The forward- and the equity-premium puzzles: two symptoms of the same illness?

In this paper we revisit the relationship between the equity and the forward premium puzzles. We construct return-based stochastic discount factors under very mild assumptions and check whether they price correctly the equity and the foreign currency risk premia. We avoid log-linearizations by using moments restrictions associated with euler equations to test the capacity of our return-based stochastic discount factors to price returns on the relevant assets. Our main finding is that a pricing kernel constructed only using information on American domestic assets accounts for both domestic and international stylized facts that escape consumption based models. In particular, we fail to reject the null hypothesis that the foreign currency risk premium has zero price when the instrument is the own current value of the forward premium.

The forward- and the equity-premium puzzles: two symptoms of the same illness?

We build a pricing kernel using only US domestic assets data and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our stochastic discount factor as the projection of a pricing kernel from a fully specified model in the space of returns, our results indicate that a model that accounts for the behavior of domestic assets goes a long way toward accounting for the behavior of foreign assets. We address predictability issues associated with the forward premium puzzle by: i) using instruments that are known to forecast excess returns in the moments restrictions associated with Euler equations, and; ii) by pricing Lustig and Verdelhan (2007)'s foreign currency portfolios. Our results indicate that the relevant state variables that explain foreign-currency market asset prices are also the driving forces behind U.S. domestic assets behavior.

The forward- and the equity-premium puzzles: two symptoms of the same illness?

Using information on US domestic financial data only, we build a stochastic discount factor—SDF— and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our SDF as the projection of a pricing kernel from a fully specified model in the space of returns, our results indicate that a model that accounts for the behavior of domestic assets goes a long way toward accounting for the behavior of foreign assets prices. We address predictability issues associated with the forward premium puzzle by: i) using instruments that are known to forecast excess returns in the moments restrictions associated with Euler equations, and; ii) by pricing Lustig and Verdelhan (2007)’s foreign currency portfolios. Our results indicate that the relevant state variables that explain foreign-currency market asset prices are also the driving forces behind U.S. domestic assets behavior.

The forward- and the equity-premium puzzles: two symptoms of the same illness?

Using information on US domestic financial data only, we build a stochastic discount factor—SDF— and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our SDF as the projection of a pricing kernel from a fully specified model in the space of returns, our results indicate that a model that accounts for the behavior of domestic assets goes a long way toward accounting for the behavior of foreign assets prices. We address predictability issues associated with the forward premium puzzle by: i) using instruments that are known to forecast excess returns in the moments restrictions associated with Euler equations, and; ii) by comparing this out-of-sample results with the one obtained performing an in-sample exercise, where the return-based SDF captures sources of risk of a representative set of developed and emerging economies government bonds. Our results indicate that the relevant state variables that explain foreign-currency market asset prices are also the driving forces behind U.S. domestic assets behavior.

The forward and the equity-premium puzzles: a straightforward test of whether they are two symptoms of the same illness

We build a stochastic discount factor—SDF— using information on US domestic financial data only, and provide evidence that it accounts for foreign markets stylized facts that escape SDF’s generated by consumption based models. By interpreting our SDF as the projection of the pricing kernel from a fully specified model in the space of returns, our results indicate that a model that accounts for the behavior of domestic assets goes a long way toward accounting for the behavior of foreign assets prices. In our tests, we address predictability, a defining feature of the Forward Premium Puzzle—FPP— by using instruments that are known to forecast excess returns in the moments restrictions associated with Euler equations both in the equity and the foreign markets.

A note on the forward and the equity-premium puzzles: two symptoms of the same illness?

We build a stochastic discount factor—SDF— using information on US domestic financial data only, and provide evidence that it accounts for foreign markets stylized facts that escape SDF’s generated by consumption based models. By interpreting our SDF as the projection of the pricing kernel from a fully specified model in the space of returns, our results indicate that a model that accounts for the behavior of domestic assets goes a long way toward accounting for the behavior of foreign assets prices. In our tests, we address predictability, a defining feature of the Forward Premium Puzzle—FPP— by using instruments that are known to forecast excess returns in the moments restrictions associated with Euler equations both in the equity and the foreign markets.

The forward and the equity premium puzzles: two symptoms of the same illness?

The Forward Premium Puzzle (FPP) is how the empirical observation of a negative relation between future changes in the spot rates and the forward premium is known. Modeling this forward bias as a risk premium and under weak assumptions on the behavior of the pricing kernel, we characterize the potential bias that is present in the regressions where the FPP is observed and we identify the necessary and sufficient conditions that the pricing kernel has to satisfy to account for the predictability of exchange rate movements. Next, we estimate the pricing kernel applying two methods: i) one, du.e to Araújo et aI. (2005), that exploits the fact that the pricing kernel is a serial correlation common feature of asset prices, and ii) a traditional principal component analysis used as a procedure 1;0 generate a statistical factor modeI. Then, using on the sample and out of the sample exercises, we are able to show that the same kernel that explains the Equity Premi um Puzzle (EPP) accounts for the FPP in all our data sets. This suggests that the quest for an economic mo deI that generates a pricing kernel which solves the EPP may double its prize by simultaneously accounting for the FPP.

Design, Synthesis, and Pharmacological Evaluation of Novel Hybrid Compounds to Treat Sickle Cell Disease Symptoms. Part II: Furoxan Derivatives

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Design, Synthesis, and Pharmacological Evaluation of Novel Hybrid Compounds To Treat Sickle Cell Disease Symptoms

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Prevalence of broncopulmonary and otorhinolaryngologic symptoms in children under investigation for gastroesophageal reflux disease: retrospective analysis

A Doença do Refluxo Gastroesofágico (DRGE) é uma afecção comum na infância, aumentando as evidências de que o refluxo gastroesofágico seja um cofator importante que contribui para as desordens de vias aéreas, principalmente na população pediátrica. É muito comum serem observadas manifestações em vias aéreas superiores e inferiores. Nosso objetivo é avaliar a presença de sintomas otorrinolaringológicos em crianças com idade de um a 12 anos e suspeita de doença do refluxo gastroesofágico. MATERIAIS E MÉTODO: Foram avaliados dados de prontuários de pacientes de até 12 anos submetidos à pHmetria de 24 horas de um ou dois canais, locados a 2 e 5 cm do EEI para confirmação de diagnóstico de Doença do Refluxo Gastroesofágico. RESULTADOS: Foram analisados 143 prontuários de crianças que realizaram pHmetria de 24 horas para investigação de DRGE; porém 65 foram incluídas. Os sintomas mais prevalentes nas crianças eram os broncopulmonares, encontrados em 89,2%, de sintomas nasossinusais (72,3%) , otológicos (46,1%) e de infecções de VAS de repetição (44,6%). Quando comparada a presença de cada grupo de sintomas com o resultado da pHmetria, não foi encontrada diferença significativa entre os sintomas e o resultado da pHmetria. CONCLUSÃO: DRGE pode se manifestar de diversas maneiras e os sintomas otorrinolaringológicos são frequentes em crianças.

Headache and Symptoms of Temporomandibular Disorder: An Epidemiological Study

Objectives.-A population-based cross-sectional study was conducted to estimate the prevalence of migraine, episodic tension-type headaches (ETTH), and chronic daily headaches (CDH), as well as the presence of symptoms of temporomandibular disorders (TMD) in the adult population.Background.-The potential comorbidity of headache syndromes and TMD has been established mostly based on clinic-based studies.Methods.-A representative sample of 1230 inhabitants (51.5% women) was interviewed by a validated phone survey. TMD symptoms were assessed through 5 questions, as recommended by the American Academy of Orofacial Pain, in an attempt to classify possible TMD. Primary headaches were diagnosed based on the International Classification of Headache Disorders.Results.-When at least 1 TMD symptom was reported, any headache happened in 56.5% vs 31.9% (P < .0001) in those with no symptoms. For 2 symptoms, figures were 65.1% vs 36.3% (P < .0001); for 3 or more symptoms, the difference was even more pronounced: 72.8% vs 37.9%. (P < .0001). Taking individuals without headache as the reference, the prevalence of at least 1 TMD symptom was increased in ETTH (prevalence ratio = 1.48, 95% confidence interval = 1.20-1.79), migraine (2.10, 1.80-2.47) and CDH (2.41, 1.84-3.17). At least 2 TMD symptoms also happened more frequently in migraine (4.4, 3.0-6.3), CDH (3.4; 1.5-7.6), and ETTH (2.1; 1.3-3.2), relative to individuals with no headaches. Finally, 3 or more TMD symptoms were also more common in migraine (6.2; 3.8-10.2) than in no headaches. Differences were significant for ETTH (2.7 1.5-4.8), and were numerically but not significant for CDH (2.3; 0.66-8.04).Conclusions.-Temporomandibular disorder symptoms are more common in migraine, ETTH, and CDH relative to individuals without headache. Magnitude of association is higher for migraine. Future studies should clarify the nature of the relationship.

Psychological, biochemical and physiological responses of Brazilian soccer players during a training program

Aims of the study. - The aim of this study is to investigate the behavior of the physiological, biochemical and psychological parameters in Brazilian soccer players during a training program.Materials. - Fifteen athletes were evaluated at the beginning (T1), in the middle (T2) and at the end (T3) of the training program. on the first day, at 7:30 am, before the blood collecting at rest for the determination of serum creatine kinase (CK), serum creatinine and serum urea, the athletes had their psychological parameters assessed by the profile of mood state questionnaire (POMS). After 90 min, they performed a 250-m sprint. on the second day at 8:30 am, the athletes had their alactic anaerobic performance measured and, after 40 min, they completed the aerobic test. Friedman test was used to verify the behavior of overtraining markers.Results. - There was a decrease in vigor score in T3 (p=0.01) compared with T1 and T2. In T3 (p=0.01), the athletes also showed an increase in serum creatinine levels compared to T1. Furthermore, in the same period, we verified a diminishing in the team performance.Conclusion. - The training program developed between T2 and T3 led to the fall of the vigor score, the increase in serum creatinine concentrations and the diminishing in team performance. (c) 2007 Elsevier Masson SAS. All rights reserved.

Sleep, stress, neurocognitive profile and healthrelated quality of life in adolescents with idiopathic musculoskeletal pain

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)