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.

Relevé des consultations et des transferts de patients par enquête directe auprès des médecins: méthode d'une enquête, acceptabilité et limites d'interprétation. [Summary of consultations and transfer of patients by a direct survey of physicians: survey methods, acceptability and limits of interpretation].

A survey of medical ambulatory practice was carried out in February-March 1981 in the two Swiss cantons of Vaud and Fribourg (total population: 700,000), in which 205 physicians participated. The methodology used was inspired from the U.S. National Ambulatory Medical Care Survey, the data collection instrument of which was adapted to our conditions; in addition, data were gathered on all referrals prescribed by 154 physicians during two weeks. (The instruments used are presented.) The potential and limits of this type of survey are discussed, as well as the representativity of the participating physicians and of the recorded visits, which are a systematic sample of over 43,000 visits.

Plutonium from above-ground nuclear tests in milk teeth: investigation of placental transfer in children born between 1951 and 1995 in Switzerland.

BACKGROUND: Occupational risks, the present nuclear threat, and the potential danger associated with nuclear power have raised concerns regarding the metabolism of plutonium in pregnant women. OBJECTIVE: We measured plutonium levels in the milk teeth of children born between 1951 and 1995 to assess the potential risk that plutonium incorporated by pregnant women might pose to the radiosensitive tissues of the fetus through placenta transfer. METHODS: We used milk teeth, whose enamel is formed during pregnancy, to investigate the transfer of plutonium from the mother's blood plasma to the fetus. We measured plutonium using sensitive sector field inductively coupled plasma mass spectrometry techniques. We compared our results with those of a previous study on strontium-90 ((90)Sr) released into the atmosphere after nuclear bomb tests. RESULTS: Results show that plutonium activity peaks in the milk teeth of children born about 10 years before the highest recorded levels of plutonium fallout. By contrast, (90)Sr, which is known to cross the placenta barrier, manifests differently in milk teeth, in accordance with (90)Sr fallout deposition as a function of time. CONCLUSIONS: These findings demonstrate that plutonium found in milk teeth is caused by fallout that was inhaled around the time the milk teeth were shed and not from any accumulation during pregnancy through placenta transfer. Thus, plutonium may not represent a radiologic risk for the radiosensitive tissues of the fetus.

Host and invader impact of transfer of the clc genomic island into Pseudomonas aeruginosa PAO1

Genomic islands, large potentially mobile regions of bacterial chromosomes, are a major contributor to bacteria evolution. Here, we investigated the fitness cost and phenotypic differences between the bacterium Pseudomonas aeruginosa PAO1 and a derivative carrying one integrated copy of the clc element, a 103-kb genomic island [and integrative and conjugative element (ICE)] originating in Pseudomonas sp. strain B13 and a close relative of genomic islands found in clinical and environmental isolates of P. aeruginosa. By using a combination of whole genome transcriptome profiling, phenotypic arrays, competition experiments, and biofilm formation studies, only few differences became apparent, such as reduced biofilm growth and fourfold stationary phase repression of genes involved in acetoin metabolism in PAO1 containing the clc element. In contrast, PAO1 carrying the clc element acquired the capacity to grow on 3-chlorobenzoate and 2-aminophenol as sole carbon and energy substrates. No fitness loss >1% was detectable in competition experiments between PAO1 and PAO1 carrying the clc element. The genes from the clc element were not silent in PAO1, and excision was observed, although transfer of clc from PAO1 to other recipient bacteria was reduced by two orders of magnitude. Our results indicate that newly acquired mobile DNA not necessarily invoke an important fitness cost on their host. Absence of immediate detriment to the host may have contributed to the wide distribution of genomic islands like clc in bacterial genomes

Compositional evolution with mass transfer in closed systems

Evolution of compositions in time, space, temperature or other covariates is frequentin practice. For instance, the radioactive decomposition of a sample changes its composition with time. Some of the involved isotopes decompose into other isotopes of thesample, thus producing a transfer of mass from some components to other ones, butpreserving the total mass present in the system. This evolution is traditionally modelledas a system of ordinary di erential equations of the mass of each component. However,this kind of evolution can be decomposed into a compositional change, expressed interms of simplicial derivatives, and a mass evolution (constant in this example). A rst result is that the simplicial system of di erential equations is non-linear, despiteof some subcompositions behaving linearly.The goal is to study the characteristics of such simplicial systems of di erential equa-tions such as linearity and stability. This is performed extracting the compositional differential equations from the mass equations. Then, simplicial derivatives are expressedin coordinates of the simplex, thus reducing the problem to the standard theory ofsystems of di erential equations, including stability. The characterisation of stabilityof these non-linear systems relays on the linearisation of the system of di erential equations at the stationary point, if any. The eigenvelues of the linearised matrix and theassociated behaviour of the orbits are the main tools. For a three component system,these orbits can be plotted both in coordinates of the simplex or in a ternary diagram.A characterisation of processes with transfer of mass in closed systems in terms of stability is thus concluded. Two examples are presented for illustration, one of them is aradioactive decay

Gene transfer of interleukin-18-binding protein attenuates cardiac allograft rejection.

Interleukin (IL) 18 is a potent pro-inflammatory Th1 cytokine that exerts pleiotropic effector functions in both innate and acquired immune responses. Increased IL-18 production during acute rejection has been reported in experimental heart transplantation models and in kidney transplant recipients. IL-18-binding protein (IL-18BP) binds IL-18 with high affinity and neutralizes its biologic activity. We have analyzed the efficacy of an adenoviral vector expressing an IL-18BP-Ig fusion protein in a rat model of heart transplantation. IL-18BP-Ig gene transfer into Fisher (F344) rat donor hearts resulted in prolonged graft survival in Lewis recipients (15.8 +/- 1.4 days vs. 10.3 +/- 2.5 and 10.1 +/- 2.1 days with control virus and buffer solution alone, respectively; P < 0.001). Immunohistochemical analysis revealed decreased intra-graft infiltrates of monocytes/macrophages, CD4(+), CD8alpha(+) and T-cell receptor alphabeta(+) cells after IL-18BP-Ig versus mock gene transfer (P < 0.05). Real-time reverse transcriptase polymerase chain reaction analysis showed decreased cytokine transcripts for the RANTES chemokine and transforming growth factor-beta after IL-18BP-Ig gene transfer (P < 0.05). IL-18BP-Ig gene transfer attenuates inflammatory cell infiltrates and prolongs cardiac allograft survival in rats. These results suggest a contributory role for IL-18 in acute rejection. Further studies aiming at defining the therapeutic potential of IL-18BP are warranted.

Graph based study of allergen cross-reactivity of plant lipid transfer proteins (LTPs) using microarray in a multicenter study.

The study of cross-reactivity in allergy is key to both understanding. the allergic response of many patients and providing them with a rational treatment In the present study, protein microarrays and a co-sensitization graph approach were used in conjunction with an allergen microarray immunoassay. This enabled us to include a wide number of proteins and a large number of patients, and to study sensitization profiles among members of the LTP family. Fourteen LTPs from the most frequent plant food-induced allergies in the geographical area studied were printed into a microarray specifically designed for this research. 212 patients with fruit allergy and 117 food-tolerant pollen allergic subjects were recruited from seven regions of Spain with different pollen profiles, and their sera were tested with allergen microarray. This approach has proven itself to be a good tool to study cross-reactivity between members of LTP family, and could become a useful strategy to analyze other families of allergens.

Postischemic recovery of heart metabolism and function: role of mitochondrial fatty acid transfer.

Postischemic recovery of contractile function is better in hearts from fasted rats than in hearts from fed rats. In this study, we examined whether feeding-induced inhibition of palmitate oxidation at the level of carnitine palmitoyl transferase I is involved in the mechanism underlying impaired recovery of contractile function. Hearts isolated from fasted or fed rats were submitted to no-flow ischemia followed by reperfusion with buffer containing 8 mM glucose and either 0.4 mM palmitate or 0.8 mM octanoate. During reperfusion, oxidation of palmitate was higher after fasting than after feeding, whereas oxidation of octanoate was not influenced by the nutritional state. In the presence of palmitate, recovery of left ventricular developed pressure was better in hearts from fasted rats. Substitution of octanoate for palmitate during reperfusion enhanced recovery of left ventricular developed pressure in hearts from fed rats. However, the chain length of the fatty acid did not influence diastolic contracture. The results suggest that nutritional variation of mitochondrial fatty acid transfer may influence postischemic recovery of contractile function.

Enterprise Architecture Principles in Research and Practice: Insights from an Exploratory Analysis

Even though architecture principles were first discussed in the 1990s, they are still perceived as an underexplored topic in enterprise architecture management research. By now, there is an increasing consensus about EA principles' nature, as well as guidelines for their formulation. However, the extant literature remains vague about what can be considered suitable EA design and evolution guidance principles. In addition, empirical insights regarding their role and usefulness in practice are still lacking. Accordingly, this research seeks to address three questions: (1) What are suitable principles to guide EA design and evolution? (2) What usage do EA principles have for practitioners? (3) Which propositions can be derived regarding EA principles' role and application? Opting for exploratory research, we apply a research process covering critical analysis of current publications as well as capturing experts' perceptions. Our research ontologically distinguishes between principles from nonprinciples, proposes a validated set of meta-principles, and clarifies principles' application, role, and usefulness in practice. The explored insights can be used as guidelines in defining suitable principles and turning them into an effective bridge between strategy and design and a guide in design decisions.

Principes d'evaluation et de prise en charge des patients agés polymorbides: guide a l'intention des cliniciens [Principles for the assessment and management of polymorbid elderly patients: a guide for clinicians].

Providing care to multimorbid older patients is complex, not only because of the coexistence of multiple chronic conditions, but also because of their frequent intrication with psychological and social problems. This article describes a guide for clinicians to assess and manage multimorbid older patients. This guide was adapted from the work of a group of expert US geriatricians. It proposes seven steps: identification of the main problem; identification of patients' preferences; setting of goals of care; estimation of life expectancy; identification of relevant evidence in the literature; revision of the plan of care; and discussion of the options with the patient. The use of this guide is illustrated by a clinical case.

Empirical approaches to inequality of opportunity: principles, measures, and evidence

We put together the different conceptual issues involved in measuring inequality of opportunity, discuss how these concepts have been translated into computable measures, and point out the problems and choices researchers face when implementing these measures. Our analysis identifies and suggests several new possibilities to measure inequality of opportunity. The approaches are illustrated with a selective survey of the empirical literature on income inequality of opportunity.

Is ENP good news for the transfer of environmental norms? Incentives and socialization for Eastern neighbours

The launching of the European Neighbourhood Policy has created some expectations. Cooperation between the EU and its partners is expected to get deeper, to the point that neighbouring countries have been promised to share “everything but institutions” with the EU. Moreover, cooperation is also expected to be broader, as it has been presented as including more and more issue areas. In other words, the ENP has the vocation of being a universal instrument to promote the transfer of EU norms. This paper focuses on one single issue area, the environment, and one group of ENP partners, the Western Newly Independent States and the South Caucasus, to revise to what extent neighbourhood policy can provide the mechanisms to encourage rule transfer. Are incentives and disincentives powerful enough? Can the ENP promote the socialization of neighbours into EU environmental norms?

L'Espiral de la història, de Televisió de Girona

L’experiència de crear, en format televisiu, un programa de difusió històrica per part d’una televisió local resulta altament interessant, perquè ofereix continguts d’àmbit més proper a un públic que difícilment té accés a la seva història des del sector audiovisual. Tots els principis continguts en la proposta científica d’utilitzar les imatges com a transmissores de coneixements i de cultura, convergeixen en el projecte de creació, per part de Televisió de Girona, del programa L’espiral de la història, atès que resulta una excel·lent mostra de la conjunció de diverses tipologies documentals posades al servei d’un objectiu: la difusió de la història de la ciutat de Girona a través del llenguatge audiovisual