Three essays on the psychology of investment and financial markets

Préface My thesis consists of three essays where I consider equilibrium asset prices and investment strategies when the market is likely to experience crashes and possibly sharp windfalls. Although each part is written as an independent and self contained article, the papers share a common behavioral approach in representing investors preferences regarding to extremal returns. Investors utility is defined over their relative performance rather than over their final wealth position, a method first proposed by Markowitz (1952b) and by Kahneman and Tversky (1979), that I extend to incorporate preferences over extremal outcomes. With the failure of the traditional expected utility models in reproducing the observed stylized features of financial markets, the Prospect theory of Kahneman and Tversky (1979) offered the first significant alternative to the expected utility paradigm by considering that people focus on gains and losses rather than on final positions. Under this setting, Barberis, Huang, and Santos (2000) and McQueen and Vorkink (2004) were able to build a representative agent optimization model which solution reproduced some of the observed risk premium and excess volatility. The research in behavioral finance is relatively new and its potential still to explore. The three essays composing my thesis propose to use and extend this setting to study investors behavior and investment strategies in a market where crashes and sharp windfalls are likely to occur. In the first paper, the preferences of a representative agent, relative to time varying positive and negative extremal thresholds are modelled and estimated. A new utility function that conciliates between expected utility maximization and tail-related performance measures is proposed. The model estimation shows that the representative agent preferences reveals a significant level of crash aversion and lottery-pursuit. Assuming a single risky asset economy the proposed specification is able to reproduce some of the distributional features exhibited by financial return series. The second part proposes and illustrates a preference-based asset allocation model taking into account investors crash aversion. Using the skewed t distribution, optimal allocations are characterized as a resulting tradeoff between the distribution four moments. The specification highlights the preference for odd moments and the aversion for even moments. Qualitatively, optimal portfolios are analyzed in terms of firm characteristics and in a setting that reflects real-time asset allocation, a systematic over-performance is obtained compared to the aggregate stock market. Finally, in my third article, dynamic option-based investment strategies are derived and illustrated for investors presenting downside loss aversion. The problem is solved in closed form when the stock market exhibits stochastic volatility and jumps. The specification of downside loss averse utility functions allows corresponding terminal wealth profiles to be expressed as options on the stochastic discount factor contingent on the loss aversion level. Therefore dynamic strategies reduce to the replicating portfolio using exchange traded and well selected options, and the risky stock.

Maternal coping, appraisals and adjustment following diagnosis of fetal anomaly.

OBJECTIVE: So far, associations between appraisals, maternal adjustment and coping following diagnosis of fetal anomaly have not been investigated in women who continue with their pregnancy. METHOD: This study measured maternal coping and adjustment after and appraisal of a diagnosis of fetal anomaly in 40 mothers who had continued with their pregnancy using a cross-sectional questionnaire design. RESULTS: Based on retrospective reporting, 35% of participants met full diagnostic criteria for post-traumatic stress disorder after having received the diagnosis. Women were significantly more depressed (p < 0.001) and anxious (p < 0.001) and reported significantly less positive affect (p < 0.05) after having received the diagnosis in comparison to the time after childbirth. There were no significant differences between emotion-focused and problem-focused coping. Stressful life events, women's age, number of people providing support and problem-focused coping explained 57.6% of variance in anxiety and depression after childbirth. Satisfaction with social support, emotion-focused coping and problem-focused coping significantly explained 40.6% of variance in positive affect after childbirth. CONCLUSION: Following a prenatal diagnosis and for the remainder of their pregnancy, particular attention should be paid to older mothers, those experiencing additional stressful life events and those who are socially isolated, as these women may experience greater distress after childbirth.

Subgroup analyses in randomised controlled trials: cohort study on trial protocols and journal publications

OBJECTIVE: To investigate the planning of subgroup analyses in protocols of randomised controlled trials and the agreement with corresponding full journal publications. DESIGN: Cohort of protocols of randomised controlled trial and subsequent full journal publications. SETTING: Six research ethics committees in Switzerland, Germany, and Canada. DATA SOURCES: 894 protocols of randomised controlled trial involving patients approved by participating research ethics committees between 2000 and 2003 and 515 subsequent full journal publications. RESULTS: Of 894 protocols of randomised controlled trials, 252 (28.2%) included one or more planned subgroup analyses. Of those, 17 (6.7%) provided a clear hypothesis for at least one subgroup analysis, 10 (4.0%) anticipated the direction of a subgroup effect, and 87 (34.5%) planned a statistical test for interaction. Industry sponsored trials more often planned subgroup analyses compared with investigator sponsored trials (195/551 (35.4%) v 57/343 (16.6%), P<0.001). Of 515 identified journal publications, 246 (47.8%) reported at least one subgroup analysis. In 81 (32.9%) of the 246 publications reporting subgroup analyses, authors stated that subgroup analyses were prespecified, but this was not supported by 28 (34.6%) corresponding protocols. In 86 publications, authors claimed a subgroup effect, but only 36 (41.9%) corresponding protocols reported a planned subgroup analysis. CONCLUSIONS: Subgroup analyses are insufficiently described in the protocols of randomised controlled trials submitted to research ethics committees, and investigators rarely specify the anticipated direction of subgroup effects. More than one third of statements in publications of randomised controlled trials about subgroup prespecification had no documentation in the corresponding protocols. Definitive judgments regarding credibility of claimed subgroup effects are not possible without access to protocols and analysis plans of randomised controlled trials.

Humoral immunity in brain aging and Alzheimer's disease.

Although the contribution of inflammatory processes in the etiology of late-onset Alzheimer's disease (AD) has been suspected for years, most studies were confined to the analysis of cell-mediated immunological reactions thought to represent an epiphenomenon of AD lesion development. Based on the traditional view of the "immunological privilege" of the brain, which excludes a direct access of human immunoglobulins (Ig) to the central nervous system under normal conditions, little attention has been paid to a possible role of humoral immunity in AD pathogenesis. In the first part of this review, we summarize evidences for a blood-brain barrier (BBB) dysfunction in this disorder and critically comment on earlier observations supporting the presence of anti-brain autoantibodies and immunoglobulins (Ig) in AD brains. Current concepts regarding the Ig turnover in the central nervous system and the mechanisms of glial and neuronal Fc receptors activation are also discussed. In the second part, we present new ex vivo and in vitro data suggesting that human immunoglobulins can interact with tau protein and alter both the dynamics and structural organization of microtubules. Subsequent experiments needed to test this new working hypothesis are addressed at the end of the review.

Assessment of the in vitro synergy of daptomycin plus linezolid against multidrug-resistant enterococci

The widespread incidence of enterococci resistant to ampicillin, vancomycin and aminoglycosides, the first-line anti-enterococcal antibiotics, has made the treatment of severe enterococcal infections difficult and alternatives should be explored. We investigated the activity of daptomycin combined with linezolid against three Enterococcus faecalis and four Enterococcus faecium strains resistant to standard drugs used for therapy. Minimum inhibitory concentrations (MICs) were determined by the broth dilution method. Drug interactions were assessed by the checkerboard and time-kill methods. Synergy was defined by a fractional inhibitory concentration index (FICI) of ≤0.5 or a ≥2 log10 CFU/mL killing at 24 h with the combination in comparison with killing by the most active single agent. Indifference was defined by a FICI > 0.5-4.0 or a 1-2 log10 CFU/mL killing compared with the most active single agent. MICs of daptomycin were 2-4 μg/mL for E. faecalis and 2-8 μg/mL for E. faecium. MICs of linezolid were 1-2 μg/mL for all bacteria. In the checkerboard assay, five isolates showed synergism (FICI < 0.5) and two showed indifference (FICIs of 0.53 and 2). Killing studies revealed synergy of daptomycin plus linezolid against four isolates (2.2-3.7 log10 CFU/mL kill) and indifference (1.1-1.6 log10 CFU/mL kill) for the other three strains. Antagonism was not observed. In conclusion, the combination of daptomycin and linezolid had a synergistic or indifferent effect against multidrug-resistant enterococci. Additional studies are needed to explore the potential of this combination for severe enterococcal infections when first-line antibiotic combinations cannot be used.

Housewife or working mum--each to her own? The relevance of societal factors in the association between social roles and alcohol use among mothers in 16 industrialized countries.

Aims To investigate whether differences in gender-income equity at country level explain national differences in the links between alcohol use, and the combination of motherhood and paid labour. Design Cross-sectional data in 16 established market economies participating in the Gender, Alcohol and Culture: An International Study (GenACIS) study. Setting Population surveys. Participants A total of 12 454 mothers (aged 25-49 years). Measurements Alcohol use was assessed as the quantity per drinking day. Paid labour, having a partner, gender-income ratio at country level and the interaction between individual and country characteristics were regressed on alcohol consumed per drinking day using multi-level modelling. Findings Mothers with a partner who were in paid labour reported consuming more alcohol on drinking days than partnered housewives. In countries with high gender-income equity, mothers with a partner who were in paid labour drank less alcohol per occasion, while alcohol use was higher among working partnered mothers living in countries with lower income equity. Conclusion In countries which facilitate working mothers, daily alcohol use decreases as female social roles increase; in contrast, in countries where there are fewer incentives for mothers to remain in work, the protective effect of being a working mother (with partner) on alcohol use is weaker. These data suggest that a country's investment in measures to improve the compatibility of motherhood and paid labour may reduce women's alcohol use.

Comparison of clinical and angiographic prognostic risk scores in elderly patients presenting with acute coronary syndrome and referred for percutaneous coronary intervention.

BACKGROUND: Multiple risk prediction models have been validated in all-age patients presenting with acute coronary syndrome (ACS) and treated with percutaneous coronary intervention (PCI); however, they have not been validated specifically in the elderly. METHODS: We calculated the GRACE (Global Registry of Acute Coronary Events) score, the logistic EuroSCORE, the AMIS (Acute Myocardial Infarction Swiss registry) score, and the SYNTAX (Synergy between Percutaneous Coronary Intervention with TAXUS and Cardiac Surgery) score in a consecutive series of 114 patients ≥75 years presenting with ACS and treated with PCI within 24 hours of hospital admission. Patients were stratified according to score tertiles and analysed retrospectively by comparing the lower/mid tertiles as an aggregate group with the higher tertile group. The primary endpoint was 30-day mortality. Secondary endpoints were the composite of death and major adverse cardiovascular events (MACE) at 30 days, and 1-year MACE-free survival. Model discrimination ability was assessed using the area under receiver operating characteristic curve (AUC). RESULTS: Thirty-day mortality was higher in the upper tertile compared with the aggregate lower/mid tertiles according to the logistic EuroSCORE (42% vs 5%; odds ratio [OR] = 14, 95% confidence interval [CI] = 4-48; p <0.001; AUC = 0.79), the GRACE score (40% vs 4%; OR = 17, 95% CI = 4-64; p <0.001; AUC = 0.80), the AMIS score (40% vs 4%; OR = 16, 95% CI = 4-63; p <0.001; AUC = 0.80), and the SYNTAX score (37% vs 5%; OR = 11, 95% CI = 3-37; p <0.001; AUC = 0.77). CONCLUSIONS: In elderly patients presenting with ACS and referred to PCI within 24 hours of admission, the GRACE score, the EuroSCORE, the AMIS score, and the SYNTAX score predicted 30 day mortality. The predictive value of clinical scores was improved by using them in combination.

The effects of safety climate and trust on job satisfaction

Job satisfaction has been a frequently studied concept in organizational behavior. Past research has shown that trust in top management is an important factor influencing job satisfaction. To date, little attention has been paid to safety climate perceptions as a possible predictor of job satisfaction. In our study we investigated the direct and interactive effects of trust in top management and individual-level perceptions of safety climate in predicting job satisfaction. The findings of this study point to the importance of positive perceptions of safety climate on employees' job satisfaction when trust in top management is low.

Corporate Social Responsibility in the Oil and Gas Industry: Environmental Management Systems as a Source of Sustainable Development

The environmental aspect of corporate social responsibility (CSR) expressed through the process of the EMS implementation in the oil and gas companies is identified as the main subject of this research. In the theoretical part, the basic attention is paid to justification of a link between CSR and environmental management. The achievement of sustainable competitive advantage as a result of environmental capital growth and inclusion of the socially responsible activities in the corporate strategy is another issue that is of special significance here. Besides, two basic forms of environmental management systems (environmental decision support systems and environmental information management systems) are explored and their role in effective stakeholder interaction is tackled. The most crucial benefits of EMS are also analyzed to underline its importance as a source of sustainable development. Further research is based on the survey of 51 sampled oil and gas companies (both publicly owned and state owned ones) originated from different countries all over the world and providing reports on sustainability issues in the open access. To analyze their approach to sustainable development, a specifically designed evaluation matrix with 37 indicators developed in accordance with the General Reporting Initiative (GRI) guidelines for non-financial reporting was prepared. Additionally, the quality of environmental information disclosure was measured on the basis of a quality – quantity matrix. According to results of research, oil and gas companies prefer implementing reactive measures to the costly and knowledge-intensive proactive techniques for elimination of the negative environmental impacts. Besides, it was identified that the environmental performance disclosure is mostly rather limited, so that the quality of non-financial reporting can be judged as quite insufficient. In spite of the fact that most of the oil and gas companies in the sample claim the EMS to be embedded currently in their structure, they often do not provide any details for the process of their implementation. As a potential for the further development of EMS, author mentions possible integration of their different forms in a single entity, extension of existing structure on the basis of consolidation of the structural and strategic precautions as well as development of a unified certification standard instead of several ones that exist today in order to enhance control on the EMS implementation.

Production under glass : working conditions and class-consciousness of the Niagara greenhouse workers

This study applies a Marxist theoretical paradigm to examine the working conditions of greenhouse workers in the Niagara Region, and the range of factors that bear upon the formation of their class-consciousness. The Niagara greenhouse industry represents one of the most developed horticultural regions in Canada and plays a prominent role in the local economy. The industry generates substantial revenues and employs a significant number of people, yet the greenhouse workers are paid one of the lowest rates in the region. Being classified as agricultural workers, the greenhouse employees are exempted from many provisions of federal and provincial labour regulations. Under the current provincial statutes, agricultural workers in Ontario are denied the right to organize and bargain collectively. Except for a few technical and managerial positions, the greenhouse industry employs mostly low-skilled workers who are subjected to poor working conditions that stem from the employer's attempts to adapt to larger structural imperatives of the capitalist economy. While subjected to these poor working conditions, the greenhouse workers are also affected by objectively alienated social relations and by ruling class ideological domination and hegemony. These two sets of factors arise from the inherent conflict of interests between wage-labour and capital but also militate against the development of class-consciousness. Semi-structured interviews were conducted with 12 greenhouse workers to examine the role played by their material circumstances in the formulation of their social and political views as well as the extent to which they are aware of their class location and class interests. The hegemonic notions of 'common sense' acted as impediments to formation of classconsciousness. The greenhouse workers have virtually no opportunities to access alternative perspectives that would address the issues associated with exploitation in production and offer solutions leading to 'social justice'. Fonnidable challenges confront any organized political body seeking to improve the conditions of the working people.

The neo-liberal state and the crisis of public service broadcasting in the Anglo-American democracies /

The NeO'liberal State and the Crisis ofPublic Service Broadcasting in the Anglo-American Democracies The purpose ofthis analysis ofthe present condition ofpublic service broadcasting in the Anglo- American democracies was to investigate whether such media can still be regarded as the primarypublic spherefor a dialogue between each nation 's civil society and the State. The motivationfor this thesis was based on a presumption that such fora for public discussion on the central issues of each society have become viewed as less relevant bypoliticians andpolicy-makers and thepublics they were intended to serve in the Anglo-American democracies over thepast two decades. It is speculated that this is the case because ofa beliefthat the post-war consensus between the respective States andpublics that led to the construction of the Keynesian Welfare State and the notion ofpublic service broadcasting has been displaced by an individualistic, neo-liberal, laissez-faire ideology. In other words, broadcasting as a consumer-oriented, commercial commodity has superseded concerns pertaining to the importance ofthe public interest. The methodology employed in this thesis is a comparative analysisfrom a criticalpolitical economy perspective. It was considered appropriate to focus on the United Kingdom, Australia, Canada and the\ United States because they comprise the four largest Anglo-American nations with democratic political systems andprimarily market economies. Justificationfor this particular sample is reinforced by thefact that case study countries also share a common socio-political and economic tradition. The evidence assembledfor this thesis consisted almost exclusively ofexisting literature on the subjects ofpublic service broadcasting, global economic andpolitical integration, and the ascendance ofthe 'free-market ' ethos in Western democracies since the late mid- to late-1970s. In essence, this thesis could be considered as a reinterpretation ofthe existing literature relevant to these issues. Several important common features werefound among the political, economic and broadcasting systems of the four case study nations. It is proposed that the prevalence of the neo-liberal world view throughout the political and policy environments of the four countries has undermined the stability and credibility of each nation 's national public service broadcasting organization, although with varying intensity and effect,. Deregulation ofeach nation 's broadcasting system and the supremacy ofthe notion of 'consumer sovereignty' have marginalized the view of broadcasting on any basis other than strictly economic criteria in thefour case study countries. This thesis concludes that,for a reconstruction ofa trulyparticipatory anddemocraticpublicsphere to be realized in the present as well as thefuture, a reassessment ofthe conventional concept ofthe 'public sphere ' is necessary. Therefore, it is recommended that thefocus ofpolicy-makers in each Anglo-American democracy be redirectedfrom that which conceived ofan all-encompassing, large, state-ownedand operated public broadcasting service toward a view which considers alternativeforms ofpublic communication, such as local community and ethnic broadcasting operations, that are likely to be more responsive to the needs of the increasingly diverse and heterogeneous populations that comprise the modem Anglo-American democracies. The traditional conception of public broadcasters must change in accordance with its contemporary environment if the fundamental principles of the public sphere and public service broadcasting are to be realized.