Essays in higher moment asset pricing and liquidity risk

This thesis focuses on theoretical asset pricing models and their empirical applications. I aim to investigate the following noteworthy problems: i) if the relationship between asset prices and investors' propensities to gamble and to fear disaster is time varying, ii) if the conflicting evidence for the firm and market level skewness can be explained by downside risk, Hi) if costly learning drives liquidity risk. Moreover, empirical tests support the above assumptions and provide novel findings in asset pricing, investment decisions, and firms' funding liquidity. The first chapter considers a partial equilibrium model where investors have heterogeneous propensities to gamble and fear disaster. Skewness preference represents the desire to gamble, while kurtosis aversion represents fear of extreme returns. Using US data from 1988 to 2012, my model demonstrates that in bad times, risk aversion is higher, more people fear disaster, and fewer people gamble, in contrast to good times. This leads to a new empirical finding: gambling preference has a greater impact on asset prices during market downturns than during booms. The second chapter consists of two essays. The first essay introduces a foramula based on conditional CAPM for decomposing the market skewness. We find that the major market upward and downward movements can be well preadicted by the asymmetric comovement of betas, which is characterized by an indicator called "Systematic Downside Risk" (SDR). We find that SDR can efafectively forecast future stock market movements and we obtain out-of-sample R-squares (compared with a strategy using historical mean) of more than 2.27% with monthly data. The second essay reconciles a well-known empirical fact: aggregating positively skewed firm returns leads to negatively skewed market return. We reconcile this fact through firms' greater response to negative maraket news than positive market news. We also propose several market return predictors, such as downside idiosyncratic skewness. The third chapter studies the funding liquidity risk based on a general equialibrium model which features two agents: one entrepreneur and one external investor. Only the investor needs to acquire information to estimate the unobservable fundamentals driving the economic outputs. The novelty is that information acquisition is more costly in bad times than in good times, i.e. counter-cyclical information cost, as supported by previous empirical evidence. Later we show that liquidity risks are principally driven by costly learning. Résumé Cette thèse présente des modèles théoriques dévaluation des actifs et leurs applications empiriques. Mon objectif est d'étudier les problèmes suivants: la relation entre l'évaluation des actifs et les tendances des investisseurs à parier et à crainadre le désastre varie selon le temps ; les indications contraires pour l'entreprise et l'asymétrie des niveaux de marché peuvent être expliquées par les risques de perte en cas de baisse; l'apprentissage coûteux augmente le risque de liquidité. En outre, des tests empiriques confirment les suppositions ci-dessus et fournissent de nouvelles découvertes en ce qui concerne l'évaluation des actifs, les décisions relatives aux investissements et la liquidité de financement des entreprises. Le premier chapitre examine un modèle d'équilibre où les investisseurs ont des tendances hétérogènes à parier et à craindre le désastre. La préférence asymétrique représente le désir de parier, alors que le kurtosis d'aversion représente la crainte du désastre. En utilisant les données des Etats-Unis de 1988 à 2012, mon modèle démontre que dans les mauvaises périodes, l'aversion du risque est plus grande, plus de gens craignent le désastre et moins de gens parient, conatrairement aux bonnes périodes. Ceci mène à une nouvelle découverte empirique: la préférence relative au pari a un plus grand impact sur les évaluations des actifs durant les ralentissements de marché que durant les booms économiques. Exploitant uniquement cette relation générera un revenu excédentaire annuel de 7,74% qui n'est pas expliqué par les modèles factoriels populaires. Le second chapitre comprend deux essais. Le premier essai introduit une foramule base sur le CAPM conditionnel pour décomposer l'asymétrie du marché. Nous avons découvert que les mouvements de hausses et de baisses majeures du marché peuvent être prédits par les mouvements communs des bêtas. Un inadicateur appelé Systematic Downside Risk, SDR (risque de ralentissement systématique) est créé pour caractériser cette asymétrie dans les mouvements communs des bêtas. Nous avons découvert que le risque de ralentissement systématique peut prévoir les prochains mouvements des marchés boursiers de manière efficace, et nous obtenons des carrés R hors échantillon (comparés avec une stratégie utilisant des moyens historiques) de plus de 2,272% avec des données mensuelles. Un investisseur qui évalue le marché en utilisant le risque de ralentissement systématique aurait obtenu une forte hausse du ratio de 0,206. Le second essai fait cadrer un fait empirique bien connu dans l'asymétrie des niveaux de march et d'entreprise, le total des revenus des entreprises positiveament asymétriques conduit à un revenu de marché négativement asymétrique. Nous décomposons l'asymétrie des revenus du marché au niveau de l'entreprise et faisons cadrer ce fait par une plus grande réaction des entreprises aux nouvelles négatives du marché qu'aux nouvelles positives du marché. Cette décomposition révélé plusieurs variables de revenus de marché efficaces tels que l'asymétrie caractéristique pondérée par la volatilité ainsi que l'asymétrie caractéristique de ralentissement. Le troisième chapitre fournit une nouvelle base théorique pour les problèmes de liquidité qui varient selon le temps au sein d'un environnement de marché incomplet. Nous proposons un modèle d'équilibre général avec deux agents: un entrepreneur et un investisseur externe. Seul l'investisseur a besoin de connaitre le véritable état de l'entreprise, par conséquent, les informations de paiement coutent de l'argent. La nouveauté est que l'acquisition de l'information coute plus cher durant les mauvaises périodes que durant les bonnes périodes, comme cela a été confirmé par de précédentes expériences. Lorsque la récession comamence, l'apprentissage coûteux fait augmenter les primes de liquidité causant un problème d'évaporation de liquidité, comme cela a été aussi confirmé par de précédentes expériences.

Testing kin selection with sex allocation data in eusocial hymenoptera

Sex allocation data in eusocial Hymenoptera (ants, bees and wasps) provide an excellent opportunity to assess the effectiveness of kin selection, because queens and workers differ in their relatedness to females and males. The first studies on sex allocation in eusocial Hymenoptera compared population sex investment ratios across species. Female-biased investment in monogyne (= with single-queen colonies) populations of ants suggested that workers manipulate sex allocation according to their higher relatedness to females than males (relatedness asymmetry). However, several factors may confound these comparisons across species. First, variation in relatedness asymmetry is typically associated with major changes in breeding system and life history that may also affect sex allocation. Secondly, the relative cost of females and males is difficult to estimate across sexually dimorphic taxa, such as ants. Thirdly, each species in the comparison may not represent an independent data point, because of phylogenetic relationships among species. Recently, stronger evidence that workers control sex allocation has been provided by intraspecific studies of sex ratio variation across colonies. In several species of eusocial Hymenoptera, colonies with high relatedness asymmetry produced mostly females, in contrast to colonies with low relatedness asymmetry which produced mostly males. Additional signs of worker control were found by investigating proximate mechanisms of sex ratio manipulation in ants and wasps. However, worker control is not always effective, and further manipulative experiments will be needed to disentangle the multiple evolutionary factors and processes affecting sex allocation in eusocial Hymenoptera.

Error estimate and control in the MSFV method for multiphase flow in porous media

n this paper the iterative MSFV method is extended to include the sequential implicit simulation of time dependent problems involving the solution of a system of pressure-saturation equations. To control numerical errors in simulation results, an error estimate, based on the residual of the MSFV approximate pressure field, is introduced. In the initial time steps in simulation iterations are employed until a specified accuracy in pressure is achieved. This initial solution is then used to improve the localization assumption at later time steps. Additional iterations in pressure solution are employed only when the pressure residual becomes larger than a specified threshold value. Efficiency of the strategy and the error control criteria are numerically investigated. This paper also shows that it is possible to derive an a-priori estimate and control based on the allowed pressure-equation residual to guarantee the desired accuracy in saturation calculation.

2003 Revised Estimates for Public Services - Estimate for the Department of Health and Children

2003 Revised Estimates for Public Services – Estimate for the Department of Health and Children Estimate of the amount required in the year ending 31 December, 2003 for the salaries and expenses of the Office of the Minister for Health and Children (including Oifig an Ard- Chláraitheora), and certain other services administered by that Office, including grants to Health Boards and miscellaneous grants. Click here to download PDF 52kb

2003 Revised Estimates for Public Services Estimate for the Department of Health and Children

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Field trials of an improved cost-effective device for detecting peridomestic populations of Triatoma infestans (Hemiptera: Reduviidae) in rural Argentina

An improved device for detecting peridomestic Triatoma infestans consisting of one-liter recycled Tetra Brik milk boxes with a central structure was tested using a matched-pair study design in two rural areas in Argentina. In Olta (La Rioja), the boxes were installed beneath the thatched roofs and on the vertical wooden posts of each peridomestic structure. After a 5-month exposure, at least one of the recovered boxes detected 88% of the 24 T. infestans-positive sites, and 86% of the 7 negative sites by timed manual collections at baseline. In Amamá (Santiago del Estero), the boxes were paired with the best performing prototype tested before (shelter unit). After 3 months, some evidence of infestation was detected in 89% (boxes) and 79% (shelters) of 18-19 sites positive by timed collections, whereas 19% and 16% of 32 negative sites were positive, respectively. Neither device differed significantly in the qualitative or quantitative collection of every sign of infestation. The installation site did not modify significantly the boxes' sampling efficiency in both study areas. As the total cost of each box was half as expensive as each shelter unit, the boxes are thus the most cost-effective and easy-to-use tool for detecting peridomestic T. infestans currently available.

Review of VHI Claims Cost Control

Review of VHI Claims Cost Control Click here to download PDF 568KB

Divorce in the barn owl: securing a compatible or better mate entails the cost of re-pairing with a less ornamented female mate.

Two nonmutually exclusive hypotheses can explain why divorce is an adaptive strategy to improve reproductive success. Under the 'better option hypothesis', only one of the two partners initiates divorce to secure a higher-quality partner and increases reproductive success after divorce. Under the 'incompatibility hypothesis', partners are incompatible and hence they may both increase reproductive success after divorce. In a long-term study of the barn owl (Tyto alba), we address the question of whether one or the two partners derive fitness benefits by divorcing. Our results support the hypothesis that divorce is adaptive: after a poor reproductive season, at least one of the two divorcees increase breeding success up to the level of faithful pairs. By breeding more often together, faithful pairs improve coordination and thereby gain in their efficiency to produce successful fledglings. Males would divorce to obtain a compatible mate rather than a mate of higher quality: a heritable melanin-based signal of female quality did not predict divorce (indicating that female absolute quality may not be the cause of divorce), but the new mate of divorced males was less melanic than their previous mate. This suggests that, at least for males, a cost of divorce may be to secure a lower-quality but compatible mate. The better option hypothesis could not be formally rejected, as only one of the two divorcing partners commonly succeeded in obtaining a higher reproductive success after divorce. In conclusion, incompatible partners divorce to restore reproductive success, and by breeding more often together, faithful partners improve coordination.

Value for Money and Policy Review of the Economic Cost and Charges Associated with Private and Semi-Private Treatment Services in Public Hospitals - Final Report

This Value for Money and Policy Review (VFM&PR) of the Economic Cost and Charges Associated with Private and Semi-Private Treatment Services in Public Hospitals was initiated by the Department of Health and Children in June 2009 and was conducted under the auspices of the Governmentâ?Ts Value for Money & Policy Review Initiative 2009-2011. The Review was overseen by an independently chaired National Steering Group comprised of senior representatives from the Department of Health and Children, the Department of Finance, and the Health Service Executive (HSE). Download document here Download Explanatory Note  

Construcció d¿un cercador de viatges low cost utilitzant tècniques de web scraping

Cercador web de viatges utilitzant tècniques de web scraping.

Multiple imputations applied to the DREAM3 phosphoproteomics challenge: a winning strategy.

DREAM is an initiative that allows researchers to assess how well their methods or approaches can describe and predict networks of interacting molecules [1]. Each year, recently acquired datasets are released to predictors ahead of publication. Researchers typically have about three months to predict the masked data or network of interactions, using any predictive method. Predictions are assessed prior to an annual conference where the best predictions are unveiled and discussed. Here we present the strategy we used to make a winning prediction for the DREAM3 phosphoproteomics challenge. We used Amelia II, a multiple imputation software method developed by Gary King, James Honaker and Matthew Blackwell[2] in the context of social sciences to predict the 476 out of 4624 measurements that had been masked for the challenge. To chose the best possible multiple imputation parameters to apply for the challenge, we evaluated how transforming the data and varying the imputation parameters affected the ability to predict additionally masked data. We discuss the accuracy of our findings and show that multiple imputations applied to this dataset is a powerful method to accurately estimate the missing data. We postulate that multiple imputations methods might become an integral part of experimental design as a mean to achieve cost savings in experimental design or to increase the quantity of samples that could be handled for a given cost.

Comparison of HIV-infected patients' characteristics, healthcare resources use and cost between native and migrant patients

OBJECTIVES: To assess whether patients' characteristics and healthcare resources consumption and costs were different between native and migrant populations in Switzerland. METHODS: All adult patients followed-up in the Swiss HIV-cohort study in our institution during 2000-2003 were considered. Patients' characteristics were retrieved from the cohort database. Hospital and outpatient resource use were extracted from individual charts and valued with 2002 tariffs. RESULTS: The 66 migrants were younger (29 +/- 8 years versus 37 +/- 11, p < 0.001), less often of male gender (38 % versus 70 %, p < 0.001), predominantly infected via heterosexual contact (87 % versus 52 %, p < 0.01), with lower mean CD4 level at enrollment (326 +/- 235 versus 437 +/- 305, p = 0.002) than their 200 native counterparts. Migrants had fewer hospitalizations, more frequent outpatient visits, laboratory tests, and lower total cost of care per year of follow-up (<euro> 2'215 +/- 4'206 versus 4'155 +/- 12'304, p = 0.037). Resource use and costs were significantly higher in people with < 200 CD4 cell counts in both groups. CONCLUSIONS: Migrant population had more advanced disease, more outpatient visits but less hospitalizations, resulting in lower costs of care when compared with native population.

2006 Drugs estimate refuels debate on governance, Issue 17, Spring 2006

In November 2005 €34.027 million was voted for the Drugs Initiative, which funds the local and regional drugs task forces, and the Young People’s Facilities and Services Fund (YPFSF), in 2006 – an 8 per cent increase on the allocation for 2005 and ‘well in excess of inflation’ according to the government. The community sector strongly criticised this estimate, calling for an additional €8 million to €15 million, to fund the projects identified following the creation of the Emerging Needs Fund in January 2005. In February 2006, the government revised its drugs estimate upwards by a further €8.979 million. As well as criticising the 2006 drugs estimate, the community sector raised a series of concerns with regard to governance – the rules, processes and behaviour that affect the way in which powers are exercised4 – or, in short, decision-making with regard to drugs policy in Ireland.This resource was contributed by The National Documentation Centre on Drug Use.

World Alzheimer Report 2010

The World Alzheimer Report 2010 provides the clearest, most comprehensive global picture yet of the economic impact of Alzheimer's disease and dementia.��The report includes an estimate of the worldwide cost of dementia, including direct medical costs, direct non-medical costs and costs of informal (family) care. The estimates are broken down by world region and include analysis of the differences between low and high income countries. The report also contains important policy recommendations and makes clear to key decision-makers that doing nothing is not an option. The full report is available at the following link: World Alzheimer Report 2010��