Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the frame-work of multivariate linear regressions (MLR). It is well known however that despite their simple statistical structure, standard asymptotically justified MLR-based tests are unreliable. In financial econometrics, exact tests have been proposed for a few specific hypotheses [Jobson and Korkie (Journal of Financial Economics, 1982), MacKinlay (Journal of Financial Economics, 1987), Gib-bons, Ross and Shanken (Econometrica, 1989), Zhou (Journal of Finance 1993)], most of which depend on normality. For the gaussian model, our tests correspond to Gibbons, Ross and Shanken’s mean-variance efficiency tests. In non-gaussian contexts, we reconsider mean-variance efficiency tests allowing for multivariate Student-t and gaussian mixture errors. Our framework allows to cast more evidence on whether the normality assumption is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for multivariate GARCH and mul-tivariate generalization of the well known variance ratio tests) and goodness of fit tests as well as a set estimate for the intervening nuisance parameters. Our results [over five-year subperiods] show the following: (i) multivariate normality is rejected in most subperiods, (ii) residual checks reveal no significant departures from the multivariate i.i.d. assumption, and (iii) mean-variance efficiency tests of the market portfolio is not rejected as frequently once it is allowed for the possibility of non-normal errors.

Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models

In this paper, we propose several finite-sample specification tests for multivariate linear regressions (MLR) with applications to asset pricing models. We focus on departures from the assumption of i.i.d. errors assumption, at univariate and multivariate levels, with Gaussian and non-Gaussian (including Student t) errors. The univariate tests studied extend existing exact procedures by allowing for unspecified parameters in the error distributions (e.g., the degrees of freedom in the case of the Student t distribution). The multivariate tests are based on properly standardized multivariate residuals to ensure invariance to MLR coefficients and error covariances. We consider tests for serial correlation, tests for multivariate GARCH and sign-type tests against general dependencies and asymmetries. The procedures proposed provide exact versions of those applied in Shanken (1990) which consist in combining univariate specification tests. Specifically, we combine tests across equations using the MC test procedure to avoid Bonferroni-type bounds. Since non-Gaussian based tests are not pivotal, we apply the “maximized MC” (MMC) test method [Dufour (2002)], where the MC p-value for the tested hypothesis (which depends on nuisance parameters) is maximized (with respect to these nuisance parameters) to control the test’s significance level. The tests proposed are applied to an asset pricing model with observable risk-free rates, using monthly returns on New York Stock Exchange (NYSE) portfolios over five-year subperiods from 1926-1995. Our empirical results reveal the following. Whereas univariate exact tests indicate significant serial correlation, asymmetries and GARCH in some equations, such effects are much less prevalent once error cross-equation covariances are accounted for. In addition, significant departures from the i.i.d. hypothesis are less evident once we allow for non-Gaussian errors.

Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-fit in Multivariate Regressions with Application to Asset Pricing Models

We study the problem of testing the error distribution in a multivariate linear regression (MLR) model. The tests are functions of appropriately standardized multivariate least squares residuals whose distribution is invariant to the unknown cross-equation error covariance matrix. Empirical multivariate skewness and kurtosis criteria are then compared to simulation-based estimate of their expected value under the hypothesized distribution. Special cases considered include testing multivariate normal, Student t; normal mixtures and stable error models. In the Gaussian case, finite-sample versions of the standard multivariate skewness and kurtosis tests are derived. To do this, we exploit simple, double and multi-stage Monte Carlo test methods. For non-Gaussian distribution families involving nuisance parameters, confidence sets are derived for the the nuisance parameters and the error distribution. The procedures considered are evaluated in a small simulation experi-ment. Finally, the tests are applied to an asset pricing model with observable risk-free rates, using monthly returns on New York Stock Exchange (NYSE) portfolios over five-year subperiods from 1926-1995.

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.

Arbitrage-Based Pricing when Volatility is Stochastic.

The paper investigates the pricing of derivative securities with calendar-time maturities.

Stochastic Volatility.

This paper prepared for the Handbook of Statistics (Vol.14: Statistical Methods in Finance), surveys the subject of stochastic volatility. the following subjects are covered: volatility in financial markets (instantaneous volatility of asset returns, implied volatilities in option prices and related stylized facts), statistical modelling in discrete and continuous time and, finally, statistical inference (methods of moments, quasi-maximum likelihood, likelihood-based and bayesian methods and indirect inference).

Actifs financiers et theorie de la consommation.

Dans cet article, pour etendre la theorie du consommateur a ses choix d'epargne et de placements, on utilise a la fois la theorie usuelle, celle des caracteristiques et celle du raisonnement quantitatif. on en deduit un systeme complet de demandes comprenant simultanement les quantites de biens et de services physiques, les quantites d'actifs financiers et les prix des actifs contingents elementaires eventuels.

Asset Pricing in a Production Economy with Chew–Dekel Preferences

In this paper we provide a thorough characterization of the asset returns implied by a simple general equilibrium production economy with Chew–Dekel risk preferences and convex capital adjustment costs. When households display levels of disappointment aversion consistent with the experimental evidence, a version of the model parameterized to match the volatility of output and consumption growth generates unconditional expected asset returns and price of risk in line with the historical data. For the model with Epstein–Zin preferences to generate similar statistics, the relative risk aversion coefficient needs to be about 55, two orders of magnitude higher than the available estimates. We argue that this is not surprising, given the limited risk imposed on agents by a reasonably calibrated stochastic growth model.

Voies de signalisation non-canoniques du récepteur V2 de la vasopressine

Le récepteur V2 (V2R) de la vasopressine est un récepteur couplé aux protéines G (RCPG), jouant un rôle fondamental dans le maintien de l’homéostasie hydrosodique. À l’instar de nombreux RCPGs, il est capable d’interagir avec plusieurs types de protéines G hétérotrimériques et possède des voies de signalisation peu explorées aux mécanismes mal compris. Ces voies non canoniques font l’objet des travaux exposés dans ce mémoire. Il s’agit d’explorer les caractéristiques et mécanismes de la signalisation de V2R via G12, et de la voie d’activation d’ERK 1/2 par transactivation du récepteur de l’insulin-like growth factor 1, IGF1R. Par des études de transfert d’énergie de résonance de bioluminescence (BRET), nous exposons la capacité de V2R à interagir avec la sous-unité Gα12 ainsi que la modulation de la conformation de l’hétérotrimère G12 par l’agoniste de V2R, l’arginine-vasopressine. Ces travaux dévoilent également la modulation de l’interaction entre Gα12 et son effecteur classique RhoA, suggérant un engagement de RhoA, ainsi que la potentialisation via Gα12 de la production d’AMP cyclique. À l’aide de diverses méthodes d’inhibition sélective, nos résultats précisent les mécanismes de la transactivation. Ils supportent notamment le rôle initiateur de l’activation de Src par V2R et l’absence d’implication des ligands connus d’IGF1R dans la transactivation. La métalloprotéase MMP 3 apparaît par ailleurs comme un bon candidat pour réguler la transactivation. Ce projet met en lumière des modes de signalisation peu explorés de V2R, dont l’implication physiologique et physiopathologique pourrait s’avérer significative, au-delà d’un apport fondamental dans la compréhension de la signalisation des RCPGs.

Regulation of the ERK subgroup of MAP kinase cascades through G protein-coupled receptors.

The extracellularly-responsive kinase (ERK) subfamily of mitogen-activated protein kinases (MAPKs) has been implicated in the regulation of cell growth and differentiation. Activation of ERKs involves a two-step protein kinase cascade lying upstream from ERK, in which the Raf family are the MAPK kinase kinases and the MEK1/MEK2 isoforms are the MAPK kinases. The linear sequence of Raf --> MEK --> ERK constitutes the ERK cascade. Although the ERK cascade is activated through growth factor-regulated receptor protein tyrosine kinases, they are also modulated through G protein-coupled receptors (GPCRs). All four G protein subfamilies (Gq/11 Gi/o, Gs and G12/13) influence the activation state of ERKs. In this review, we describe the ERK cascade and characteristics of its activation through GPCRs. We also discuss the identity of the intervening steps that may couple agonist binding at GPCRs to activation of the ERK cascade.

Actions of octocoral and tobacco cembranoids on nicotinic receptors

Nicotinic acetylcholine receptors (AChRs) are pentameric proteins that form agonist-gated cation channels through the plasma membrane. AChR agonists and antagonists are potential candidates for the treatment of neurodegenerative diseases. Cembranoids are naturally occurring diterpenoids that contain a 14-carbon ring. These diterpenoids interact with AChRs in complex ways: as irreversible inhibitors at the agonist sites, as noncompetitive inhibitors, or as positive modulators, but no cembranoid was ever shown to have agonistic activity on AChRs. The cembranoid eupalmerin acetate displays positive modulation of agonist-induced currents in the muscle-type AChR and in the related gamma-aminobutyric acid (GABA) type A receptor. Moreover, cembranoids display important biological effects, many of them mediated by nicotinic receptors. Cembranoids from tobacco are neuroprotective through a nicotinic anti-apoptotic mechanism preventing excitotoxic neuronal death which in part could result from anti-inflammatory properties of cembranoids. Moreover, tobacco cembranoids also have anti-inflammatory properties which could enhance their neuroprotective properties. Cembranoids from tobacco affect nicotine-related behavior: they increase the transient initial ataxia caused by first nicotine injection into naive rats and inhibit the expression of locomotor sensitization to repeated injections of nicotine. In addition, cembranoids are known to act as anti-tumor compounds. In conclusion, cembranoids provide a promising source of lead drugs for many clinical areas, including neuroprotection, smoking-cessation, and anti-cancer therapies. (C) 2009 Elsevier Ltd. All rights reserved.

Conflict of interest in Victorian rural and regional legal practice

This research report was based on 163 survey responses and 29 interviews with Victorian rural and regional legal practitioners, as well as 8 human service organisation representatives. Peak law profession organisations including the Legal Services Board, Law Institute of Victoria, the Federation of Community Legal Centres and Victoria Legal Aid were also interviewed for the research. The principal objective of the research was to examine how conflict of interested is manifested in rural and regional settings and how effectively the current conflict of interest rules are applied within those settings. The report includes a number of recommendations for better responding to issues of conflict of interest within a rural and regional context.

No news is not good news: evidence from the intra-day return volatility–volume relationship in Shanghai Stock Exchange

Through this research, we find that the asymmetric volatility phenomenon is reversed in the Shanghai Stock Exchange during bull markets. That is, volatility increases more with good news than with bad news. This evidence is inconsistent with the US markets. Further examination of this phenomenon reveals that the positive impact of good news on volatility is driven by the return-chasing behaviour of investors during bull markets. We also find that volatility increases after stock price declines in bear markets. After controlling for liquidity shifts, we observe similar patterns in volatility in both bull and bear markets. We posit that institutional and behavioural factors are the major driving forces of observed volatility patterns in the Chinese stock market.

Tendência genética em pesos e ganhos em peso de bovinos da raça Guzerá

The main objective of this study was to estimate genetic and phenotypic trends in weights at birth (BW), 8 (W8) and 12 months (W12) of age; and also in the daily gains from birth to 8 months (G8) and from birth to 12 months (G12) for the ''Guzera'' cattle herd from the ''Fazenda de Ensino e Pesquisa do Campus de Ilha Solteira'', UNESP, at Selviria, MS, in the Central-West region of Brazil. The data were collected between 1979 and 1984 from 842 calves, sired by 22 sires. Genetic trends were estimated by three alternative procedures, two of them were based on the methodology of repeated use of sires and the other procedure on the differences in the average genetic values of sires in the different years. The phenotypic annual changes estimated were -0.232 kg, -8.278 kg, -0.033 kg, -8.498 kg e -0.023 kg, for BW, W8, G8, W12 and G12, respectively. The estimates of genetic trends, obtained by the three procedures were different, but showed that genetic changes for all analised traits were little.