Option Pricing Kernels and the ICAPM

We estimate the parameters of pricing kernels that depend on both aggregate wealth and state variables that describe the investment opportunity set, using FTSE 100 and S&P 500 index option returns as the returns to be priced. The coefficients of the state variables are highly significant and remarkably consistent across specifications of the pricing kernel, and across the two markets. The results provide further evidence that, consistent with Merton's (1973) Intertemporal Capital Asset Pricing Model, state variables in addition to market risk are priced

miR-21 Plays a Dual Role in Tumor Formation and Cytotoxic Response in Breast Tumors

Breast cancer (BrCa) relies on specific microRNAs to drive disease progression. Oncogenic miR-21 is upregulated in many cancers, including BrCa, and is associated with poor survival and treatment resistance. We sought to determine the role of miR-21 in BrCa tumor initiation, progression and treatment response. In a triple-negative BrCa model, radiation exposure increased miR-21 in both primary tumor and metastases. In vitro, miR-21 knockdown decreased survival in all BrCa subtypes in the presence of radiation. The role of miR-21 in BrCa initiation was evaluated by implanting wild-type miR-21 BrCa cells into genetically engineered mouse models where miR-21 was intact, heterozygous or globally ablated. Tumors were unable to grow in the mammary fat pads of miR-21−/− mice, and grew in ~50% of miR-21+/− and 100% in miR-21+/+ mice. The contribution of miR-21 to progression and metastases was tested by crossing miR-21−/− mice with mice that spontaneously develop BrCa. The global ablation of miR-21 significantly decreased the tumorigenesis and metastases of BrCa, while sensitizing tumors to radio-and chemotherapeutic agents via Fas/FasL-dependent apoptosis. Therefore, targeting miR-21 alone or in combination with various radio or cytotoxic therapies may represent novel and efficacious therapeutic modalities for the future treatment of BrCa patients

Explaining co-movements between equity and CDS bid-ask spreads

In this paper I show that the co-movements between bid-ask spreads of equities and credit default swaps vary over time and increase over crisis periods. The co-movements are strongly related to systematic risk factors and to the theoretical debt-to-equity hedge ratio. I document that hedging and asymmetric information, besides higher funding costs and market volatility risk, are driving factors of the commonality and are significantly priced in CDS bid-ask spreads

β-defensin 1 expression in HCV infected liver/liver cancer: an important role in protecting HCV progression and liver cancer development

Abstract β-defensin family plays a role in host defense against viral infection, however its role in HCV infection is still unknown. In this study, we demonstrated that β-defensin 1 was significantly reduced in HCV-infected liver specimens. Treatment with interferon and ribavirin upregulated β-defensin-1, but not other β-defensin tested, with the extent and duration of upregulation associated with treatment response. We investigated β-defensin family expression in liver cancer in publicly available datasets and found that among all the β-defensins tested, only β-defensin 1 was significantly downregulated, suggesting β-defensin 1 plays a crucial role in liver cancer development. Further analysis identified E-cadherin as the top positive correlated gene, while hepatocyte growth factor-regulated tyrosine kinase substrate as the top negative correlated gene. Expression of two proteoglycans were also positively correlated with that of β-defensin 1. We have also identified small molecules as potential therapeutic agents to reverse β-defensin 1-associated gene signature. Furthermore, the downregulation of β-defensin 1 and E-cadherin, and upregulation of hepatocyte growth factor-regulated tyrosine kinase substrate, were further confirmed in liver cancer and adjacent normal tissue collected from in-house Chinese liver cancer patients. Together, our results suggest β-defensin 1 plays an important role in protecting HCV progression and liver cancer development

Increased autophagy in EphrinB2-deficient osteocytes is associated with elevated secondary mineralization and brittle bone

Mineralized bone forms when collagen-containing osteoid accrues mineral crystals. This is initiated rapidly (primary mineralization), and continues slowly (secondary mineralization) until bone is remodeled. The interconnected osteocyte network within the bone matrix differentiates from bone-forming osteoblasts; although osteoblast differentiation requires EphrinB2, osteocytes retain its expression. Here we report brittle bones in mice with osteocyte-targeted EphrinB2 deletion. This is not caused by low bone mass, but by defective bone material. While osteoid mineralization is initiated at normal rate, mineral accrual is accelerated, indicating that EphrinB2 in osteocytes limits mineral accumulation. No known regulators of mineralization are modified in the brittle cortical bone but a cluster of autophagy-associated genes are dysregulated. EphrinB2-deficient osteocytes displayed more autophagosomes in vivo and in vitro, and EphrinB2-Fc treatment suppresses autophagy in a RhoA-ROCK dependent manner. We conclude that secondary mineralization involves EphrinB2-RhoA-limited autophagy in osteocytes, and disruption leads to a bone fragility independent of bone mass