Three Essays on Asset Pricing

In this dissertation, I investigate three related topics on asset pricing: the consumption-based asset pricing under long-run risks and fat tails, the pricing of VIX (CBOE Volatility Index) options and the market price of risk embedded in stock returns and stock options. These three topics are fully explored in Chapter II through IV. Chapter V summarizes the main conclusions. In Chapter II, I explore the effects of fat tails on the equilibrium implications of the long run risks model of asset pricing by introducing innovations with dampened power law to consumption and dividends growth processes. I estimate the structural parameters of the proposed model by maximum likelihood. I find that the stochastic volatility model with fat tails can, without resorting to high risk aversion, generate implied risk premium, expected risk free rate and their volatilities comparable to the magnitudes observed in data. In Chapter III, I examine the pricing performance of VIX option models. The contention that simpler-is-better is supported by the empirical evidence using actual VIX option market data. I find that no model has small pricing errors over the entire range of strike prices and times to expiration. In general, Whaley’s Black-like option model produces the best overall results, supporting the simpler-is-better contention. However, the Whaley model does under/overprice out-of-the-money call/put VIX options, which is contrary to the behavior of stock index option pricing models. In Chapter IV, I explore risk pricing through a model of time-changed Lévy processes based on the joint evidence from individual stock options and underlying stocks. I specify a pricing kernel that prices idiosyncratic and systematic risks. This approach to examining risk premia on stocks deviates from existing studies. The empirical results show that the market pays positive premia for idiosyncratic and market jump-diffusion risk, and idiosyncratic volatility risk. However, there is no consensus on the premium for market volatility risk. It can be positive or negative. The positive premium on idiosyncratic risk runs contrary to the implications of traditional capital asset pricing theory.

Registry of all campaigns (from port to port) from the Tara Oceans Expedition (2009-2013)

The Tara Oceans Expedition (2009-2013) sampled the world oceans on board a 36 m long schooner, collecting environmental data and organisms from viruses to planktonic metazoans for later analyses using modern sequencing and state-of-the-art imaging technologies. Tara Oceans Data are particularly suited to study the genetic, morphological and functional diversity of plankton. The present data set is a registry of all campaigns (from port to port) conducted during the Tara Oceans Expedition (2009-2013). The registry provides details about the scientific interest of each campaign, including direct links (URLs) to the corresponding (1) campaign report, (2) samples collected during the campaign, (3) environmental data published at PANGAEA, and (4) nucleotides data published at the European Nucleotides Archive (EBI-ENA).

Registry of all events from the Tara Oceans Expedition (2009-2013)

The Tara Oceans Expedition (2009-2013) sampled the world oceans on board a 36 m long schooner, collecting environmental data and organisms from viruses to planktonic metazoans for later analyses using modern sequencing and state-of-the-art imaging technologies. Tara Oceans Data are particularly suited to study the genetic, morphological and functional diversity of plankton. The present data set is a registry of all events conducted during the Tara Oceans Expedition (2009-2013). The registry provides details about the sampling date, time, location and methodology of each event. Uniform resource locators (URLs) offer direct links to the corresponding (1) event logsheet filled on board, (2) environmental data published at PANGAEA, (3) list of samples prepared on board from each event, and (4) nucleotides data published at the European Nucleotides Archive (EBI-ENA).

Registry of selected samples from the Tara Oceans Expedition (2009-2013)

The present data set is a registry of samples from the Tara Oceans Expedition (2009-2013) that were selected for publication in a special issue of the SCIENCE journal (see related references below). The registry provides details about the sampling location and methodology of each sample. Uniform resource locators (URLs) offer direct links to additional contextual environmental data and to the corresponding sequence runs used for analysis in the related literature publications in the SCIENCE journal.

Effect of age on the prognostic value of left ventricular function in patients with acute coronary syndrome : A prospective registry study

© The European Society of Cardiology 2015. Funding The project was funded by the Sir Halley Stewart Trust. MINAP is funded by the Health Quality Improvement Partnership (HQIP).

Impact of Hemoglobin Levels and Anemia on Mortality in Acute Stroke : Analysis of UK Regional Registry Data, Systematic Review, and Meta‐Analysis

Funding Sources The NNUH Stroke and TIA Register is maintained by the NNUH NHS Foundation Trust Stroke Services and data management for this study is supported by the NNUH Research and Development Department through Research Capability Funds.

Factors associated with self-cutting as a method of self-harm: findings from the Irish National Registry of Deliberate Self-Harm

Background: Research suggests that patients presenting to hospital with self-cutting differ from those with intentional overdose in demographic and clinical characteristics. However, large-scale national studies comparing self-cutting patients with those using other self-harm methods are lacking. We aimed to compare hospital-treated self-cutting and intentional overdose, to examine the role of gender in moderating these differences, and examine the characteristics and outcomes of those patients presenting with combined self-cutting and overdose. Methods: Between 2003 and 2010, the Irish National Registry of Deliberate Self-Harm recorded 42,585 self-harm presentations to Irish hospital emergency departments meeting the study inclusion criteria. Data were obtained on demographic and clinical characteristics by independent data registration officers. Results: Compared with overdose only, involvement of self-cutting (with or without overdose) was significantly more common in males than females, with an overrepresentation of males aged <35 years. Independent of gender, involvement of self-cutting (with or without overdose) was significantly associated with younger age, city residence, repetition within 30 days and repetition within a year (females only). Factors associated with self-cutting as the sole method were no fixed abode/living in an institution, presenting outside 9 a.m. to 5 p.m., not consuming alcohol and repetition between 31 days and 1 year (males only). Conclusion: The demographic and clinical differences between self-harm patients underline the presence of different subgroups with implications for service provision and prevention of repeated self-harm. Given the relationship between self-cutting and subsequent repetition, service providers need to ensure that adequate follow-up arrangements and supports are in place for the patient.

Registry of all stations from the Tara Oceans Expedition (2009-2013)

The Tara Oceans Expedition (2009-2013) sampled the world oceans on board a 36 m long schooner, collecting environmental data and organisms from viruses to planktonic metazoans for later analyses using modern sequencing and state-of-the-art imaging technologies. Tara Oceans Data are particularly suited to study the genetic, morphological and functional diversity of plankton. The present data set is a registry of all stations conducted during the Tara Oceans Expedition (2009-2013). The registry provides details about the scientific interest of each station, including (1) the geographic context, (2) legal context, (3) the environmental features that were targeted, and (4) a detailed account of devices deployed during the station. Uniform resource locators (URLs) offer direct links to the corresponding (1) physical oceanographic context reports, (2) list of samples collected during the station, (3) environmental data published at PANGAEA, and (4) nucleotides data published at the European Nucleotides Archive (EBI-ENA).

Introduction to the US Definition of Asset-Backed Securities

This chapter examines the definition of asset-backed securities under US securities regulations as of August 2014, together with relevant case law prior to and from 2009 edition of this work.

Introduction to EU Asset Backed Securities Disclosures

This chapter examines the definition of asset-backed securities under EU Disclosure regulations and directives as of August 2014, together with relevant case law prior to and from 2009 edition of this work.

EU Asset Backed Securities, Compliance Checklist

This chapter examines the particularities of EU asset-backed securities in terms of the disclosure regimes provided by the EU Disclosure regulations and directives as of August 2014.

US Asset Backed Securities – Risk Symmetric Disclosures

This chapter examines disclosures of US asset-backed securities in terms of information asymmetry theory and risk symmetry.

US Asset-Backed Securities – Regulatory Reform, Dodd-Frank and Final Rules

This chapter examines the new rules proposed under regulatory reform since the credit crisis of 2008-09, including the major proposals of the Dodd-Frank Act of 2010 and some of the Final Rules thereto.

D1.4 – First version applied gaming asset methodology

This deliverable (D1.4) is an intermediate document, expressly included to inform the first project review about RAGE’s methodology of software asset creation and management. The final version of the methodology description (D1.1) will be delivered in Month 29. The document explains how the RAGE project defines, develops, distributes and maintains a series of applied gaming software assets that it aims to make available. It describes a high-level methodology and infrastructure that are needed to support the work in the project as well as after the project has ended.