Risk-return trade-off and autocorrelation

A trade-off between return and risk plays a central role in financial economics. The intertemporal capital asset pricing model (ICAPM) proposed by Merton (1973) provides a neoclassical theory for expected returns on risky assets. The model assumes that risk-averse investors (seeking to maximize their expected utility of lifetime consumption) demand compensation for bearing systematic market risk and the risk of unfavorable shifts in the investment opportunity set. Although the ICAPM postulates a positive relation between the conditional expected market return and its conditional variance, the empirical evidence on the sign of the risk-return trade-off is conflicting. In contrast, autocorrelation in stock returns is one of the most consistent and robust findings in empirical finance. While autocorrelation is often interpreted as a violation of market efficiency, it can also reflect factors such as market microstructure or time-varying risk premia. This doctoral thesis investigates a relation between the mixed risk-return trade-off results and autocorrelation in stock returns. The results suggest that, in the case of the US stock market, the relative contribution of the risk-return trade-off and autocorrelation in explaining the aggregate return fluctuates with volatility. This effect is then shown to be even more pronounced in the case of emerging stock markets. During high-volatility periods, expected returns can be described using rational (intertemporal) investors acting to maximize their expected utility. During lowvolatility periods, market-wide persistence in returns increases, leading to a failure of traditional equilibrium-model descriptions for expected returns. Consistent with this finding, traditional models yield conflicting evidence concerning the sign of the risk-return trade-off. The changing relevance of the risk-return trade-off and autocorrelation can be explained by heterogeneous agents or, more generally, by the inadequacy of the neoclassical view on asset pricing with unboundedly rational investors and perfect market efficiency. In the latter case, the empirical results imply that the neoclassical view is valid only under certain market conditions. This offers an economic explanation as to why it has been so difficult to detect a positive tradeoff between the conditional mean and variance of the aggregate stock return. The results highlight the importance, especially in the case of emerging stock markets, of noting both the risk-return trade-off and autocorrelation in applications that require estimates for expected returns.

Outcome of human papillomavirus infection among men in the Finnish Family HPV Study

Ihmisen papilloomaviruksen taudinkuva suomalaisperheiden seurantatutkimuksen mieskohortissa Tieto ihmisen papilloomaviruksen (HPV) yhteydestä eri anatomisten alueiden sairauksien syntyyn on lisännyt mielenkiintoa miehen papilloomavirustulehduksen taudinkulun selvittämiseksi. Tämä väitöskirjatyö on osa suomalaista seurantatutkimusta, jossa tutkitaan HPVinfektioiden tartuntareittejä 329 perheessä. Väitöstyössä keskitytään tutkimukseen osallistuneiden 131 miehen aineistoon. Suun limakalvonäytteet otettiin seitsemässä aikapisteessä. Lisäksi otettiin sukuelinalueen näytteet kahdella seurantakäynnillä. Riskitekijöitä kartoittava kyselytutkimus teetettiin tutkimuksen alkutilanteessa sekä viimeisellä seurantakäynnillä. Oireettomat HPV infektiot olivat alkutilanteessa yleisiä molemmilla sukupuolilla (miesten suu 18,3 % ja sukuelinalue 35,9 %, naisten suu 17,2 % ja kohdunsuu 18,8 %), mutta HPV:n genotyyppien vastaavuus partnerien välillä oli vähäinen. Naisen, mutta ei miehen, seksuaalinen riskikäyttäytyminen oli yhteydessä pariskunnan HPV tyyppien vastaavuuteen. Partnerin ja siviilisäädyn vaihtaminen lisäsivät miehen riskiä saada uusia HPV infektioita. Miehen suun limakalvonäytteistä löytyi kaikkiaan 17 eri HPV tyyppiä. Suun HPV-tulehduksen esiintyvyys vaihteli eri aikapisteissä 15 %:sta 31 %:iin. Uusien HPV tulehdusten ilmaantumisaika vaihteli 3,9 ja 25,7 kuukauden välillä. Suun HPV infektio parani valtaosalla miehistä. Suun krooninen HPV-infektio todettiin 14 %:lla miehistä. Näiden infektioiden keskimääräinen kesto vaihteli 6.0:sta 30.7:ään kuukauteen. Tupakointi lisäsi korkean riskin HPV tyyppien aiheuttamien suun kroonisten infektioiden riskiä, kun taas aikaisemmin sairastetut sukuelinten kondyloomat suojasivat siltä. Tuloksemme osoittavat, että miehen oireeton HPV tulehdus on yleinen suussa ja sukuelinten alueella. Vakaa parisuhde suojaa uusilta HPV tulehduksilta. Tupakoinnilla on keskeinen merkitys suun HPV-infektion kroonistumisessa.

Leaching of Atrazine in Commercial and Xerogel Formulations in Oxisol Using Bioassay and Chromatographic Methods

Mobility of atrazine in soil has contributed to the detection of levels above the legal limit in surface water and groundwater in Europe and the United States. The use of new formulations can reduce or minimize the impacts caused by the intensive use of this herbicide in Brazil, mainly in regions with higher agricultural intensification. The objective of this study was to compare the leaching of a commercial formulation of atrazine (WG) with a controlled release formulation (xerogel) using bioassay and chromatographic methods of analysis. The experiment was a split plot randomized block design with four replications, in a (2 x 6) + 1 arrangement. The main formulations of atrazine (WG and xerogel) were allocated in the plots, and the herbicide concentrations (0, 3200, 3600, 4200, 5400 and 8000 g ha-1), in the subplots. Leaching was determined comparatively by using bioassays with oat and chromatographic analysis. The results showed a greater concentration of the herbicide in the topsoil (0-4 cm) in the treatment with the xerogel formulation in comparison with the commercial formulation, which contradicts the results obtained with bioassays, probably because the amount of herbicide available for uptake by plants in the xerogel formulation is less than that available in the WG formulation.

Imidazolinone Degradation in Soil in Response to Application History

Accelerated herbicide degradation consists in its faster degradation in areas where it has been previously applied, due to the adaptation of microbial population to that particular compound. Accelerated degradation can reduce herbicide persistence and reduce its efficacy in soil. The objective of this study was to investigate if imidazolinone herbicides have enhanced microbial degradation in rice paddy soils. A laboratory experiment was conducted, evaluating the CO2 evolution rate from soils with and without history of herbicide application (imazapyr + imazapic and imazethapyr + imazapic), incubated with imidazolinone herbicides: imazethapyr, imazapyr, imazapic, imazamethabenz, imazamox and an untreated check. The amount of CO2 released from the soil was measured. As a result, the prior application of imidazolinones does not stimulate microbial degradation of herbicides from the same chemical group.

A DNS Bases Approach To Electronic Persistance, or "If Your Pants Fit, Why Use Suspenders?"

Presentation at Open Repositories 2014, Helsinki, Finland, June 9-13, 2014

Repository Rant -- Digital Scavenging

Presentation at Open Repositories 2014, Helsinki, Finland, June 9-13, 2014

New business models for open research

Presentation at Open Repositories 2014, Helsinki, Finland, June 9-13, 2014

Seedling growth of fifteen Brazilian tropical tree species differing in successional status

Growth of seedlings of fifteen tropical tree species representative, at the adult stage, of different successional positions, was studied under field conditions. Seedlings were grown in three treatments: full sun (FS), artificial shade imposed by neutral screens (AS) and natural shade imposed by a closed canopy in a Forest Reserve in Southeast Brazil (NS). Most of the studied species survived in both shade treatments, although their growth was severely affected. Decreases in height, internode numbers, dry weight, leaf area, root:shoot ratio (R:S) and increases in leaf mass ratio (LMR), leaf area ratio (LAR) and specific leaf area (SLA) were common responses to shade. Relative growth rates (RGRs) and net assimilation rates (NARs) were consistently lower in the shaded treatments than in full sun. RGR was significantly correlated with NAR in the FS and NS treatments, whereas it was correlated with LAR in the AS treatment. Natural shade had more severe effects than artificial shade on leaf area reduction and RGR. Between-species differences in R:S, LMR, SLA and LAR were not related to the successional status of species. However, there was a tendency for early-successional species to have higher RGRs than late successional ones, regardless of the light environment. Late-successional species also showed less pronounced responses to shade than early ones. The characteristics presented by the late-successional species may be associated with shade tolerance, enabling their persistence under dense canopies.

Hedge-rahastojen menestyksen pysyvyys ja suhteellinen suoriutuminen sijoittajan näkökulmasta

The purpose of the thesis is to examine the long-term performance persistence and relative performance of hedge funds during bear and bull market periods. Performance metrics applied for fund rankings are raw return, Sharpe ratio, mean variance ratio and strategy distinctiveness index calculated of the original and clustered data correspondingly. Four different length combinations for selection and holding periods are employed. The persistence is examined using decile and quartile portfolio formatting approach and on the basis of Sharpe ratio and SKASR as performance metrics. The relative performance persistence is examined by comparing hedge portfolio returns during varying stock market conditions. The data is gathered from a private database covering 10,789 hedge funds and time horizon is set from January 1990 to December 2012. The results of this thesis suggest that long-term performance persistence of the hedge funds exists. The degree of persistence also depends on the performance metrics employed and length combination of selection and holding periods. The best results of performance persistence were obtained in the decile portfolio analysis on the basis of Sharpe ratio rankings for combination of 12-month selection period and the holding period of equal length. The results also suggest that the best performance persistence occurs in the Event Driven and Multi strategies. Dummy regression analysis shows that a relationship between hedge funds and stock market returns exists. Based on the results, Dedicated Short Bias, Global Macro, Managed Futures and Other strategies perform well during bear market periods. The results also indicate that the Market Neutral strategy is not absolutely market neutral and the Event Driven strategy has the best performance among all hedge strategies.

Developmental norms for eight instruments used in the neuropsychological assessment of children: studies in Brazil

Norms for a battery of instruments, including Denckla's and Garfield's tests of Motor Persistence, Benton's Right-Left Discrimination, two recall modalities (Immediate and Delayed) of the Bender Test, Wechsler's Digit Span, the Color Span Test and the Human Figure Drawing Test, were developed for the neuropsychological assessment of children in the greater Rio de Janeiro area. Additionally, the behavior of each child was assessed with the Composite Teacher Rating Scale (Brito GNO and Pinto RCA (1991) Journal of Clinical and Experimental Neuropsychology, 13: 417-418). A total of 398 children (199 boys and 199 girls balanced for age) with a mean age of 9.3 years (SD = 2.8), who were attending a public school in Niterói, were the subjects of this study. Gender and age had significant effects on performance which depended on the instrument. Nonachievers performed worse than achievers in most neuropsychological tests. Comparison of our data to the available counterparts in the United States revealed that American children outperformed Brazilian children on the Right-Left Discrimination, Forward Digit Span, Color Span and Human Figure Drawing Tests. Further analysis showed that the neurobehavioral data consist of different factorial dimensions, including Human Body Representation, Motor Persistence of the Legs, Orbito-Orobuccal Motor Persistence, Attention-Memory, Visuospatial Memory, Neuropsychomotor Speed, Hyperactivity-Inattention, and Anxiety-Negative Socialization. We conclude that gender and age should be taken into account when using the normative data for most of the instruments studied in the present report. Furthermore, we stress the need for major changes in the Brazilian public school system in order to foster the development of secondary cognitive abilities in our children

Meal-feeding scheme: twenty years of research in Brazil

Naomi Shinomiya Hell was the first researcher to investigate the physiological adaptations to a meal-feeding scheme (MFS) in Brazil. Over a period of 20 years, from 1979 to 1999, Naomi's group determined the physiological and metabolic adaptations induced by this feeding scheme in rats. The group showed the persistence of such adaptations even when MFS is associated with moderate exercise training and the performance to a session of intense physical effort. The metabolic changes induced by the feeding training were discriminated from those caused by the effective fasting period. Naomi made an important contribution to the understanding of the MFS but a lot still has to be done. One crucial question still remains to be satisfactorily answered: what is the ideal control for the MFS?

Acute promyelocytic leukemia: the study of t(15;17) translocation by fluorescent in situ hybridization, reverse transcriptase-polymerase chain reaction and cytogenetic techniques

Acute promyelocytic leukemia (AML M3) is a well-defined subtype of leukemia with specific and peculiar characteristics. Immediate identification of t(15;17) or the PML/RARA gene rearrangement is fundamental for treatment. The objective of the present study was to compare fluorescent in situ hybridization (FISH), reverse transcriptase-polymerase chain reaction (RT-PCR) and karyotyping in 18 samples (12 at diagnosis and 6 after treatment) from 13 AML M3 patients. Bone marrow samples were submitted to karyotype G-banding, FISH and RT-PCR. At diagnosis, cytogenetics was successful in 10 of 12 samples, 8 with t(15;17) and 2 without. FISH was positive in 11/12 cases (one had no cells for analysis) and positivity varied from 25 to 93% (mean: 56%). RT-PCR was done in 6/12 cases and all were positive. Four of 8 patients with t(15;17) presented positive RT-PCR as well as 2 without metaphases. The lack of RT-PCR results in the other samples was due to poor quality RNA. When the three tests were compared at diagnosis, karyotyping presented the translocation in 80% of the tested samples while FISH and RT-PCR showed the PML/RARA rearrangement in 100% of them. Of 6 samples evaluated after treatment, 3 showed a normal karyotype, 1 persistence of an abnormal clone and 2 no metaphases. FISH was negative in 4 samples studied and 2 had no material for analysis. RT-PCR was positive in 4 (2 of which showed negative FISH, indicating residual disease) and negative in 2. When the three tests were compared after treatment, they showed concordance in 2 of 6 samples or, when there were not enough cells for all tests, concordance between karyotype and RT-PCR in one. At remission, RT-PCR was the most sensitive test in detecting residual disease, as expected (positive in 4/6 samples). An incidence of about 40% of 5' breaks and 60% of 3' breaks, i.e., bcr3 and bcr1/bcr2, respectively, was observed.

Presurgical ketoprofen, but not morphine, dipyrone, diclofenac or tenoxicam, preempts post-incisional mechanical allodynia in rats

The treatment of pain before it initiates may prevent the persistent pain-induced changes in the central nervous system that amplify pain long after the initial stimulus. The effects of pre- or postoperative intraperitoneal administration of morphine (2 to 8 mg/kg), dipyrone (40 and 80 mg/kg), diclofenac (2 to 8 mg/kg), ketoprofen (10 and 20 mg/kg), and tenoxicam (10 and 20 mg/kg) were studied in a rat model of post-incisional pain. Groups of 5 to 8 male Wistar rats (140-160 g) were used to test each drug dose. An incision was made on the plantar surface of a hind paw and the changes in the withdrawal threshold to mechanical stimulation were evaluated with Von Frey filaments at 1, 2, 6 and 24 h after the surgery. Tenoxicam was given 12 or 6 h preoperatively, whereas the remaining drugs were given 2 h or 30 min preoperatively. Postoperative drugs were all given 5 min after surgery. No drug abolished allodynia when injected before or after surgery, but thresholds were significantly higher than in control during up to 2 h following ketoprofen, 6 h following diclofenac, and 24 h following morphine, dipyrone or tenoxicam when drugs were injected postoperatively. Significant differences between pre- and postoperative treatments were obtained only with ketoprofen administered 30 min before surgery. Preoperative (2 h) intraplantar, but not intrathecal, ketoprofen reduced the post-incisional pain for up to 24 h after surgery. It is concluded that stimuli generated in the inflamed tissue, rather than changes in the central nervous system are relevant for the persistence of pain in the model of post-incisional pain.

Molecular identification of Sicilian (dß)º-thalassemia associated with ß-thalassemia and hemoglobin S in Brazil

We describe the clinical and molecular characteristics of two unrelated Brazilian families with an association of the Sicilian form of (dß)º-thalassemia with hemoglobin S and ß-thalassemia. Direct sequencing of the ß-globin gene showed only the hemoglobin S mutation in patient 1 and the ß-thalassemia IVS1-110 in patient 2. The other allele was deleted in both patients and PCR of DNA samples of the breakpoint region of both patients showed a band of approximately 1,150 bp, expected to be observed in the DNA of carriers of Sicilian (dß)º-thalassemia. The nucleotide sequence of this fragment confirmed the Sicilian deletion. There are few reports concerning the Hb S/(dß)º-thalassemia association and patient 2 is the first reported case of Sicilian type of (dß)º-thalassemia in association with ß-thalassemia documented at the molecular level.

Clonal dissemination of VanA-type glycopeptide-resistant Enterococcus faecalis between hospitals of two cities located 100 km apart

Nosocomial dissemination of glycopeptide-resistant enterococci represents a major problem in hospitals worldwide. In Brazil, the dissemination among hospitals in the city of São Paulo of polyclonal DNA profiles was previously described for vancomycin-resistant Enterococcus faecium. We describe here the dissemination of VanA phenotype E. faecalis between two hospitals located in different cities in the State of São Paulo. The index outbreak occurred in a tertiary care university hospital (HCUSP) in the city of São Paulo and three years later a cluster caused by the same strain was recognized in two patients hospitalized in a private tertiary care hospital (CMC) located 100 km away in the interior of the state. From May to July 1999, 10 strains of vancomycin-resistant E. faecalis were isolated from 10 patients hospitalized in the HCUSP. The DNA genotyping using pulsed-field gel electrophoresis (PFGE) showed that all isolates were originated from the same clone, suggesting nosocomial dissemination. From May to July 2002, three strains of vancomycin-resistant E. faecalis were isolated from two patients hospitalized in CMC and both patients were colonized by the vancomycin-resistant Enterococcus in skin lesions. All isolates from CMC and HCUSP were highly resistant to vancomycin and teicoplanin. The three strains from CMC had minimum inhibitory concentration >256 µg/ml for vancomycin, and 64 (CMC 1 and CMC 2) and 96 µg/ml (CMC 3) for teicoplanin, characterizing a profile of VanA resistance to glycopeptides. All strains had the presence of the transposon Tn1546 detected by PCR and were closely related when typed by PFGE. The dissemination of the E. faecalis VanA phenotype among hospitals located in different cities is of great concern because E. faecalis commonly colonizes the gastrointestinal tract of patients and healthy persons for periods varying from weeks to years, which, together with the persistence of vancomycin-resistant Enterococcus in hospital rooms after standard cleaning procedures, increases the risk of the dissemination and reservoir of the bacteria.