Bond Liquidity Premia

Recent asset pricing models of limits to arbitrage emphasize the role of funding conditions faced by financial intermediaries. In the US, the repo market is the key funding market. Then, the premium of on-the-run U.S. Treasury bonds should share a common component with risk premia in other markets. This observation leads to the following identification strategy. We measure the value of funding liquidity from the cross-section of on-the-run premia by adding a liquidity factor to an arbitrage-free term structure model. As predicted, we find that funding liquidity explains the cross-section of risk premia. An increase in the value of liquidity predicts lower risk premia for on-the-run and off-the-run bonds but higher risk premia on LIBOR loans, swap contracts and corporate bonds. Moreover, the impact is large and pervasive through crisis and normal times. We check the interpretation of the liquidity factor. It varies with transaction costs, S&P500 valuation ratios and aggregate uncertainty. More importantly, the liquidity factor varies with narrow measures of monetary aggregates and measures of bank reserves. Overall, the results suggest that different securities serve, in part, and to varying degrees, to fulfill investors' uncertain future needs for cash depending on the ability of intermediaries to provide immediacy.Financial markets; Financial stability

Structural The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness

We introduce the Homoscedastic Gamma [HG] model where the distribution of returns is characterized by its mean, variance and an independent skewness parameter under both measures. The model predicts that the spread between historical and risk-neutral volatilities is a function of the risk premium and of skewness. In fact, the equity premium is twice the ratio of the volatility spread to skewness. We measure skewness from option prices and test these predictions. We find that conditioning on skewness increases the predictive power of the volatility spread and that coefficient estimates accord with theory. In short, the data do not reject the model's implications for the equity premium. We also check the model's implications for option pricing and show that the information content of skewness leads to improved in-sample and out-of-sample pricing performances as well as improved hedging performances. Our results imply that expanding around the Gaussian density is restrictive and does not offer sufficient flexibility to match the skewness and kurtosis implicit in option data. Finally, we document the term structure of option-implied volatility, skewness and kurtosis and find that time-dependence in returns has a greater impact on skewness.Financial markets

Diagnosis and management of a full thickness macular hole

Background: First stage macular holes are not always easily identified without the use of medical imagery. Differential diagnosis from other macular conditions is possible with a keen eye and the use of a binocular fundus lens. However, the advent of optical coherence tomography facilitates accurate diagnosis. Case Report: This report demonstrates a classical case of a full thickness macular hole. The clinical signs are not pathognomonic at first, but typical signs develop in the following weeks. The different stages of the disease are described, as well as current state of surgical treatment and possible outcomes. Conclusions: Early diagnosis allows quick visual recovery. Nevertheless, this condition can be treated up to one year after occurrence with significant improvement of visual function

Enquêter auprès des sourds. Implications éthiques, méthodologiques et statistiques de l’adaptation d’enquêtes d’opinion au public sourd.

Pour des raisons principalement techniques et logistiques, les personnes handicapées (et les personnes sourdes plus particulièrement) sont généralement exclues des enquêtes d’opinion. Ceci a pour conséquence directe que les personnes sourdes ne sont jamais représentées dans les statistiques d’opinion issues de telles enquêtes quantitatives. Ce constat est au cœur des recherches menées dans le cadre de cette thèse. Celle-ci s’articule autour de quatre chapitres. Le premier chapitre dresse un état des lieux des réalités sociologiques des situations vécues par les personnes sourdes. Le deuxième chapitre, d’un point de vue plus philosophique, adresse directement les implications morales et éthiques soulevées par la non-représentation des personnes sourdes dans les enquêtes d’opinion. Dans le troisième chapitre, nous présentons de nouvelles techniques adaptées rendant possibles les enquêtes d'opinion auprès des personnes sourdes. Grâce à un nouveau type de questionnaire électronique intégrant la langue des signes dans des capsules vidéo, nous expliquons notamment comment nous avons pu sonder les personnes sourdes dans différents contextes. Enfin, dans le chapitre final, nous proposons une analyse statistique commentée de la situation des sourds en Belgique francophone.For technical and logistical reasons, disabled people (and especially deaf people) are excluded from opinion surveys. This leads to the situation that deaf people remain unrepresented in the statistical tendencies emerging from such quantitative opinion surveys. This observation is at the heart of the research presented in this work. This thesis consists of four chapters, each one tackling specific aspects of the implications of this lack of representation of deaf people in opinion surveys. The first chapter gives a short description of the situation of deaf people, from a sociological point of view. The second chapter discusses the moral and ethical issues raised by the lack of representation of deaf people in opinion surveys, in a more philosophical perspective. In the third chapter, we present new adapted methods making it possible to conduct opinion surveys among deaf people. Thanks to a new type of electronic questionnaire including sign language videos, we more specifically show how deaf people can be surveyed for different purposes. On the basis of these new techniques, the final chapter offers a commented statistical analysis of the deaf people situation in French-speaking Belgium

Conception et réalisation d'un outil d'exploration architecturale de la hiérarchie de mémoire d'un système sur puce afin d'optimiser la performance de la plateforme logicielle

Les systèmes embarqués d'aujourd'hui -- Systèmes sur puce : hiérarchie mémoire, logiciel et optimisation -- Hiérarchie mémoire -- Structure d'un logiciel compilé -- Optimisation de la hiérarchie -- Environnement de simulation space -- Mise à jour de la plateforme de simulation space -- Plateforme microblaze -- Environnement de simulation space -- Mise à jour des composantes -- Outil de traçage d'exécution -- Memoryoptimizer : optimisation de la hiérarchie mémoire -- Flot d'exécution -- Partitionnement de mémoire -- Optimisation de la mémoire cache -- Analyse, performances et discussion -- Méthodologie d'analyse des performances -- Résultats de l'exploration architecturale -- Efficacité des algorithmes de compression de traces -- Extensibilité à d'autres processeurs/plateformes de simulation -- Comparaison avec d'autres travaux -- Rencontre des requis

A typology of goat farming in Reunion Island prior to the implementation of a breeding scheme adapted to the French overseas departments

In September 2008, The "Office de développement de l’économie agricole d’outre-mer" carried out an assignment in the five French overseas departments and territories to evaluate the demand for genetic improvement of breeding goats (Boué et al., 2008). This expertise concluded with an original proposal: testing the implementation of a common breeding scheme adapted to the 5 territories. As Reunion Island offers a favourable context for such a project, it was proposed to locate the selection nucleus there. For this purpose, a first assessment of the diversity of livestock systems was undertaken to understand farmer practices and breeding management orientations. We present here A typology of goats’ livestock systems stemming from a study realized in 2009 (Bouyssière, 2009) is thus presented in this paper

Trophic ecology of three sympatric batoid species (Dasyatis pastinaca, Raja clavata, and Raja maderensis) from the Azores, NE Atlantic

ABSTRACT: Describing the trophic structure and interactions of demersal elasmobranch assemblages is fundamental to understanding food web dynamics and developing ecosystem-based management approaches. Stomach content analysis (SCA) and stable isotope ratios (SIA) of carbon (δ13C) and nitrogen (δ15N) from muscle were used to examine the dietary habits and intra- and interspecific trophic ecology of three sympatric batoid species (Dasyatis pastinaca, Raja clavata, and Raja maderensis) from the Azores, Northeast Atlantic. Data were nalyzed with respect to sex and maturity stages. SCA showed that D.pastinaca feeds mostly on crustaceans, whereas R. clavata and R. maderensis prey almost exclusively on teleosts, but not on the same species. Dasyatis pastinaca displayed higher δ13C and lower δ15N values compared to R. clavata and R. maderensis. Trophic niche breadth was variable, D. pastinaca and R. clavata had the broadest and the narrowest trophic breadth, respectively. Relative trophic position categorized D. pastinaca as a mesopredator, while R. clavata and R. maderensis occupied higher trophic positions. With size, R. clavata and R. maderensis shifted from small prey such as crustaceans to larger prey such as teleosts, and they also exhibited significant increases in δ15N with size. Dietary and isotopic overlap was overall low among species, but it was higher between R. clavata and R. maderensis, suggesting more similarity in diet and habitat use between them than with D. pastinaca. This study depicts trophic interactions and functional roles of three co-existing batoid species in the Azorean food webs. In addition to presenting new information on the trophic ecology of D. pastinaca and R. clavata, the present study provides, to our knowledge, the first description of the diet composition and trophic level of the Macaronesian endemic batoid R. maderensis.info:eu-repo/semantics/publishedVersio

Trois essais sur la liquidité : ses effets sur les primes de risque, les anticipations et l'asymétrie des risques financiers

Thèse numérisée par la Division de la gestion de documents et des archives de l'Université de Montréal

В портфеле редакции

WOS:000346545800018International audienceThe presence of plants induces strong accelerations in soil organic matter (SOM) mineralization by stimulating soil microbial activity a phenomenon known as the rhizosphere priming effect (RPE). The RPE could be induced by several mechanisms including root exudates, arbuscular mycorrhizal fungi (AMF) and root litter. However the contribution of each of these to rhizosphere priming is unknown due to the complexity involved in studying rhizospheric processes. In order to determine the role of each of these mechanisms, we incubated soils enclosed in nylon meshes that were permeable to exudates, or exudates & AMF or exudates, AMP and roots under three grassland plant species grown on sand. Plants were continuously labeled with C-13 depleted CO2 that allowed distinguishing plant-derived CO2 from soil-derived CO2. We show that root exudation was the main way by which plants induced RPE (58-96% of total RPE) followed by root litter. AMP did not contribute to rhizosphere priming under the two species that were significantly colonized by them i.e. Poa trivialis and Trifolium repens. Root exudates and root litter differed with respect to their mechanism of inducing RPE. Exudates induced RPE without increasing microbial biomass whereas root litter increased microbial biomass and raised the RPE mediating saprophytic fungi. The RPE efficiency (RPE/unit plant-C assimilated into microbes) was 3-7 times higher for exudates than for root litter. This efficiency of exudates is explained by a microbial allocation of fresh carbon to mineralization activity rather than to growth. These results suggest that root exudation is the main way by which plants stimulated mineralization of soil organic matter. Moreover, the plants through their exudates not only provide energy to soil microorganisms but also seem to control the way the energy is used in order to maximize soil organic matter mineralization and drive their own nutrient supply. (C) 2014 Elsevier Ltd. All rights reserved

Risk premium, variance premium and the maturity structure of uncertainty

Theoretical risk factors underlying time-variations of risk premium across asset classes are typically unobservable or hard to measure by construction. Important examples include risk factors in Long Run Risk [LRR] structural models (Bansal and Yaron 2004) as well as stochastic volatility or jump intensities in reduced-form affine representations of stock returns (Duffie, Pan, and Singleton 2000). Still, we show that both classes of models predict that the term structure of risk-neutral variance should reveal these risk factors. Empirically, we use model-free measures and construct the ex-ante variance term structure from option prices. This reveals (spans) two risk factors that predict the bond premium and the equity premium, jointly. Moreover, we find that the same risk factors also predict the variance premium. This important contribution is consistent with theory and confirms that a small number of factors underlies common time-variations in the bond premium, the equity premium and the variance premium. Theory predicts that the term structure of higher-order risks can reveal the same factors. This is confirmed in the data. Strikingly, combining the information from the variance, skewness and kurtosis term structure can be summarized by two risk factors and yields similar level of predictability (i.e., R2s). This bodes well for our ability to bridge the gap between the macro-finance literature, which uses very few state variables, and valuations in option markets