Essays in equilibrium asset pricing

Introduction This dissertation consists of three essays in equilibrium asset pricing. The first chapter studies the asset pricing implications of a general equilibrium model in which real investment is reversible at a cost. Firms face higher costs in contracting than in expanding their capital stock and decide to invest when their productive capital is scarce relative to the overall capital of the economy. Positive shocks to the capital of the firm increase the size of the firm and reduce the value of growth options. As a result, the firm is burdened with more unproductive capital and its value lowers with respect to the accumulated capital. The optimal consumption policy alters the optimal allocation of resources and affects firm's value, generating mean-reverting dynamics for the M/B ratios. The model (1) captures convergence of price-to-book ratios -negative for growth stocks and positive for value stocks - (firm migration), (2) generates deviations from the classic CAPM in line with the cross-sectional variation in expected stock returns and (3) generates a non-monotone relationship between Tobin's q and conditional volatility consistent with the empirical evidence. The second chapter proposes a standard portfolio-choice problem with transaction costs and mean reversion in expected returns. In the presence of transactions costs, no matter how small, arbitrage activity does not necessarily render equal all riskless rates of return. When two such rates follow stochastic processes, it is not optimal immediately to arbitrage out any discrepancy that arises between them. The reason is that immediate arbitrage would induce a definite expenditure of transactions costs whereas, without arbitrage intervention, there exists some, perhaps sufficient, probability that these two interest rates will come back together without any costs having been incurred. Hence, one can surmise that at equilibrium the financial market will permit the coexistence of two riskless rates that are not equal to each other. For analogous reasons, randomly fluctuating expected rates of return on risky assets will be allowed to differ even after correction for risk, leading to important violations of the Capital Asset Pricing Model. The combination of randomness in expected rates of return and proportional transactions costs is a serious blow to existing frictionless pricing models. Finally, in the last chapter I propose a two-countries two-goods general equilibrium economy with uncertainty about the fundamentals' growth rates to study the joint behavior of equity volatilities and correlation at the business cycle frequency. I assume that dividend growth rates jump from one state to other, while countries' switches are possibly correlated. The model is solved in closed-form and the analytical expressions for stock prices are reported. When calibrated to the empirical data of United States and United Kingdom, the results show that, given the existing degree of synchronization across these business cycles, the model captures quite well the historical patterns of stock return volatilities. Moreover, I can explain the time behavior of the correlation, but exclusively under the assumption of a global business cycle.

Syndromic algorithms for detection of gambiense human african trypanosomiasis in South Sudan.

BACKGROUND: Active screening by mobile teams is considered the best method for detecting human African trypanosomiasis (HAT) caused by Trypanosoma brucei gambiense but the current funding context in many post-conflict countries limits this approach. As an alternative, non-specialist health care workers (HCWs) in peripheral health facilities could be trained to identify potential cases who need testing based on their symptoms. We explored the predictive value of syndromic referral algorithms to identify symptomatic cases of HAT among a treatment-seeking population in Nimule, South Sudan. METHODOLOGY/PRINCIPAL FINDINGS: Symptom data from 462 patients (27 cases) presenting for a HAT test via passive screening over a 7 month period were collected to construct and evaluate over 14,000 four item syndromic algorithms considered simple enough to be used by peripheral HCWs. For comparison, algorithms developed in other settings were also tested on our data, and a panel of expert HAT clinicians were asked to make referral decisions based on the symptom dataset. The best performing algorithms consisted of three core symptoms (sleep problems, neurological problems and weight loss), with or without a history of oedema, cervical adenopathy or proximity to livestock. They had a sensitivity of 88.9-92.6%, a negative predictive value of up to 98.8% and a positive predictive value in this context of 8.4-8.7%. In terms of sensitivity, these out-performed more complex algorithms identified in other studies, as well as the expert panel. The best-performing algorithm is predicted to identify about 9/10 treatment-seeking HAT cases, though only 1/10 patients referred would test positive. CONCLUSIONS/SIGNIFICANCE: In the absence of regular active screening, improving referrals of HAT patients through other means is essential. Systematic use of syndromic algorithms by peripheral HCWs has the potential to increase case detection and would increase their participation in HAT programmes. The algorithms proposed here, though promising, should be validated elsewhere.

GWAS of 126,559 individuals identifies genetic variants associated with educational attainment.

A genome-wide association study (GWAS) of educational attainment was conducted in a discovery sample of 101,069 individuals and a replication sample of 25,490. Three independent single-nucleotide polymorphisms (SNPs) are genome-wide significant (rs9320913, rs11584700, rs4851266), and all three replicate. Estimated effects sizes are small (coefficient of determination R(2) ≈ 0.02%), approximately 1 month of schooling per allele. A linear polygenic score from all measured SNPs accounts for ≈2% of the variance in both educational attainment and cognitive function. Genes in the region of the loci have previously been associated with health, cognitive, and central nervous system phenotypes, and bioinformatics analyses suggest the involvement of the anterior caudate nucleus. These findings provide promising candidate SNPs for follow-up work, and our effect size estimates can anchor power analyses in social-science genetics.

Mining the human phenome using allelic scores that index biological intermediates.

It is common practice in genome-wide association studies (GWAS) to focus on the relationship between disease risk and genetic variants one marker at a time. When relevant genes are identified it is often possible to implicate biological intermediates and pathways likely to be involved in disease aetiology. However, single genetic variants typically explain small amounts of disease risk. Our idea is to construct allelic scores that explain greater proportions of the variance in biological intermediates, and subsequently use these scores to data mine GWAS. To investigate the approach's properties, we indexed three biological intermediates where the results of large GWAS meta-analyses were available: body mass index, C-reactive protein and low density lipoprotein levels. We generated allelic scores in the Avon Longitudinal Study of Parents and Children, and in publicly available data from the first Wellcome Trust Case Control Consortium. We compared the explanatory ability of allelic scores in terms of their capacity to proxy for the intermediate of interest, and the extent to which they associated with disease. We found that allelic scores derived from known variants and allelic scores derived from hundreds of thousands of genetic markers explained significant portions of the variance in biological intermediates of interest, and many of these scores showed expected correlations with disease. Genome-wide allelic scores however tended to lack specificity suggesting that they should be used with caution and perhaps only to proxy biological intermediates for which there are no known individual variants. Power calculations confirm the feasibility of extending our strategy to the analysis of tens of thousands of molecular phenotypes in large genome-wide meta-analyses. We conclude that our method represents a simple way in which potentially tens of thousands of molecular phenotypes could be screened for causal relationships with disease without having to expensively measure these variables in individual disease collections.

A genome-wide screen for interactions reveals a new locus on 4p15 modifying the effect of waist-to-hip ratio on total cholesterol.

Recent genome-wide association (GWA) studies described 95 loci controlling serum lipid levels. These common variants explain ∼25% of the heritability of the phenotypes. To date, no unbiased screen for gene-environment interactions for circulating lipids has been reported. We screened for variants that modify the relationship between known epidemiological risk factors and circulating lipid levels in a meta-analysis of genome-wide association (GWA) data from 18 population-based cohorts with European ancestry (maximum N = 32,225). We collected 8 further cohorts (N = 17,102) for replication, and rs6448771 on 4p15 demonstrated genome-wide significant interaction with waist-to-hip-ratio (WHR) on total cholesterol (TC) with a combined P-value of 4.79×10(-9). There were two potential candidate genes in the region, PCDH7 and CCKAR, with differential expression levels for rs6448771 genotypes in adipose tissue. The effect of WHR on TC was strongest for individuals carrying two copies of G allele, for whom a one standard deviation (sd) difference in WHR corresponds to 0.19 sd difference in TC concentration, while for A allele homozygous the difference was 0.12 sd. Our findings may open up possibilities for targeted intervention strategies for people characterized by specific genomic profiles. However, more refined measures of both body-fat distribution and metabolic measures are needed to understand how their joint dynamics are modified by the newly found locus.

Association analyses of 249,796 individuals reveal 18 new loci associated with body mass index.

Obesity is globally prevalent and highly heritable, but its underlying genetic factors remain largely elusive. To identify genetic loci for obesity susceptibility, we examined associations between body mass index and ∼ 2.8 million SNPs in up to 123,865 individuals with targeted follow up of 42 SNPs in up to 125,931 additional individuals. We confirmed 14 known obesity susceptibility loci and identified 18 new loci associated with body mass index (P < 5 × 10⁻⁸), one of which includes a copy number variant near GPRC5B. Some loci (at MC4R, POMC, SH2B1 and BDNF) map near key hypothalamic regulators of energy balance, and one of these loci is near GIPR, an incretin receptor. Furthermore, genes in other newly associated loci may provide new insights into human body weight regulation.

Genetic studies of body mass index yield new insights for obesity biology

Obesity is heritable and predisposes to many diseases. To understand the genetic basis of obesity better, here we conduct a genome-wide association study and Metabochip meta-analysis of body mass index (BMI), a measure commonly used to define obesity and assess adiposity, in up to 339,224 individuals. This analysis identifies 97 BMI-associated loci (P < 5 × 10(-8)), 56 of which are novel. Five loci demonstrate clear evidence of several independent association signals, and many loci have significant effects on other metabolic phenotypes. The 97 loci account for ∼2.7% of BMI variation, and genome-wide estimates suggest that common variation accounts for >20% of BMI variation. Pathway analyses provide strong support for a role of the central nervous system in obesity susceptibility and implicate new genes and pathways, including those related to synaptic function, glutamate signalling, insulin secretion/action, energy metabolism, lipid biology and adipogenesis.

Meta-analyses identify 13 loci associated with age at menopause and highlight DNA repair and immune pathways.

To newly identify loci for age at natural menopause, we carried out a meta-analysis of 22 genome-wide association studies (GWAS) in 38,968 women of European descent, with replication in up to 14,435 women. In addition to four known loci, we identified 13 loci newly associated with age at natural menopause (at P < 5 × 10(-8)). Candidate genes located at these newly associated loci include genes implicated in DNA repair (EXO1, HELQ, UIMC1, FAM175A, FANCI, TLK1, POLG and PRIM1) and immune function (IL11, NLRP11 and PRRC2A (also known as BAT2)). Gene-set enrichment pathway analyses using the full GWAS data set identified exoDNase, NF-κB signaling and mitochondrial dysfunction as biological processes related to timing of menopause.

Genome-wide meta-analysis identifies 11 new loci for anthropometric traits and provides insights into genetic architecture.

Approaches exploiting trait distribution extremes may be used to identify loci associated with common traits, but it is unknown whether these loci are generalizable to the broader population. In a genome-wide search for loci associated with the upper versus the lower 5th percentiles of body mass index, height and waist-to-hip ratio, as well as clinical classes of obesity, including up to 263,407 individuals of European ancestry, we identified 4 new loci (IGFBP4, H6PD, RSRC1 and PPP2R2A) influencing height detected in the distribution tails and 7 new loci (HNF4G, RPTOR, GNAT2, MRPS33P4, ADCY9, HS6ST3 and ZZZ3) for clinical classes of obesity. Further, we find a large overlap in genetic structure and the distribution of variants between traits based on extremes and the general population and little etiological heterogeneity between obesity subgroups.

Longitudinal analyses of immune responses to Plasmodium falciparum derived peptides corresponding to novel blood stage antigens in coastal Kenya

We have recently described 95 predicted alpha-helical coiled-coil peptides derived from putative Plasmodium falciparum erythrocytic stage proteins. Seventy peptides recognized with the highest level of prevalence by sera from three endemic areas were selected for further studies. In this study, we sequentially examined antibody responses to these synthetic peptides in two cohorts of children at risk of clinical malaria in Kilifi district in coastal Kenya, in order to characterize the level of peptide recognition by age, and the role of anti-peptide antibodies in protection from clinical malaria. Antibody levels from 268 children in the first cohort (Chonyi) were assayed against 70 peptides. Thirty-nine peptides were selected for further study in a second cohort (Junju). The rationale for the second cohort was to confirm those peptides identified as protective in the first cohort. The Junju cohort comprised of children aged 1-6 years old (inclusive). Children were actively followed up to identify episodes of febrile malaria in both cohorts. Of the 70 peptides examined, 32 showed significantly (p<0.05) increased antibody recognition in older children and 40 showed significantly increased antibody recognition in parasitaemic children. Ten peptides were associated with a significantly reduced odds ratio (OR) for an episode of clinical malaria in the first cohort of children and two of these peptides (LR146 and AS202.11) were associated with a significantly reduced OR in both cohorts. LR146 is derived from hypothetical protein PFB0145c in PlasmoDB. Previous work has identified this protein as a target of antibodies effective in antibody dependent cellular inhibition (ADCI). The current study substantiates further the potential of protein PFB0145c and also identifies protein PF11_0424 as another likely target of protective antibodies against P. falciparum malaria

Corrigendum : Novel loci affecting iron homeostasis and their effects in individuals at risk for hemochromatosis

Absorption, transport and storage of iron are tightly regulated, as expected for an element, which is both essential and potentially toxic. Iron deficiency is the leading cause of anaemia, and it also compromises immune function and cognitive development. Iron overload damages the liver and other organs in hereditary hemochromatosis, and in thalassaemia patients with both transfusion and non-transfusionrelated iron accumulation. Excess iron has harmful effects in chronic liver diseases caused by excessive alcohol, obesity or viruses. There is evidence for involvement of iron in neurodegenerative diseases and in Type 2 diabetes. Variation in transferrin saturation, a biomarker of iron status, has been associated with mortality in patients with diabetes and in the general population13. All these associations between iron and either clinical disease or pathological processes make it important to understand the causes of variation in iron status. Importantly, information on genetic causes of variation can be used in Mendelian randomization studies to test whether variation in iron status is a cause or consequence of disease. We have used biomarkers of iron status (serum iron, transferrin, transferrin saturation and ferritin), which are commonly used clinically and readily measurable in thousands of individuals, and carried out a meta-analysis of human genomewide association study (GWAS) data from 11 discovery and eight replication cohorts. Our aims were to identify additional loci affecting markers of iron status in the general population and to relate the significant loci to information on gene expression to identify relevant genes. We also made an initial assessment of whether any such loci affect iron status in HFE C282Y homozygotes, who are at genetic risk of HFE-related iron overload (hereditary hemochromatosis type 1, OMIM #235200)

Maamme kirja lukukirja alimmaisille oppilaitoksille Suomessa - [Nimiösivu] - Toinen jakso (0002)

Helsinki : G.W. Edlund 1876

Uutukaisin kukkaiskieli eli mitä kukat puhuvat? selityksiä kukkain värin merkityksestä - [Kansi]

Helsinki : G. W. Edlund 1903

Vårt land för en röst, kör och fortepiano-accomp: - [Pärmen]

Helsingfors : G. W. Edlund [1863]

Kung Fjalar en dikt i fem sånger - [Frampärmen]

Helsingfors : G. W. Edlund 1895