Three essays in asset pricing

This thesis consists of three essays that explore alternative approaches to extracting information from option data, and, along somewhat different lines, examine the channels through which liquidity is priced in equity options.The first essay proposes a novel approach to extracting option-implied equity premia, and empirically examines the information content of these risk premia for forecasting the stock market return. Our approach does not require specifying the functional form of the pricing kernel, and does not impose any restrictions on investors' preferences. We only assume the existence of put and call options which complete the market, and show that the implied equity premium can be inferred from expected excess returns on a portfolio of options. An empirical investigation of S&P 500 index options yields the following conclusions: (i) the implied equity premium predicts stock market returns; (ii) the implied equity premium consistently outperforms variables commonly used in the forecasting literature both in- and out-of-sample; (iii) the implied equity premium is positively related to future returns and negatively related to current returns, as theoretically expected.The second essay studies the effect of illiquidity on equity option returns. Illiquidity is well-known to be a significant determinant of stock and bond returns. We are the first to report on illiquidity premia in equity option markets using a large cross-section of firms. An increase in option illiquidity decreases the current option price and predicts higher expected delta-hedged option returns. This effect is statistically and economically significant, and it is consistent with existing evidence that market makers in the equity options market hold net long positions. The illiquidity premium is robust across puts and calls, across maturities and moneyness, as well as across different empirical approaches. It is also robust when controlling for various firm-specific variables including a standard measure of illiquidity of the underlying stock. For long term options, we find evidence of a liquidity risk factor. In the third essay, we demonstrate that in multifactor asset pricing models, prices of risk for factors that are nonlinear functions of the market return can be readily obtained using data on index returns and index options. We apply this general result to the measurement of the conditional price of coskewness and cokurtosis risk. The price of coskewness risk corresponds to the spread between the physical and the risk-neutral second moments, and the price of cokurtosis risk corresponds to the spread between the physical and the risk-neutral third moments. Estimates of these prices of risk have the expected sign, and they lead to reasonable risk premia. An out-of-sample analysis of factor models with coskewness and cokurtosis risk indicates that the new estimates of the price of risk improve the models. performance. The models also robustly outperform competitors such as the CAPM and the Fama-French model.Cette thèse comporte trois essais qui explorent de nouvelles méthodes pour l'extraction d'informations à partir des données sur les options. Nous examinons aussi les effets de la liquidité dans le marché des options.Dans le premier essai, nous proposons une nouvelle approche pour extraire la prime de risque sur les actions (equity premium) implicite dans les options. Par la suite, nous examinons la capacité de cette prime de risque implicite à prédire les rendements du marché. Notre approche ne nécessite pas la connaissance du facteur d'actualisation stochastique (pricing kernel) et n'impose aucunes restrictions sur les préférences des investisseurs. Nous supposons l'existence d'un continuum d'options call et put et démontrons que la prime de risque implicite peut être déduite à partir des rendements espérés d'un portefeuille d'options. Une étude empirique des options sur l'indice S&P 500 révèle les conclusions suivantes : (i) la prime de risque implicite prédit les rendements du marché ; (ii) la performance de la prime de risque implicite est meilleure que celles des variables communément utilisées dans la littérature ; (iii) la prime de risque implicite est positivement liée aux rendements futures et négativement liée aux rendements actuels, comme la théorie le prédit.Dans le deuxième essai, nous examinons les effets de l'illiquidité sur les rendements des options. Il est bien connu que l'illiquidité est un déterminant important des rendements des actions et des obligations. Nous démontrons l'existence de primes de risque liées à l'illiquidité dans le marché des options sur actions. Une augmentation de l'illiquidité de l'option entraine une diminution du prix actuel de l'option et une augmentation du rendement espéré de la stratégie de couverture delta-neutre (delta-hedged). Ce résultat est statistiquement et économiquement significatif et cohérent avec le fait que les pourvoyeurs de liquidité ont une position nette longue dans le marché des options. Ce résultat est robuste aussi bien pour les options call que les options put, et ceci en utilisant différentes approches empiriques. Il est aussi robuste au contrôle de différentes variables spécifiques aux compagnies, et aussi à l'illiquidité de l'actif sous-jacent. Pour les options à long terme, nous démontrons l'existence d.une prime de risque liée à un facteur de liquidité.Dans le troisième essai, nous démontrons que dans les modèles multifactoriels de tarification des actifs, les prix du risque liés aux facteurs qui sont une fonction non linéaire du rendement du marché peuvent être directement obtenus à partir des options sur indice. L'application de ce résultat général au cas du risque de « co-skewness » montre que le prix de ce risque est égal à la différence entre le deuxième moment sous la mesure physique et le deuxième moment sous la mesure risque-neutre. De la même manière, on démontre que le prix du risque de « co-kurtosis » est égal à la différence entre le troisième moment sous la mesure physique et le troisième moment sous la mesure risque-neutre. Le signe des estimés de ces prix de risque sont cohérents avec la théorie et la valeur des primes de risque obtenues en utilisant ces prix de risque est raisonnable. Mais aussi, en utilisant ces prix de risque, nous améliorons la performance des modèles qui incorporent les risques de « co-skewness » et de « co-kurtosis ». La performance de ces modèles est aussi supérieure à celle du CAPM ou encore celle du modèle de Fama-French

Résultat d'une prise en charge monocentrique et pluridisciplinaire des cancers colorectaux avec métastases hépatiques synchrones non résécables (analyse en intention de traiter)

PARIS7-Xavier Bichat (751182101) / SudocSudocFranceF

L'anastomose iléorectale dans le traitement de la rectocolite ulcéro-hémorragique...40 ans après : faut-il la réhabiliter ou la condamner définitivement ?

LILLE2-BU Santé-Recherche (593502101) / SudocPARIS-BIUM (751062103) / SudocSudocFranceF

Response to Dr. Veld et al. Regarding the Manuscript Titled “What is the Best Option Between Primary Diverting Stoma or Endoscopic Stent as a Bridge to Surgery with a Curative Intent for Obstructed Left Colon Cancer? Results from a Propensity Score Analysis of the French Surgical Association Multicenter Cohort of 518 patients”

International audienc

30-Day Postoperative Morbidity of Emergency Surgery for Obstructive Right- and Left-Sided Colon Cancer in Obese Patients: A Multicenter Cohort Study of the French Surgical Association

International audienceBACKGROUND:Emergency surgery impairs postoperative outcomes in colorectal cancer patients. No study has assessed the relationship between obesity and postoperative results in this setting.OBJECTIVE:To compare the results of emergency surgery for obstructive colon cancer (OCC) in an obese patient population with those in overweight and normal weight patient groups.METHODS:From 2000 to 2015, patients undergoing emergency surgery for OCC in French surgical centers members of the French National Surgical Association were included. Three groups were defined: normal weight (body mass index [BMI] < 25.0 kg/m2), overweight (BMI 25.0-29.9 kg/m2), and obese (BMI ≥30.0 kg/m2).RESULTS:Of 1,241 patients, 329 (26.5%) were overweight and 143 (11.5%) were obese. Obese patients had significantly higher American society of anesthesiologists score, more cardiovascular comorbidity and more hemodynamic instability at presentation. Overall postoperative mortality and morbidity were 8 and 51%, respectively, with no difference between the 3 groups. For obese patients with left-sided OCC, stoma-related complications were significantly increased (8 vs. 5 vs. 15%, p = 0.02).CONCLUSION:Compared with lower BMI patients, obese patients with OCC had a more severe presentation at admission but similar surgical management. Obesity did not increase 30-day postoperative morbidity except stoma-related complications for those with left-sided OCC

Tumor-size responses to first-line is a predictor of overall survival in metastatic colorectal cancer

International audienceOBJECTIVES: Early tumor shrinkage (ETS) has been reported to be associated with survival of metastatic colorectal cancer (mCRC) patients. Our aim was to analyze long-term tumor-size evolution, according to early mCRC best responses during the first-line therapy, to evaluate first best response-survival links.METHODS: Sixty-five patients with unresectable mCRCs, treated between 2010 and 2015, were included retrospectively in this descriptive monocenter study and grouped according to their RECIST 1.1 first-line best responses: progressive disease (PDfl), stable disease with tumor-size evolution between 0 and + 19% (SDfl+) or 0 and - 29% (SDfl-), and partial responders (PRs), who were classed PR with ETS (ETSfl) or without (PRfl). Tumor-size evolution and best tumor responses to each chemotherapy line were analyzed.RESULTS: Tumor loads of ETSfl or PRfl mCRCs tended to remain inferior to their initial values: 60% of patients died with target lesion sums below baseline. For first-line SDfl+ or PDfl mCRCs, rapid tumor load increases continued during successive lines: > 80% died with target lesion sums above baseline. ETSfl mCRCs responded better to subsequent lines (37.5% second-line PR), whereas PDfl mCRCs remained refractory to other therapies (0% second- and third-line PR). Overall survival rates were significantly (p = 0.03) longer for the ETSfl group (29.9 [95% CI: 12.6-47.1] months) and shorter for the PDfl group (17.1 [95% CI: 1.5-37.5] months).CONCLUSION:Tumors responding to first-line chemotherapy also responded better to subsequent lines, whereas PDfl mCRCs remained refractory, which may explain the better survival associated with ETSfl

What is the Best Option Between Primary Diverting Stoma or Endoscopic Stent as a Bridge to Surgery with a Curative Intent for Obstructed Left Colon Cancer? Results from a Propensity Score Analysis of the French Surgical Association Multicenter Cohort of 518 Patients

International audienceBackgroundEndoscopic stent (ES) as a bridge to surgery in obstructed left colon cancer (OLCC) is controversial. Our goal was to compare the operative and oncological results of primary diverting colostomy (PDC) and ES for the curative treatment of OLCC.MethodsBetween 2000 and 2015, patients who underwent PDC or ES in a curative intent for OLCC at member centers of the French Surgical Association were included. Patients with unresectable tumors and/or synchronous metastases were excluded. Comparisons between the two groups were performed after ponderation with propensity score for: demographic and tumor characteristics, operative, and oncological results.ResultsA total of 518 patients were included: PDC (n=327); ES (n=191). The demographic characteristics were similar between the groups. ES failed in 23% of the patients (11% perforation). Cumulative tumor resection rates were 80% and 86% after PDC and ES, respectively (p=0.049). The rates of primary anastomosis were 57% in the PDC group and 40% in the ES group (p<0.0001). The permanent stoma rates were similar between the two groups (29% vs. 28%, p=0.0586). Cumulative overall, surgical, and medical complications were significantly higher in PDC group. The resected tumors were significantly smaller and less frequently perforated and metastatic in the PDC group. The median overall survival was significantly higher after PDC (123.6 vs. 58.5months, p=0.046), whereas the median disease-free survival was similar between the two groups (54.1 vs. 53.6months, p=0.646).ConclusionsAlthough endoscopic stenting is associated with better surgical outcomes than diverting stoma, it may negatively impact histological features and overall survival

Impaired expression of peroxisome proliferator-activated receptor gamma in ulcerative colitis

BACKGROUND & AIMS: The peroxisome proliferator-activated receptor gamma (PPAR gamma) has been proposed as a key inhibitor of colitis through attenuation of nuclear factor kappa B (NF-kappa B) activity. In inflammatory bowel disease, activators of NF-kappa B, including the bacterial receptor toll-like receptor (TLR)4, are elevated. We aimed to determine the role of bacteria and their signaling effects on PPAR gamma regulation during inflammatory bowel disease (IBD). METHODS: TLR4-transfected Caco-2 cells, germ-free mice, and mice devoid of functional TLR4 (Lps(d)/Lps(d) mice) were assessed for their expression of PPAR gamma in colonic tissues in the presence or absence of bacteria. This nuclear receptor expression and the polymorphisms of gene also were assessed in patients with Crohn's disease (CD) and ulcerative colitis (UC), 2 inflammatory bowel diseases resulting from an abnormal immune response to bacterial antigens. RESULTS: TLR4-transfected Caco-2 cells showed that the TLR4 signaling pathway elevated PPAR gamma expression and a PPAR gamma-dependent reporter in an I kappa kappa beta dependent fashion. Murine and human intestinal flora induced PPAR gamma expression in colonic epithelial cells of control mice. PPAR gamma expression was significantly higher in the colon of control compared with Lps(d)/Lps(d) mice. Although PPAR gamma levels appeared normal in patients with CD and controls, UC patients displayed a reduced expression of PPAR gamma confined to colonic epithelial cells, without any mutation in the PPAR gamma gene. CONCLUSIONS: These data showed that the commensal intestinal flora affects the expression of PPAR gamma and that PPAR gamma expression is considerably impaired in patients with UC