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.

Spatially and genetically distinct control of seed germination by phytochromes A and B.

Phytochromes phyB and phyA mediate a remarkable developmental switch whereby, early upon seed imbibition, canopy light prevents phyB-dependent germination, whereas later on, it stimulates phyA-dependent germination. Using a seed coat bedding assay where the growth of dissected embryos is monitored under the influence of dissected endosperm, allowing combinatorial use of mutant embryos and endosperm, we show that canopy light specifically inactivates phyB activity in the endosperm to override phyA-dependent signaling in the embryo. This interference involves abscisic acid (ABA) release from the endosperm and distinct spatial activities of phytochrome signaling components. Under the canopy, endospermic ABA opposes phyA signaling through the transcription factor (TF) ABI5, which shares with the TF PIF1 several target genes that negatively regulate germination in the embryo. ABI5 enhances the expression of phytochrome signaling genes PIF1, SOMNUS, GAI, and RGA, but also of ABA and gibberellic acid (GA) metabolic genes. Over time, weaker ABA-dependent responses eventually enable phyA-dependent germination, a distinct type of germination driven solely by embryonic growth.

Immunolocalization of neuropeptide Y in human pancreatic endocrine tumors.

Neuropeptide Y (NPY) is a 36 amino acid peptide known to inhibit glucose-stimulated insulin secretion. NPY has recently been shown to be synthetized within rat islets of Langerhans and to be secreted in a differentiated rat insulin-secreting cell line, and as to this date the localization of NPY in human endocrine pancreas has not been reported. As NPY shares high amino acid sequence homology with peptide YY (PYY) and pancreatic polypeptide (PP), the polyclonal antibodies raised against these peptides often cross-react with each other. To demonstrate the presence of NPY in the human endocrine pancreas, we used a highly specific monoclonal antibody raised against NPY and another against its C-flanking peptide (CPON). We studied three cases of hyperplasia of Langerhans islets and 11 cases of endocrine tumors of the pancreas. NPY and CPON were detected in all three cases of hyperplasia. For the 11 pancreatic tumors, five and nine of the tumors were positive for the antibodies NPY and CPON, respectively. The two negative tumors for CPON immunoreactivity were differentiated insulinomas, which showed no evidence of other hormonal secretion. In normal Langerhans islet, NPY and CPON immunoreactivities were colocalized in glucagon-producing cells (alpha-cells) and in a few insulin-secreting cell (beta-cells).(ABSTRACT TRUNCATED AT 250 WORDS)

The CbrA-CbrB two-component regulatory system controls the utilization of multiple carbon and nitrogen sources in Pseudomonas aeruginosa.

A novel two-component system, CbrA-CbrB, was discovered in Pseudomonas aeruginosa; cbrA and cbrB mutants of strain PAO were found to be unable to use several amino acids (such as arginine, histidine and proline), polyamines and agmatine as sole carbon and nitrogen sources. These mutants were also unable to use, or used poorly, many other carbon sources, including mannitol, glucose, pyruvate and citrate. A 7 kb EcoRI fragment carrying the cbrA and cbrB genes was cloned and sequenced. The cbrA and cbrB genes encode a sensor/histidine kinase (Mr 108 379, 983 residues) and a cognate response regulator (Mr 52 254, 478 residues) respectively. The amino-terminal half (490 residues) of CbrA appears to be a sensor membrane domain, as predicted by 12 possible transmembrane helices, whereas the carboxy-terminal part shares homology with the histidine kinases of the NtrB family. The CbrB response regulator shows similarity to the NtrC family members. Complementation and primer extension experiments indicated that cbrA and cbrB are transcribed from separate promoters. In cbrA or cbrB mutants, as well as in the allelic argR9901 and argR9902 mutants, the aot-argR operon was not induced by arginine, indicating an essential role for this two-component system in the expression of the ArgR-dependent catabolic pathways, including the aruCFGDB operon specifying the major aerobic arginine catabolic pathway. The histidine catabolic enzyme histidase was not expressed in cbrAB mutants, even in the presence of histidine. In contrast, proline dehydrogenase, responsible for proline utilization (Pru), was expressed in a cbrB mutant at a level comparable with that of the wild-type strain. When succinate or other C4-dicarboxylates were added to proline medium at 1 mM, the cbrB mutant was restored to a Pru+ phenotype. Such a succinate-dependent Pru+ property was almost abolished by 20 mM ammonia. In conclusion, the CbrA-CbrB system controls the expression of several catabolic pathways and, perhaps together with the NtrB-NtrC system, appears to ensure the intracellular carbon: nitrogen balance in P. aeruginosa.

Effects of differential taxation on factor accumulation and growth

In this paper we try to analyze the role of fiscal policy in fostering a higher participation of the different production factors in the human capital production sector in the long-run. Introducing a tax on physical capital and differentiating both a tax on raw labor wage and a tax on skills or human capital we also attempt to present a way to influence inequality as measured by the skill premium, thus trying to relate the increase in human capital with the decrease in income inequality. We will do that in the context of a non-scale growth model.The model here is capable to alter the shares of private factors devoted to each of the two production sectors, final output and human capital, and affect inequality in a different way according to the different tax changes. The simulation results derived in the paper show how a human capital (skills) tax cut, which could be interpreted as a reduction in progressivity, ends up increasing both the shares of labor and physical capital devoted to the production of knowledge and decreasing inequality. Moreover, a raw labor wage tax decrease, which could also be interpreted as an increase in the progressivity of the system, increases the share of labor devoted to the production of final output and increases inequality. Finally, a physical capital tax decrease reduces the share of physical capital devoted to the production of knowledge and allows for a lower inequality value. Nevertheless, none of the various types of taxes ends up changing the share of human capital in the knowledge production, which will deserve our future attention

Heterogeneous discounting in consumption-investment problems. Time consistent solutions

[cat] En aquest treball s'analitza un model estocàstic en temps continu en el que l'agent decisor descompta les utilitats instantànies i la funció final amb taxes de preferència temporal constants però diferents. En aquest context es poden modelitzar problemes en els quals, quan el temps s'acosta al moment final, la valoració de la funció final incrementa en comparació amb les utilitats instantànies. Aquest tipus d'asimetria no es pot descriure ni amb un descompte estàndard ni amb un variable. Per tal d'obtenir solucions consistents temporalment es deriva l'equació de programació dinàmica estocàstica, les solucions de la qual són equilibris Markovians. Per a aquest tipus de preferències temporals, s'estudia el model clàssic de consum i inversió (Merton, 1971) per a les funcions d'utilitat del tipus CRRA i CARA, comparant els equilibris Markovians amb les solucions inconsistents temporalment. Finalment es discuteix la introducció del temps final aleatori.

Effects of differential taxation on factor accumulation and growth

In this paper we try to analyze the role of fiscal policy in fostering a higher participation of the different production factors in the human capital production sector in the long-run. Introducing a tax on physical capital and differentiating both a tax on raw labor wage and a tax on skills or human capital we also attempt to present a way to influence inequality as measured by the skill premium, thus trying to relate the increase in human capital with the decrease in income inequality. We will do that in the context of a non-scale growth model.The model here is capable to alter the shares of private factors devoted to each of the two production sectors, final output and human capital, and affect inequality in a different way according to the different tax changes. The simulation results derived in the paper show how a human capital (skills) tax cut, which could be interpreted as a reduction in progressivity, ends up increasing both the shares of labor and physical capital devoted to the production of knowledge and decreasing inequality. Moreover, a raw labor wage tax decrease, which could also be interpreted as an increase in the progressivity of the system, increases the share of labor devoted to the production of final output and increases inequality. Finally, a physical capital tax decrease reduces the share of physical capital devoted to the production of knowledge and allows for a lower inequality value. Nevertheless, none of the various types of taxes ends up changing the share of human capital in the knowledge production, which will deserve our future attention

La probabilidad de supervivencia en un modelo con reaseguro proporcional de umbral

[spa] En este artículo presentamos una nueva estrategia de reaseguro, a la que denominamos estrategia de reaseguro umbral, que actúa de forma diferente en función del nivel de las reservas. Así, para unos niveles de las reservas inferiores a un determinado nivel, el gestor decide aplicar un reaseguro proporcional, y para niveles superiores, al considerar que se ha alcanzado cierta solvencia en la cartera, opta por no ceder ningún porcentaje del riesgo. El análisis del efecto de la introducción del reaseguro umbral sobre la probabilidad de supervivencia, y su comparación con el reaseguro proporcional y la opción de no reasegurar, nos permite hallar estrategias de reaseguro equivalentes desde el punto de vista de la solvencia. Palabras clave: teoría del riesgo, reaseguro de umbral, reaseguro proporcional, probabilidad de supervivencia.

Herramientas estadísticas para el estudio de perfiles de riesgo

En este documento se ilustra de un modo práctico, el empleo de tres instrumentos que permiten al actuario definir grupos arancelarios y estimar premios de riesgo en el proceso que tasa la clase para el seguro de no vida. El primero es el análisis de segmentación (CHAID y XAID) usado en primer lugar en 1997 por UNESPA en su cartera común de coches. El segundo es un proceso de selección gradual con el modelo de regresión a base de distancia. Y el tercero es un proceso con el modelo conocido y generalizado de regresión linear, que representa la técnica más moderna en la bibliografía actuarial. De estos últimos, si combinamos funciones de eslabón diferentes y distribuciones de error, podemos obtener el aditivo clásico y modelos multiplicativos

Option valuation as an expectation in the complex domain: The Black-Scholes case

It is very well known that the first succesful valuation of a stock option was done by solving a deterministic partial differential equation (PDE) of the parabolic type with some complementary conditions specific for the option. In this approach, the randomness in the option value process is eliminated through a no-arbitrage argument. An alternative approach is to construct a replicating portfolio for the option. From this viewpoint the payoff function for the option is a random process which, under a new probabilistic measure, turns out to be of a special type, a martingale. Accordingly, the value of the replicating portfolio (equivalently, of the option) is calculated as an expectation, with respect to this new measure, of the discounted value of the payoff function. Since the expectation is, by definition, an integral, its calculation can be made simpler by resorting to powerful methods already available in the theory of analytic functions. In this paper we use precisely two of those techniques to find the well-known value of a European call

Prediction markets supporting technology assessment

In this thesis, we study the use of prediction markets for technology assessment. We particularly focus on their ability to assess complex issues, the design constraints required for such applications and their efficacy compared to traditional techniques. To achieve this, we followed a design science research paradigm, iteratively developing, instantiating, evaluating and refining the design of our artifacts. This allowed us to make multiple contributions, both practical and theoretical. We first showed that prediction markets are adequate for properly assessing complex issues. We also developed a typology of design factors and design propositions for using these markets in a technology assessment context. Then, we showed that they are able to solve some issues related to the R&D portfolio management process and we proposed a roadmap for their implementation. Finally, by comparing the instantiation and the results of a multi-criteria decision method and a prediction market, we showed that the latter are more efficient, while offering similar results. We also proposed a framework for comparing forecasting methods, to identify the constraints based on contingency factors. In conclusion, our research opens a new field of application of prediction markets and should help hasten their adoption by enterprises. Résumé français: Dans cette thèse, nous étudions l'utilisation de marchés de prédictions pour l'évaluation de nouvelles technologies. Nous nous intéressons plus particulièrement aux capacités des marchés de prédictions à évaluer des problématiques complexes, aux contraintes de conception pour une telle utilisation et à leur efficacité par rapport à des techniques traditionnelles. Pour ce faire, nous avons suivi une approche Design Science, développant itérativement plusieurs prototypes, les instanciant, puis les évaluant avant d'en raffiner la conception. Ceci nous a permis de faire de multiples contributions tant pratiques que théoriques. Nous avons tout d'abord montré que les marchés de prédictions étaient adaptés pour correctement apprécier des problématiques complexes. Nous avons également développé une typologie de facteurs de conception ainsi que des propositions de conception pour l'utilisation de ces marchés dans des contextes d'évaluation technologique. Ensuite, nous avons montré que ces marchés pouvaient résoudre une partie des problèmes liés à la gestion des portes-feuille de projets de recherche et développement et proposons une feuille de route pour leur mise en oeuvre. Finalement, en comparant la mise en oeuvre et les résultats d'une méthode de décision multi-critère et d'un marché de prédiction, nous avons montré que ces derniers étaient plus efficaces, tout en offrant des résultats semblables. Nous proposons également un cadre de comparaison des méthodes d'évaluation technologiques, permettant de cerner au mieux les besoins en fonction de facteurs de contingence. En conclusion, notre recherche ouvre un nouveau champ d'application des marchés de prédiction et devrait permettre d'accélérer leur adoption par les entreprises.

Convergent genetic architecture underlies social organization in ants.

Complex adaptive polymorphisms are common in nature, but what mechanisms maintain the underlying favorable allelic combinations [1-4]? The convergent evolution of polymorphic social organization in two independent ant species provides a great opportunity to investigate how genomes evolved under parallel selection. Here, we demonstrate that a large, nonrecombining "social chromosome" is associated with social organization in the Alpine silver ant, Formica selysi. This social chromosome shares architectural characteristics with that of the fire ant Solenopsis invicta [2], but the two show no detectable similarity in gene content. The discovery of convergence at two levels-the phenotype and the genetic architecture associated with alternative social forms-points at general genetic mechanisms underlying transitions in social organization. More broadly, our findings are consistent with recent theoretical studies suggesting that suppression of recombination plays a key role in facilitating coordinated shifts in coadapted traits [5, 6].

Health and (Other) Asset Holdings

Despite clear evidence of correlations between financial and medical statuses and decisions, most models treat financial and health-related choices separately. This article bridges this gap by proposing a tractable dynamic framework for the joint determination of optimal consumption, portfolio holdings, health investment, and health insurance. We solve for the optimal rules in closed form and capitalize on this tractability to gain a better understanding of the conditions under which separation between financial and health-related decisions is sensible, and of the pathways through which wealth and health determine allocations, welfare and other variables of interest such as expected longevity or the value of health. Furthermore we show that the model is consistent with the observed patterns of individual allocations and provide realistic estimates of the parameters that confirm the relevance of all the main characteristics of the model.

A colorectal cancer classification system that associates cellular phenotype and responses to therapy.

Colorectal cancer (CRC) is a major cause of cancer mortality. Whereas some patients respond well to therapy, others do not, and thus more precise, individualized treatment strategies are needed. To that end, we analyzed gene expression profiles from 1,290 CRC tumors using consensus-based unsupervised clustering. The resultant clusters were then associated with therapeutic response data to the epidermal growth factor receptor-targeted drug cetuximab in 80 patients. The results of these studies define six clinically relevant CRC subtypes. Each subtype shares similarities to distinct cell types within the normal colon crypt and shows differing degrees of 'stemness' and Wnt signaling. Subtype-specific gene signatures are proposed to identify these subtypes. Three subtypes have markedly better disease-free survival (DFS) after surgical resection, suggesting these patients might be spared from the adverse effects of chemotherapy when they have localized disease. One of these three subtypes, identified by filamin A expression, does not respond to cetuximab but may respond to cMET receptor tyrosine kinase inhibitors in the metastatic setting. Two other subtypes, with poor and intermediate DFS, associate with improved response to the chemotherapy regimen FOLFIRI in adjuvant or metastatic settings. Development of clinically deployable assays for these subtypes and of subtype-specific therapies may contribute to more effective management of this challenging disease.

Thermally-Induced Structural Transformations on Polymorphous Silicon

Polymorphous Si is a nanostructured form of hydrogenated amorphous Si that contains a small fraction of Si nanocrystals or clusters. Its thermally induced transformations such as relaxation, dehydrogenation, and crystallization have been studied by calorimetry and evolved gas analysis as a complementary technique. The observed behavior has been compared to that of conventional hydrogenated amorphous Si and amorphous Si nanoparticles. In the temperature range of our experiments (650700 C), crystallization takes place at almost the same temperature in polymorphous and in amorphous Si. In contrast, dehydrogenation processes reflect the presence of different hydrogen states. The calorimetry and evolved gas analysis thermograms clearly show that polymorphous Si shares hydrogen states of both amorphous Si and Si nanoparticles. Finally, the total energy of the main SiH group present in polymorphous Si has been quantified.