On the cross-sectional asymmetric dependence between investment returns

The benefits of diversification decrease substantially during market downturns due to asymmetric dependence between stock and market returns. Not all assets are affected in the same way. This thesis provides a substantial evidence of the cross-sectional variation in asymmetric dependence between equity returns and market returns across the 38 largest financial markets and a variety of asset classes. I document that asymmetric dependence between stock returns and market returns is significantly priced in international equity returns. Of all the commonly considered factors, asymmetric dependence is the only factor that is priced in all 38 markets examined. Internationally, investors require additional compensation to hold assets displaying asymmetric dependence. Notably, the degree of asymmetric dependence increases faster in countries experiencing stronger growth in their financial markets. This thesis supports recognition of asymmetric dependence as a risk factor that has significant implications for, inter alia, asset pricing, cost of capital, and performance evaluation. Moreover, I build a general equilibrium model to identify important drivers of the cross-sectional variation in asymmetric dependence. I show that stocks with a high level of fundamental cash-flow risk exhibit a large amount of time variation in conditional betas and a relatively higher degree of the cross- sectional asymmetric dependence. The asymmetric effects of heterogeneous cash-flow risk on the cross section of return dependence are driven by preference shocks correlated with the business cycle. The model predictions are confirmed by US industry data

Asset-Price Bubbles in the Australian Market

A study of market bubbles is generally considered a test of market eciency (or ineciency) since bubbles are concerned with rising prices that are detached from their fundamental values. Verifying the existence of such an ineciency requires us to be able to appropriately formulate fundamental value, which typically assumes homogeneous and rational investors. Requiring additional attention is the issue of persistence. Cochrane (1991) and Chung and Lee (1998) suggest that deviations, which slowly return to fundamental values, are more indicative of a \u27fad\u27 as opposed to a bubble. As such, an additional dimension in this de nition is associated with the duration of the ineciency

Absence of spermatozoal CD46 protein expression and associated rapid acrosome reaction rate in striped field mice (Apodemus agrarius)

<p>Abstract</p> <p>Background</p> <p>In rodents, the cell surface complement regulatory protein CD46 is expressed solely on the spermatozoal acrosome membrane. Ablation of the CD46 gene is associated with a faster acrosome reaction. Sperm from Apodemus flavicollis (yellow-necked field mice), A. microps (pygmy field mice) and A. sylvaticus (European wood mice) fail to express CD46 protein and exhibit a more rapid acrosome reaction rate than Mus (house mice) or BALB/c mice. A. agrarius (striped field mice) belong to a different Apodemus subgenus and have pronounced promiscuity and large relative testis size. The aim of this study was to determine whether A. agrarius sperm fail to express CD46 protein and, if so, whether A. agrarius have a faster acrosome reaction than Mus.</p> <p>Methods</p> <p>Reverse transcription polymerase chain reaction (RT-PCR) was used to assess whether A. agrarius transcribe testicular CD46 mRNA. RT-PCR was supplemented with 3'- and 5'-rapid amplification of cDNA ends to determine the complete nucleotide sequence of A. agrarius CD46. Fluorescence microscopy was used to assess whether CD46 protein is expressed by A. agrarius sperm. The acrosome status of A. agrarius sperm was calculated over time by immunocytochemistry using peanut agglutinin lectin.</p> <p>Results</p> <p>We demonstrate that A. agrarius mice transcribe two unique alternatively spliced testicular CD46 mRNA transcripts, both lacking exon 7, which differ from those described previously in other Apodemus species. The larger A. agrarius CD46 transcript has an insert between exons 10 and 11 which, if translated, would result in a novel cytoplasmic tail. In addition, A. agrarius CD46 transcripts have an extended AU-rich 3'-untranslated region (UTR) and a truncated 5'-UTR, resulting in failure to express spermatozoal CD46 protein. We show that A. agrarius has a significantly faster spontaneous acrosome reaction rate than A. sylvaticus and Mus.</p> <p>Conclusion</p> <p>Absence of CD46 protein expression is associated with acrosomal instability in rodents. A. agrarius mice express novel CD46 transcripts, resulting in the trade of spermatozoal CD46 protein expression for a rapid acrosome reaction rate, in common with other species of field mice. This provides a strategy to increase competitive sperm advantage for individuals, leading to faster fertilisation in this highly promiscuous genus.</p