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.

Community structure in mediterranean shallow lentic ecosystems: size-based vs. taxon-based approaches

The main environmental variables determining the community structure and the functioning of Mediterranean shallow lentic ecosystems are described. These ecosystems are characterized by the unpredictability of their water inputs and the high variability in their water level and physical and chemical composition. Variations in flooding, salinity, and water turnover are determinant in species composition and nutrient dynamics. Taxon-based and size-based approaches to the study of the community structure of aquatic organisms that colonise these ecosystems are also compared. The conventional taxonomic approach, based on the determination of species composition, has been used for the identification of patterns in species richness, distribution and temporal dynamics, and for ecological requirements of species and their potential use as ecological indicators. This taxonbased approach has been compared with a size-based approach, where individuals are classified by their size. Size-based approach gives complementary information about community structure and dynamics, especially when communities are dominated by a single species. The use of size diversity combined with species diversity is suggested for a more complete understanding of community structuring in this type of ecosystem. Detailed examples of two Mediterranean shallow lentic ecosystems, the salt marshes of the Empordà wetlands and the Espolla temporary karstic pond, which differ in hydrology and water origin, are used to discuss the suitability of these different approaches

Plant Size and Frequency of Strike, December 1970

In Illinois and Iowa, the author finds that plants with approximately 750 employees have suffered the highest strike-frequency rate. Why at this size? Among other explanations, it is posited that in significantly smaller plants labor-management relations can be personalized-and tensions reduced-while in appreciably larger plants sophistication in dealing with disputes may, of necessity, have been developed. C. Fred Eisele is a graduate teaching assistant at the University of Iowa's College of Business Administration.

Surfactant palmitoylmyristoylphosphatidylcholine is a marker for alveolar size during disease.

Two common lung-related complications in the neonate are respiratory distress syndrome, which is associated with a failure to generate low surface tension at the air-liquid interface because of pulmonary surfactant insufficiency, and bronchopulmonary dysplasia (BPD), a chronic lung injury with reduced alveolarization. Surfactant phosphatidylcholine (PC) molecular species composition during alveolarization has not been examined. Mass spectrometry analysis of bronchoalveolar lavage fluid of rodents and humans revealed significant changes in surfactant PC during alveolar development and BPD. In rats, total PC content rose during alveolarization, which was caused by an increase in palmitoylmyristoyl-PC (16:0/14:0PC) concentration. Furthermore, two animal models of BPD exhibited a specific reduction in 16:0/14:0PC content. In humans, 16:0/14:0PC content was specifically decreased in patients with BPD and emphysema compared with patients without alveolar pathology. Palmitoylmyristoyl-PC content increased with increasing intrinsic surfactant curvature, suggesting that it affects surfactant function in the septating lung. The changes in acyl composition of PC were attributed to type II cells producing an altered surfactant during alveolar development. These data are compatible with extracellular surfactant 16:0/14:0PC content being an indicator of alveolar architecture of the lung.

Permanent correction of an inherited ectodermal dysplasia with recombinant EDA.

X-linked hypohidrotic ectodermal dysplasia (XLHED; OMIM 305100) is a genetic disorder characterized by absence or deficient function of hair, teeth and sweat glands. Affected children may experience life-threatening high fever resulting from reduced ability to sweat. Mice with the Tabby phenotype share many symptoms with human XLHED patients because both phenotypes are caused by mutations of the syntenic ectodysplasin A gene (Eda) on the X chromosome. Two main splice variants of Eda, encoding EDA1 and EDA2, engage the tumor necrosis factor (TNF) family receptors EDAR and XEDAR, respectively. The EDA1 protein, acting through EDAR, is essential for proper formation of skin appendages; the functions of EDA2 and XEDAR are not known. EDA1 must be proteolytically processed to a soluble form to be active. Here, we show that treatment of pregnant Tabby mice with a recombinant form of EDA1, engineered to cross the placental barrier, permanently rescues the Tabby phenotype in the offspring. Notably, sweat glands can also be induced by EDA1 after birth. This is the first example of a developmental genetic defect that can be permanently corrected by short-term treatment with a recombinant protein.

Is tumour size an underestimated feature in the current TNM system for malignancies of the pancreatic head?

BACKGROUND: As the long-term survival of pancreatic head malignancies remains dismal, efforts have been made for a better patient selection and a tailored treatment. Tumour size could also be used for patient stratification. METHODS: One hundred and fourteen patients underwent a pancreaticoduodenectomy for pancreatic adenocarcinoma, peri-ampullary and biliary cancer stratified according to: ≤20 mm, 21-34 mm, 35-45 mm and >45 mm tumour size. RESULTS: Patients with tumour sizes of ≤20 mm had a N1 rate of 41% and a R1/2 rate of 7%. The median survival was 3.4 years. N1 and R1/2 rates increased to 84% and 31% for tumour sizes of 21-34 mm (P = 0.0002 for N, P = 0.02 for R). The median survival decreased to 1.6 years (P = 0.0003). A further increase in tumour size of 35-45 mm revealed a further increase of N1 and R1/2 rates of 93% (P < 0.0001) and 33%, respectively. The median survival was 1.2 years (P = 0.004). Tumour sizes >45 mm were related to a further decreased median survival of 1.1 years (P = 0.2), whereas N1 and R1/2 rates were 87% and 20%, respectively. DISCUSSION: Tumour size is an important feature of pancreatic head malignancies. A tumour diameter of 20 mm seems to be the cut-off above which an increased rate of incomplete resections and metastatic lymph nodes must be encountered and the median survival is reduced.

Investigation of Electromagnetic Gauges for Determination of In-Place Density of HMA Pavements, TR-576, 2009

This study evaluated the use of electromagnetic gauges to determine the adjusted densities of HMA pavements. Field measurements were taken with two electromagnetic gauges, the Pavement Quality Indicator (PQI) 301 and the Pavetracker Plus 2701B. Seven projects were included in the study with 3 to 5 consecutive paving days. For each day/lot 20 randomly selected locations were tested along with seven core locations. The analysis of PaveTracker and PQI density consisted of determining which factors are statistically significant, and core density residuals and a regression analysis of core as a function of PaveTracker and PQI readings. The following key conclusions can be stated: 1. Core density, traffic and binder content were all found to be significant for both electromagnetic gauges studied, 2. Core density residuals are normally distributed and centered at zero for both electromagnetic gauges, 3. For PaveTracker readings, statistically one third of the lots do not have an intercept that is zero and two thirds of the lots do not rule out a scaler correction factor of zero, 4. For PQI readings, statistically the 95% confidence interval rules out the intercept being zero for all seven projects and six of the seven projects do not rule out the scaler correction factor being zero, 5. The PQI 301 gauge should not be used for quality control or quality assurance, and 6. The Pavetracker 2701B gauge can be used for quality control but not quality assurance. This study has found that with the limited sample size, the adjusted density equations for both electromagnetic gauges were determined to be inadequate. The PaveTracker Plus 2701B was determined to be better than the PQI 301. The PaveTracker 2701B could still be applicable for quality assurance if the number of core locations per day is reduced and supplemented with additional PaveTracker 2701B readings. Further research should be done to determine the minimum number of core locations to calibrate the gauges each day/lot and the number of additional PaveTracker 2701B readings required.

Carbonate Rock Pore Size Distribution Determination through Iowa Pore Index Testing, MLR-15-01, 2015

The Iowa Pore Index (IPI) measures the pore system of carbonate (limestone and dolomite) rocks using pressurized water to infiltrate the pore system. This technique provides quantitative results for the primary and capillary (secondary) pores in carbonate rocks. These results are used in conjunction with chemical and mineralogical test results to calculate a quality number, which is used as a predictor of aggregate performance in Portland cement concrete (PCC) leading to the durability classification of the aggregate. This study had two main objectives: to determine the effect different aggregate size has on IPI test results and to establish the precision of IPI test and test apparatus. It was found that smaller aggregate size fractions could be correlated to the standard 1/2”-3/4” size sample. Generally, a particle size decrease was accompanied by a slight decrease in IPI values. The IPI testing also showed fairly good agreement of the secondary pore index number between the 1/2”-3/4”and the 3/8”-1/2” fraction. The #4-3/8” showed a greater difference of the secondary number from the 1/2”-3/4” fraction. The precision of the IPI test was established as a standard deviation (Sr) of 2.85 (Primary) and 0.87 (Secondary) with a repeatability limit (%r) of 8.5% and 14.9% for the primary and secondary values, respectively.

Effects of parental larval diet on egg size and offspring traits in Drosophila.

If a mother's nutritional status predicts the nutritional environment of the offspring, it would be adaptive for mothers experiencing nutritional stress to prime their offspring for a better tolerance to poor nutrition. We report that in Drosophila melanogaster, parents raised on poor larval food laid 3-6% heavier eggs than parents raised on standard food, despite being 30 per cent smaller. Their offspring developed 14 h (4%) faster on the poor food than offspring of well-fed parents. However, they were slightly smaller as adults. Thus, the effects of parental diet on offspring performance under malnutrition apparently involve both adaptive plasticity and maladaptive effects of parental stress.

Age and size structure of gap-dynamic, old-growth boreal forest stands in Newfoundland

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Cell size in trays for the production of strawberry plug transplants

The objective of this work was to evaluate the influence of cell sizes used for strawberry plug production in trays compared to bare root transplants, regarding initial plant size, harvest timing, and total strawberry fruit yield. Plug transplants were produced from runner tips rooted in trays with cell sizes of 26.5, 50, 100 and 150 cm³ filled with Plantmax HA organic substrate. Bare root transplants (control) were produced in a closed soilless system using sand as substrate. A randomized block design was used, with four replicates with 16 plants per plot. Bare root transplants and plug transplants from 100-cm³ cells had larger crown and higher leaf and root dry mass. Early fruit yield was higher in plants propagated from plugs than in those propagated from bare root transplants. Spring and total fruit yield did not differ among treatments, with an average yield of 435 and 874 g per plant, respectively. Earlier strawberry fruit yield was obtained by using plug transplants, even from trays with small cells of 26.5 or 50 cm³.

Sample size for full-sib family evaluation in sugarcane

The objective of this study was to determine the minimum number of plants per plot that must be sampled in experiments with sugarcane (Saccharum officinarum) full-sib families in order to provide an effective estimation of genetic and phenotypic parameters of yield-related traits. The data were collected in a randomized complete block design with 18 sugarcane full-sib families and 6 replicates, with 20 plants per plot. The sample size was determined using resampling techniques with replacement, followed by an estimation of genetic and phenotypic parameters. Sample-size estimates varied according to the evaluated parameter and trait. The resampling method permits an efficient comparison of the sample-size effects on the estimation of genetic and phenotypic parameters. A sample of 16 plants per plot, or 96 individuals per family, was sufficient to obtain good estimates for all traits considered of all the characters evaluated. However, for Brix, if sample separation by trait were possible, ten plants per plot would give an efficient estimate for most of the characters evaluated.