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).

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.

Diatoms, total organic carbon, and total nitrogen of sediment core Dethlingen, Germany

To provide insights into the long-term evolution of aquatic ecosystems without human interference, we here evaluate a decadal- to centennial-scale-resolution diatom record spanning about 12 ka of the Holsteinian interglacial (Marine Isotope Stage 11c). Using a partially varved sediment core from the Dethlingen palaeolake (northern Germany), which has previously been studied for palynological and microfacies signals, we document the co-evolution of the aquatic and surrounding terrestrial environment. The diatom record is dominated by the genera Stephanodiscus, Aulacoseira, Ulnaria and Fragilaria. Based on the diatom assemblages and physical sediment properties, the evolution of the Dethlingen palaeolake can be subdivided into three major phases. During the oldest phase (lasting ~1900 varve years), the lake was ~10-15 m deep and characterized by anoxic bottom-water conditions and a high nutrient content. The following ~5600 years exhibited water depths >20 m, maximum diatom and Pediastrum productivity, and a peak in allochtonous nutrient input. During this phase, water-column mixing became more vigorous, resulting in a breakdown of anoxia. The youngest lake phase (~4000-5000 years) was characterized by decreasing water depth, turbulent water conditions and decreased nutrient loading. Based on our palaeolimnological data, we conclude that the evolution of the Dethlingen palaeolake during the Holsteinian interglacial responded closely to (i) changes within the catchment area (as documented by vegetation and sedimentation) related to the transition from closed forests growing on nutrient-rich soils (mesocratic forest phase) to open forests developing on poor soils (oligocratic forest phase), and (ii) short-term climate variability as reflected in centennial-scale climate perturbations.

Turbidite sedimentology and history at DSDP Site 89-585

At Site 585 in the East Mariana Basin, a 900-m section of Aptian-Albian to Recent sediments was recovered. The upper 590 m are pelagic components (carbonate, siliceous, and clay); small-scale graded sequences and laminations are common. The underlying sediments are volcaniclastic sandstones with a large proportion of shallow-water carbonate debris; sedimentary structures including complete Bouma sequences, cross-laminae, and scouring are common. These structures indicate that the entire section was deposited by turbidity currents. The change in lithology upward in the section reflects the evolution of the surrounding seamounts, from their growth stages during the middle of the Cretaceous to the later subsidence phases. Several black layers containing pyritized organic debris and associated turbidite structures were cored near the Cenomanian/Turonian boundary; this material has been transported from the flanks of the seamounts where it was deposited within a shallow anoxic zone. Seismic data extends the stratigraphy across the entire Basin, showing the reflectors onlapping the seamounts, and indicating at least 1200 m of sediment at Site 585. The crust is placed at 6900 m after correcting for sediment loading, and the subsidence curve indicates that the Basin has been deeper than 5500 m since before the Aptian.

Geochemistry, clay mineralogy and grain size distribution in various sediment cores drilled during ODP Leg 119 on the Antarctic continental shelf off Prydz Bay

Drilling was undertaken at five sites (739-743) on ODP Leg 119 on a transect across the continental shelf of Prydz Bay, East Antarctica, to elucidate the long-term glacial history of the area and to examine the importance of the area with respect to the development of the East Antarctic ice sheet as a whole. In addition to providing a record of glaciation spanning 36 m.y. or more, Leg 119 has provided information concerning the development of a continental margin under the prolonged influence of a major ice sheet. This has allowed the development of a sedimentary model that may be applicable not only to other parts of the Antarctic continental margin, but also to northern high-latitude continental shelves. The cored glacial sedimentary record in Prydz Bay consists of three major sequences, dominated by diamictite: 1. An upper flat-lying sequence that ranges in thickness from a few meters in inner and western Prydz Bay to nearly 250 m in the outer or eastern parts of the bay. The uppermost few meters consist of Holocene diatom ooze and diatomaceous mud with a minor ice-rafted component overlying diamicton and diamictite of late Miocene to Quaternary age. The diamictite is mainly massive, but stratified varieties and minor mudstone and diatomite also occur. 2. An upper prograding sequence cored at Sites 739 and 743, unconformly below the flat-lying sequence. This consists of a relatively steep (4° inclination) prograding wedge with a number of discrete sedimentary packages. At Sites 739 and 743 the sequence is dominated by massive and stratified diamictite, some of which shows evidence of slumping and minor debris flowage. 3. A lower, more gently inclined, prograding sequence lies unconformably below the flat-lying sequence at Site 742 and the upper prograding sequence at Site 739. This extends to the base of both sites, to 316 and 487 mbsf, respectively. It is dominated by massive, relatively clast-poor diamictite which is kaolinite-rich, light in color, and contains sporadic carbonate-cemented layers. The lower part of Site 742 includes well-stratified diamictites and very poorly sorted mudstones. The base of this site has indications of large-scale soft-sediment deformation and probably represents proximity to the base of the glacial sequence. Facies analysis of the Prydz Bay glacial sequence indicates a range of depositional environments. Massive diamictite is interpreted largely as waterlain till, deposited close to the grounding line of a floating glacier margin, although basal till and debris flow facies are also present. Weakly stratified diamictite is interpreted as having formed close to or under the floating ice margin and influenced by the input of marine diatomaceous sediment (proximal glaciomarine setting). Well-stratified diamictite has a stronger marine input, being more diatom-rich, and probably represents a proximal-distal glaciomarine sediment with the glaciogenic component being supplied by icebergs. Other facies include a variety of mudstones and diatom-rich sediments of marine origin, in which an ice-rafted component is still significant. None of the recovered sediments are devoid of a glacial influence. The overall depositional setting of the prograding sequence is one in which the grounded ice margin is situated close to the shelf edge. Progradation was achieved primarily by deposition of waterlain till. The flat-lying sequence illustrates a complex sequence of advances and retreats across the outer part of the shelf, with intermittent phases of ice loading and erosion. The glacial chronology is based largely on diatom stratigraphy, which has limited resolution. It appears that ice reached the paleoshelf break by earliest Oligocene, suggesting full-scale development of the East Antarctic ice sheet by that time. The ice sheet probably dominated the continental margin for much of Oligocene to middle Miocene time. Retreat, but not total withdrawal of the ice sheet, took place in late Miocene to mid-Pliocene time. The late Pliocene to Pleistocene was characterized by further advances across, and progradation of, the continental shelf. Holocene time has been characterized by reduced glacial conditions and a limited influence of glacial processes on sedimentation.

Summary of physical properties on cores used for petrofabric analyses triaxial experiments at DSDP Leg 67 Holes

Deformation features within the cores are studied with a view towards elucidating the structure of the Middle America Trench along the transect drilled during Leg 67. Where possible, inferences are made as to the physical environment of deformation. Extensional tectonics prevails in the area of the seaward slope and trench. Fracturing and one well-preserved normal fault are found mostly within the lower Miocene chalks, at the base of the sedimentary section. These chalks have high porosities (40%-60%) and water content (30%-190%, based on % dry wt.). Experimental triaxial compression tests conducted on both dry and water-saturated samples of chalk from Holes 495 and 499B show that only in the saturated samples is more brittle behavior observed. Brittle failure of the chalks is greatly facilitated by pore fluid pressures that lead to low effective pressures. Additional embrittlement (weakening) can take place as a result of the imposed extensional stress resulting from bending of a subducting elastic oceanic plate. The chalks exhibit, in a landward direction, an increase in density and mechanical strength and a decrease in water content. These changes are attributed to mechanical compaction that may have resulted from tectonic horizontal compression. The structure of the landward slope is not well understood because the slope sites had to be abandoned due to the presence of gas hydrate. The relationship of the chaotic, brittle deformation (observed in the cores from Hole 494A) at the base of the landward slope to tectonic processes remains unclear. The deformation observed on the slope sites (Holes 496 and 497) is mostly fracturing and near-vertical sigmoidal veinlets. These are interpreted as being the result of gas/fluid overpressurization due to the decomposition of the gas hydrate, and not due to tectonic loading of accreted sediments. Aside from four small displacement (less than 1cm) reverse faults observed in the lower Miocene chalks (which may be the product of soft-sediment deformation), there is a noticeable absence of structures reflecting a dominance of horizontal (tectonic) compression along the transect drilled. The absence of such features, the lack of continuity of sediment types across the trench-landward slope, and the normal stratigraphic sequence in Hole 494A do not support any known accretionary model.

Chert intervals in DSDP and ODP sites (Table 1)

Radiolarian cherts in the Tethyan realm of Jurassic age were recently interpreted as resulting from high biosiliceous productivity along upwelling zones in subequatorial paleolatitudes the locations of which were confirmed by revised paleomagnetic estimates. However, the widespread occurrence of cherts in the Eocene suggests that cherts may not always be reliable proxies of latitude and upwelling zones. In a new survey of the global spatio-temporal distribution of Cenozoic cherts in Deep Sea Drilling Project (DSDP) and Ocean Drilling Program (ODP) sediment cores, we found that cherts occur most frequently in the Paleocene and early Eocene, with a peak in occurrences at ~50 Ma that is coincident with the time of highest bottom water temperatures of the early Eocene climatic optimum (EECO) when the global ocean was presumably characterized by reduced upwelling efficiency and biosiliceous productivity. Cherts occur less commonly during the subsequent Eocene global cooling trend. Primary paleoclimatic factors rather than secondary diagenetic processes seem therefore to control chert formation. This timing of peak Eocene chert occurrence, which is supported by detailed stratigraphic correlations, contradicts currently accepted models that involve an initial loading of large amounts of dissolved silica from enhanced weathering and/or volcanism in a supposedly sluggish ocean of the EECO, followed during the subsequent middle Eocene global cooling by more vigorous oceanic circulation and consequent upwelling that made this silica reservoir available for enhanced biosilicification, with the formation of chert as a result of biosilica transformation during diagenesis. Instead, we suggest that basin-basin fractionation by deep-sea circulation could have raised the concentration of EECO dissolved silica especially in the North Atlantic, where an alternative mode of silica burial involving widespread direct precipitation and/or absorption of silica by clay minerals could have been operative in order to maintain balance between silica input and output during the upwelling-deficient conditions of the EECO. Cherts may therefore not always be proxies of biosiliceous productivity associated with latitudinally focused upwelling zones.

Constraints on the magnitude and patterns of ocean cooling at the Last Glacial Maximum - Supplementary material

Observation-based reconstructions of sea surface temperature from relatively stable periods in the past, such as the Last Glacial Maximum, represent an important means of constraining climate sensitivity and evaluating model simulations. The first quantitative global reconstruction of sea surface temperatures during the Last Glacial Maximum was developed by the Climate Long-Range Investigation, Mapping and Prediction (CLIMAP) project in the 1970s and 1980s. Since that time, several shortcomings of that earlier effort have become apparent. Here we present an updated synthesis of sea surface temperatures during the Last Glacial Maximum, rigorously defined as the period between 23 and 19 thousand years before present, from the Multiproxy Approach for the Reconstruction of the Glacial Ocean Surface (MARGO) project. We integrate microfossil and geochemical reconstructions of surface temperatures and include assessments of the reliability of individual records. Our reconstruction reveals the presence of large longitudinal gradients in sea surface temperature in all of the ocean basins, in contrast to the simulations of the Last Glacial Maximum climate available at present.

Compaction curves and sediment characteristics of ODP Leg 165 and Leg 130 sites

Compaction curves for 11 samples from the mixed sediments and calcareous chalk with clay from the Caribbean Sites 999 and 1001 are discussed with reference to compaction curves for calcareous ooze and chalk of the Ontong Java Plateau (Leg 130). The burial history is discussed from preconsolidation data and present burial conditions and suggests a removal of ~400 m of sediment at the hiatus 166 meters below seafloor (mbsf) at Site 1001. This interpretation predicts a previous burial to >500 mbsf for depth intervals containing microstylolites, which corresponds to observations at Sites 999 and 807 (Ontong Java Plateau). Thus, data from three sites from two widely separate regions indicate that microstylolites in carbonates form at minimum burial depths deeper than 500 m. No direct link between formation of microstylolites and cementation was found, suggesting that dissolution and precipitation are not necessarily related. Porosity rebound during core retrieval could not be detected for soft sediments, whereas a porosity rebound of ~2% was deduced for deeper, cemented intervals. Comparing the compaction curves, two distinct rates of porosity loss are noted: (1) samples dominated by clay (>45% insoluble residue) compact at a higher rate than samples dominated by fine-grained carbonate and (2) fine-grained carbonate supported samples (with <45% insoluble residue) compact at the same rate irrespective of the content of nonsupporting microfossils or pore-filling clay.

(Table 1) Position and astronomical ages of sedimentary cycles in the eastern Mediterranean Sea

An astronomically calibrated timescale has recently been established [Hilgen, 1991, doi:10.1016/0012-821X(91)90082-S; doi:10.1016/0012-821X(91)90206-W] for the Pliocene and earliest Pleistocene based on the correlation of dominantly precession controlled sedimentary cycles (sapropels and carbonate cycles) in Mediterranean marine sequences to the precession time series of the astronomical solution of Berger and Loutre [1991, doi:10.1016/0277-3791(91)90033-Q ] (hereinafter referred to as Ber90). Here we evaluate the accuracy of this timescale by (1) comparing the sedimentary cycle patterns with 65°N summer insolation time series of different astronomical solutions and (2) a cross-spectral comparison between the obliquity-related components in the 65°N summer insolation curves and high-resolution paleoclimatic records derived from the same sections used to construct the timescale. Our results show that the carbonate cycles older than 3.5 m.y. should be calibrated to one precession cycle older than previously proposed. Application of the astronomical solution of Laskar [1990, doi:10.1016/0019-1035(90)90084-M], (hereinafter referred to as La90) with present-day values for the dynamical ellipticity of the Earth and tidal dissipation by the Sun and Moon results in the best fit with the geological record, indicating that this solution is the most accurate from a geological point of view. Application of Ber90, or La90 solutions with dynamical ellipticity values smaller or larger than the present-day value, results in a less obvious fit with the geological record. This implies that the change in the planetary shape of the Earth associated with ice loading and unloading near the poles during the last 5.3 million years was too small to drive the precession into resonance with the perturbation term, s6-g6+g5, of Jupiter and Saturn. Our new timescale results in a slight but significant modification of all ages of the sedimentary cycles, bioevents, reversal boundaries, chronostratigraphic boundaries, and glacial cycles. Moreover, a comparison of this timescale with the astronomical timescales of ODP site 846 [Shackleton et al., 1995, doi:10.2973/odp.proc.sr.138.106.1995; doi:10.2973/odp.proc.sr.138.117.1995] and ODP site 659 [Tiedemann et al., 1994, doi:10.1029/94PA00208] indicates that all obliquity-related glacial cycles prior to ~4.7 Ma in ODP sites 659 and 846 should be correlated with one obliquity cycle older than previously proposed.

Strength and deformation behavior of ODP Leg 110 sediments

The shape and morphology of the northern Barbados Ridge complex is largely controlled by the sediment yield and failure behavior in response to high lateral loads imposed by convergence. Loads in excess of sediment yield strength result in nonrecoverable deformations within the wedge, and failure strength acts as an upper limit beyond which stresses are released through thrust faults. Relatively high loading rates lead to delayed consolidation and in-situ pore pressures greater than hydrostatic. The sediment yield and failure behavior is described for any stress path by a generalized constitutive model. A yield locus delineates the onset of plastic (non-recoverable) deformation, as defined from the isotropic and anisotropic consolidation responses of high-quality 38-mm triaxial specimens; a failure envelope was obtained by shearing the same specimens in both triaxial compression and extension. The yield locus is shown to be rotated into extension space and is centered about a K-line greater than unity, suggesting that the in-situ major principal stress has rotated into the horizontal plane, and that the sediment wedge is being subjected to extensional effective stress paths.

Geotechnical properties of shelf sdiments from the Prydz Bay

This paper presents a geotechnical characterization of the glacigenic sediments in Prydz Bay, East Antarctica, based on the shipboard physical properties data obtained during Leg 119, combined with results of land-based analyses of 24 whole-round core samples. Main emphasis is placed on the land-based studies, which included oedometer consolidation tests, triaxial and simple shear tests for undrained shear strength, permeability tests in oedometer and triaxial cell, Atterberg limits, and grain-size analyses. The bulk of the tested sediments comprise overconsolidated diamictites of a relatively uniform lithology. The overconsolidation results from a combination of glacial loading and sediment overburden subsequently removed by extensive glacial erosion of the shelf. This leads to downhole profiles of physical properties that have been observed not to change as a function of the thickness of present overburden. A number of fluctuations in the parameters shows a relatively systematic trend and most likely results from changes in the proximity to the ice sheet grounding line in response to variations in the glacial regime. Very low permeabilities mainly result from high preconsolidation stresses (Pc'). Pc' values up to 10,000 kPa were estimated from the oedometer tests, and empirical estimates based on undrained shear strengths (up to 2500 kPa) indicate that the oedometer results are conservative. The diamictites generally classify as inactive, of low to medium plasticity, and they consolidate with little deformation, even when subjected to great stresses. This is the first report of geotechnical data from deep boreholes on the Antarctic continental shelf, but material of similar character can also be expected in other areas around the Antarctic.

Increased carbon dioxide availability alters phytoplankton stoichiometry and affects carbon cycling and growth of a marine planktonic herbivore

Rising levels of CO2 in the atmosphere have led to increased CO2 concentrations in the oceans. This enhanced carbon availability to the marine primary producers has the potential to change their nutrient stoichiometry, and higher carbon to nutrient ratios are expected. As a result, the quality of the primary producers as food for herbivores may change. Here, we present experimental work showing the effect of feeding Rhodomonas salina grown under different pCO2 (200, 400 and 800 µatm) on the copepod Acartia tonsa. The rate of development of copepodites decreased with increasing CO2 availability to the algae. The surplus carbon in the algae was excreted by the copepods, with younger stages (copepodites) excreting most of their surplus carbon through respiration, and adult copepods excreting surplus carbon mostly as DOC. We consider the possible consequences of different excretory pathways for the ecosystem. A continued increase in the CO2 availability for primary production, together with changes in the nutrient loading of coastal ecosystems, may cause changes in the trophic links between primary producers and herbivores.

Texture analyses of ODP Site 131-808 sediments

The microfabric of 11 mudrock specimens from ODP Site 808 (Nankai accretionary prism) was quantitatively analyzed using X-ray texture goniometry and optical petrography. The objectives of the study were to learn about rock strain and to detect a component of bulk lateral shortening in the deformation of the mudstones. Strain evaluation is based on the predictions of March theory, and on distortions of initially homogeneous marker particle distributions (the Fry technique). The main results are as follows. The specimens underwent a strain path of progressive flattening, which is closely related to loss of pore space by vertical loading. A component of bulk lateral shortening is detectable in the top 550 mbsf at Site 808, but compared with the amount of uniaxial vertical shortening, its relative magnitude is probably small. Moreover, it cannot be said with confidence whether this is caused by toe contraction of the accretionary wedge or by gravitationally induced downslope movement of the sediment pile. The mudstones examined were deposited in a marine environment with an oxic bottom water column. Micropore collapse is an important fabric building mechanism, but below 400 mbsf its effects are at least partly overridden by recrystallization of smectite. We conclude that mud microfabrics are not very precise deformation gauges, but can be used for rough estimations of strain.