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.

Optimal culture incubation time in orthopedic device-associated infections: a retrospective analysis of prolonged 14-day incubation.

Accurate diagnosis of orthopedic device-associated infections can be challenging. Culture of tissue biopsy specimens is often considered the gold standard; however, there is currently no consensus on the ideal incubation time for specimens. The aim of our study was to assess the yield of a 14-day incubation protocol for tissue biopsy specimens from revision surgery (joint replacements and internal fixation devices) in a general orthopedic and trauma surgery setting. Medical records were reviewed retrospectively in order to identify cases of infection according to predefined diagnostic criteria. From August 2009 to March 2012, 499 tissue biopsy specimens were sampled from 117 cases. In 70 cases (59.8%), at least one sample showed microbiological growth. Among them, 58 cases (82.9%) were considered infections and 12 cases (17.1%) were classified as contaminations. The median time to positivity in the cases of infection was 1 day (range, 1 to 10 days), compared to 6 days (range, 1 to 11 days) in the cases of contamination (P < 0.001). Fifty-six (96.6%) of the infection cases were diagnosed within 7 days of incubation. In conclusion, the results of our study show that the incubation of tissue biopsy specimens beyond 7 days is not productive in a general orthopedic and trauma surgery setting. Prolonged 14-day incubation might be of interest in particular situations, however, in which the prevalence of slow-growing microorganisms and anaerobes is higher.

Optimal CD8 T cell responsiveness is controlled within a defined TCR affinity window

Protective immune responses relyon TCR-mediated recognition of antigenspresented by MHC molecules. Tcells directed against tumor antigensare thought to express TCRs of loweraffinity/avidity than pathogen-specificT lymphocytes. An attractivestrategy to improve anti-tumor T cellresponses is to adoptively transferCD8+ T cells engineered with TCRsof optimized affinity. However, themechanisms that control optimal Tcell activation and responsiveness remainpoorly defined. We aim at characterizingTCR-pMHC binding parametersand downstream signalingevents that regulate T cell functionalityby using an in silico designedpanel of tumor antigen-specific TCRsof incremental affinity for pMHC(Kd100 M- 15 nM).We found that optimalT cell responses (cytokine secretionand target cell killing) occurredwithin a well-defined window ofTCR-pMHC binding affinity (5 M-1 M), while drastic functional declinewas detected in T cells expressingvery low and very high TCRaffinities,which was not caused by any increasein apoptosis. Whole-genomemicroarray analysis revealed that Tcells with optimal TCR affinitieshighly up-regulated transcription ofgenes typical of T cell activation (i.e.IFN-, NF-B and TNFR), while reducedexpression was detected in Tcells of very low or very high TCR affinity.Strikingly, hierarchical clusteringshowed that the latter two variantsclustered together with the un-stimulatedcontrol Tcells.Yet, despite commonclustering, several genes seemedto be differentially expressed, suggestingthat the mechanisms involvedin this "unresponsiveness state" maydiffer between those two variants. Finally,calcium influx assays also demonstratedattenuated responses in Tcells of very high TCR affinity. Ourresults indicate that optimal T cellfunction is tightly controlled within adefinedTCRaffinity window throughvery proximal TCR-mediated mechanisms,possibly at the TCR-pMHCbinding interface. Uncovering themechanisms regulating optimal/maximalT cell function is essential to understandand promote therapeutic designlike adoptive T cell therapy.

The role of macrophage migration inhibitory factor in mouse islet transplantation.

BACKGROUND: Macrophage migration inhibitory factor (MIF) is a proinflammatory cytokine produced by many tissues including pancreatic beta-cells. METHODS: This study investigates the impact of MIF on islet transplantation using MIF knock-out (MIFko) mice. RESULTS: Early islet function, assessed with a syngeneic marginal islet mass transplant model, was enhanced when using MIFko islets (P<0.05 compared with wild-type [WT] controls). This result was supported by increased in vitro resistance of MIFko islets to apoptosis (terminal deoxynucleotide tranferase-mediated dUTP nick-end labeling assay), and by improved glucose metabolism (lower blood glucose levels, reduced glucose areas under curve and higher insulin release during intraperitoneal glucose challenges, and in vitro in the absence of MIF, P<0.01). The beneficial impact of MIFko islets was insufficient to delay allogeneic islet rejection. However, the rejection of WT islet allografts was marginally delayed in MIFko recipients by 6 days when compared with WT recipient (P<0.05). This effect is supported by the lower activity of MIF-deficient macrophages, assessed in vitro and in vivo by cotransplantation of islet/macrophages. Leukocyte infiltration of the graft and donor-specific lymphocyte activity (mixed lymphocyte reaction, interferon gamma ELISPOT) were similar in both groups. CONCLUSION: These data indicate that targeting MIF has the potential to improve early function after syngeneic islet transplantation, but has only a marginal impact on allogeneic rejection.

Fluid migration through thrust faults in the Helvetic nappes (Western Swiss Alps)

The delta(18)O, delta(13)C and Sr-87/Sr-86 values of calcite and organic matter were measured for carbonate mylonites from numerous thrusts in the Helvetic Alps. Carbonate mylonites in most of the thrusts retain essentially unaltered protolith delta(18)O and delta(13)C values, consistent with there having been little to no advection of isotopically distinct fluid through these faults. Only carbonate mylonites from the basal thrusts of the largest nappes have delta(18)O and/or delta(13)C values that differ from those of their protoliths. The zone of isotopic alteration/exchange is confined to c. 10 to 20 meters of these fault contacts. We propose the fluids that migrated through these faults contained variable amounts of organically derived carbon and radiogenic strontium, and were probably derived from dewatering of the sedimentary rocks and prograde metamorphic reactions in the nappes' root zones. Apart from the basal thrusts of the largest nappes that behaved as narrow, laterally extensive conduits for fluids, there is little isotopic evidence that large quantities of fluids passed through most of the carbonate-hosted thrusts in the Helvetic Alps.

Effects of Cement on Moisture Migration in Concrete, Phase A, Laboratory Study of Moisture Migration in Hardened Cement Paste, HR-141, 1972

The Columbus Laboratories of Battelle Memorial Institute is currently conducting a study of the effect of cement on moisture migration in concrete as related to the problem of D-cracking of portland cement concrete pavements. The study began on December 31, 1970, and is planned as a 3-year program. The work plan, approved by the policy committee of the members of the Iowa, Kansas, and Missouri highway departments and the Federal Highway Administration, is composed of four parts. The first phase (A) of the investigation concerned the movement of moisture into and from hardened cement pastes and the dimensional changes accompanying the moisture changes. Small slab specimens of hardened neat cement pastes were prepared from 32 different cements which were prepared at the same water/cement ratio and hydrated to the same maturity factor.

Expression and function of macrophage migration inhibitory factor (MIF) in melioidosis.

BACKGROUND: Macrophage migration inhibitory factor (MIF) has emerged as a pivotal mediator of innate immunity and has been shown to be an important effector molecule in severe sepsis. Melioidosis, caused by Burkholderia pseudomallei, is an important cause of community-acquired sepsis in Southeast-Asia. We aimed to characterize the expression and function of MIF in melioidosis. METHODOLOGY AND PRINCIPAL FINDINGS: MIF expression was determined in leukocytes and plasma from 34 melioidosis patients and 32 controls, and in mice infected with B. pseudomallei. MIF function was investigated in experimental murine melioidosis using anti-MIF antibodies and recombinant MIF. Patients demonstrated markedly increased MIF mRNA leukocyte and MIF plasma concentrations. Elevated MIF concentrations were associated with mortality. Mice inoculated intranasally with B. pseudomallei displayed a robust increase in pulmonary and systemic MIF expression. Anti-MIF treated mice showed lower bacterial loads in their lungs upon infection with a low inoculum. Conversely, mice treated with recombinant MIF displayed a modestly impaired clearance of B. pseudomallei. MIF exerted no direct effects on bacterial outgrowth or phagocytosis of B. pseudomallei. CONCLUSIONS: MIF concentrations are markedly elevated during clinical melioidosis and correlate with patients' outcomes. In experimental melioidosis MIF impaired antibacterial defense.

The Catalan migration to New York. A view from La Llumanera de Nova York (1874-1881)

The first issue of La Llumanera de Nova York came out in November 1874 and was not published until 1881. The challenge was certainly complicated: editing a newspaper in Catalan in New York, with the aim of influencing a group of potential readers who were distributed in the United States and, at the same time, become a medium that would bring the ideas of a new era, both from a political and cultural point of view

Beyond Conditionality versus Cooperation: Power and Resistance in the Case of EU Mobility Partnerships and Swiss Migration Partnerships

Migration partnerships (MPs) have become a key instrument in global migration governance. In contrast to traditional unilateral approaches, MPs emphasize a more comprehensive and inclusive tackling of migration issues between countries of origin, transit, and destination. Due to this cooperation-oriented concept, most of the existing studies on MPs neglect power questions within partnerships in line with the official discourse, reflecting a broader trend in the international migration governance literature. Others take an instrumentalist view in analysing the power of partnerships or focus on soft power. Illustrated with the examples of the European Mobility Partnerships (EU MPs) and the Swiss Migration Partnerships (CH MPs), we conduct an analysis based on a concept of productive power drawing on post-structural and post-colonial insights. Our main argument is that in contrast to their seemingly consent-oriented and technical character, MPs are sites of intense (discursive) struggles, and (re-)produce meanings, subjects, and resistances. A productive power analysis allows us to move beyond the dichotomy in the literature between coercion and cooperation, as well as between power and resistance more broadly.

Long-term and long-range migration of radioactive fallout in a Karst system.

Mountainous areas are often covered by little evolved soils from which deposited radionuclides can potentially leak into the vadose zone. In the Swiss Jura mountains, we observed unusual isotopic ratios of nuclear weapon test (NWTs) fallout with an apparent loss of NWTs plutonium relative to &supl;³⁷Cs of Chernobyl origin in thinner soils. Here, we studied the karstic watershed of a vauclusian spring to determine the residence times of plutonium, ²⁴&supl;Am, and ⁹⁰Sr deposited by global fallout and their respective mobility in carbonaceous soils. The results show that ⁹⁰Sr is washed most efficiently from the watershed with a residence time of several hundred years. The estimated plutonium residence time is more than 10 times higher (in the range of 5000-10,000 years), and the ²⁴&supl;Am residence time is double that of plutonium. The spring water ²⁴&supl;Am/²³⁹+²⁴⁰Pu isotopic ratio is lower (0.12 - 0.28) than found in watershed soils (0.382 ± 0.077). Similar differences are found in aquatic mosses (²⁴&supl;Am/²³⁹+²⁴⁰Pu isotopic ratio 0.05-0.12), which are permanently submerged in spring waters. In contrast to plutonium, ⁹⁰Sr is leached from these mosses with 0.5M HCl, demonstrating that strontium is probably associated with calcium carbonate precipitations on the mosses. The higher plutonium to americium isotopic ratio found in the samples of spring water and mosses at the outlet of the karst shows that plutonium mobility is enhanced.