Estimating the stochastic discount factor without a utility function

Using the Pricing Equation in a panel-data framework, we construct a novel consistent estimator of the stochastic discount factor (SDF) which relies on the fact that its logarithm is the serial-correlation ìcommon featureîin every asset return of the economy. Our estimator is a simple function of asset returns, does not depend on any parametric function representing preferences, is suitable for testing di§erent preference speciÖcations or investigating intertemporal substitution puzzles, and can be a basis to construct an estimator of the risk-free rate. For post-war data, our estimator is close to unity most of the time, yielding an average annual real discount rate of 2.46%. In formal testing, we cannot reject standard preference speciÖcations used in the literature and estimates of the relative risk-aversion coe¢ cient are between 1 and 2, and statistically equal to unity. Using our SDF estimator, we found little signs of the equity-premium puzzle for the U.S.

Simulation -based smoothing and filtering in factor stochastic volatility models : two econometric applications (July-2001)

The past decade has wítenessed a series of (well accepted and defined) financial crises periods in the world economy. Most of these events aI,"e country specific and eventually spreaded out across neighbor countries, with the concept of vicinity extrapolating the geographic maps and entering the contagion maps. Unfortunately, what contagion represents and how to measure it are still unanswered questions. In this article we measure the transmission of shocks by cross-market correlation\ coefficients following Forbes and Rigobon's (2000) notion of shift-contagion,. Our main contribution relies upon the use of traditional factor model techniques combined with stochastic volatility mo deIs to study the dependence among Latin American stock price indexes and the North American indexo More specifically, we concentrate on situations where the factor variances are modeled by a multivariate stochastic volatility structure. From a theoretical perspective, we improve currently available methodology by allowing the factor loadings, in the factor model structure, to have a time-varying structure and to capture changes in the series' weights over time. By doing this, we believe that changes and interventions experienced by those five countries are well accommodated by our models which learns and adapts reasonably fast to those economic and idiosyncratic shocks. We empirically show that the time varying covariance structure can be modeled by one or two common factors and that some sort of contagion is present in most of the series' covariances during periods of economical instability, or crisis. Open issues on real time implementation and natural model comparisons are thoroughly discussed.

Association of an insulin-like growth factor 1 gene microsatellite with phenotypic variation and estimated breeding values of growth traits in Canchim cattle

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Short communication: Principal components and factor analytic models for test-day milk yield in Brazilian Holstein cattle

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Correlation between the fighting rates of REM sleep-deprived rats and susceptibility to the 'wild running' of audiogenic seizures

Sleep-deprived rats exhibit defensive fighting as well as explosive flights very similar to the wild-running of audiogenic seizures. In order to determine why sleep deprivation is a common factor that facilitates both panic and convulsive manifestations, the present study was undertaken to investigate whether rats that display sleep deprivation-induced fighting (SDIF) are the same as those that are susceptible to audiogenic wild-running (WR). Twenty-eight male adult Wistar rats were divided into two groups assigned to two e-sleep deprivation for 5 days and had their SDIF evaluated in social experimental schemes. In the first, 18 subjects were submitted to REM grouping. After 1 week for recovery, their susceptibility to WR was tested in an acoustic stimulation trial ( 104 dB, 200 Hz, 60 S). Rats that did not present WR received a lactate infusion and were tested again by acoustic stimulation 40 min later. In the second experimental scheme, 10 subjects were initially evaluated for WR susceptibility and the number of SDIF was recorded in social grouping after I week. Three categories of WR-susceptibility were determined: WR-sensitive rats, intermediate WR-sensitive rats and WR-insensitive rats. T'he number of SDIF in each category was significantly different and there was a high positive correlation (r=0.89; Spearman test) between the number of SDIF and the level of WR-susceptibility. We conclude that the reasons why sleep deprivation exerts facilitatory effects on both panic and convulsive manifestations are due to overlappings of neural pathways responsible for both behavioral patterns and for the property of sleep deprivation to increase neuronal excitability. (C) 2002 Elsevier B.V. B.V. All rights reserved.

Correlação entre torque, equlíbrio e função do joelho após reconstrução do LCA

Background: Several studies emphasize the importance of assessing the knee function after anterior cruciate ligament (ACL) reconstruction. The influence of several variables on the function of these patients has been analyzed, but there is no consensus in the science literature. Purpose: To evaluate the correlation between the torque and balance on the knee function after ACL reconstruction. Methods: 23 males patients with ACL reconstruction were tested. The procedures of the study included analysis of concentric peak torque at 60o/s and 180o/s of quadriceps femoris and hamstring muscle with a isokinetic dynamometer. The balance in single-limb stance was measured with stabilometry. The functional performance were performed by two hop tests. To estimate the subjective function of the patients was applied Lysholm Knee Scoring Scale and a Global Rating scale. Results: The analysis of data showed a moderate positive correlation between knee extensor torque and functional performance tests (r= 0,48; p=0,02). A moderate negative correlation was found between the two variables of the stabilometry center of pressure and average speed of centre of pressure and the Global Rating scale (r = -0.4, p = 0,04 and r = -0,49, p = 0 ,02, respectively). No correlation was found between peak torque and balance in single-limb stance. Conclusion: The results of the present study suggest that knee extensor strength and postural balance have some influence on knee function in patients after ACL reconstruction

Protocatechuic Acid Alkyl Esters: Hydrophobicity As a Determinant Factor for Inhibition of NADPH Oxidase

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Role of Peritubular Capillaries and Vascular Endothelial Growth Factor in Chronic Allograft Nephropathy

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Effect of Vertical Misfit on Screw Joint Stability of Implant-Supported Crowns

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Antigenic Activity of Bacterial Endodontic Contents from Primary Root Canal Infection with Periapical Lesions against Macrophage in the Release of Interleukin-1 beta and Tumor Necrosis Factor alpha

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Correlation between Clinical/Radiographic Features and Inflammatory Cytokine Networks Produced by Macrophages Stimulated with Endodontic Content

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

EPIDERMAL GROWTH-FACTOR AND TRANSFORMING GROWTH-FACTOR-ALPHA CHARACTERISTICS OF HUMAN ORAL-CARCINOMA CELL-LINES

This study examined the expression of epidermal growth factor (EGF) cell-surface receptors, the response to exogenous ligand and the autocrine production of transforming growth factor a (TGF-a) in normal and carcinoma-derived human oral keratinocytes. One of eight malignant cell lines overexpressed EGF receptors, while the remainder expressed receptor numbers similar to normal cells. Exogenous EGF stimulated incorporation of tritiated thymidine in a dose-dependent manner. In keratinocytes expressing normal numbers of EGF receptors, the cellular response to exogenous EGF correlated positively with total EGF receptor number. SCC-derived keratinocytes produced more TGF-a than normal cells. There was no statistical correlation between the autocrine production of TGF-a, EGF cell-surface receptor expression and cellular response to exogenous EGF. While the growth-stimulatory effects of exogenous TGF-cl were inhibited by the addition of a neutralising antibody, the presence of this antibody in conditioned medium failed to produce a similar decrease in growth. The results indicate that overexpression of EGF receptors is not an invariable characteristic of human oral squamous carcinoma-derived cell lines. Further, the contribution of TGF-a to the growth of normal and carcinoma-derived human oral keratinocytes in vitro may be less significant than previously documented.

Dissociated time course recovery between rate of force development and peak torque after eccentric exercise

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Rapid hamstrings/quadriceps strength capacity in professional soccer players with different conventional isokinetic muscle strength ratios

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Gastric adenocarcinoma and Helicobacter pylori: Correlation with p53 mutation and p27 immunoexpression

Introduction: Helicobacter pylori infection is an established risk factor for gastric cancer development, but the exact underlying mechanism still remains obscure. The inactivation of tumor suppressor genes such as p53 and p27(KIP1) is a hypothesized mechanism, although there is no consensus regarding the influence of H. pylori cagA(+) in the development of these genetic alterations. Goals: To verify the relationship among H. pylori infection, p53 mutations and p27(Kip1) Protein (p27) expression in gastric adenocarcinomas (GA) seventy-four tissues were assayed by PCR for H. pylori and cagA presence. Mutational analysis of p53 gene was performed by single-strand conformation polymorphism (SSCP). Seventy tissues were analyzed by an immunohistochemical method for p27 expression. Results: From the samples examined, 95% (70/74) were H. pylori positive, 63% cagA(+). Altered p53 electrophoretic mobility was found in 72% of cases and significantly more frequent in the presence of cagA. Considerable reduction in p27 expression (19%) was found with a tendency for association between cagA(+) and p27(-), although the results were not statistically significant. Concomitant alterations of both suppressor genes were detected in 60% of cases. In the cases cagA(+), 66.7% of them had these concomitant alterations. Conclusions: The data suggest that H. pylori cagA(+) contributes to p53 alteration and indicate that concomitant gene inactivation, with reduced p27 expression, may be a mechanism in which H. pylori can promote the development and progression of gastric cancer. (C) 2010 Elsevier Ltd. All rights reserved.