Essays in equilibrium asset pricing

This thesis consists of four essays in equilibrium asset pricing. The main topic is investors' heterogeneity: I investigates the equilibrium implications for the financial markets when investors have different attitudes toward risk. The first chapter studies why expected risk and remuneration on the aggregate market are negatively related, even if intuition and standard theory suggest a positive relation. I show that the negative trade-off can obtain in equilibrium if investors' beliefs about economic fundamentals are procyclically biased and the market Sharpe ratio is countercyclical. I verify that such conditions hold in the real markets and I find empirical support for the risk-return dynamics predicted by the model. The second chapter consists of two essays. The first essay studies how het¬erogeneity in risk preferences interacts with other sources of heterogeneity and how this affects asset prices in equilibrium. Using perceived macroeconomic un¬certainty as source of heterogeneity, the model helps to explain some patterns of financial returns, even if heterogeneity is small as suggested by survey data. The second essay determines conditions such that equilibrium prices have analytical solutions when investors have heterogeneous risk attitudes and macroeconomic fundamentals feature latent uncertainty. This approach provides additional in-sights to the previous literature where models require numerical solutions. The third chapter studies why equity claims (i.e. assets paying a single future dividend) feature premia and risk decreasing with the horizon, even if standard models imply the opposite shape. I show that labor relations helps to explain the puzzle. When workers have bargaining power to exploit partial income insurance within the firm, wages are smoother and dividends are riskier than in a standard economy. Distributional risk among workers and shareholders provides a rationale to the equity short-term risk, which leads to downward sloping term structures of premia and risk for equity claim. Résumé Cette thèse se compose de quatre essais dans l'évaluation des actifs d'équilibre. Le sujet principal est l'hétérogénéité des investisseurs: J'étudie les implications d'équilibre pour les marchés financiers où les investisseurs ont des attitudes différentes face au risque. Le première chapitre étudie pourquoi attendus risque et la rémunération sur le marché global sont liées négativement, même si l'intuition et la théorie standard suggèrent une relation positive. Je montre que le compromis négatif peut obtenir en équilibre si les croyances des investisseurs sur les fondamentaux économiques sont procyclique biaisées et le ratio de Sharpe du marché est anticyclique. Je vérifier que ces conditions sont réalisées dans les marchés réels et je trouve un appui empirique à la dynamique risque-rendement prédites par le modèle. Le deuxième chapitre se compose de deux essais. Le première essai étudie com¬ment hétérogénéité dans les préférences de risque inter agit avec d'autres sources d'hétérogénéité et comment cela affecte les prix des actifs en équilibre. Utili¬sation de l'incertitude macroéconomique perù comme source d'hétérogénéité, le modèle permet d'expliquer certaines tendances de rendements financiers, même si l'hétérogénéité est faible comme suggéré par les données d'enquête. Le deuxième essai détermine des conditions telles que les prix d'équilibre disposer de solutions analytiques lorsque les investisseurs ont des attitudes des risques hétérogènes et les fondamentaux macroéconomiques disposent d'incertitude latente. Cette approche fournit un éclairage supplémentaire à la littérature antérieure où les modèles nécessitent des solutions numériques. Le troisième chapitre étudie pourquoi les equity-claims (actifs que paient un seul dividende futur) ont les primes et le risque décroissante avec l'horizon, mme si les modèles standards impliquent la forme opposée. Je montre que les relations de travail contribue à expliquer l'énigme. Lorsque les travailleurs ont le pouvoir de négociation d'exploiter assurance revenu partiel dans l'entreprise, les salaires sont plus lisses et les dividendes sont plus risqués que dans une économie standard. Risque de répartition entre les travailleurs et les actionnaires fournit une justification à le risque à court terme, ce qui conduit à des term-structures en pente descendante des primes et des risques pour les equity-claims.

Independent relations of left ventricular structure with the 24-hour urinary excretion of sodium and aldosterone.

Previous studies reported on the association of left ventricular mass index (LVMI) with urinary sodium or with circulating or urinary aldosterone. We investigated the independent associations of LVMI with the urinary excretion of both sodium and aldosterone. We randomly recruited 317 untreated subjects from a white population (45.1% women; mean age 48.2 years). Measurements included echocardiographic left ventricular (LV) properties, the 24-hour urinary excretion of sodium and aldosterone, plasma renin activity (PRA), and proximal (RNa(prox)) and distal (RNa(dist)) renal sodium reabsorption, assessed from the endogenous lithium clearance. In multivariable-adjusted models, we expressed changes in LVMI per 1-SD increase in the explanatory variables, while accounting for sex, age, systolic blood pressure, and the waist-to-hip ratio. LVMI increased independently with the urinary excretion of both sodium (+2.48 g/m(2); P=0.005) and aldosterone (+2.63 g/m(2); P=0.004). Higher sodium excretion was associated with increased mean wall thickness (MWT: +0.126 mm, P=0.054), but with no change in LV end-diastolic diameter (LVID: +0.12 mm, P=0.64). In contrast, higher aldosterone excretion was associated with higher LVID (+0.54 mm; P=0.017), but with no change in MWT (+0.070 mm; P=0.28). Higher RNa(dist) was associated with lower relative wall thickness (-0.81x10(-2), P=0.017), because of opposite trends in LVID (+0.33 mm; P=0.13) and MWT (-0.130 mm; P=0.040). LVMI was not associated with PRA or RNa(prox.) In conclusion, LVMI independently increased with both urinary sodium and aldosterone excretion. Increased MWT explained the association of LVMI with urinary sodium and increased LVID the association of LVMI with urinary aldosterone.

Detection of Onchocerca volvulus (Nematoda: Onchocercidae) infection in vectors from Amazonian Brazil following mass Mectizan™ distribution

Detection of Onchocerca volvulus in Simulium populations is of primary importance in the assessment of the effectiveness of onchocerciasis control programs. In Brazil, the main focus of onchocerciasis is in the Amazon region, in a Yanomami reserve. The main onchocerciasis control strategy in Brazil is the semi-annually mass distribution of the microfilaricide ivermectin. In accordance with the control strategy for the disease, polymerase chain reaction (PCR) was applied in pools of simuliids from the area to detect the helminth infection in the vectors, as recommended by the Onchocerciasis Elimination Program for the Americas and the World Health Organization. Systematic sampling was performed monthly from September 1998 to October 1999, and a total of 4942 blackflies were collected from two sites (2576 from Balawaú and 2366 from Toototobi). The molecular methodology was found to be highly sensitive and specific for the detection of infected and/or infective blackflies in pools of 50 blackflies. The results from the material collected under field conditions showed that after the sixth cycle of distribution of ivermectin, the prevalence of infected blackflies with O. volvulus had decreased from 8.6 to 0.3% in Balawaú and from 4 to 0.1% in Toototobi.