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.

Equilibrium points and central configurations for the Lennard-Jones 2-and 3-body problems

Abstract. In this paper we study the relative equilibria and their stability for a system of three point particles moving under the action of a Lennard{Jones potential. A central con guration is a special position of the particles where the position and acceleration vectors of each particle are proportional, and the constant of proportionality is the same for all particles. Since the Lennard{Jones potential depends only on the mutual distances among the particles, it is invariant under rotations. In a rotating frame the orbits coming from central con gurations become equilibrium points, the relative equilibria. Due to the form of the potential, the relative equilibria depend on the size of the system, that is, depend strongly of the momentum of inertia I. In this work we characterize the relative equilibria, we nd the bifurcation values of I for which the number of relative equilibria is changing, we also analyze the stability of the relative equilibria.

The effect of workplace smoking bans on heart rate variability and pulse wave velocity of non-smoking hospitality workers

OBJECTIVES: To investigate the effect of a change in second-hand smoke (SHS) exposure on heart rate variability (HRV) and pulse wave velocity (PWV), this study utilized a quasi-experimental setting when a smoking ban was introduced. METHODS: HRV, a quantitative marker of autonomic activity of the nervous system, and PWV, a marker of arterial stiffness, were measured in 55 non-smoking hospitality workers before and 3-12 months after a smoking ban and compared to a control group that did not experience an exposure change. SHS exposure was determined with a nicotine-specific badge and expressed as inhaled cigarette equivalents per day (CE/d). RESULTS: PWV and HRV parameters significantly changed in a dose-dependent manner in the intervention group as compared to the control group. A one CE/d decrease was associated with a 2.3 % (95 % CI 0.2-4.4; p = 0.031) higher root mean square of successive differences (RMSSD), a 5.7 % (95 % CI 0.9-10.2; p = 0.02) higher high-frequency component and a 0.72 % (95 % CI 0.40-1.05; p < 0.001) lower PWV. CONCLUSIONS: PWV and HRV significantly improved after introducing smoke-free workplaces indicating a decreased cardiovascular risk.

Seed priming and sulfur effects on soybean cell membrane stability and yield in saline soil

The objective of this work was to determine the effects of seed priming and sulfur application on cell membrane characteristics, seedling emergence, chlorophyll content and grain yield of soybean (Glycine max) in saline soil. A complete-block design in 4x3 factorial arrangement with three replicates was used to test four types of seed priming (water, auxin, gibberellin and non-priming) and three levels of sulfate availability (0, 70 and 140 kg ha-1 K2SO4). The soil had a silty loam texture with an electrical conductivity of 3.61 ds m-1, a pH of 8.2 and a saturation percentage of about 46%. Seed priming had significant effects on mean emergence rate (MER), emergence percentage, relative water content (RWC) of leaves, relative chlorophyll content, time of maturity, shoot length and grain yield. The highest values for these variables were observed in the priming treatments, except for the time of maturity. Sulfur application had significant effects on MER, shoot length, RWC, membrane injury index and grain yield. Priming treatments provide greater emergence rates and grain yields and interact sinergicaly with sulfur rates.

Cooperative games with size-truncated information

[Eng] We study the marginal worth vectors and their convex hull, the socalled Weber set, from the original coalitional game and the transformed one, which is called the Weber set of level k. We prove that the core of the original game is included in each of the Weber set of level k, for any k, and that the Weber sets of consecutive levels form a chain if and only if the original game is 0-monotone. Even if the game is not 0-monotone, the intersection of the Weber sets for consecutive levels is always not empty, what is not the case for non-consecutive ones. Spanish education system.

Positional stability of holographic optical traps

The potential of digital holography for complex manipulation of micron-sized particles with optical tweezers has been clearly demonstrated. By contrast, its use in quantitative experiments has been rather limited, partly due to fluctuations introduced by the spatial light modulator (SLM) that displays the kinoforms. This is an important issue when high temporal or spatial stability is a concern. We have investigated the performance of both an analog-addressed and a digitally-addressed SLM, measuring the phase fluctuations of the modulated beam and evaluating the resulting positional stability of a holographic trap. We show that, despite imparting a more unstable modulation to the wavefront, our digitally-addressed SLM generates optical traps in the sample plane stable enough for most applications. We further show that traps produced by the analog-addressed SLM exhibit a superior pointing stability, better than 1 nm, which is comparable to that of non-holographic tweezers. These results suggest a means to implement precision force measurement experiments with holographic optical tweezers (HOTs).

Cooperative games with size-truncated information

[Eng] We study the marginal worth vectors and their convex hull, the socalled Weber set, from the original coalitional game and the transformed one, which is called the Weber set of level k. We prove that the core of the original game is included in each of the Weber set of level k, for any k, and that the Weber sets of consecutive levels form a chain if and only if the original game is 0-monotone. Even if the game is not 0-monotone, the intersection of the Weber sets for consecutive levels is always not empty, what is not the case for non-consecutive ones. Spanish education system.

Physical interaction between bacterial heat shock protein (Hsp) 90 and Hsp70 chaperones mediates their cooperative action to refold denatured proteins.

In eukaryotes, heat shock protein 90 (Hsp90) is an essential ATP-dependent molecular chaperone that associates with numerous client proteins. HtpG, a prokaryotic homolog of Hsp90, is essential for thermotolerance in cyanobacteria, and in vitro it suppresses the aggregation of denatured proteins efficiently. Understanding how the non-native client proteins bound to HtpG refold is of central importance to comprehend the essential role of HtpG under stress. Here, we demonstrate by yeast two-hybrid method, immunoprecipitation assays, and surface plasmon resonance techniques that HtpG physically interacts with DnaJ2 and DnaK2. DnaJ2, which belongs to the type II J-protein family, bound DnaK2 or HtpG with submicromolar affinity, and HtpG bound DnaK2 with micromolar affinity. Not only DnaJ2 but also HtpG enhanced the ATP hydrolysis by DnaK2. Although assisted by the DnaK2 chaperone system, HtpG enhanced native refolding of urea-denatured lactate dehydrogenase and heat-denatured glucose-6-phosphate dehydrogenase. HtpG did not substitute for DnaJ2 or GrpE in the DnaK2-assisted refolding of the denatured substrates. The heat-denatured malate dehydrogenase that did not refold by the assistance of the DnaK2 chaperone system alone was trapped by HtpG first and then transferred to DnaK2 where it refolded. Dissociation of substrates from HtpG was either ATP-dependent or -independent depending on the substrate, indicating the presence of two mechanisms of cooperative action between the HtpG and the DnaK2 chaperone system.

Modeling of non-isothermalvapor membrane separation with thermodynamic models and generalized mass transfer equations

A rigorous unit operation model is developed for vapor membrane separation. The new model is able to describe temperature, pressure, and concentration dependent permeation as wellreal fluid effects in vapor and gas separation with hydrocarbon selective rubbery polymeric membranes. The permeation through the membrane is described by a separate treatment of sorption and diffusion within the membrane. The chemical engineering thermodynamics is used to describe the equilibrium sorption of vapors and gases in rubbery membranes with equation of state models for polymeric systems. Also a new modification of the UNIFAC model is proposed for this purpose. Various thermodynamic models are extensively compared in order to verify the models' ability to predict and correlate experimental vapor-liquid equilibrium data. The penetrant transport through the selective layer of the membrane is described with the generalized Maxwell-Stefan equations, which are able to account for thebulk flux contribution as well as the diffusive coupling effect. A method is described to compute and correlate binary penetrant¿membrane diffusion coefficients from the experimental permeability coefficients at different temperatures and pressures. A fluid flow model for spiral-wound modules is derived from the conservation equation of mass, momentum, and energy. The conservation equations are presented in a discretized form by using the control volume approach. A combination of the permeation model and the fluid flow model yields the desired rigorous model for vapor membrane separation. The model is implemented into an inhouse process simulator and so vapor membrane separation may be evaluated as an integralpart of a process flowsheet.

Conocer las emociones a través de juegos: ayuda para los futuros docentes en la toma de decisiones

Introducción. El objetivo de este estudio fue proporcionar orientaciones para ayudar a profesionales de la educación física a tomar decisiones en torno a las emociones que produjeron diferentes juegos deportivos clasificados en cuatro dominios de acción motriz (psicomotor, cooperación, oposición y cooperación/oposición). Método. La muestra correspondió a 284 estudiantes universitarios de educación física y de educación primaria (INEFC, Facultad de Educación, Universidades de Lleida y de Barcelona, España). A través de un diseño cuasi-experimental los estudiantes indicaron en un cuestionario validado la intensidad sentida en trece emociones tras participar en cada juego. El análisis de los datos se realizó a través de los árboles de clasificación. Resultados. La comparación de los resultados en los diferentes dominios de acción motor mostró que los juegos cooperativos fueron los que activaron emociones positivas más intensas entre los estudiantes. En los juegos no competitivos de cooperación los resultados en emociones positivas fueron 18.3 % más elevados que en los juegos competitivos. Conclusión. Los resultados sugieren que el tipo de juegos a elegir es la primera decisión importante que debería plantearse para educar emociones en los estudiantes. Cada dominio de acción motriz está asociado a la producción de diferentes tipos de emoción.

Steady-state global optimization of metabolic non-linear dynamic models through recasting into power-law canonical models

Background: Design of newly engineered microbial strains for biotechnological purposes would greatly benefit from the development of realistic mathematical models for the processes to be optimized. Such models can then be analyzed and, with the development and application of appropriate optimization techniques, one could identify the modifications that need to be made to the organism in order to achieve the desired biotechnological goal. As appropriate models to perform such an analysis are necessarily non-linear and typically non-convex, finding their global optimum is a challenging task. Canonical modeling techniques, such as Generalized Mass Action (GMA) models based on the power-law formalism, offer a possible solution to this problem because they have a mathematical structure that enables the development of specific algorithms for global optimization. Results: Based on the GMA canonical representation, we have developed in previous works a highly efficient optimization algorithm and a set of related strategies for understanding the evolution of adaptive responses in cellular metabolism. Here, we explore the possibility of recasting kinetic non-linear models into an equivalent GMA model, so that global optimization on the recast GMA model can be performed. With this technique, optimization is greatly facilitated and the results are transposable to the original non-linear problem. This procedure is straightforward for a particular class of non-linear models known as Saturable and Cooperative (SC) models that extend the power-law formalism to deal with saturation and cooperativity. Conclusions: Our results show that recasting non-linear kinetic models into GMA models is indeed an appropriate strategy that helps overcoming some of the numerical difficulties that arise during the global optimization task.

Stability of cognitive performance in children with mild intellectual disability.

AIM: Longitudinal studies that have examined cognitive performance in children with intellectual disability more than twice over the course of their development are scarce. We assessed population and individual stability of cognitive performance in a clinical sample of children with borderline to mild non-syndromic intellectual disability. METHOD: Thirty-six children (28 males, eight females; age range 3-19y) with borderline to mild intellectual disability (Full-scale IQ [FSIQ] 50-85) of unknown origin were examined in a retrospective clinical case series using linear mixed models including at least three assessments with standardized intelligence tests. RESULTS: Average cognitive performance remained remarkably stable over time (high population stability, drop of only 0.38 IQ points per year, standard error=0.39, p=0.325) whereas individual stability was at best moderate (intraclass correlation of 0.58), indicating that about 60% of the residual variation in FSIQ scores can be attributed to between-child variability. Neither sex nor socio-economic status had a statistically significant impact on FSIQ. INTERPRETATION: Although intellectual disability during childhood is a relatively stable phenomenon, individual stability of IQ is only moderate, likely to be caused by test-to-test reliability (e.g. level of child's cooperation, motivation, and attention). Therefore, clinical decisions and predictions should not rely on single IQ assessments, but should also consider adaptive functioning and previous developmental history.

Conditional equilibrium constants in multicomponent heterogeneous adsorption: The conditional affinity spectrum

The concept of conditional stability constant is extended to the competitive binding of small molecules to heterogeneous surfaces or macromolecules via the introduction of the conditional affinity spectrum (CAS). The CAS describes the distribution of effective binding energies experienced by one complexing agent at a fixed concentration of the rest. We show that, when the multicomponent system can be described in terms of an underlying affinity spectrum [integral equation (IE) approach], the system can always be characterized by means of a CAS. The thermodynamic properties of the CAS and its dependence on the concentration of the rest of components are discussed. In the context of metal/proton competition, analytical expressions for the mean (conditional average affinity) and the variance (conditional heterogeneity) of the CAS as functions of pH are reported and their physical interpretation discussed. Furthermore, we show that the dependence of the CAS variance on pH allows for the analytical determination of the correlation coefficient between the binding energies of the metal and the proton. Nonideal competitive adsorption isotherm and Frumkin isotherms are used to illustrate the results of this work. Finally, the possibility of using CAS when the IE approach does not apply (for instance, when multidentate binding is present) is explored. © 2006 American Institute of Physics.

Determination of the complexing capacity of synthetic and real wine for Zn using Absence of Gradients and Nerstian Equilibrium Stripping technique

The complexing capacity of synthetic (0.011 M tartrate in 13.5% ethanol) and real wine (Raimat Abadia) in titrations with added total Zn concentrations up to 0.03 M has been determined following the free Zn concentrations with AGNES (absence of gradients and Nernstian equilibrium stripping) technique. A correction to find the preconcentration factor or gain (Y1) really applied at each one of the ionic strengths reached due to Zn additions along the titration has been applied. The standard implementation of AGNES to real wine led to the observation of two anomalous behaviors: (a) an increasingly negative current in the deposition stage (labeled as “HER” effect) and (b) a minimum in the currents of the stripping stage plot (labeled as the “dip” effect). A practical strategy to apply AGNES avoiding the dip effect has been developed to quantify properly free Zn concentrations. The van den Berg–Ružic–Lee linearization method (assuming the existence of just 1:1 complexes) has been adapted to consider the dilution effect and the ionic strength changes. Aggregated stability constants and total ligand concentrations have been calculated from synthetic and wine titration data. The found complexing capacity in the studied wine (cT,L = 0.0179 ± 0.0007 M) indicates the contribution of ligands other than tartrate (which is confirmed to be the main one).

Cooperative games with size-truncated information

[Eng] We study the marginal worth vectors and their convex hull, the socalled Weber set, from the original coalitional game and the transformed one, which is called the Weber set of level k. We prove that the core of the original game is included in each of the Weber set of level k, for any k, and that the Weber sets of consecutive levels form a chain if and only if the original game is 0-monotone. Even if the game is not 0-monotone, the intersection of the Weber sets for consecutive levels is always not empty, what is not the case for non-consecutive ones. Spanish education system.