Essays in general equilibrium asset pricing

ABSTRACT : Research in empirical asset pricing has pointed out several anomalies both in the cross section and time series of asset prices, as well as in investors' portfolio choice. This dissertation aims to discover the forces driving some of these "puzzling" asset pricing dynamics and portfolio decisions observed in the financial market. Through the dissertation I construct and study dynamic general equilibrium models of heterogeneous investors in the presence of frictions and evaluate quantitatively their implications for financial-market asset prices and portfolio choice. I also explore the potential roots of puzzles in international finance. Chapter 1 shows that, by introducing jointly endogenous no-default type of borrowing constraints and heterogeneous beliefs in a dynamic general-equilibrium economy, many empirical features of stock return volatility can be reproduced. While most of the research on stock return volatility is empirical, this paper provides a theoretical framework that is able to reproduce simultaneously the cross section and time series stylized facts concerning stock returns and their volatility. In contrast to the existing theoretical literature related to stock return volatility, I don't impose persistence or regimes in any of the exogenous state variables or in preferences. Volatility clustering, asymmetry in the stock return-volatility relationship, and pricing of multi-factor volatility components in the cross section all arise endogenously as a consequence of the feedback between the binding of no-default constraints and heterogeneous beliefs. Chapters 2 and 3 explore the implications of differences of opinion across investors in different countries for international asset pricing anomalies. Chapter 2 demonstrates that several international finance "puzzles" can be reproduced by a single risk factor which captures heterogeneous beliefs across international investors. These puzzles include: (i) home equity preference; (ii) the dependence of firm returns on local and foreign factors; (iii) the co-movement of returns and international capital flows; and (iv) abnormal returns around foreign firm cross-listing events in the local market. These are reproduced in a setup with symmetric information and in a perfectly integrated world with multiple countries and independent processes producing the same good. Chapter 3 shows that by extending this framework to multiple goods and correlated production processes; the "forward premium puzzle" arises naturally as a compensation for the heterogeneous expectations about the depreciation of the exchange rate held by international investors. Chapters 2 and 3 propose differences of opinion across international investors as the potential resolution of several international finance `puzzles'. In a globalized world where both capital and information flow freely across countries, this explanation seems more appealing than existing asymmetric information or segmented markets theories aiming to explain international finance puzzles.

Diagnostic value of MRI for the detection of suspected placental invasion: Does it depend on observers' experience?

Purpose: To evaluate the diagnostic value of specific MR features for detection of suspected placental invasion according to observers' experience.Methods and Materials: Our study population included 25 pregnant women (mean age 35.16) investigated by prenatal MRI. In twelve out of them placental invasion was histopathologically proven, the 13 other women (52%) without placental invasion served as control group. Multiplanar T1- and T2-weighted sequences had been performed mostly without IV contrast injection (1.5 T). MR examinations of the two groups were rendered anonymous, mixed, then independently and retrospectively reviewed by two senior and two junior radiologists in view of 8 MR features indicating placentar invasion including the degree. Results were compared with surgical diagnosis (placenta normal/increta/accreta/percreta). Interobserver agrement between senior and junior readers were calculated. Stepwise logistic regression and receiver operating (ROC) curvers were performed.Results: Demographics between the two groups were not statistically different. Overall sensitivity and specificity for detecting placentar invasion was 90.9% and 75.0% for senior readers, and 81.8% and 61.8% for junior readers respectively. The most significant MR features indicating placentar invasion were T2 hypointense placental bands, followed by placenta praevia, focally interrupted myometrial border, posterior placental insertion, and heterogeneous placental signal. For each of the evaluated MR features the interobserver agreement kappa between the two senior readers was superior than that between the junior readers, ranging from bad (<0.4) to good (0.4-0.75).Conclusions: MRI can be a reliable and reproducible tool for detection of suspected placentar invasion, however very variable according to the observers' experience.

Value of clinical factors in selecting postmenopausal women with rheumatoid arthritis for bone densitometry.

Criteria to decide which patients with rheumatoid arthritis (RA) should be examined by dual energy x ray absorptiometry (DXA) are currently not available. The rheumatologists from Amsterdam have proposed preliminary criteria based on clinical risk factors (age, disease activity, and functional status). These criteria are preliminary and not widely accepted but might be helpful in practice. The value of the proposal in a group of Spanish postmenopausal women with RA is analysed. METHODS DXA (lumbar spine and femoral neck) was performed in 128 patients recruited from a clinical setting, and the proposed criteria were applied. T and Z scores were established for a Spanish reference population. RESULTS The mean (SD) age of the patients was 61.3 (10.7) and mean duration of the postmenopausal period 14.5 (10.1) years. Mean duration of RA was 13.7 (7.7) years. Mean C reactive protein was 22 (21) mg/l; mean erythrocyte sedimentation rate 26 (18) mm/1st h; and mean Health Assessment Questionnaire score 1.25 (0.79). Ninety (70%) patients fulfilled the proposed criteria. Their sensitivity for the diagnosis of osteoporosis (T score ¿¿2.5 SD) was 86% and their specificity, 43%. Positive predictive value was 54% and negative predictive value, 79%. CONCLUSIONS The proposed criteria seem a good screening method for the selection of those patients with RA whose bone mineral density should be assessed as the sensitivity and negative predictive value are acceptable.

Prognostic value of fractional flow reserve: linking physiologic severity to clinical outcomes.

BACKGROUND: Fractional flow reserve (FFR) has become an established tool for guiding treatment, but its graded relationship to clinical outcomes as modulated by medical therapy versus revascularization remains unclear. OBJECTIVES: The study hypothesized that FFR displays a continuous relationship between its numeric value and prognosis, such that lower FFR values confer a higher risk and therefore receive larger absolute benefits from revascularization. METHODS: Meta-analysis of study- and patient-level data investigated prognosis after FFR measurement. An interaction term between FFR and revascularization status allowed for an outcomes-based threshold. RESULTS: A total of 9,173 (study-level) and 6,961 (patient-level) lesions were included with a median follow-up of 16 and 14 months, respectively. Clinical events increased as FFR decreased, and revascularization showed larger net benefit for lower baseline FFR values. Outcomes-derived FFR thresholds generally occurred around the range 0.75 to 0.80, although limited due to confounding by indication. FFR measured immediately after stenting also showed an inverse relationship with prognosis (hazard ratio: 0.86, 95% confidence interval: 0.80 to 0.93; p < 0.001). An FFR-assisted strategy led to revascularization roughly half as often as an anatomy-based strategy, but with 20% fewer adverse events and 10% better angina relief. CONCLUSIONS: FFR demonstrates a continuous and independent relationship with subsequent outcomes, modulated by medical therapy versus revascularization. Lesions with lower FFR values receive larger absolute benefits from revascularization. Measurement of FFR immediately after stenting also shows an inverse gradient of risk, likely from residual diffuse disease. An FFR-guided revascularization strategy significantly reduces events and increases freedom from angina with fewer procedures than an anatomy-based strategy.

Effects of variety, soil type and nitrogen fertilizer supply on the nutritive value of barley for growing pigs

Selostus: Lajikkeen, typpilannoitustason ja maalajin vaikutus ohran ruokinnalliseen arvoon lihasioilla

Clinical value of immunoscintigraphy in colorectal carcinoma patients: a prospective study.

Fifty-seven patients with suspected CEA-producing tumors were studied prospectively by radioimmunoscintigraphy (RIS) using a 123I-labeled anti-CEA monoclonal antibody (MAb) (essentially the F(ab')2 or Fab fragments) and emission computed tomography (ECT). Results of RIS were compared to those of a comprehensive diagnostic study. Final diagnosis was based on surgery, biopsy and autopsy (n = 39) or follow-up findings (n = 18). Three groups of patients were defined: Group A with suspected primary tumors (n = 11), Group B with probable (n = 19) and Group C with questionable (n = 27) tumor relapse. Eighty-eight per cent, 93% and 71% of the anatomic regions studied were correctly identified as being involved, and 97%, 97%, and 87% as being free from tumor in Groups A, B, and C, respectively. In the 27 patients from Group C with no definite diagnosis of relapse, and in whom diagnosis was most difficult, 38 tumor sites were involved. Of these, 21 were detected by both prospective RIS and repeated comprehensive study, six by RIS only and seven by conventional methods only. Four sites remained undetected by both approaches. Ten of the 21 lesions were detected by RIS more than 1 mo earlier than by any other method. Among the seven tumor sites detected by other diagnostic modalities only, three were identified at the time of RIS and four became positive more than 6 mo later. Overall diagnosis was entirely correct in 30, partially correct in 16 and incorrect in six patients studied. RIS with ECT and 123I-labeled anti-CEA MAb allows early detection of recurrence or metastasis of colorectal cancer. It thus contributes to reduced delay between diagnosis and treatment.

Feeding value of grass ensiled with absorbents assessed in growing lambs

Selostus: Eri absorbenteilla valmistettu säilörehu karitsoiden ruokinnassa

Scientific value of systematic reviews: survey of editors of core clinical journals.

BACKGROUND: Synthesizing research evidence using systematic and rigorous methods has become a key feature of evidence-based medicine and knowledge translation. Systematic reviews (SRs) may or may not include a meta-analysis depending on the suitability of available data. They are often being criticised as 'secondary research' and denied the status of original research. Scientific journals play an important role in the publication process. How they appraise a given type of research influences the status of that research in the scientific community. We investigated the attitudes of editors of core clinical journals towards SRs and their value for publication.¦METHODS: We identified the 118 journals labelled as "core clinical journals" by the National Library of Medicine, USA in April 2009. The journals' editors were surveyed by email in 2009 and asked whether they considered SRs as original research projects; whether they published SRs; and for which section of the journal they would consider a SR manuscript.¦RESULTS: The editors of 65 journals (55%) responded. Most respondents considered SRs to be original research (71%) and almost all journals (93%) published SRs. Several editors regarded the use of Cochrane methodology or a meta-analysis as quality criteria; for some respondents these criteria were premises for the consideration of SRs as original research. Journals placed SRs in various sections such as "Review" or "Feature article". Characterization of non-responding journals showed that about two thirds do publish systematic reviews.¦DISCUSSION: Currently, the editors of most core clinical journals consider SRs original research. Our findings are limited by a non-responder rate of 45%. Individual comments suggest that this is a grey area and attitudes differ widely. A debate about the definition of 'original research' in the context of SRs is warranted.

A characterization of a new value and an existing value for cooperative games with levels structure of cooperation

En aquest treball presentem dues caracteritzacions de dos valors diferents en el marc dels jocs coalicionals amb cooperació restringida. Les restriccions són introduïdes com una seqüència finita de particions del conjunt del jugadors, de manera que cada una d'elles eés més grollera que l'anterior, formant així una estructura amb diferents nivells d'unions a priori.

Buy-and-Hold Strategies and Comonotonic Approximations

[cat] En aquest article estudiem estratègies “comprar i mantenir” per a problemes d’optimitzar la riquesa final en un context multi-període. Com que la riquesa final és una suma de variables aleatòries dependents, on cadascuna d’aquestes correspon a una quantitat de capital que s’ha invertit en un actiu particular en una data determinada, en primer lloc considerem aproximacions que redueixen l’aleatorietat multivariant al cas univariant. A continuació, aquestes aproximacions es fan servir per determinar les estratègies “comprar i mantenir” que optimitzen, per a un nivell de probabilitat donat, el VaR i el CLTE de la funció de distribució de la riquesa final. Aquest article complementa el treball de Dhaene et al. (2005), on es van considerar estratègies de reequilibri constant.

High b-value diffusion-weighted imaging: A sensitive method to reveal white matter differences in schizophrenia.

Over the last 10 years, diffusion-weighted imaging (DWI) has become an important tool to investigate white matter (WM) anomalies in schizophrenia. Despite technological improvement and the exponential use of this technique, discrepancies remain and little is known about optimal parameters to apply for diffusion weighting during image acquisition. Specifically, high b-value diffusion-weighted imaging known to be more sensitive to slow diffusion is not widely used, even though subtle myelin alterations as thought to happen in schizophrenia are likely to affect slow-diffusing protons. Schizophrenia patients and healthy controls were scanned with a high b-value (4000s/mm(2)) protocol. Apparent diffusion coefficient (ADC) measures turned out to be very sensitive in detecting differences between schizophrenia patients and healthy volunteers even in a relatively small sample. We speculate that this is related to the sensitivity of high b-value imaging to the slow-diffusing compartment believed to reflect mainly the intra-axonal and myelin bound water pool. We also compared these results to a low b-value imaging experiment performed on the same population in the same scanning session. Even though the acquisition protocols are not strictly comparable, we noticed important differences in sensitivities in the favor of high b-value imaging, warranting further exploration.

Prognostic value of continuous eeg monitoring during therapeutic hypothermia in patients with coma after cardiac arrest

INTRODUCTION: Continuous EEG (cEEG) is increasingly used to monitor brain function in neuro-ICU patients. However, its value in patients with coma after cardiac arrest (CA), particularly in the setting of therapeutic hypothermia (TH), is only beginning to be elucidated. The aim of this study was to examine whether cEEG performed during TH may predict outcome. METHODS: From April 2009 to April 2010, we prospectively studied 34 consecutive comatose patients treated with TH after CA who were monitored with cEEG, initiated during hypothermia and maintained after rewarming. EEG background reactivity to painful stimulation was tested. We analyzed the association between cEEG findings and neurologic outcome, assessed at 2 months with the Glasgow-Pittsburgh Cerebral Performance Categories (CPC). RESULTS: Continuous EEG recording was started 12 ± 6 hours after CA and lasted 30 ± 11 hours. Nonreactive cEEG background (12 of 15 (75%) among nonsurvivors versus none of 19 (0) survivors; P < 0.001) and prolonged discontinuous "burst-suppression" activity (11 of 15 (73%) versus none of 19; P < 0.001) were significantly associated with mortality. EEG seizures with absent background reactivity also differed significantly (seven of 15 (47%) versus none of 12 (0); P = 0.001). In patients with nonreactive background or seizures/epileptiform discharges on cEEG, no improvement was seen after TH. Nonreactive cEEG background during TH had a positive predictive value of 100% (95% confidence interval (CI), 74 to 100%) and a false-positive rate of 0 (95% CI, 0 to 18%) for mortality. All survivors had cEEG background reactivity, and the majority of them (14 (74%) of 19) had a favorable outcome (CPC 1 or 2). CONCLUSIONS: Continuous EEG monitoring showing a nonreactive or discontinuous background during TH is strongly associated with unfavorable outcome in patients with coma after CA. These data warrant larger studies to confirm the value of continuous EEG monitoring in predicting prognosis after CA and TH.

Added prognostic value of myocardial blood flow quantitation in rubidium-82 positron emission tomography imaging.

AIMS: We studied the respective added value of the quantitative myocardial blood flow (MBF) and the myocardial flow reserve (MFR) as assessed with (82)Rb positron emission tomography (PET)/CT in predicting major adverse cardiovascular events (MACEs) in patients with suspected myocardial ischaemia. METHODS AND RESULTS: Myocardial perfusion images were analysed semi-quantitatively (SDS, summed difference score) and quantitatively (MBF, MFR) in 351 patients. Follow-up was completed in 335 patients and annualized MACE (cardiac death, myocardial infarction, revascularization, or hospitalization for congestive heart failure or de novo stable angor) rates were analysed with the Kaplan-Meier method in 318 patients after excluding 17 patients with early revascularizations (<60 days). Independent predictors of MACEs were identified by multivariate analysis. During a median follow-up of 624 days (inter-quartile range 540-697), 35 MACEs occurred. An annualized MACE rate was higher in patients with ischaemia (SDS >2) (n = 105) than those without [14% (95% CI = 9.1-22%) vs. 4.5% (2.7-7.4%), P < 0.0001]. The lowest MFR tertile group (MFR <1.8) had the highest MACE rate [16% (11-25%) vs. 2.9% (1.2-7.0%) and 4.3% (2.1-9.0%), P < 0.0001]. Similarly, the lowest stress MBF tertile group (MBF <1.8 mL/min/g) had the highest MACE rate [14% (9.2-22%) vs. 7.3% (4.2-13%) and 1.8% (0.6-5.5%), P = 0.0005]. Quantitation with stress MBF or MFR had a significant independent prognostic power in addition to semi-quantitative findings. The largest added value was conferred by combining stress MBF to SDS. This holds true even for patients without ischaemia. CONCLUSION: Perfusion findings in (82)Rb PET/CT are strong MACE outcome predictors. MBF quantification has an added value allowing further risk stratification in patients with normal and abnormal perfusion images.