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.

Effect of embryo culture media on birthweight and length in singleton term infants after IVF-ICSI.

QUESTIONS UNDER STUDY: To investigate if two distinct, commercially available embryo culture media have a different effect on birthweight and length of singleton term infants conceived after IVF-ICSI. METHODS: University hospital based cohort study. Between 1 January 2000 and 31 December 2004, patients conceiving through IVF-ICSI at the University Hospital, Lausanne have been allocated to two distinct embryo culture media. Only term singleton pregnancies were analysed (n = 525). Data analysis was performed according to two commercially available culture media: Vitrolife (n = 352) versus Cook (n = 173). Analysis was performed through linear regression adjusted for confounders. Media were considered equivalent if the 95% confidence interval lay between -150 g/+150 g. RESULTS: Length, gestational age and distribution of birthweight percentiles did not differ between groups (for both genders). Analysis of the whole cohort, adjusted for a subset of confounders, resulted in a statistically not different mean birthweight between the two groups (Vitrolife +37 g vs Cook, 95%CI: -46 g to 119 g) suggesting equivalence. Adjustment for an enlarged number of confounders in a subsample of patients (n = 258) also revealed no relevant mean birthweight difference of +71 g (95%CI: -45 g to 187 g) in favour of Vitrolife; however, lacking power to prove equivalence. CONCLUSIONS: Our data suggest that significant differences in birthweight due to these two distinct, commercially available embryo culture media are unlikely.

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Research on individual social policy preferences has highlighted a number of socio-structural cleavages as determinants. Studies investigating public opinion on the various redistributive schemes that make up today's welfare states have shown the relevance of class-related factors such as income or education as key explanatory variables (Ferrera 1993; Taylor-Gooby 1995, 1998; and Svallfors 1997). More recent studies, however, have suggested that other factors are also likely to play a role. Among these, the most important are age, gender, and individual values (Armingeon 2006; Deitch 2004; and Roller 2000, 2002). The scenario that emerges from the existing literature is one of multiple intersecting cleavages, but it remains unclear as to what today is the relative weight and specific impact of each of these cleavages.

Standardisation of 18F by a coincidence method using full solid angle detectors.

A solution of (18)F was standardised with a 4pibeta-4pigamma coincidence counting system in which the beta detector is a one-inch diameter cylindrical UPS89 plastic scintillator, positioned at the bottom of a well-type 5''x5'' NaI(Tl) gamma-ray detector. Almost full detection efficiency-which was varied downwards electronically-was achieved in the beta-channel. Aliquots of this (18)F solution were also measured using 4pigamma NaI(Tl) integral counting and Monte Carlo calculated efficiencies as well as the CIEMAT-NIST method. Secondary measurements of the same solution were also performed with an IG11 ionisation chamber whose equivalent activity is traceable to the Système International de Référence through the contribution IRA-METAS made to it in 2001; IRA's degree of equivalence was found to be close to the key comparison reference value (KCRV). The (18)F activity predicted by this coincidence system agrees closely with the ionisation chamber measurement and is compatible within one standard deviation of the other primary measurements. This work demonstrates that our new coincidence system can standardise short-lived radionuclides used in nuclear medicine.

Validity and reliability of the Spanish version of the DN4 (Douleur Neuropathique 4 questions) questionnaire for differential diagnosis of pain syndromes associated to a neuropathic or somatic component

BACKGROUND This study assesses the validity and reliability of the Spanish version of DN4 questionnaire as a tool for differential diagnosis of pain syndromes associated to a neuropathic (NP) or somatic component (non-neuropathic pain, NNP). METHODS A study was conducted consisting of two phases: cultural adaptation into the Spanish language by means of conceptual equivalence, including forward and backward translations in duplicate and cognitive debriefing, and testing of psychometric properties in patients with NP (peripheral, central and mixed) and NNP. The analysis of psychometric properties included reliability (internal consistency, inter-rater agreement and test-retest reliability) and validity (ROC curve analysis, agreement with the reference diagnosis and determination of sensitivity, specificity, and positive and negative predictive values in different subsamples according to type of NP). RESULTS A sample of 164 subjects (99 women, 60.4%; age: 60.4 +/- 16.0 years), 94 (57.3%) with NP (36 with peripheral, 32 with central, and 26 with mixed pain) and 70 with NNP was enrolled. The questionnaire was reliable [Cronbach's alpha coefficient: 0.71, inter-rater agreement coefficient: 0.80 (0.71-0.89), and test-retest intra-class correlation coefficient: 0.95 (0.92-0.97)] and valid for a cut-off value > or = 4 points, which was the best value to discriminate between NP and NNP subjects. DISCUSSION This study, representing the first validation of the DN4 questionnaire into another language different than the original, not only supported its high discriminatory value for identification of neuropathic pain, but also provided supplemental psychometric validation (i.e. test-retest reliability, influence of educational level and pain intensity) and showed its validity in mixed pain syndromes.

Personality profiles of cultures: Aggregate personality traits

Personality profiles of cultures can be operationalized as the mean trait levels of culture members. College students from 51 cultures rated an individual from their country whom they knew well (N 12,156). Aggregate scores on Revised NEO Personality Inventory (NEO-PI-R) scales generalized across age and sex groups, approximated the individual-level 5-factor model, and correlated with aggregate self-report personality scores and other culture-level variables. Results were not attributable to national differences in economic development or to acquiescence. Geographical differences in scale variances and mean levels were replicated, with Europeans and Americans generally scoring higher in Extraversion than Asians and Africans. Findings support the rough scalar equivalence of NEO-PI-R factors and facets across cultures and suggest that aggregate personality profiles provide insight into cultural differences.

Structural and mean level analyses of the Five-Factor Model and Locus of Control: Further evidence from Africa

The present study examines the Five-Factor Model (FFM) of personality and locus of control in French-speaking samples in Burkina Faso (N = 470) and Switzerland (Ns = 1,090, 361), using the Revised NEO Personality Inventory (NEO-PI-R) and Levenson's Internality, Powerful others, and Chance (IPC) scales. Alpha reliabilities were consistently lower in Burkina Faso, but the factor structure of the NEO-PI-R was replicated in both cultures. The intended three-factor structure of the IPC could not be replicated, although a two-factor solution was replicable across the two samples. Although scalar equivalence has not been demonstrated, mean level comparisons showed the hypothesized effects for most of the five factors and locus of control; Burkinabè scored higher in Neuroticism than anticipated. Findings from this African sample generally replicate earlier results from Asian and Western cultures, and are consistent with a biologically-based theory of personality.

Simulated joint and muscle forces in reversed and anatomic shoulder prostheses.

Reversed shoulder prostheses are increasingly being used for the treatment of glenohumeral arthropathy associated with a deficient rotator cuff. These non-anatomical implants attempt to balance the joint forces by means of a semi-constrained articular surface and a medialised centre of rotation. A finite element model was used to compare a reversed prosthesis with an anatomical implant. Active abduction was simulated from 0 degrees to 150 degrees of elevation. With the anatomical prosthesis, the joint force almost reached the equivalence of body weight. The joint force was half this for the reversed prosthesis. The direction of force was much more vertically aligned for the reverse prosthesis, in the first 90 degrees of abduction. With the reversed prosthesis, abduction was possible without rotator cuff muscles and required 20% less deltoid force to achieve it. This force analysis confirms the potential mechanical advantage of reversed prostheses when rotator cuff muscles are deficient.

Predicting the geographic distribution of Lutzomyia longipalpis (Diptera: Psychodidae) and visceral leishmaniasis in the state of Mato Grosso do Sul, Brazil

To understand the geographic distribution of visceral leishmaniasis (VL) in the state of Mato Grosso do Sul (MS), Brazil, both the climatic niches of Lutzomyia longipalpis and VL cases were analysed. Distributional data were obtained from 55 of the 79 counties of MS between 2003-2012. Ecological niche models (ENM) of Lu. longipalpis and VL cases were produced using the maximum entropy algorithm based on eight climatic variables. Lu. longipalpis showed a wide distribution in MS. The highest climatic suitability for Lu. longipalpis was observed in southern MS. Temperature seasonality and annual mean precipitation were the variables that most influenced these models. Two areas of high climatic suitability for the occurrence of VL cases were predicted: one near Aquidauana and another encompassing several municipalities in the southeast region of MS. As expected, a large overlap between the models for Lu. longipalpis and VL cases was detected. Northern and northwestern areas of MS were suitable for the occurrence of cases, but did not show high climatic suitability for Lu. longipalpis . ENM of vectors and human cases provided a greater understanding of the geographic distribution of VL in MS, which can be applied to the development of future surveillance strategies.

Large-scale patterns in morphological diversity and species assemblages in Neotropical Triatominae (Heteroptera: Reduviidae)

We analysed the spatial variation in morphological diversity (MDiv) and species richness (SR) for 91 species of Neotropical Triatominae to determine the ecological relationships between SR and MDiv and to explore the roles that climate, productivity, environmental heterogeneity and the presence of biomes and rivers may play in the structuring of species assemblages. For each 110 km x 110 km-cell on a grid map of America, we determined the number of species (SR) and estimated the mean Gower index (MDiv) based on 12 morphological attributes. We performed bootstrapping analyses of species assemblages to identify whether those assemblages were more similar or dissimilar in their morphology than expected by chance. We applied a multi-model selection procedure and spatial explicit analyses to account for the association of diversity-environment relationships. MDiv and SR both showed a latitudinal gradient, although each peaked at different locations and were thus not strictly spatially congruent. SR decreased with temperature variability and MDiv increased with mean temperature, suggesting a predominant role for ambient energy in determining Triatominae diversity. Species that were more similar than expected by chance co-occurred near the limits of the Triatominae distribution in association with changes in environmental variables. Environmental filtering may underlie the structuring of species assemblages near their distributional limits.

Nonparametric estimation of Value-at-Risk

A method to estimate an extreme quantile that requires no distributional assumptions is presented. The approach is based on transformed kernel estimation of the cumulative distribution function (cdf). The proposed method consists of a double transformation kernel estimation. We derive optimal bandwidth selection methods that have a direct expression for the smoothing parameter. The bandwidth can accommodate to the given quantile level. The procedure is useful for large data sets and improves quantile estimation compared to other methods in heavy tailed distributions. Implementation is straightforward and R programs are available.

The Effects of government spending on the distribution of consumption

We study the effects of government spending on the distribution of consumption. We find a substantial degree of heterogeneity: consumption increases at the bottom and falls at the top of the distribution, implying a significant temporary reduction of consumption inequality. The effects of the shock display correlations of around -0.7/-0.9 with the percentage of stockholders within the decile. We interpret the results as in line and yielding support to models of limited participation where, while the Ricardian equivalence holds for rich households, for poor household, with no access to capital markets, the Keynesian multiplier is at work.

Cancer pulmonaire: lobectomie par thoracoscopie [VATS lobectomy for early-stage primary lung cancer].

Lobectomy via video-assisted thoracoscopic surgery (VATS) is now considered as a valid alternative to conventional thoracotomy for early-stage primary lung cancer. Various studies have reported that VATS lobectomy is a safe technique associated with fewer postoperative complications and better post-operative recovery than open thoracotomy. Furthermore, studies suggest oncological equivalence between VATS and open lobectomy.

Implementation of zonal control algorithms in adaptive optical systems with sparse control matrices

Miralls deformables més i més grans, amb cada cop més actuadors estan sent utilitzats actualment en aplicacions d'òptica adaptativa. El control dels miralls amb centenars d'actuadors és un tema de gran interès, ja que les tècniques de control clàssiques basades en la seudoinversa de la matriu de control del sistema es tornen massa lentes quan es tracta de matrius de dimensions tan grans. En aquesta tesi doctoral es proposa un mètode per l'acceleració i la paral.lelitzacó dels algoritmes de control d'aquests miralls, a través de l'aplicació d'una tècnica de control basada en la reducció a zero del components més petits de la matriu de control (sparsification), seguida de l'optimització de l'ordenació dels accionadors de comandament atenent d'acord a la forma de la matriu, i finalment de la seva posterior divisió en petits blocs tridiagonals. Aquests blocs són molt més petits i més fàcils de fer servir en els càlculs, el que permet velocitats de càlcul molt superiors per l'eliminació dels components nuls en la matriu de control. A més, aquest enfocament permet la paral.lelització del càlcul, donant una com0onent de velocitat addicional al sistema. Fins i tot sense paral. lelització, s'ha obtingut un augment de gairebé un 40% de la velocitat de convergència dels miralls amb només 37 actuadors, mitjançant la tècnica proposada. Per validar això, s'ha implementat un muntatge experimental nou complet , que inclou un modulador de fase programable per a la generació de turbulència mitjançant pantalles de fase, i s'ha desenvolupat un model complert del bucle de control per investigar el rendiment de l'algorisme proposat. Els resultats, tant en la simulació com experimentalment, mostren l'equivalència total en els valors de desviació després de la compensació dels diferents tipus d'aberracions per als diferents algoritmes utilitzats, encara que el mètode proposat aquí permet una càrrega computacional molt menor. El procediment s'espera que sigui molt exitós quan s'aplica a miralls molt grans.

Climate change, anthropogenic disturbance and the northward range expansion of Lactuca serriola (Asteraceae)

The distribution range of Lactuca serriola, a species native to the summer-dry mediterranean climate, has expanded northwards during the last 250 years. This paper assesses the influence of climate on the range expansion of this species and highlights the importance of anthropogenic disturbance to its spread. Location Central and Northern Europe. Methods Data on the geographic distribution of L. serriola were assembled through a literature search as well as through floristic and herbarium surveys. Maps of the spread of L. serriola in Central and Northern Europe were prepared based on herbarium data. The spread was assessed more precisely in Germany, Austria and Great Britain by pooling herbarium and literature data. We modelled the bioclimatic niche of the species using occurrence and climatic data covering the last century to generate projections of suitable habitats under the climatic conditions of five time periods. We tested whether the observed distribution of L. serriola could be explained for each time period, assuming that the climatic niche of the species was conserved across time. Results The species has spread northwards since the beginning of the 19th century. We show that climate warming in Europe increased the number of sites suitable for the species at northern latitudes. Until the late 1970s, the distribution of the species corresponded to the climatically suitable sites available. For the last two decades, however, we could not show any significant relationship between the increase in suitable sites and the distributional range change of L. serriola. However, we highlight potential areas the species could spread to in the future (Great Britain, southern Scandinavia and the Swedish coast). It is predominantly non-climatic influences of global change that have contributed to its rapid spread. Main conclusions The observation that colonizing species are not filling their climatically suitable range might imply that, potentially, other ruderal species could expand far beyond their current range. Our work highlights the importance of historical floristic and herbarium data for understanding the expansion of a species. Such historical distributional data can provide valuable information for those planning the management of contemporary environmental problems, such as species responses to environmental change.