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.

Level shifts in a panel data based unit root test : an application to the rate of unemployment

Several unit root tests in panel data have recently been proposed. The test developed by Harris and Tzavalis (1999 JoE) performs particularly well when the time dimension is moderate in relation to the cross-section dimension. However, in common with the traditional tests designed for the unidimensional case, it was found to perform poorly when there is a structural break in the time series under the alternative. Here we derive the asymptotic distribution of the test allowing for a shift in the mean, and assess the small sample performance. We apply this new test to show how the hypothesis of (perfect) hysteresis in Spanish unemployment is rejected in favour of the alternative of the natural unemployment rate, when the possibility of a change in the latter is considered.

Testing for hysteresis in unemployment in OECD countries: new evidence using stationarity panel tests with breaks

This paper tests hysteresis effects in unemployment using panel data for 19 OECD countries covering the period 1956-2001. The tests exploit the cross-section variations of the series, and additionally, allow for a diferent number of endogenous breakpoints in the unemployment series. The critical values are simulated based on our specific panel sizes and time periods. The findings stress the importance of accounting for exogenous shocks in the series and give support to the natural-rate hypothesis of unemployment for the majority of the countries analyzed

Testing for multicointegration in panel data with common factors

The paper addresses the concept of multicointegration in panel data frame- work. The proposal builds upon the panel data cointegration procedures developed in Pedroni (2004), for which we compute the moments of the parametric statistics. When individuals are either cross-section independent or cross-section dependence can be re- moved by cross-section demeaning, our approach can be applied to the wider framework of mixed I(2) and I(1) stochastic processes analysis. The paper also deals with the issue of cross-section dependence using approximate common factor models. Finite sample performance is investigated through Monte Carlo simulations. Finally, we illustrate the use of the procedure investigating inventories, sales and production relationship for a panel of US industries.

New evidence of the real interest rate parity for OECD countries using panel unit root tests with breaks

This paper tests for real interest parity (RIRP) among the nineteen major OECD countries over the period 1978:Q2-1998:Q4. The econometric methods applied consist of combining the use of several unit root or stationarity tests designed for panels valid under cross-section dependence and presence of multiple structural breaks. Our results strongly support the fulfilment of the weak version of the RIRP for the studied period once dependence and structural breaks are accounted for.

Growth, convergence and public investment : a bayesian model averaging approach

The aim of this paper is twofold. First, we study the determinants of economic growth among a wide set of potential variables for the Spanish provinces (NUTS3). Among others, we include various types of private, public and human capital in the group of growth factors. Also,we analyse whether Spanish provinces have converged in economic terms in recent decades. Thesecond objective is to obtain cross-section and panel data parameter estimates that are robustto model speci¯cation. For this purpose, we use a Bayesian Model Averaging (BMA) approach.Bayesian methodology constructs parameter estimates as a weighted average of linear regression estimates for every possible combination of included variables. The weight of each regression estimate is given by the posterior probability of each model.

Efficient energy transfer from Si clusters to Er3+ in complex silicate glasses

We present an extensive study of the structural and optical emission properties in aluminum silicates and soda-lime silicates codoped with Si nanoclusters (Si-nc) and Er. Si excess of 5 and 15¿at.¿% and Er concentrations ranging from 2×1019 up to 6×1020¿cm¿3 were introduced by ion implantation. Thermal treatments at different temperatures were carried out before and after Er implantation. Structural characterization of the resulting structures was performed to obtain the layer composition and the size distribution of Si clusters. A comprehensive study has been carried out of the light emission as a function of the matrix characteristics, Si and Er contents, excitation wavelength, and power. Er emission at 1540¿nm has been detected in all coimplanted glasses, with similar intensities. We estimated lifetimes ranging from 2.5¿to¿12¿ms (depending on the Er dose and Si excess) and an effective excitation cross section of about 1×10¿17¿cm2 at low fluxes that decreases at high pump power. By quantifying the amount of Er ions excited through Si-nc we find a fraction of 10% of the total Er concentration. Upconversion coefficients of about 3×10¿18¿cm¿3¿s¿1 have been found for soda-lime glasses and one order of magnitude lower in aluminum silicates.

Epitaxial growth of biferroic YMnO3(0001) on platinum electrodes

Epitaxial films of the biferroic YMnO3 (YMO) oxide have been grown on platinum-coated SrTiO3(1 1 1) and Al2O3(0 0 0 1) substrates. The platinum electrodes, (1 1 1) oriented, are templates for the epitaxy of the hexagonal phase of YMO with a (0 0 0 1) out-of-plane orientation, which is of interest as this is the polarization direction of YMO. X-ray diffractometry indicates the presence of two crystal domains, 60° rotated in-plane, in the Pt(1 1 1) layers which subsequently are transferred on the upperlaying YMO. Cross-section analysis by high-resolution transmission electron microscopy (HRTEM) of YMnO3/Pt/SrTiO3(1 1 1) shows high-quality epitaxy and sharp interfaces across the structure in the observed region. We present a detailed study of the epitaxial growth of the hexagonal YMO on the electrodes.

Analysis of the near-intrinsic and extrinsic photocapacitance due to the EL2 level in boron implanted GaAs

A detailed analysis of the photocapacitance signal at the near‐band and extrinsic energetic ranges in Schottky barriers obtained on horizontal Bridgman GaAs wafers, which were implanted with boron at different doses and annealed at several temperatures, has been carried out by using the optical isothermal transient spectroscopy, OITS. The optical cross sections have been determined as well as the quenching efficiency of the EL2 level which has been found to be independent of the annealing temperature. Moreover, the quenching relaxation presents two significant features: (i) a strong increase of the quenching efficiency from 1.35 eV on and (ii) a diminution of the quenching transient amplitude in relation with that shown by the fundamental EL2 level. In order to explain this behavior, different cases are discussed assuming the presence of several energy levels, the existence of an optical recuperation, or the association of the EL2 trap with two levels located, respectively, at Ev+0.45 eV and Ec−0.75 eV. The theoretical simulation, taking into account these two last cases, is in agreement with the experimental photocapacitance data at low temperature, as well as at room temperature where the EL2 filling phototransient shows an anomalous behavior. Moreover, unlike the previous data reported for the EL2 electron optical cross section, the values found using our experimental technique are in agreement with the behavior deduced from the theoretical calculation. The utilization of the OITS method has also allowed the determination of another level, whose faster optical contribution is often added to that of the EL2 level when the DLOS or standard photocapacitance is used.

Intense green-yellow electroluminescence from Tb+-implanted silicon-rich silicon nitride/oxide light emitting devices

High optical power density of 0.5 mW/cm2, external quantum efficiency of 0.1%, and population inversion of 7% are reported from Tb+-implanted silicon-rich silicon nitride/oxide light emitting devices. Electrical and electroluminescence mechanisms in these devices were investigated. The excitation cross section for the 543 nm Tb3+ emission was estimated under electrical pumping, resulting in a value of 8.2 × 10−14 cm2, which is one order of magnitude larger than one reported for Tb3+:SiO2 light emitting devices. These results demonstrate the potentiality of Tb+-implanted silicon nitride material for the development of integrated light sources compatible with Si technology.

Er-Coupled Si Nanocluster Waveguide

Rib-loaded waveguides containing Er3+-coupled Si nanoclusters (Si-nc) have been produced to observe optical gain at 1535 nm. The presence ofSi-nc strongly improves the efficiency ofEr 3+ excitation but may introduce optical loss mechanisms, such as Mie scattering and confined carrier absorption. Losses strongly affect the possibility of obtaining positive optical gain. Si-nc-related losses have been minimized to 1 dB/cm by lowering the annealing time ofthe Er3+-doped silicon-rich oxide deposited by reactive magnetron cosputtering. Photoluminescence (PL) and lifetime measurements show that all Er3+ ions are optically active while those that can be excited at high pump rates via Si-nc are only a small percentage. Er3+ absorption cross section is found comparable to that ofEr 3+ in SiO 2.However, dependence on the effective refractive index has been found. In pump-probe measurements, it is shown how the detrimental role ofconfined carrier absorption can be attenuated by reducing the annealing time. A maximum signal enhancement ofabout 1.34 at 1535 nm was measured.

Ba3Yb(BO3)3 single crystals. Growth and spectroscopic characterization

We obtained Ba3Yb(BO3)3 single crystals by the flux method with solutions of the BaB2O4Na2OYb2O3 system. The evolution of the cell parameters with temperature shows a slope change at temperatures near 873 K, which may indicate a phase transition that is not observed by changes appearing in the x-ray powder patterns or by differential thermal analysis (DTA). The evolution of the diffraction patterns with the temperature shows incongruent melting at temperatures higher than 1473 K. DTA indicates that there is incongruent melting and this process is irreversible. Ba3Yb(BO3)3 has a wide transparency window from 247 to 3900 nm. We recorded optical absorption and emission spectra at room and low temperature, and we determined the splitting of Yb3+ ions. We used the reciprocity method to calculate the maximum emission cross section of 0.28 10-20 cm2 at 966 nm. The calculated lifetime of Yb3+ in Ba3Yb(BO3)3 is trad = 2.62 ms, while the measured lifetime is t = 3.80 ms.

Influence of premetallization surface treatment on the formation of Schottky Au-nGaN contacts

The influence of premetallization surface preparation on the structural, chemical, and electrical properties of Au-nGaN interfaces has been investigated by x-ray photoemission spectroscopy (XPS), current-voltage measurement (I-V) and cross-section transmission electron microscopy (TEM). XPS analysis showed that the three GaN substrate treatments investigated i.e., ex situ hydrofluoric acid etch, in situ anneal in ultrahigh-vacuum (UHV), and in situ Ga reflux cleaning in UHV result in surfaces increasingly free of oxygen contamination. XPS and TEM characterization of Au-nGaN formed after the three premetallization surface treatments show that HF etching and UHV annealing produce abrupt, well-defined interfaces. Conversely, GaN substrate cleaning in a Ga flux results in Au/GaN intermixing. I-V characterization of Au¿nGaN contacts yields a Schottky barrier height of 1.25 eV with a very low-ideality factor and very good contact uniformity for the premetallization UHV anneal, while the Ga reflux cleaning results in a much lower barrier (0.85 eV), with poor ideality and uniformity. I-V and XPS results suggest a high density of acceptor states at the surface, which is further enhanced by UHV annealing. These results are discussed in the context of current models of Schottky barrier formation.

Testing for hysteresis in unemployment in OECD countries: new evidence using stationarity panel tests with breaks

This paper tests hysteresis effects in unemployment using panel data for 19 OECD countries covering the period 1956-2001. The tests exploit the cross-section variations of the series, and additionally, allow for a diferent number of endogenous breakpoints in the unemployment series. The critical values are simulated based on our specific panel sizes and time periods. The findings stress the importance of accounting for exogenous shocks in the series and give support to the natural-rate hypothesis of unemployment for the majority of the countries analyzed

Testing for multicointegration in panel data with common factors

The paper addresses the concept of multicointegration in panel data frame- work. The proposal builds upon the panel data cointegration procedures developed in Pedroni (2004), for which we compute the moments of the parametric statistics. When individuals are either cross-section independent or cross-section dependence can be re- moved by cross-section demeaning, our approach can be applied to the wider framework of mixed I(2) and I(1) stochastic processes analysis. The paper also deals with the issue of cross-section dependence using approximate common factor models. Finite sample performance is investigated through Monte Carlo simulations. Finally, we illustrate the use of the procedure investigating inventories, sales and production relationship for a panel of US industries.