Asset Pricing with Heterogeneous Agents, Incomplete Markets and Trading Constraints

The consumption capital asset pricing model is the standard economic model used to capture stock market behavior. However, empirical tests have pointed out to its inability to account quantitatively for the high average rate of return and volatility of stocks over time for plausible parameter values. Recent research has suggested that the consumption of stockholders is more strongly correlated with the performance of the stock market than the consumption of non-stockholders. We model two types of agents, non-stockholders with standard preferences and stock holders with preferences that incorporate elements of the prospect theory developed by Kahneman and Tversky (1979). In addition to consumption, stockholders consider fluctuations in their financial wealth explicitly when making decisions. Data from the Panel Study of Income Dynamics are used to calibrate the labor income processes of the two types of agents. Each agent faces idiosyncratic shocks to his labor income as well as aggregate shocks to the per-share dividend but markets are incomplete and agents cannot hedge consumption risks completely. In addition, consumers face both borrowing and short-sale constraints. Our results show that in equilibrium, agents hold different portfolios. Our model is able to generate a time-varying risk premium of about 5.5% while maintaining a low risk free rate, thus suggesting a plausible explanation for the equity premium puzzle reported by Mehra and Prescott (1985).

Formative evaluation of a parental involvement program for obesity prevention with low-income elementary school children

This study addresses the responses to a postcard campaign with health messages targeting the parents of children in a sample of low-income elementary schools and assesses the feasibility and areas of possible improvements in such a project. The campaign was implemented in Spring 2009 with 4 th grade students (n=1070) in fifteen economically disadvantaged elementary schools in Travis County, Texas. Postcards were sent home with children, and parents filled out a feedback card that the children returned to school. Response data, in the form of self-administered feedback cards (n=2665) and one-on-one teacher interviews (n=8), were qualitatively analyzed using NVivo 8 software. Postcard reception and points of improvement were then identified from the significant themes that emerged including health, cessation or reduction of unhealthy behaviors, motivation, family, and the comprehension of abstract health concepts. ^ Responses to the postcard campaign were almost completely positive, with less than 1% of responses reporting some sort of dislike, and many parents reported a modification of their behavior. However, possible improvements that could be made to the campaign are: increased focus of the postcards on the parents as the target population, increased information about serving size, greater emphasis on the link between obesity and health, alteration of certain skin tones used in the graphical depiction of people on the cards, and smaller but more frequent incentives to return the feedback cards for the students. The program appears to be an effective method of communicating health messages to the parents of 4th grade children.^

Specialized managed care for children with cystic fibrosis: Resource use patterns and rate design for a high cost Medicaid population

Objective. This research study had two goals: (1) to describe resource consumption patterns for Medi-Cal children with cystic fibrosis, and (2) to explore the feasibility from a rate design perspective of developing specialized managed care plans for such a special needs population.^ Background. Children with special health care needs (CSHN) comprise about 2% of the California Medicaid pediatric population. CSHN have rare but serious health problems, such as cystic fibrosis. Medicaid programs, including Medi-Cal, are enrolling more and more beneficiaries in managed care to control costs. CSHN, however, do not fit the wellness model underlying most managed care plans. Child health advocates believe that both efficiency and quality will suffer if CSHN are removed from regionalized special care centers and scattered among general purpose plans. They believe that CSHN should be "carved out" from enrollment in general plans. One alternative is the Specialized Managed Care Plan, tailored for CSHN.^ Methods. The study population consisted of children under age 21 with CF who were eligible for Medi-Cal and California Children's Services program (CCS) during 1991. Health Care Financing Administration (HCFA) Medicaid Tape-to-Tape data were analyzed as part of a California Children's Hospital Association (CCHA) project.^ Results. Mean Medi-Cal expenditures per month enrolled were $2,302 for 457 CF children, compared to about \$1,270 for all 47,000 CCS special needs children and roughly $60 for almost 2.6 million ``regular needs'' children. For CF children, inpatient care (80\%) and outpatient drugs (9\%) were the major cost drivers, with {\it all\/} outpatient visits comprising only 2\% of expenditures. About one-third of CF children were eligible due to AFDC (Aid to Families with Dependent Children). Age group explained about 17\% of all expenditure variation. Regression analysis was used to select the best capitation rate structure (rate cells by age and eligibility group). Sensitivity analysis estimated moderate financial risk for a statewide plan (360 enrollees), but severe risk for single county implementation due to small numbers of children.^ Conclusions. Study results support the carve out of CSHN due to unique expenditure patterns. The Specialized Managed Care Plan concept appears feasible from a rate design perspective given sufficient enrollees. ^

Snow and ice surfaces on King George Island (Antarctic Peninsula) with high-resolution TerraSAR-X time series, with links to shapfiles and GeoTIFFs

Changes of glaciers and snow cover in polar regions affect a wide range of physical and ecosystem processes on land and in the adjacent marine environment. In this study, we investigate the potential of 11-day repeat high-resolution satellite image time series from the TerraSAR-X mission to derive glaciological and hydrological parameters on King George Island, Antarctica during the period Oct/25/2010 to Apr/19/2011. The spatial pattern and temporal evolution of snow cover extent on ice-free areas can be monitored using multi-temporal coherence images. SAR coherence is used to map glacier extent of land terminating glaciers with an average accuracy of 25 m. Multi-temporal SAR color composites identify the position of the late summer snow line at about 220 m above sea level. Glacier surface velocities are obtained from intensity feature-tracking. Surface velocities near the calving front of Fourcade Glacier were up to 1.8 ± 0.01 m/d. Using an intercept theorem based on fundamental geometric principles together with differential GPS field measurements, the ice discharge of Fourcade Glacier was estimated to 20700 ± 5500 m**3/d (corresponding to ~19 ± 5 kt/d). The rapidly changing surface conditions on King George Island and the lack of high-resolution digital elevation models for the region remain restrictions for the applicability of SAR data and the precision of derived products.

Retreat of top cliff of Kurungnakh Island, Lena Delta, Siberia, Russia, 2010-2014, with links to shapefiles

Thawing-induced cliff top retreat in permafrost landscapes is mainly due to thermo-erosion. Ground-ice-rich permafrost landscapes are specifically vulnerable to thermo-erosion and may show high degradation rates. Within the HGF Alliance Remote Sensing and the FP7 PAGE21 permafrost programs we investigated how SAR and optical remote sensing can contribute to the monitoring of erosion rates of ice-rich cliffs in Arctic Siberia (Lena Delta, Russia). We produced two different vector products: i) Intra-annual cliff top retreat based on TerraSAR-X (TSX) satellite data (2012-2014): High-temporal resolution time series of TSX satellite data allow the inter-annual and intra-annual monitoring of the upper cliff-line retreat also under bad weather conditions and continuous cloud coverage. This published SAR product contains the retreating upper cliff lines of a 1.5 km long part of eroding ice-rich coast of Kurungnakh Island in the central Lena Delta. The upper cliff line was mapped using a thresholding approach for images acquired in the years 2012, 2013 and 2014 for the months June (2013, 2014), July (2013, 2014), August (2012, 2013, 2014) and September (2013, 2014). The cliff top retreat vector product is called 'upper_cliff_TerraSAR-X'. While the 2014 cliff lines show a clear retreat of 2 to 3 m/month, the cliff top lines for 2012 and 2013 are not chronologically ordered. However, lines from the end of the season of a year are always close to the lines from the beginning of the next summer season, indicating low cliff retreat in winter. ii) 4-year cliff top retreat based on optical satellite data (2010-2014): Long-term cliff top retreat could be assessed with two high-spatial resolution optical satellite images (GeoEye-1, 2010-08-05 and Worldview-1, 2014-08-19). The cliff top retreat vector product is called 'upper_cliff_optical'. Results: The long-term cliff top retreat derived from optical satellite data are 35 m cliff retreat within 4 years. The higher-temporal resolution SAR data equivalently show long-term rates of 18 m within 2 years and nearly now degradation activities in winter but maximum erosion rates in summer months.The Intra-seasonal cliff top retreat lines from 2014 show a rate of 2 to 3 m per month.

EOT11a - Global Empirical Ocean Tide model from multi-mission satellite altimetry, with links to model results

EOT11a is a global (E)mpirical (O)cean (T)ide model derived in 2011 by residual analysis of multi-mission satellite (a)ltimeter data. EOT11a includes amplitudes and phases of the main astronomical tides M2, S2, N2, K2, 2N2, O1, K1, P2, and Q1, the non-linear constituent M4, the long period tides Mm and Mf, and the radiational tide S1. Ocean tides as well as loading tides are provided. EOT11a was computed by means of residual tidal analysis of multi-mission altimeter data from TOPEX/Poseidon, ERS-2, ENVISAT, and Jason-1/2, as far as acquired between September 1992 and April 2010. The resolution of 7.5'x7.5' is identical with FES2004 which was used as reference model for the residual tide analysis. The development of EOT11a was funded by the Deutsche Forschungsgemeinschaft (DFG) under grant BO1228/6-2.