A Test of International CAPM

We propose and implement a Wald test of the international capital asset pricing model. Ex post asset returns are regressed on asset supplies. CAPM requires that the matrix of coefficients from a regression of n rates of return on n asset supply shares be proportional to the covariance matrix of the residuals from those regressions. We test this restriction in the context of a model that aggregates all outside financial assets for each of ten countries. We do not find strong support for the restrictions of CAPM.

Tests of International CAPM with Time-Varying Covariances

We perform maximum likelihood estimation of a model of international asset pricing based on CAPM. We test the restrictions imposed by CAPM against a more general asset pricing model. The "betas" in our CAPM vary over time from two sources -- the supplies of the assets (government obligations of France, Germany, Italy, Japan, the U.K. and the U.S.) change over time, and so do the conditional covariances of returns on these assets. We let the covariances change over time as a function of macroeconomic data. We also estimate the model when the covariances follow a multivariate ARCH process. When the covariance of forecast errors are time-varying, we can identify a modified CAFM model with measurement error -- which we also estimate. We find that the model in which the CAPM restrictions are imposed (which involve cross-equation constraints between coefficients and the variances of the residuals) perform much better when variances are not constant over time. Nonetheless, the CAPM model is rejected in favor of the less restricted model of asset pricing.

Conditional Mean-Variance Efficiency of the U.S. Stock Market

We apply the method of constrained asset share estimation (CASE) to test the mean-variance efficiency (MVE) of the stock market. This method allows conditional expected returns to vary in unrestricted ways, given investor preferences. We also allow conditional variances to follow an ARCH process. The data estimate reasonably the coefficient of relative risk aversion, though are unable to reject investor risk neutrality. We reject the restrictions implied by MVE, although changing conditional variances improve statistically upon measured market efficiency. We find that unrestricted asset-share and ARCH models help forecast excess returns. Once MVE is imposed, however, this forecasting ability disappears.

Government securities investments of commercial banks

Government securities holdings at U.S. commercial banks have risen rapidly since 1990. The author contrasts the recent rise with increases observed during and after earlier recessions and evaluates possible explanations for the buildup. In addition, he presents a rough estimate of the interest exposure created solely by the securities acquisitions and compares it with estimates for earlier periods when commercial banks also added U.S. securities to their portfolios at a fast rate.Bank investments ; Government securities ; Bank loans

Extreme Thermal Sensitivity and Pain-Induced Sensitization in a Fibromyalgia Patient

During the course of a psychophysical study of fibromyalgia syndrome (FMS), one of the subjects with a long history of headache and facial pain displayed an extraordinarily severe thermal allodynia. Her stimulus-response function for ratings of cutaneous heat pain revealed a sensitivity clearly beyond that of normal controls and most FMS subjects. Specially designed psychophysical methods showed that heat sensitivity sometimes increased dramatically within a series of stimuli. Prior exposure to moderate heat pain served as a trigger for allodynic ratings of series of normally neutral thermal stimulation. These observations document a case of breakthrough pain sensitivity with implications for mechanisms of FMS pain

The Constrained Asset Share Estimation (CASE) Method: Testing Mean-Variance Efficiency of the U.S. Stock Market

We apply the method of constrained asset share estimation (CASE) to test the mean-variance efficiency (MVE) of the stock market. This method allows conditional expected returns to vary in relatively unrestricted ways. The data estimate reasonably the price of risk, and, in some cases, the MVE model is valuable in explaining expected equity returns. Unlike with most tests of MVE. we can put an explicit interpretation on the alternative hypothesis -- a general linear Tobin portfolio choice model. We reject the restrictions implied by MVE.

Novel hydroxyamides and amides containing D-glucopyranose or D-fructose units: biological assays in MCF-7 and MDST8 cell lines

A novel library of 15 compounds, hydroxyamides and amides containing a β-d-glucopyranose (d-Gluc) or a β-d-fructose (d-Fruc) units was designed and synthesized for antiproliferative assays in breast (MCF-7) and colon (MDST8) cancer cell lines. Twelve of them were hydroxyamides and were successfully synthesized from β-d-glucuronic acid (d-GluA). Six of these hydroxyamides which were acetylated hydroxy-β-d-glucopyranuronamide 2a–2f (1st Family) and the other six were their respective isomers, that is, hydroxy-β-d-fructuronamide 3a–3f (2nd Family), obtained by acid–base catalyzed isomerization. These compounds have the general structure, d-Glucsingle bondCdouble bond; length as m-dashONHsingle bondCHRsingle bond(CH2)nsingle bondOH and d-Frucsingle bondCdouble bond; length as m-dashONHsingle bondCHRsingle bond(CH2)nsingle bondOH, where R = an aromatic, alkyl or a hydrogen substituent, with n = 0 or 1. Eight of these contained a chiral aminoalcohol group. Three compounds were amides containing a d-glucopyranose unit (3rd Family). SAR studies were conducted with these compounds. Antiproliferative studies showed that compound 4a, the bromo-amide containing the β-d-glucopyranose ring, potently inhibits the proliferation of the MDST8 cells. Five compounds (2e, 2f, 3d, 3e, and 3f) were shown to potently selectively inhibit the proliferation of the MCF-7 cells. Compound 4b was the only one showing inhibition in both cell lines. In general, the more active compounds were the amides and hydroxyamides containing the β-d-fructose moiety, and containing an alkyl group or hydrogen. Half-inhibitory concentrations (IC50) of between 0.01 and 10 μM, were observed

Relationships between Irritable Bowel Syndrome Pain, Skin Temperature Indices of Autonomic Dysregulation, and Sensitivity to Thermal Cutaneous Stimulation

This study evaluated relationships between irritable bowel syndrome (IBS) pain, sympathetic dysregulation, and thermal pain sensitivity. Eight female patients with diarrhea-predominant IBS and ten healthy female controls were tested for sensitivity to thermal stimulation of the left palm. A new method of response-dependent thermal stimulation was used to maintain pain intensity at a predetermined level (35%) by adjusting thermal stimulus intensity as a function of pain ratings. Clinical pain levels were assessed prior to each testing session. Skin temperatures were recorded before and after pain sensitivity testing. The temperature of palmar skin dropped (1.5°C) when the corresponding location on the opposite hand of control subjects was subjected to prolonged thermal stimulation, but this response was absent for IBS pain patients. The patients also required significantly lower stimulus temperatures than controls to maintain a 35% pain rating. Baseline skin temperatures of patients were significantly correlated with thermode temperatures required to maintain 35% pain ratings. IBS pain intensity was not significantly correlated with skin temperature or pain sensitivity. The method of response-dependent stimulation revealed thermal hyperalgesia and increased sympathetic tone for chronic pain patients, relative to controls. Similarly, a significant correlation between resting skin temperatures and thermal pain sensitivity for IBS but not control subjects indicates that tonic sympathetic activation and a thermal hyperalgesia were generated by the chronic presence of visceral pain. However, lack of a significant relationship between sympathetic tone and ratings of IBS pain casts doubt on propositions that the magnitude of IBS pain is determined by psychological stress