Essays in equilibrium asset pricing

Introduction This dissertation consists of three essays in equilibrium asset pricing. The first chapter studies the asset pricing implications of a general equilibrium model in which real investment is reversible at a cost. Firms face higher costs in contracting than in expanding their capital stock and decide to invest when their productive capital is scarce relative to the overall capital of the economy. Positive shocks to the capital of the firm increase the size of the firm and reduce the value of growth options. As a result, the firm is burdened with more unproductive capital and its value lowers with respect to the accumulated capital. The optimal consumption policy alters the optimal allocation of resources and affects firm's value, generating mean-reverting dynamics for the M/B ratios. The model (1) captures convergence of price-to-book ratios -negative for growth stocks and positive for value stocks - (firm migration), (2) generates deviations from the classic CAPM in line with the cross-sectional variation in expected stock returns and (3) generates a non-monotone relationship between Tobin's q and conditional volatility consistent with the empirical evidence. The second chapter proposes a standard portfolio-choice problem with transaction costs and mean reversion in expected returns. In the presence of transactions costs, no matter how small, arbitrage activity does not necessarily render equal all riskless rates of return. When two such rates follow stochastic processes, it is not optimal immediately to arbitrage out any discrepancy that arises between them. The reason is that immediate arbitrage would induce a definite expenditure of transactions costs whereas, without arbitrage intervention, there exists some, perhaps sufficient, probability that these two interest rates will come back together without any costs having been incurred. Hence, one can surmise that at equilibrium the financial market will permit the coexistence of two riskless rates that are not equal to each other. For analogous reasons, randomly fluctuating expected rates of return on risky assets will be allowed to differ even after correction for risk, leading to important violations of the Capital Asset Pricing Model. The combination of randomness in expected rates of return and proportional transactions costs is a serious blow to existing frictionless pricing models. Finally, in the last chapter I propose a two-countries two-goods general equilibrium economy with uncertainty about the fundamentals' growth rates to study the joint behavior of equity volatilities and correlation at the business cycle frequency. I assume that dividend growth rates jump from one state to other, while countries' switches are possibly correlated. The model is solved in closed-form and the analytical expressions for stock prices are reported. When calibrated to the empirical data of United States and United Kingdom, the results show that, given the existing degree of synchronization across these business cycles, the model captures quite well the historical patterns of stock return volatilities. Moreover, I can explain the time behavior of the correlation, but exclusively under the assumption of a global business cycle.

An Analysis of the Benefit of Using HEV Genotype 3 Antigens in Detecting Anti-HEV IgG in a European Population

Introduction Quatre génotypes pathogènes de l'hépatite E (HEV) sont actuellement connus. Ils présentent des caractéristiques épidémiologiques différentes. Les génotypes 1 et 2 infectent uniquement l'homme et sont à l'origine d'épidémies dans des pays en voie de développement. Les génotypes 3 et 4 se présentent sous forme de zoonose, endémiques chez des cochons et autres mammifères dans des pays industrialisés. Ces derniers génotypes sont à l'origine de cas sporadiques d'hépatite E autochtones. La majorité des tests de sérologie actuellement commercialisés se basent sur des virus de génotype 1 et 2. Le bénéfice de l'utilisation d'un test sérologique basé sur le génotype 3 dans des pays industrialisés n'a pas été étudié jusqu'à présent. Dans cette étude, les performances de tests sérologiques basés sur des antigènes de plusieurs génotypes de l'HEV ont été comparées. Méthode Les tests ont été appliqués à deux populations distinctes: une population de 20 patients, chez qui une infection aiguë d'hépatite E, génotype 3, a été documentée par PCR sanguine, et une population de 550 donneurs de sang de la région de Lausanne. Le dépistage des IgGs anti-HEV a été effectué dans le sérum des deux populations par trois «Enzyme Immuno Assays» (EIA) à savoir MP Diagnostics, Dia.Pro et Fortress. Les échantillons positifs avec au moins un des EIA ont été testés par un «Immunodot Assay», le recomLine HEV IgG/IgM. Tous les EIA sont basés sur des antigènes des génotypes 1 et 2, alors que l'immunodot se base sur des antigènes des génotypes 1 et 3. Résultats Tous les échantillons des cas d'hépatite E documentés et 124 sur 550 échantillons des donneurs de sang étaient positifs avec au moins un des tests sérologique. Parmi les cas confirmés par PCR, 45 %, 65 %, 95 % et 55 % étaient respectivement positifs avec le test de MP Diagnostics, Dia.Pro, Fortress et recomLine. Parmi les échantillons positifs des donneurs de sang avec au moins un des tests, 120/124 (97 %) étaient positifs avec le test Fortress, 19/124 (15 %) étaient positifs avec tous les EIA et 51/124 (41 %) étaient positifs avec le recomLine. Parmi les cas d'hépatite E confirmés, 11/20 (55 %) étaient positifs avec le recomLine et parmi ceux-ci, une réactivité plus forte pour le génotype 3 était observée dans 1/11 (9 %) et une réactivité identique dans 5/11 (45.5 %) cas. Conclusions Même si le recomLine contient des protéines dérivées de l'HEV génotype 3, sa sensibilité est inférieure à l'EIA de Fortress dans les cas d'hépatite E aiguë de génotype 3. De plus, chez environ 45 % des patients, le recomLine ne parvient pas à identifier une infection comme étant causé par un virus du génotype 3. Dans la population de donneurs de sang, nous avons observe de grandes variations dans les séroprévalences mesurées, allant de 4.2 % à 21.8 % selon les tests sérologiques employés.

Cracking and Seating to Retard Reflective Cracking - Hamilton County, HR-277, 1993

The crack and seat (C & S) method of rehabilitating concrete pavements has been proposed to reduce the incidence of reflective cracking in asphalt overlays. These cracked pieces help reduce the thermal effects on lateral joint movement while the seating of slab pieces reduces vertical movement. This 1986 project demonstrated that a 0.6 m x 0.9 m (2 ft x 3 ft) cracking pattern was optimal to retard reflective cracking in an asphalt overlay. The best performance among three C & S test sections was section 4 with a 0.6 m x 0.9 m (2 ft x 3 ft) cracking pattern and 7.6 cm (3 in) overlay. Structural ratings determined from the Road Rater™ indicated little difference between each C & S section with varying AC thicknesses and crack spacings. Although reflection cracking is reduced in the early years after construction, the effectiveness of the C & S method diminishes over time.

Populations with elevated mutation load do not benefit from the operation of sexual selection.

Theory predicts that if most mutations are deleterious to both overall fitness and condition-dependent traits affecting mating success, sexual selection will purge mutation load and increase nonsexual fitness. We explored this possibility with populations of mutagenized Drosophila melanogaster exhibiting elevated levels of deleterious variation and evolving in the presence or absence of male-male competition and female choice. After 60 generations of experimental evolution, monogamous populations exhibited higher total reproductive output than polygamous populations. Parental environment also affected fitness measures - flies that evolved in the presence of sexual conflict showed reduced nonsexual fitness when their parents experienced a polygamous environment, indicating trans-generational effects of male harassment and highlighting the importance of a common garden design. This cost of parental promiscuity was nearly absent in monogamous lines, providing evidence for the evolution of reduced sexual antagonism. There was no overall difference in egg-to-adult viability between selection regimes. If mutation load was reduced by the action of sexual selection in this experiment, the resultant gain in fitness was not sufficient to overcome the costs of sexual antagonism.

The Use of Remote Sensing Techniques Compared to Traditional Archaeological Phase II Testing Methods: A Cost-Benefit Analysis, HR-524, 1986

Remote sensing was utilized in the Phase II Cultural Resources Investigation for this project in lieu of extensive excavations. The purpose of the present report is to compare the costs and benefits of the use of remote sensing to the hypothetical use of traditional excavation methods for this project. Estimates for this hypothetical situation are based on the project archaeologist's considerable past experience in conducting similar investigations. Only that part of the Phase II investigation involving field investigations is addressed in this report. Costs for literature review, laboratory analysis, report preparation, etc., are not included. The project manager proposed the use of this technique for the fol lowing logistic, safety and budgetary reasons.

Field Evaluation of Electro-Reflective Measuring Apparatus (ERMA), MLR-81-01, 1981

The Electro-Reflective Measuring Apparatus (ERMA) was developed by the Minnesota Department of Highways in 1974 to measure the retro-reflective characteristics of pavement marking materials. Minnesota researchers recommended that due to the increased cost of pavement marking materials and reduced availability of these materials, ERMA can and should be used as a maintenance management tool to determine when painting is necessary rather than according to a fixed time schedule. The Iowa DOT Office of Materials built an ERMA device patterned after Minnesota's design in 1976. Subsequent efforts to calibrate and correlate this ERMA device to District Paint Foremen ratings proved unsuccessful, and ERMA modification or abandonment was recommended in 1979. Lyman Moothart, Materials Lab. Tech. 4, modified the ERMA device in 1980 and correlation attempts to District Paint Foremen ratings conducted in November 1980 have been moderately successful. A Paint/No Paint ERMA value has been established which will identify about 90% of the painting needs but will also include about 40% of the marking lines not needing repainting. The Office of Maintenance should establish a trial ERMA program to study the accuracy and potential cost savings of using ERMA to identify pavement marking needs.

Calibration and Reliability of a Nuclear Asphalt Content Gauge, MLR-87-02, 1987

Based on results of an evaluation performed during the winter of 1985-86, six Troxler 3241-B Asphalt Content Gauges were purchased for District use in monitoring project asphalt contents. Use of these gauges will help reduce the need for chemical based extractions. Effective use of the gauges depends on the accurate preparation and transfer of project mix calibrations from the Central Lab to the Districts. The objective of this project was to evaluate the precision and accuracy of a gauge in determining asphalt contents and to develop a mix calibration transfer procedure for implementation during the 1987 construction. The first part of the study was accomplished by preparing mix calibrations in the Central Lab gauge and taking multiple measurements of a sample with known asphalt content. The second part was accomplished by preparing transfer pans, obtaining count data on the pans using each gauge, and transferring calibrations from one gauge to another through the use of calibration transfer equations. The transferred calibrations were tested by measuring samples with a known asphalt content. The study established that the Troxler 3241-B Asphalt Content Gauge yields results of acceptable accuracy and precision as evidenced by a standard deviation of 0.04% asphalt content on multiple measurements of the same sample. The calibration transfer procedure proved feasible and resulted in the calibration transfer portion of Materials I.M. 335 - Method of Test For Determining the Asphalt Content of Bituminous Mixtures by the Nuclear Method.

Reflective Crack Mitigation Guide for Flexible Pavements, TR-641, 2015

Reflective cracks form in pavements when hot-mix asphalt (HMA) overlays are placed over jointed and/or severely cracked rigid and flexible pavements. In the first part of the research, survival analysis was conducted to identify the most appropriate rehabilitation method for composite pavements and to evaluate the influence of different factors on reflective crack development. Four rehabilitation methods, including mill and fill, overlay, heater scarification (SCR), and rubblization, were analyzed using three performance indicators: reflective cracking, international roughness index (IRI), and pavement condition index (PCI). It was found that rubblization can significantly retard reflective cracking development compared to the other three methods. No significant difference for PCI was seen among the four rehabilitation methods. Heater scarification showed the lowest survival probability for both reflective cracking and IRI, while an overlay resulted in the poorest overall pavement condition based on PCI. In addition, traffic level was found not to be a significant factor for reflective cracking development. An increase in overlay thickness can significantly delay the propagation of reflective cracking for all four treatments. Soil types in rubblization pavement sites were assessed, and no close relationship was found between rubblized pavement performance and subgrade soil condition. In the second part of the research, the study objective was to evaluate the modulus and performance of four reflective cracking treatments: full rubblization, modified rubblization, crack and seat, and rock interlayer. A total of 16 pavement sites were tested by the surface wave method (SWM), and in the first four sites both falling weight deflectometer (FWD) and SWM were conducted for a preliminary analysis. The SWM gave close concrete layer moduli compared to the FWD moduli on a conventional composite pavement. However, the SWM provided higher moduli for the rubblized concrete layer. After the preliminary analysis, another 12 pavement sites were tested by the SWM. The results showed that the crack and seat method provided the highest moduli, followed by the modified rubblization method. The full rubblization and the rock interlayer methods gave similar, but lower, moduli. Pavement performance surveys were also conducted during the field study. In general, none of the pavement sites had rutting problems. The conventional composite pavement site had the largest amount of reflective cracking. A moderate amount of reflective cracking was observed for the two pavement sites with full rubblization. Pavements with the rock interlayer and modified rubblization treatments had much less reflective cracking. It is recommended that use of the modified rubblization and rock interlayer treatments for reflective cracking mitigation are best.

Benefit News: Employee Benefit News, Department of Administrative Services, December 2009

Benefit News, brought to you by the DAS Benefits Team, providing you with the most up-to-date information about the state of Iowa’s employee benefits.

Benefit News: Employee Benefit News, Department of Administrative Services, June 2009

Benefit News, brought to you by the DAS Benefits Team, providing you with the most up-to-date information about the state of Iowa’s employee benefits.

Benefit News: Employee Benefit News, Department of Administrative Services, September 2009

Benefit News, brought to you by the DAS Benefits Team, providing you with the most up-to-date information about the state of Iowa’s employee benefits.