The pricing of academic journals: A two-sided market perspective

More and more academic journals adopt an open-access policy, by which articlesare accessible free of charge, while publication costs are recovered through authorfees. We study the consequences of this open access policy on a journal s qualitystandard. If the journal s objective was to maximize social welfare, open accesswould be optimal as long as the positive externalities generated by its diffusionexceed the marginal cost of distribution. However, we show that if an open accessjournal has a different objective (such as maximizing readers payoffs, the impactof the journal or its profit), it tends to choose a quality standard below the sociallyefficient level.

A new electrocardiographic criteria for discriminating between Brugada types 2 and 3 patterns and incomplete right bundle branch block

Le syndrome de Brugada, une affection rythmique du sujet jeune potentiellement fatale, se manifeste sur l'ECG par un bloc de branche droit (BBD) complet, avec sus-décalage majeur du segment ST et inversion des ondes Τ de V1 à V3 appelé pattern de type 1. Cette présentation peut être intermittente. Les manifestations incomplètes du syndrome de Brugada sont appelées patterns de types 2 ou 3, et sont caractérisées par un BBD incomplet et un sus-décalage ST plus ou moins prononcé dans les dérivations V-, et V2 de l'ECG. Cette description, cependant, est aussi celle du BBD incomplet fréquemment rencontré chez les sujets jeunes, de moins de 40 ans, et présent dans 3% de la population. Bo nombre de ces sujets sont donc référés pour une recherche de syndrome de Brugada. Le but de cette thèse est donc d'évaluer de nouveaux critères permettant de discriminer les BBD incomplets, banals, des sujets porteurs d'un syndrome de Brugada de types 2 ou 3. Trente-huit patients avec un pattern de Brugada de types 2 et 3, référés pour un test médicamenteux utilisant un antiarythmique révélant un pattern de type 1 chez les sujets porteurs, ont été inclus dans l'étude. Avant le test médicamenteux, deux angles ont été mesurés sur les dérivations Vi et/ou V2 : a, l'angle entre une ligne verticale et la descente de l'onde r', et β, l'angle entre la montée de l'onde S et la descente de l'onde r'. Les mesure à l'état basai des deux angles, seules ou combinées avec la durée du QRS, on été comparées entre les patients avec une épreuve pharmacologique positive et ceux dont l'épreuve s'est révélée négative (i.e. servant de groupe contrôle car porteur d'un véritable BBD incomplet). Des courbes ROC ont été établies afin de déterminer les valeurs d'angles les plus discriminantes. La moyenne des angles β était significativement plus petite chez les 14 patients avec un test pharmacologique négatif comparé aux 24 patients avec un test positif. La valeur optimale pour l'angle β était de 58°, ce qui donnait une valeur prédictive positive de 73% et une valeur prédictive négative de 97% pour une conversion en pattern de type 1 lors du test pharmacologique. L'angle α était un peu moins sensible et spécifique que β. Quand les angles étaient combinés à la durée du QRS, on observait une discrète amélioration de la discrimination entre les deux populations. Notre travail permet donc, chez des patients suspects d'un syndrome de Brugada, de discriminer entre un BBD incomplet et les patterns de Brugada types 2 et 3 en utilisant un critère simple basé sur l'ECG de surface potentiellement applicable au lit du patient

Essays in general equilibrium asset pricing

ABSTRACT : Research in empirical asset pricing has pointed out several anomalies both in the cross section and time series of asset prices, as well as in investors' portfolio choice. This dissertation aims to discover the forces driving some of these "puzzling" asset pricing dynamics and portfolio decisions observed in the financial market. Through the dissertation I construct and study dynamic general equilibrium models of heterogeneous investors in the presence of frictions and evaluate quantitatively their implications for financial-market asset prices and portfolio choice. I also explore the potential roots of puzzles in international finance. Chapter 1 shows that, by introducing jointly endogenous no-default type of borrowing constraints and heterogeneous beliefs in a dynamic general-equilibrium economy, many empirical features of stock return volatility can be reproduced. While most of the research on stock return volatility is empirical, this paper provides a theoretical framework that is able to reproduce simultaneously the cross section and time series stylized facts concerning stock returns and their volatility. In contrast to the existing theoretical literature related to stock return volatility, I don't impose persistence or regimes in any of the exogenous state variables or in preferences. Volatility clustering, asymmetry in the stock return-volatility relationship, and pricing of multi-factor volatility components in the cross section all arise endogenously as a consequence of the feedback between the binding of no-default constraints and heterogeneous beliefs. Chapters 2 and 3 explore the implications of differences of opinion across investors in different countries for international asset pricing anomalies. Chapter 2 demonstrates that several international finance "puzzles" can be reproduced by a single risk factor which captures heterogeneous beliefs across international investors. These puzzles include: (i) home equity preference; (ii) the dependence of firm returns on local and foreign factors; (iii) the co-movement of returns and international capital flows; and (iv) abnormal returns around foreign firm cross-listing events in the local market. These are reproduced in a setup with symmetric information and in a perfectly integrated world with multiple countries and independent processes producing the same good. Chapter 3 shows that by extending this framework to multiple goods and correlated production processes; the "forward premium puzzle" arises naturally as a compensation for the heterogeneous expectations about the depreciation of the exchange rate held by international investors. Chapters 2 and 3 propose differences of opinion across international investors as the potential resolution of several international finance `puzzles'. In a globalized world where both capital and information flow freely across countries, this explanation seems more appealing than existing asymmetric information or segmented markets theories aiming to explain international finance puzzles.

Access by Capacity and Peak-Load Pricing

Several European telecommunications regulatory agencies have recently introduced a fixed capacity charge (flat rate) to regulate access to the incumbent's network. The purpose of this paper is to show that the optimal capacity charge and the optimal access-minute charge analysed by Armstrong, Doyle, and Vickers (1996) have a similar structure and imply the same payment for the entrant. I extend the analysis tothe case where there is a competitor with market power. In this case, the optimalcapacity charge should be modified to avoid that the entrant cream-skims the market,fixing a longer or a shorter peak period than the optimal. Finally, I consider a multiproduct setting, where the effect of the product differentiation is exacerbated.

Three essays in financial economics: asset pricing, optimal portfolio selection and financial integration

Executive Summary The unifying theme of this thesis is the pursuit of a satisfactory ways to quantify the riskureward trade-off in financial economics. First in the context of a general asset pricing model, then across models and finally across country borders. The guiding principle in that pursuit was to seek innovative solutions by combining ideas from different fields in economics and broad scientific research. For example, in the first part of this thesis we sought a fruitful application of strong existence results in utility theory to topics in asset pricing. In the second part we implement an idea from the field of fuzzy set theory to the optimal portfolio selection problem, while the third part of this thesis is to the best of our knowledge, the first empirical application of some general results in asset pricing in incomplete markets to the important topic of measurement of financial integration. While the first two parts of this thesis effectively combine well-known ways to quantify the risk-reward trade-offs the third one can be viewed as an empirical verification of the usefulness of the so-called "good deal bounds" theory in designing risk-sensitive pricing bounds. Chapter 1 develops a discrete-time asset pricing model, based on a novel ordinally equivalent representation of recursive utility. To the best of our knowledge, we are the first to use a member of a novel class of recursive utility generators to construct a representative agent model to address some long-lasting issues in asset pricing. Applying strong representation results allows us to show that the model features countercyclical risk premia, for both consumption and financial risk, together with low and procyclical risk free rate. As the recursive utility used nests as a special case the well-known time-state separable utility, all results nest the corresponding ones from the standard model and thus shed light on its well-known shortcomings. The empirical investigation to support these theoretical results, however, showed that as long as one resorts to econometric methods based on approximating conditional moments with unconditional ones, it is not possible to distinguish the model we propose from the standard one. Chapter 2 is a join work with Sergei Sontchik. There we provide theoretical and empirical motivation for aggregation of performance measures. The main idea is that as it makes sense to apply several performance measures ex-post, it also makes sense to base optimal portfolio selection on ex-ante maximization of as many possible performance measures as desired. We thus offer a concrete algorithm for optimal portfolio selection via ex-ante optimization over different horizons of several risk-return trade-offs simultaneously. An empirical application of that algorithm, using seven popular performance measures, suggests that realized returns feature better distributional characteristics relative to those of realized returns from portfolio strategies optimal with respect to single performance measures. When comparing the distributions of realized returns we used two partial risk-reward orderings first and second order stochastic dominance. We first used the Kolmogorov Smirnov test to determine if the two distributions are indeed different, which combined with a visual inspection allowed us to demonstrate that the way we propose to aggregate performance measures leads to portfolio realized returns that first order stochastically dominate the ones that result from optimization only with respect to, for example, Treynor ratio and Jensen's alpha. We checked for second order stochastic dominance via point wise comparison of the so-called absolute Lorenz curve, or the sequence of expected shortfalls for a range of quantiles. As soon as the plot of the absolute Lorenz curve for the aggregated performance measures was above the one corresponding to each individual measure, we were tempted to conclude that the algorithm we propose leads to portfolio returns distribution that second order stochastically dominates virtually all performance measures considered. Chapter 3 proposes a measure of financial integration, based on recent advances in asset pricing in incomplete markets. Given a base market (a set of traded assets) and an index of another market, we propose to measure financial integration through time by the size of the spread between the pricing bounds of the market index, relative to the base market. The bigger the spread around country index A, viewed from market B, the less integrated markets A and B are. We investigate the presence of structural breaks in the size of the spread for EMU member country indices before and after the introduction of the Euro. We find evidence that both the level and the volatility of our financial integration measure increased after the introduction of the Euro. That counterintuitive result suggests the presence of an inherent weakness in the attempt to measure financial integration independently of economic fundamentals. Nevertheless, the results about the bounds on the risk free rate appear plausible from the view point of existing economic theory about the impact of integration on interest rates.

Access by Capacity and Peak-Load Pricing

Several European telecommunications regulatory agencies have recently introduced a fixed capacity charge (flat rate) to regulate access to the incumbent's network. The purpose of this paper is to show that the optimal capacity charge and the optimal access-minute charge analysed by Armstrong, Doyle, and Vickers (1996) have a similar structure and imply the same payment for the entrant. I extend the analysis tothe case where there is a competitor with market power. In this case, the optimalcapacity charge should be modified to avoid that the entrant cream-skims the market,fixing a longer or a shorter peak period than the optimal. Finally, I consider a multiproduct setting, where the effect of the product differentiation is exacerbated.

Signal peptide and helical bundle domains of virulent canine distemper virus fusion protein restrict fusogenicity.

Persistence in canine distemper virus (CDV) infection is correlated with very limited cell-cell fusion and lack of cytolysis induced by the neurovirulent A75/17-CDV compared to that of the cytolytic Onderstepoort vaccine strain. We have previously shown that this difference was at least in part due to the amino acid sequence of the fusion (F) protein (P. Plattet, J. P. Rivals, B. Zuber, J. M. Brunner, A. Zurbriggen, and R. Wittek, Virology 337:312-326, 2005). Here, we investigated the molecular mechanisms of the neurovirulent CDV F protein underlying limited membrane fusion activity. By exchanging the signal peptide between both F CDV strains or replacing it with an exogenous signal peptide, we demonstrated that this domain controlled intracellular and consequently cell surface protein expression, thus indirectly modulating fusogenicity. In addition, by serially passaging a poorly fusogenic virus and selecting a syncytium-forming variant, we identified the mutation L372W as being responsible for this change of phenotype. Intriguingly, residue L372 potentially is located in the helical bundle domain of the F(1) subunit. We showed that this mutation drastically increased fusion activity of F proteins of both CDV strains in a signal peptide-independent manner. Due to its unique structure even among morbilliviruses, our findings with respect to the signal peptide are likely to be specifically relevant to CDV, whereas the results related to the helical bundle add new insights to our growing understanding of this class of F proteins. We conclude that different mechanisms involving multiple domains of the neurovirulent A75/17-CDV F protein act in concert to limit fusion activity, preventing lysis of infected cells, which ultimately may favor viral persistence.

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.