine binding-site. By regulating D-serine (and possibly glycine) levels in the synaptic cleft, Asc-1 may play an important role in controlling neuronal excitability. We generated asc-1 gene knockout (asc-1(-/-)) mice to test this hypothesis. Behavioral phenotyping combined with electroencephalogram (EEG) recordings revealed that asc-1(-/-) mice developed tremors, ataxia, and seizures that resulted in early postnatal death. Both tremors and seizures were reduced by the NMDA receptor antagonist MK-801. Extracellular recordings from asc-1(-/-) brain slices indicated that the spontaneous seizure activity did not originate in the hippocampus, although, in this region, a relative increase in evoked synaptic responses was observed under nominal Mg(2+)-free conditions. Taken together with the known neurochemistry and neuronal distribution of the Asc-1 transporter, these results indicate that the mechanism underlying the behavioral hyperexcitability in mutant mice is likely due to overactivation of NMDA receptors, presumably resulting from elevated extracellular D-serine. Our study provides the first evidence to support the notion that Asc-1 transporter plays a critical role in regulating neuronal excitability, and indicate that the transporter is vital for normal CNS function and essential to postnatal survival of mice.

Naturaleza del héroe en las novelas de capa y espada (Le Bossu de Paul Féval)

Penetrar en el mundo de las novelas de capa y espada significa franquear el umbral del mundo encarnado de los cuentos de hadas en dónde el héroe y la heroína conservan todas sus características fundamentales, aquellas que les convierten en modelos utópicos del deseo y del ensueño. Le Bossu realiza además la fusión clara con el cuento de hadas al final de la primera partecuando astucia y maldad se unen paraproporcionar a la heredera de Nevers su entrada en el mundo que le corresponde por derecho de nacimiento. Como una nueva Cenicienta, Aurore recibirá de manos de su padastro con el beneplácito de Lagardére las más preciosas galas para asistir al baile del Regente, consagración del banquero Law. Cuento, realidad, ensoñación maravillosa, todos esos elementos se conjugan para estallar en el brillante dominó rosa que lucirá Aurore en el baile constituyendo el punto álgido de su destino. A partir de ese momento, Aurore perderá la inocencia y ya no le será permitido ignorar la lucha por la felicidad. Como Cenicienta, igual que Cenicienta tendrá que luchar con todas sus fuerzas paraque su príncipe pueda calzarle el zapato de cristal de la felicidad. A lo largo de todo el siglo xx el modelo de las novelas de capa y espada se repite. Como indiscutible padre del género debe de reconocerse a Alexandre Dumas con Les Trois Mousquetaires, publicada en 1844. En otras muchas de sus novelas reproducirá los elementos que le hicieron célebre aunque no supere a esta que se convierte en paradigmática. Paul Féval publica, a la sombra de Dumas, ello es evidente, Le Bossu en 1857. En los inicios del siglo xx, la novela de capa y espada encuentra un nuevo defensor, que cierra magníficamente el ciclo. Nos referimos a Michel Zévaco con Les Pordaillan. Situado en medio de Dumas y de Zévaco, Le Bos»u con su protagonista principal, Henri de Lagard6re, nos ofrece todos los elementos indispensables para el análisis del héroe en este tipo de creaciones.

Co-evolutionary dynamics between public good producers and cheats in the bacterium Pseudomonas aeruginosa.

The production of beneficial public goods is common in the microbial world, and so is cheating - the exploitation of public goods by nonproducing mutants. Here, we examine co-evolutionary dynamics between cooperators and cheats and ask whether cooperators can evolve strategies to reduce the burden of exploitation, and whether cheats in turn can improve their exploitation abilities. We evolved cooperators of the bacterium Pseudomonas aeruginosa, producing the shareable iron-scavenging siderophore pyoverdine, together with cheats, defective in pyoverdine production but proficient in uptake. We found that cooperators managed to co-exist with cheats in 56% of all replicates over approximately 150 generations of experimental evolution. Growth and competition assays revealed that co-existence was fostered by a combination of general adaptions to the media and specific adaptions to the co-evolving opponent. Phenotypic screening and whole-genome resequencing of evolved clones confirmed this pattern, and suggest that cooperators became less exploitable by cheats because they significantly reduced their pyoverdine investment. Cheats, meanwhile, improved exploitation efficiency through mutations blocking the costly pyoverdine-signalling pathway. Moreover, cooperators and cheats evolved reduced motility, a pattern that likely represents adaptation to laboratory conditions, but at the same time also affects social interactions by reducing strain mixing and pyoverdine sharing. Overall, we observed parallel evolution, where co-existence of cooperators and cheats was enabled by a combination of adaptations to the abiotic and social environment and their interactions.

Optical and microstructural properties of MgF2 UV coatings grown by ion beam sputtering process

The optical, mechanical, and microstructural properties of MgF2 single layers grown by ion beam sputtering have been investigated by spectrophotometric measurements, film stress characterization, x-ray photoelectron spectroscopy (XPS), x-ray diffraction, and transmission electron microscopy. The deposition conditions, using fluorine reactive gas or not, have been found to greatly influence the optical absorption and the stress of the films as well as their microstructure. The layers grown with fluorine compensation exhibit a regular columnar microstructure and an UV-optical absorption which can be very low, either as deposited or after thermal annealings at very low temperatures. On the contrary, layers grown without fluorine compensation exhibit a less regular microstructure and a high ultraviolet absorption which is particularly hard to cure. On the basis of calculations, it is shown that F centers are responsible for this absorption, whereas all the films were found to be stoichiometric, in the limit of the XPS sensitivity. On the basis of external data taken from literature, our experimental curves are analyzed, so we propose possible diffusion mechanisms which could explain the behaviors of the coatings.

A importância da lei de Gay-Lussac para a classificação dos compostos orgânicos

This article shows the genesis of the law of volumes of combining gases, formulated by Gay-Lussac in 1808, and how it allowed the expression of the composition of organic compounds in terms of whole numbers of volumes, thus leading to the first classification of organic compounds, formulated by Dumas and Boullay in 1828. It was from this work that Organic Chemistry began to shed its purely taxonomic nature, analogous to what prevailed in Natural History, and to then develop in a vigorous and continuous process, initiating what may be the most significant historical phenomenon in the History of Chemistry of the nineteenth century.