Jump and variance risk premia in the S&P 500

We analyze the risk premia embedded in the S&P 500 spot index and option markets. We use a long time-series of spot prices and a large panel of option prices to jointly estimate the diffusive stock risk premium, the price jump risk premium, the diffusive variance risk premium and the variance jump risk premium. The risk premia are statistically and economically significant and move over time. Investigating the economic drivers of the risk premia, we are able to explain up to 63 % of these variations

The Term Structure of Systematic and Idiosyncratic Risk

We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the expectations hypothesis, we find that, for the entire market, the slope of the term structure of variance is mainly informative about the path of future variance. Thus, there is little indication of a time-varying term premium. Turning the focus to individual stocks, we cannot reject the expectations hypothesis for the systematic variance, but we strongly reject it for idiosyncratic variance. Our results are robust to jumps and potential statistical biases

Booms and busts in commodity markets: bubbles or fundamentals?

This paper considers whether there were periodically collapsing rational speculative bubbles in commodity prices over a 40-year period from the late 1960s. We apply a switching regression approach to a broad range of commodities using two different measures of fundamental values—estimated from convenience yields and from a set of macroeconomic factors believed to affect commodity demand. We find reliable evidence for bubbles only among crude oil and feeder cattle, showing the popular belief that the extreme price movements observed in commodity markets were caused by pure speculation to be unsustainabl

The Long Memory of Equity Volatility: International Evidence

This paper examines long memory volatility in international stock markets. We show that long memory volatility is widespread in eighty-two countries and that the degree of memory can be related to macroeconomic variables such as inflation, unemployment rates, interest rates or stability of a country measured by jumps. The relationships hold both in the time-series and the cross-sectional dimension. We also find that developed countries possess longer memory in volatility than emerging and frontier countries

A Rab5 endosomal pathway mediates Parkin-dependent mitochondrial clearance

Damaged mitochondria pose a lethal threat to cells that necessitates their prompt removal. The currently recognized mechanism for disposal of mitochondria is autophagy, where damaged organelles are marked for disposal via ubiquitylation by Parkin. Here we report a novel pathway for mitochondrial elimination, in which these organelles undergo Parkin-dependent sequestration into Rab5-positive early endosomes via the ESCRT machinery. Following maturation, these endosomes deliver mitochondria to lysosomes for degradation. Although this endosomal pathway is activated by stressors that also activate mitochondrial autophagy, endosomal-mediated mitochondrial clearance is initiated before autophagy. The autophagy protein Beclin1 regulates activation of Rab5 and endosomal-mediated degradation of mitochondria, suggesting cross-talk between these two pathways. Abrogation of Rab5 function and the endosomal pathway results in the accumulation of stressed mitochondria and increases susceptibility to cell death in embryonic fibroblasts and cardiac myocytes. These data reveal a new mechanism for mitochondrial quality control mediated by Rab5 and early endosomes

The Na+/H+ Exchanger Controls Deoxycholic Acid-Induced Apoptosis by a H+-Activated, Na+-Dependent Ionic Shift in Esophageal Cells

Apoptosis resistance is a hallmark of cancer cells. Typically, bile acids induce apoptosis. However during gastrointestinal (GI) tumorigenesis the cancer cells develop resistance to bile acid-induced cell death. To understand how bile acids induce apoptosis resistance we first need to identify the molecular pathways that initiate apoptosis in response to bile acid exposure. In this study we examined the mechanism of deoxycholic acid (DCA)-induced apoptosis, specifically the role of Na+/H+ exchanger (NHE) and Na+ influx in esophageal cells. In vitro studies revealed that the exposure of esophageal cells (JH-EsoAd1, CP-A) to DCA (0.2 mM -0.5 mM) caused lysosomal membrane perturbation and transient cytoplasmic acidification. Fluorescence microscopy in conjunction with atomic absorption spectrophotometry demonstrated that this effect on lysosomes correlated with influx of Na+, subsequent loss of intracellular K+, an increase of Ca2+ and apoptosis. However, ethylisopropyl-amiloride (EIPA), a selective inhibitor of NHE, prevented Na+, K+ and Ca2+ changes and caspase 3/7 activation induced by DCA. Ouabain and amphotericin B, two drugs that increase intracellular Na+ levels, induced similar changes as DCA (ion imbalance, caspase3/7 activation). On the contrary, DCA-induced cell death was inhibited by medium with low a Na+ concentrations. In the same experiments, we exposed rat ileum ex-vivo to DCA with or without EIPA. Severe tissue damage and caspase-3 activation was observed after DCA treatment, but EIPA almost fully prevented this response. In summary, NHE-mediated Na+ influx is a critical step leading to DCA-induced apoptosis. Cells tolerate acidification but evade DCA-induced apoptosis if NHE is inhibited. Our data suggests that suppression of NHE by endogenous or exogenous inhibitors may lead to apoptosis resistance during GI tumorigenesis

DIGE Proteome Analysis Reveals Suitability of Ischemic Cardiac In Vitro Model for Studying Cellular Response to Acute Ischemia and Regeneration

Proteomic analysis of myocardial tissue from patient population is suited to yield insights into cellular and molecular mechanisms taking place in cardiovascular diseases. However, it has been limited by small sized biopsies and complicated by high variances between patients. Therefore, there is a high demand for suitable model systems with the capability to simulate ischemic and cardiotoxic effects in vitro, under defined conditions. In this context, we established an in vitro ischemia/reperfusion cardiac disease model based on the contractile HL-1 cell line. To identify pathways involved in the cellular alterations induced by ischemia and thereby defining disease-specific biomarkers and potential target structures for new drug candidates we used fluorescence 2D-difference gel electrophoresis. By comparing spot density changes in ischemic and reperfusion samples we detected several protein spots that were differentially abundant. Using MALDI-TOF/TOF-MS and ESI-MS the proteins were identified and subsequently grouped by functionality. Most prominent were changes in apoptosis signalling, cell structure and energy-metabolism. Alterations were confirmed by analysis of human biopsies from patients with ischemic cardiomyopathy

Predicting the Equity Market with Option Implied Variables

We comprehensively analyze the predictive power of several option implied variables for monthly S & P 500 excess returns and realized variance. The correlation risk premium (CRP) emerges as a strong predictor of both excess returns and realized variance. This is true both in- and out-of-sample. A timing strategy based on the CRP leads to utility gains of more than 4.63% per annum. In contrast, the variance risk premium (VRP), which strongly predicts excess returns, does not lead to economic gains