Approximate factor structures, macroeconomic and financial factors, unique and stable return generating processes and market anomalies: An empirical investigation of the robustness of the arbitrage pricing theory

This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University.This thesis presents an empirical investigation into the Arbitrage Pricing Theory (APT). At the onset of the thesis it is recognised that tests of the APT are conditional on a number of preconditions and assumptions. The first line of investigation examines the effect of the assumed nature of the form of the return generating process of stocks. It is found that stocks follow an approximate factor structure and tests of the APT are sensitive to the specified form of the return generating process. We provide an efficient estimation methodology for the case when stocks follow an approximate factor structure. The second issue we raise is that of the appropriate factors, the role of the market portfolio and the performance of the APT against the Capital Asset Pricing Model (CAPM). The conclusions that we draw are that the APT is robust to a number of specified alternatives and furthermore, the APT outperforms the CAPM in comparative tests. In addition, within the APT specification there is a role for the market portfolio. Through a comparison of the results in chapters 2 and 3 it is evident that the APT is not robust to the specification of unexpected components. We evaluate the validity of extant techniques in this respect and find that they are unlikely to be representative of agents actual unexpected components. Consequently we put forth an alternative methodology based upon estimating expectations from a learning scheme. This technique is valid in respect to our prior assumptions. Having addressed these preconditions and assumptions that arise in tests of the APT a thorough investigation into the empirical content of the APT is then undertaken. Concentrating on the issues that the return generating process must be unique and that the estimated risk premia should be stable overtime the results indicate that the APT does have empirical content. Finally, armed with the empirically valid APT we proceed to analyse the issue of seasonalities in stock returns. The results confirm previous findings that there are seasonal patterns in the UK stock market, however, unlike previous findings we show that these seasonal patterns are part of the risk return structure and can be explained by the yearly business cycle. Furthermore, the APT retains empirical content when these seasonal patterns are removed from the data. The overall finding of this thesis is that the APT does have empirical content and provides a good description of the return generating process of UK stocks

Real investment and risk dynamics

The spread in average returns between low and high asset growth and investment portfolios is largely accounted for by their spread in systematic risk, as measured by the Chen, Roll and Ross (1986) factors. In addition, systematic risk and volatility fall sharply during large investment periods. Consistent with the predictions of both the q-theory and real options models, the systematic risk spread and fall in risk and volatility are largest for high q rms. Moreover, investment and asset growth factors can predict economic growth. Our evidence implies that much of negative investment (asset growth)-future returns relationship can be explained by rational pricing

A study of functional selectivity at the cannabinoid type 1 receptor

The cannabinoid CB1 receptor is a G protein-coupled receptor (GPCR) which is important in the regulation of neuronal function, predominately via coupling to heterotrimeric Gi/o proteins. The receptor has also been shown to interact with a variety of other intracellular signalling mediators, including other G proteins, several members of the mitogen activated kinase (MAP) superfamily and β-arrestins. The CB1 receptor is recognised by an array of structurally distinct endogenous and exogenous ligands and a growing body of evidence indicates that ligands acting at GPCRs are able to differently activate specific signalling pathways, a phenomenon known as functional selectivity or biased agonism. This is important in future drug development as it may be possible to produce drugs which selectively activate signalling pathways linked to therapeutic benefits, while minimising activation of those associated with unwanted side effects. The main aim of this thesis, therefore, was to investigate ligand-selective functional selectivity at the cannabinoid CB1 receptor both endogenously and exogenously expressed in a variety of cell lines. Chinese hamster ovary (CHO) and human embryonic kidney (HEK 293) cells stably transfected with the human recombinant CB1 receptor and untransfected murine Neuro 2a (N2a) cells, were exposed to a number of cannabinoid receptor agonists, including the endogenous agonist anandamide, the phytocannabinoid Δ9-THC, and several synthetic ligands. Ligand affinity was determined using competition radioligand binding assays. Regulation of several CB1 receptor-coupled intracellular signalling mediators was investigated; G protein activation was measured using the [35S]-GTPγS binding assay; phosphorylation of extracellular signal-regulated kinases (ERK), c-Jun N-terminal kinases (JNK) and p38 MAP kinases was measured using the immunocytochemical In-cell Western technique. Modulation of cAMP accumulation and β-arrestin recruitment were measured using DiscoveRx detection assay kits. Using concentration-response data, agonist bias was analysed using equimolar comparison plots, and by comparison of intrinsic relative activities for all agonists, calculated relative to the high potency cannabinoid receptor agonist HU-210 for the transfected cells or WIN 55,212-2 for the Neuro 2a cells. The PPARα agonist fenofibrate was identified as a previously unrecognized cannabinoid receptor agonist, exhibiting modest selectivity for the CB2 receptor subtype (~25-fold). In addition to its functioning as an orthosteric agonist, fenofibrate, at high concentrations, appeared to act as a negative allosteric modulator at the CB1 receptor expressed in CHO cells, identified by radioligand binding assays, and non-competitive inhibition of the orthosteric agonist CP 55,940 in the [35S]-GTPγS binding assay. All three cell lines showed CB1- and Gi/o protein-dependent activation of ERK and inhibition of forskolin-stimulated cAMP accumulation: however, the magnitude of these responses differed between the three cell lines, with the responses in the Neuro 2a cells being markedly smaller than in the recombinant cell lines. The synthetic agonists WIN 55,212-2 and ACEA both exhibited bias towards ERK activation, in comparison to inhibition of cAMP accumulation, in both the CHO and HEK cell lines. HU-210, Δ9-THC, methanandamide and fenofibrate all exhibited bias towards ERK activation in the Neuro 2a cells, but only the HU-210 bias was quantified, as the other three agonists did not couple to cAMP formation or inhibition in this cell line. In addition, time-course experiments revealed further novel patterns of agonist bias in ERK signalling, with CP 55,940 alone producing a second phase sustained ERK response in CHO cells, while higher concentrations of WIN 55-212-2 produced a CB1-receptor-dependent reversal of ERK phosphorylation in HEK cells at 20 min, but not 5 min, agonist stimulation. Additional cell-dependent responses were observed with HEK cells alone, exhibiting Gi/o protein-independent ERK activation and increase in cAMP levels. Despite reports in the literature to the contrary, none of the cell lines tested showed receptor-mediated activation of JNK or p38 MAP kinase. In conclusion, this thesis has demonstrated functional selectivity at the cannabinoid type 1 receptor in a number of cell lines, expressing both native and transfected recombinant receptors. These findings contribute to our increasing understand of the complexity of GPCR signalling, and potentially allow for the development of more targeted drugs able to selectively engage with beneficial signal transduction pathways

A study of functional selectivity at the cannabinoid type 1 receptor

The cannabinoid CB1 receptor is a G protein-coupled receptor (GPCR) which is important in the regulation of neuronal function, predominately via coupling to heterotrimeric Gi/o proteins. The receptor has also been shown to interact with a variety of other intracellular signalling mediators, including other G proteins, several members of the mitogen activated kinase (MAP) superfamily and β-arrestins. The CB1 receptor is recognised by an array of structurally distinct endogenous and exogenous ligands and a growing body of evidence indicates that ligands acting at GPCRs are able to differently activate specific signalling pathways, a phenomenon known as functional selectivity or biased agonism. This is important in future drug development as it may be possible to produce drugs which selectively activate signalling pathways linked to therapeutic benefits, while minimising activation of those associated with unwanted side effects. The main aim of this thesis, therefore, was to investigate ligand-selective functional selectivity at the cannabinoid CB1 receptor both endogenously and exogenously expressed in a variety of cell lines. Chinese hamster ovary (CHO) and human embryonic kidney (HEK 293) cells stably transfected with the human recombinant CB1 receptor and untransfected murine Neuro 2a (N2a) cells, were exposed to a number of cannabinoid receptor agonists, including the endogenous agonist anandamide, the phytocannabinoid Δ9-THC, and several synthetic ligands. Ligand affinity was determined using competition radioligand binding assays. Regulation of several CB1 receptor-coupled intracellular signalling mediators was investigated; G protein activation was measured using the [35S]-GTPγS binding assay; phosphorylation of extracellular signal-regulated kinases (ERK), c-Jun N-terminal kinases (JNK) and p38 MAP kinases was measured using the immunocytochemical In-cell Western technique. Modulation of cAMP accumulation and β-arrestin recruitment were measured using DiscoveRx detection assay kits. Using concentration-response data, agonist bias was analysed using equimolar comparison plots, and by comparison of intrinsic relative activities for all agonists, calculated relative to the high potency cannabinoid receptor agonist HU-210 for the transfected cells or WIN 55,212-2 for the Neuro 2a cells. The PPARα agonist fenofibrate was identified as a previously unrecognized cannabinoid receptor agonist, exhibiting modest selectivity for the CB2 receptor subtype (~25-fold). In addition to its functioning as an orthosteric agonist, fenofibrate, at high concentrations, appeared to act as a negative allosteric modulator at the CB1 receptor expressed in CHO cells, identified by radioligand binding assays, and non-competitive inhibition of the orthosteric agonist CP 55,940 in the [35S]-GTPγS binding assay. All three cell lines showed CB1- and Gi/o protein-dependent activation of ERK and inhibition of forskolin-stimulated cAMP accumulation: however, the magnitude of these responses differed between the three cell lines, with the responses in the Neuro 2a cells being markedly smaller than in the recombinant cell lines. The synthetic agonists WIN 55,212-2 and ACEA both exhibited bias towards ERK activation, in comparison to inhibition of cAMP accumulation, in both the CHO and HEK cell lines. HU-210, Δ9-THC, methanandamide and fenofibrate all exhibited bias towards ERK activation in the Neuro 2a cells, but only the HU-210 bias was quantified, as the other three agonists did not couple to cAMP formation or inhibition in this cell line. In addition, time-course experiments revealed further novel patterns of agonist bias in ERK signalling, with CP 55,940 alone producing a second phase sustained ERK response in CHO cells, while higher concentrations of WIN 55-212-2 produced a CB1-receptor-dependent reversal of ERK phosphorylation in HEK cells at 20 min, but not 5 min, agonist stimulation. Additional cell-dependent responses were observed with HEK cells alone, exhibiting Gi/o protein-independent ERK activation and increase in cAMP levels. Despite reports in the literature to the contrary, none of the cell lines tested showed receptor-mediated activation of JNK or p38 MAP kinase. In conclusion, this thesis has demonstrated functional selectivity at the cannabinoid type 1 receptor in a number of cell lines, expressing both native and transfected recombinant receptors. These findings contribute to our increasing understand of the complexity of GPCR signalling, and potentially allow for the development of more targeted drugs able to selectively engage with beneficial signal transduction pathways

The advent of the Anthropocene in Australasia.

As early as the late 19th Century, several scientists had suggested that humans were starting to influence the physical environment of planet Earth (e.g. Marsh, 1864; Stoppani, 1873; Arrhenius, 1896; Chamberlain, 1897). This idea was resurrected and expanded in 2000 by Paul Crutzen, a Nobel Prize-winning chemist, and the late Eugene Stoermer, a professor of biology specialising in diatoms, who suggested that we had left the Holocene and entered the “Anthropocene” (Crutzen and Stoermer, 2000). As summarised by Steffen et al. (2011) and Wolfe et al. (2013), these iconoclastic scientists were referring to the Anthropocene as the interval of demonstrable human alteration of global biogeochemical cycles, beginning subtly in the late 18th Century following James Watt’s invention of the coal-fired steam engine, and accelerating markedly in the mid-20th Century (termed “The Great Acceleration”). Thus Crutzen and Stoermer (2000) argued that the Anthropocene should be an epoch, and for a starting date at the beginning of the Industrial Revolution (Monastersky, 2015)

Ensemble evaluation of hydrological model hypotheses

It is demonstrated for the first time how model parameter, structural and data uncertainties can be accounted for explicitly and simultaneously within the Generalized Likelihood Uncertainty Estimation (GLUE) methodology. As an example application, 72 variants of a single soil moisture accounting store are tested as simplified hypotheses of runoff generation at six experimental grassland field-scale lysimeters through model rejection and a novel diagnostic scheme. The fields, designed as replicates, exhibit different hydrological behaviors which yield different model performances. For fields with low initial discharge levels at the beginning of events, the conceptual stores considered reach their limit of applicability. Conversely, one of the fields yielding more discharge than the others, but having larger data gaps, allows for greater flexibility in the choice of model structures. As a model learning exercise, the study points to a “leaking” of the fields not evident from previous field experiments. It is discussed how understanding observational uncertainties and incorporating these into model diagnostics can help appreciate the scale of model structural error

‘I’m not your mother’: British social realism, neoliberalism and the maternal subject in Sally Wainwright’s Happy Valley (BBC1 2014-2016)

This article examines Sally Wainwright's Happy Valley (BBC1, 2014–2016) in the context of recent feminist attempts to theorise the idea of a maternal subject. Happy Valley, a police series set in an economically disadvantaged community in West Yorkshire, has been seen as expanding the genre of British social realism, in its focus on strong Northern women, by giving it ‘a female voice’ (Gorton, 2016: 73). I argue that its challenge is more substantial. Both the tradition of British social realism on which the series draws, and the neoliberal narratives of the family which formed the discursive context of its production, I argue, are founded on a social imaginary in which the mother is seen as responsible for the production of the selves of others, but cannot herself be a subject. The series itself, however, places at its centre an active, articulate, mobile and angry maternal subject. In so doing, it radically contests both a tradition of British social realism rooted in male nostalgia and more recent neoliberal narratives of maternal guilt and lifestyle choice. It does this through a more fundamental contestation: of the wider cultural narratives about selfhood and the maternal that underpin both. Its reflective maternal subject, whose narrative journey involves acceptance of an irrecoverable loss, anger and guilt as a crucial aspect of subjectivity, and who embodies an ethics of relationality, is a figure impossible in conventional accounts of subject and nation. She can be understood, however, in terms of recent feminist theories of the maternal