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.

A case study of landslides and coping strategies in two villages of central-eastern Nepal

Landslides are an increasing problem in Nepal's Middle Hills due to both natural and human phenomena: mainly increasingly intense monsoon rains and a boom in rural road construction. This problem has largely been neglected due to underreporting of losses and the dispersed nature of landslides. Understanding how populations cope with landslides is a first step toward developing more effective landslide risk management programs. The present research focuses on two villages in Central-Eastern Nepal, both affected by active landslides but with different coping strategies. Research methods are interdisciplinary, based on a geological assessment of landslide risk and a socio-economic study of the villages using household questionnaires, focus group discussions and transect walks. Community risk maps are compared with geological landslide risk maps to better understand and communicate community risk perceptions, priorities and coping strategies. A modified typology of coping strategies is presented, based on previous work by Burton, Kates, and White (1993) that is useful for decision-makers for designing more effective programs for landslide mitigation. Main findings underscore that coping strategies, mainly seeking external assistance and outmigration, are closely linked to access to resources, ethnicity/social status and levels of community organization. Conclusions include the importance of investing in organizational skills, while building on local knowledge about landslide mitigation for reducing landslide risk. There is great potential to increase coping strategies by incorporating skills training on landslide mitigation in existing agricultural outreach and community forest user group training.

Do walking strategies to increase physical activity reduce reported sitting in workplaces: a randomized control trial

Background: Interventions designed to increase workplace physical activity may not automatically reduce high volumes of sitting, a behaviour independently linked to chronic diseases such as obesity and type II diabetes. This study compared the impact two different walking strategies had on step counts and reported sitting times. Methods: Participants were white-collar university employees (n = 179; age 41.3 ± 10.1 years; 141 women), who volunteered and undertook a standardised ten-week intervention at three sites. Preintervention step counts (Yamax SW-200) and self-reported sitting times were measured over five consecutive workdays. Using pre-intervention step counts, employees at each site were randomly allocated to a control group (n = 60; maintain normal behaviour), a route-based walking group (n = 60; at least 10 minutes sustained walking each workday) or an incidental walking group (n = 59; walking in workday tasks). Workday step counts and reported sitting times were re-assessed at the beginning, mid- and endpoint of intervention and group mean± SD steps/day and reported sitting times for pre-intervention and intervention measurement points compared using a mixed factorial ANOVA; paired sample-t-tests were used for follow-up, simple effect analyses. Results: A significant interactive effect (F = 3.5; p < 0.003) was found between group and step counts. Daily steps for controls decreased over the intervention period (-391 steps/day) and increased for route (968 steps/day; t = 3.9, p < 0.000) and incidental (699 steps/day; t = 2.5, p < 0.014) groups. There were no significant changes for reported sitting times, but average values did decrease relative to the control (routes group = 7 minutes/day; incidental group = 15 minutes/day). Reductions were most evident for the incidental group in the first week of intervention, where reported sitting decreased by an average of 21 minutes/day (t = 1.9; p < 0.057). Conclusion: Compared to controls, both route and incidental walking increased physical activity in white-collar employees. Our data suggests that workplace walking, particularly through incidental movement, also has the potential to decrease employee sitting times, but there is a need for on-going research using concurrent and objective measures of sitting, standing and walking.

Allergologie: 2. Mastocytose systémique--nouvelles stratégies thérapeutiques [Systemic mastocytosis--new therapeutic strategies].

Systemic mastocytosis is characterized by an excessive proliferation of mast cells and their accumulation in different organs. Avoidance of trigger factors leading to anaphylaxis is a general measure valid for all forms of mastocytosis. A premedication is necessary in case of surgery, anesthesia or administration of radiocontrast agents. Symptomatic treatment comprises antihistamines, anti-leukotrienes, proton pump inhibitors and topical corticosteroids. Indolent mastocytosis with refractory symptoms, the rare cases of aggressive mastocytosis with organ dysfunction and the even rarer mast cell leukemia require cytoreductive therapy. First-line agents are interferon alpha 2b and imatinib, a tyrosine kinase inhibitor. To date there is no curative treatment.

Alkali Content of Fly Ash – Measuring and Testing Strategies for Compliance, TR-628, 2015

Sodium and potassium are the common alkalis present in fly ash. Excessive amounts of fly ash alkalis can cause efflorescence problems in concrete products and raise concern about the effectiveness of the fly ash to mitigate alkali-silica reaction (ASR). The available alkali test, which is commonly used to measure fly ash alkali, takes approximately 35 days for execution and reporting. Hence, in many instances the fly ash has already been incorporated into concrete before the test results are available. This complicates the job of the fly ash marketing agencies and it leads to disputes with fly ash users who often are concerned with accepting projects that contain materials that fail to meet specification limits. The research project consisted of a lab study and a field study. The lab study focused on the available alkali test and how fly ash alkali content impacts common performance tests (mortar-bar expansion tests). Twenty-one fly ash samples were evaluated during the testing. The field study focused on the inspection and testing of selected, well documented pavement sites that contained moderately reactive fine aggregate and high-alkali fly ash. A total of nine pavement sites were evaluated. Two of the sites were control sites that did not contain fly ash. The results of the lab study indicated that the available alkali test is prone to experimental errors that cause poor agreement between testing labs. A strong (linear) relationship was observed between available alkali content and total alkali content of Class C fly ash. This relationship can be used to provide a quicker, more precise method of estimating the available alkali content. The results of the field study failed to link the use of high-alkali fly ash with the occurrence of ASR in the various concrete sites. Petrographic examination of the pavement cores indicated that Wayland sand is an ASR-sensitive aggregate. This was in good agreement with Iowa DOT field service records. It was recommended that preventative measures should be used when this source of sand is used in concrete mixtures.

Anti-apoptotic strategies of lymphotropic viruses.

Induction of apoptosis of virus-infected cells is an important host cell defence mechanism. However, some viruses have incorporated genes that encode anti-apoptotic proteins or modulate the expression of cellular regulators of apoptosis. Here, Edgar Meinl and colleagues discuss recent evidence that viral interference with host cell apoptosis leads to enhanced viral replication, and to evasion of cytotoxic T-cell effects.

Performance Analysis of Two Quantum Reaction Dynamics Codes: Time-Dependent and Time-Independent Strategies

The computer simulation of reaction dynamics has nowadays reached a remarkable degree of accuracy. Triatomic elementary reactions are rigorously studied with great detail on a straightforward basis using a considerable variety of Quantum Dynamics computational tools available to the scientific community. In our contribution we compare the performance of two quantum scattering codes in the computation of reaction cross sections of a triatomic benchmark reaction such as the gas phase reaction Ne + H2+ %12. NeH++ H. The computational codes are selected as representative of time-dependent (Real Wave Packet [ ]) and time-independent (ABC [ ]) methodologies. The main conclusion to be drawn from our study is that both strategies are, to a great extent, not competing but rather complementary. While time-dependent calculations advantages with respect to the energy range that can be covered in a single simulation, time-independent approaches offer much more detailed information from each single energy calculation. Further details such as the calculation of reactivity at very low collision energies or the computational effort related to account for the Coriolis couplings are analyzed in this paper.

Indexing strategies for rapid searches of short words in genome sequences.

Searching for matches between large collections of short (14-30 nucleotides) words and sequence databases comprising full genomes or transcriptomes is a common task in biological sequence analysis. We investigated the performance of simple indexing strategies for handling such tasks and developed two programs, fetchGWI and tagger, that index either the database or the query set. Either strategy outperforms megablast for searches with more than 10,000 probes. FetchGWI is shown to be a versatile tool for rapidly searching multiple genomes, whose performance is limited in most cases by the speed of access to the filesystem. We have made publicly available a Web interface for searching the human, mouse, and several other genomes and transcriptomes with oligonucleotide queries.

Strategies to Address Nighttime Crashes at Rural, Unsignalized Intersections, TR-540, 2008

Citizens request the installation of roadway lighting in their communities based on several motivations, including the experience or perception that lighting improves traffic safety and reduces crime, while also providing a tangible benefit of taxpayer dollars at work. Roadway authority staff fully appreciate these citizen concerns; however, roadway lighting is expensive to install, supply energy to, and maintain in perpetuity. The installation of roadway lighting is only one of a number of strategies agencies have to address nighttime crash concerns. This research assists local agencies in deciding when, where, and how much rural intersection lighting to provide.

Public Art, strategies for the regeneration of public space

This paper discusses some of the key concepts in the consideration of public art as a central element in urban regeneration processes, especially in reference to its role in the processes of citizen participation.

Cost evaluation and comparison of three decision strategies to revascularize : results of the suspected CAD protocol of the european CMR registry

Background: Cardiac magnetic resonance (CMR) is accepted as a method to assess suspected coronary artery disease (CAD). Nonetheless, invasive coronary angiography (CXA) combined or not with fractional flow reserve (FFR) remains the main diagnostic test to evaluate CAD. Little data exist on the economic impact of the use of these procedures in a population with a low to intermediate pre-test probability. Objective: To compare the costs of 3 decision strategies to revascularize a patient with suspected CAD: 1) strategy guided by CMR 2) hypothetical strategy guided by CXA-FFR, 3) hypothetical strategy guided by CXA alone.

Establishing Strategies for a Transportation MS4 [Municipal Separate Storm Sewer System], RB36-013, 2015

The objective of this project has been to identify best practices and approaches to Municipal Separate Storm Sewer System (MS4) program planning for the Iowa Department of Transportation. Information is primarily based on existing state MS4 programs as examples and references for use as an agency-based MS4 program is developed.

Breeding strategies for recurrent selection of maize

The objectives of this work were to analyze theoretical genetic gains of maize due to recurrent selection among full-sib and half-sib families, obtained by Design I, Full-Sib Design and Half-Sib Design, and genotypic variability and gene loss with long term selection. The designs were evaluated by simulation, based on average estimated gains after ten selection cycles. The simulation process was based on seven gene systems with ten genes (with distinct degrees of dominance), three population classes (with different gene frequencies), under three environmental conditions (heritability values), and four selection strategies. Each combination was repeated ten times, amounting to 25, 200 simulations. Full-sib selection is generally more efficient than half-sib selection, mainly with favorable dominant genes. The use of full-sib families derived by Design I is generally more efficient than using progenies obtained by Full-Sib Design. Using Design I with 50 males and 200 females (effective size of 160) did not result in improved populations with minimum genotypic variability. In the populations with lower effective size (160 and 400) the loss of favorable genes was restricted to recessive genes with reduced frequencies.

Rivascolarizzazione miocardica con arteria radiale: tecniche chirurgiche a confronto e risultati a breve termine [Myocardial revascularization and radial artery: different surgical strategies and short-term results]

BACKGROUND: The radial artery is routinely used as a graft for surgical arterial myocardial revascularization. The proximal radial artery anastomosis site remains unknown. In this study, we analyzed the short-term results and the operative risk determinants after having used four different common techniques for radial artery implantation. METHODS: From January 2000 to December 2004, 571 patients underwent coronary artery bypass grafting with radial arteries. Data were analyzed for the entire population and for subgroups following the proximal radial artery anastomosis site: 140 T-graft with the mammary artery (group A), 316 free-grafts with the proximal anastomosis to the ascending aorta (group B), 55 mammary arteries in situ elongated with the radial artery (group C) and 60 radial arteries elongated with a piece of mammary artery and anastomosed to the ascending aorta (group D). RESULTS: The mean age was 53.8 +/- 7.7 years; 55.5% of patients had a previous myocardial infarction and 73% presented with a satisfactory left ventricular function. A complete arterial myocardial revascularization was achieved in 532 cases (93.2%) and 90.2% of the procedures were performed under cardiopulmonary bypass and cardioplegic arrest. The operative mortality rate was 0.9%, a postoperative myocardial infarction was diagnosed in 19 patients (3.3%), an intra-aortic balloon pump was used in 10 patients (1.7%) and a mechanical circulatory device was implanted in 2 patients. The radial artery harvesting site remained always free from complications. The proximal radial artery anastomosis site was not a determinant of early hospital mortality. Group C showed a higher risk of postoperative myocardial infarction (p = 0.09), together with female gender (p = 0.003), hypertension (p = 0.059) and a longer cardiopulmonary bypass time. CONCLUSIONS: The radial artery and the mammary artery can guarantee multiple arterial revascularization also for patients with contraindications to double mammary artery use. The four most common techniques for proximal radial artery anastomosis are not related to a higher operative risk and they can be used alternatively to reach the best surgical results