Essays in Empirical Asset Pricing

Thesis advisor: Pierluigi BalduzziThis dissertation consists of two essays in empirical asset pricing. Chapter I, "Skewness and Co-skewness in Bond Returns," explores skewness and co-skewness in discrete-horizon bond returns. Using data for 1976-2005, we find bond skewness is comparable to that in equities, varies with the holding period and varies over time. Speculative-grade bonds and collateralized securities have substantial negative skewness. The sign of the price of co-skewness risk in fixed income market is in general consistent with the theoretical prediction of the three-moment CAPM. Co-skewness against the market portfolio is priced differently in various bond sectors: taking a unit of co-skewness risk is rewarded with 0.43% and 2.47% per month for corporate bonds and collateralized securities, respectively. Co-skewness risk helps explain the cross section of expected bond returns when state variables such as inflation, real activity, or short term interest rates are included, or when conditioning information is exploited. Chapter II, "Modern Portfolio Management with Conditioning Information," studies models in which active portfolio managers optimize performance relative to a benchmark and utilize conditioning information unavailable to their clients. We provide explicit solutions for the optimal strategies with multiple risky assets, with or without a risk free asset, and also consider various constraints on portfolio risk or on portfolio weights. The equilibrium implications of the models are discussed. A currency portfolio example shows that the optimal solutions improve the measured performance by 53% out of sample, compared with portfolios ignoring conditioning information.Thesis (PhD) — Boston College, 2009.Submitted to: Boston College. Carroll School of Management.Discipline: Finance

Hungry bone syndrome in peritoneal dialysis patients after parathyroid surgery

Secondary hyperparathyroidism (SHPT) is a common complication of end-stage kidney disease (ESKD). Hungry bone syndrome (HBS) occurs frequently in patients on maintenance dialysis receiving parathyroidectomy for refractory SHPT. However, there is scanty study investigating the clinical risk factors that predict postoperative HBS, and its outcome in peritoneal dialysis (PD) patients. We conducted a single-center retrospective study to analyze 66 PD patients who had undergone parathyroidectomy for secondary hyperparathyroidism at Chang Gung Memorial Hospital between 2009 and 2019. The patients were stratified into two groups based on the presence ( n=47) or absence (n=19) of HBS after parathyroidectomy. Subtotal parathyroidectomy was the most common surgery performed (74.2%), followed by total parathyroidectomy with autoimplantation (25.8%). Pathological examination of all surgical specimens revealed parathyroid hyperplasia (100%). Patients with HBS had lower levels of postoperative nadir corrected calcium, higher alkaline phosphate (ALP), and higher potassium levels compared with patients without HBS (all P<0.05). A multivariate logistic regression model confirmed that lower preoperative serum calcium level (OR 0.354, 95% CI 0.133–0.940, P=0.037), higher ALP (OR 1.026, 95% CI 1.008–1.044, P=0.004), and higher potassium level (OR 6.894, 95% CI 1.806–26.317, P=0.005) were associated with HBS after parathyroidectomy. Patients were followed for 58.2±30.8 months after the surgery. There was no significant difference between HBS and non-HBS groups in persistence (P=0.496) or recurrence (P=1.000) of hyperparathyroidism. The overall mortality rate was 10.6% with no significant difference found between both groups (P=0.099). We concluded that HBS is a common complication (71.2%) of parathyroidectomy for SHPT and should be managed appropriately

Wide-field CO isotopologue emission and the CO-to-H2_2 factor across the nearby spiral galaxy M101

Carbon monoxide (CO) emission is the most widely used tracer of the bulk molecular gas in the interstellar medium (ISM) in extragalactic studies. The CO-to-H$_2$ conversion factor, $\alpha_{\rm CO}$, links the observed CO emission to the total molecular gas mass. However, no single prescription perfectly describes the variation of $\alpha_{\rm CO}$ across all environments across galaxies as a function of metallicity, molecular gas opacity, line excitation, and other factors. Using resolved spectral line observations of CO and its isotopologues, we can constrain the molecular gas conditions and link them to a variation in the conversion factor. We present new IRAM 30-m 1mm and 3mm line observations of $^{12}$CO, $^{13}$CO, and C$^{18}$O} across the nearby galaxy M101. Based on the CO isotopologue line ratios, we find that selective nucleosynthesis and opacity changes are the main drivers of the variation in the line emission across the galaxy. Furthermore, we estimated $\alpha_{\rm CO(1-0)}$ using different approaches, including (i) the dust mass surface density derived from far-IR emission as an independent tracer of the total gas surface density and (ii) LTE-based measurements using the optically thin $^{13}$CO(1-0) intensity. We find an average value of $\alpha_{\rm CO}=4.4{\pm}0.9\rm\,M_\odot\,pc^{-2}(K\,km\,s^{-1})^{-1}$ across the galaxy, with a decrease by a factor of 10 toward the 2 kpc central region. In contrast, we find LTE-based values are lower by a factor of 2-3 across the disk relative to the dust-based result. Accounting for $\alpha_{\rm CO}$ variations, we found significantly reduced molecular gas depletion time by a factor 10 in the galaxy's center. In conclusion, our result suggests implications for commonly derived scaling relations, such as an underestimation of the slope of the Kennicutt Schmidt law, if $\alpha_{\rm CO}$ variations are not accounted for.Comment: Accepted for publication in A&A, 25 pages, 15 figure

The Physical Drivers and Observational Tracers of CO-to-H2 Conversion Factor Variations in Nearby Barred Galaxy Centers

The CO-to-H$_2$ conversion factor (\alpha_\rm{CO}) is central to measuring the amount and properties of molecular gas. It is known to vary with environmental conditions, and previous studies have revealed lower \alpha_\rm{CO} in the centers of some barred galaxies on kpc scales. To unveil the physical drivers of such variations, we obtained ALMA Band 3, 6, and 7 observations toward the inner 2 kpc of NGC 3627 and NGC 4321 tracing $^{12}$CO, $^{13}$CO, and C$^{18}$O lines on 100 pc scales. Our multi-line modeling and Bayesian likelihood analysis of these datasets reveal variations of molecular gas density, temperature, optical depth, and velocity dispersion, which are among the key drivers of \alpha_\rm{CO}. The central 300 pc nuclei in both galaxies show strong enhancement of temperature T_\rm{k}>100 K and density n_\rm{H_2}>10^3 cm$^{-3}$. Assuming a CO-to-H$_2$ abundance of $3\times10^{-4}$, we derive 4-15 times lower \alpha_\rm{CO} than the Galactic value across our maps, which agrees well with previous kpc-scale measurements. Combining the results with our previous work on NGC 3351, we find a strong correlation of \alpha_\rm{CO} with low-J $^{12}$CO optical depths (\tau_\rm{CO}), as well as an anti-correlation with T_\rm{k}. The \tau_\rm{CO} correlation explains most of the \alpha_\rm{CO} variation in the three galaxy centers, whereas changes in T_\rm{k} influence \alpha_\rm{CO} to second order. Overall, the observed line width and $^{12}$CO/$^{13}$CO 2-1 line ratio correlate with \tau_\rm{CO} variation in these centers, and thus they are useful observational indicators for \alpha_\rm{CO} variation. We also test current simulation-based \alpha_\rm{CO} prescriptions and find a systematic overprediction, which likely originates from the mismatch of gas conditions between our data and the simulations.Comment: Accepted for publication in ApJ; 30 pages of main text + 3 appendice

Transcriptional activation of the Axl and PDGFR-α by c-Met through a ras- and Src-independent mechanism in human bladder cancer

<p>Abstract</p> <p>Background</p> <p>A cross-talk between different receptor tyrosine kinases (RTKs) plays an important role in the pathogenesis of human cancers.</p> <p>Methods</p> <p>Both NIH-Met5 and T24-Met3 cell lines harboring an inducible human c-Met gene were established. C-Met-related RTKs were screened by RTK microarray analysis. The cross-talk of RTKs was demonstrated by Western blotting and confirmed by small interfering RNA (siRNA) silencing, followed by elucidation of the underlying mechanism. The impact of this cross-talk on biological function was demonstrated by Trans-well migration assay. Finally, the potential clinical importance was examined in a cohort of 65 cases of locally advanced and metastatic bladder cancer patients.</p> <p>Results</p> <p>A positive association of Axl or platelet-derived growth factor receptor-alpha (PDGFR-α) with c-Met expression was demonstrated at translational level, and confirmed by specific siRNA knock-down. The transactivation of c-Met on Axl or PDGFR-α <it>in vitro </it>was through a <it>ras</it>- and Src-independent activation of mitogen-activated protein kinase/extracellular signal-regulated kinase (MEK/ERK) pathway. In human bladder cancer, co-expression of these RTKs was associated with poor patient survival (<it>p </it>< 0.05), and overexpression of c-Met/Axl/PDGFR-α or c-Met alone showed the most significant correlation with poor survival (<it>p </it>< 0.01).</p> <p>Conclusions</p> <p>In addition to c-Met, the cross-talk with Axl and/or PDGFR-α also contributes to the progression of human bladder cancer. Evaluation of Axl and PDGFR-α expression status may identify a subset of c-Met-positive bladder cancer patients who may require co-targeting therapy.</p

4β-Hydroxywithanolide E from Physalis peruviana (golden berry) inhibits growth of human lung cancer cells through DNA damage, apoptosis and G2/M arrest

<p>Abstract</p> <p>Background</p> <p>The crude extract of the fruit bearing plant, <it>Physalis peruviana </it>(golden berry), demonstrated anti-hepatoma and anti-inflammatory activities. However, the cellular mechanism involved in this process is still unknown.</p> <p>Methods</p> <p>Herein, we isolated the main pure compound, 4β-Hydroxywithanolide (4βHWE) derived from golden berries, and investigated its antiproliferative effect on a human lung cancer cell line (H1299) using survival, cell cycle, and apoptosis analyses. An alkaline comet-nuclear extract (NE) assay was used to evaluate the DNA damage due to the drug.</p> <p>Results</p> <p>It was shown that DNA damage was significantly induced by 1, 5, and 10 μg/mL 4βHWE for 2 h in a dose-dependent manner (<it>p </it>< 0.005). A trypan blue exclusion assay showed that the proliferation of cells was inhibited by 4βHWE in both dose- and time-dependent manners (<it>p </it>< 0.05 and 0.001 for 24 and 48 h, respectively). The half maximal inhibitory concentrations (IC₅₀) of 4βHWE in H1299 cells for 24 and 48 h were 0.6 and 0.71 μg/mL, respectively, suggesting it could be a potential therapeutic agent against lung cancer. In a flow cytometric analysis, 4βHWE produced cell cycle perturbation in the form of sub-G₁accumulation and slight arrest at the G₂/M phase with 1 μg/mL for 12 and 24 h, respectively. Using flow cytometric and annexin V/propidium iodide immunofluorescence double-staining techniques, these phenomena were proven to be apoptosis and complete G₂/M arrest for H1299 cells treated with 5 μg/mL for 24 h.</p> <p>Conclusions</p> <p>In this study, we demonstrated that golden berry-derived 4βHWE is a potential DNA-damaging and chemotherapeutic agent against lung cancer.</p