Essays on rational asset pricing

Essays on Rational Asset Pricing is a collection of essays demonstrating the ability of rational asset pricing theory to explain differences in expected returns across assets. The first two essays analyze the cross-sectional and time-series predictability of returns on commodity futures contracts. Historically, futures have earned average returns similar to those of equities. Nevertheless, they fulfill a different economic function. We find that expected futures returns vary in a systematic way due to differences in consumption risk, similar to the returns on stocks. However, unlike for stocks, demand and supply changes which are related to commodity prices - and therefore consumption - lead short run consumption risk to be important for explaining commodities’ returns but not long run consumption risk. In the third essay, we extend the analysis on predictability by showing how restrictions imposed by asset pricing theory on the measures of predictability change when investors face short sale constraints and transaction costs. Finally, in the last essay we relax the assumption of rational pricing and allow for behavioral biases on the side of the investor to explain mispricing observed in a particular class of securities, reverse convertible bonds.

Essays on Rational Asset Pricing.

Essays on Rational Asset Pricing is a collection of essays demonstrating the ability of rational asset pricing theory to explain differences in expected returns across assets. The first two essays analyze the cross-sectional and time-series predictability of returns on commodity futures contracts. Historically, futures have earned average returns similar to those of equities. Nevertheless, they fulfill a different economic function. We find that expected futures returns vary in a systematic way due to differences in consumption risk, similar to the returns on stocks. However, unlike for stocks, demand and supply changes which are related to commodity prices - and therefore consumption - lead short run consumption risk to be important for explaining commodities’ returns but not long run consumption risk. In the third essay, we extend the analysis on predictability by showing how restrictions imposed by asset pricing theory on the measures of predictability change when investors face short sale constraints and transaction costs. Finally, in the last essay we relax the assumption of rational pricing and allow for behavioral biases on the side of the investor to explain mispricing observed in a particular class of securities, reverse convertible bonds.

Cumulative mutagenesis of the basic residues in the 201-218 region of insulin-like growth factor (IGF)-binding protein-5 results in progressive loss of both IGF-I binding and inhibition of IGF-I biological action

We have reported previously that mutation of two conserved nonbasic amino acids (G203 and Q209) within the highly basic 201–218 region in the C-terminal domain of IGF-binding protein-5 (IGFBP-5) decreases binding to IGFs. This study reveals that cumulative mutagenesis of the 10 basic residues in this region, to create the C-Term series of mutants, ultimately results in a 15-fold decrease in the affinity for IGF-I and a major loss in heparin binding. We examined the ability of mutants to inhibit IGF-mediated survival of MCF-7 cells and were able to demonstrate that this depended not only upon the affinity for IGF-I, but also the kinetics of this interaction, because IGFBP-5 mutants with similar affinity constants (KD) values, but with different association (Ka) and dissociation (Kd) rate values, had markedly different inhibitory properties. In contrast, the affinity for IGF-I provided no predictive value in terms of the ability of these mutants to enhance IGF action when bound to the substratum. Instead, these C-Term mutants appeared to enhance the actions of IGF-I by a combination of increased dissociation of IGF-IGFBP complexes from the substratum, together with dissociation of IGF-I from IGFBP-5 bound to the substratum. These effects of the IGFBPs were dependent upon binding to IGF-I, because a non-IGF binding mutant (N-Term) was unable to inhibit or enhance the actions of IGF-I. These results emphasize the importance of the kinetics of association/dissociation in determining the enhancing or inhibiting effects of IGFBP-5 and demonstrate the ability to generate an IGFBP-5 mutant with exclusively IGF-enhancing activity

BRCA1: A Novel Prognostic Factor in Resected Non-Small-Cell Lung Cancer

BACKGROUND: Although early-stage non-small-cell lung cancer (NSCLC) is considered a potentially curable disease following complete resection, patients have a wide spectrum of survival according to stage (IB, II, IIIA). Within each stage, gene expression profiles can identify patients with a higher risk of recurrence. We hypothesized that altered mRNA expression in nine genes could help to predict disease outcome: excision repair cross-complementing 1 (ERCC1), myeloid zinc finger 1 (MZF1) and Twist1 (which regulate N-cadherin expression), ribonucleotide reductase subunit M1 (RRM1), thioredoxin-1 (TRX1), tyrosyl-DNA phosphodiesterase (Tdp1), nuclear factor of activated T cells (NFAT), BRCA1, and the human homolog of yeast budding uninhibited by benzimidazole (BubR1). METHODOLOGY AND PRINCIPAL FINDINGS: We performed real-time quantitative polymerase chain reaction (RT-QPCR) in frozen lung cancer tissue specimens from 126 chemonaive NSCLC patients who had undergone surgical resection and evaluated the association between gene expression levels and survival. For validation, we used paraffin-embedded specimens from 58 other NSCLC patients. A strong inter-gene correlation was observed between expression levels of all genes except NFAT. A Cox proportional hazards model indicated that along with disease stage, BRCA1 mRNA expression significantly correlated with overall survival (hazard ratio [HR], 1.98 [95% confidence interval (CI), 1.11-6]; P = 0.02). In the independent cohort of 58 patients, BRCA1 mRNA expression also significantly correlated with survival (HR, 2.4 [95%CI, 1.01-5.92]; P = 0.04). CONCLUSIONS: Overexpression of BRCA1 mRNA was strongly associated with poor survival in NSCLC patients, and the validation of this finding in an independent data set further strengthened this association. Since BRCA1 mRNA expression has previously been linked to differential sensitivity to cisplatin and antimicrotubule drugs, BRCA1 mRNA expression may provide additional information for customizing adjuvant antimicrotubule-based chemotherapy, especially in stage IB, where the role of adjuvant chemotherapy has not been clearly demonstrated

Milk Lacking α-Casein Leads to Permanent Reduction in Body Size in Mice

The major physiological function of milk is the transport of amino acids, carbohydrates, lipids and minerals to mammalian offspring. Caseins, the major milk proteins, are secreted in the form of a micelle consisting of protein and calcium-phosphate

Analysis of Tp53 Codon 72 Polymorphisms, Tp53 Mutations, and HPV Infection in Cutaneous Squamous Cell Carcinomas

Non-melanoma skin cancers are one of the most common human malignancies accounting for 2-3% of tumors in the US and represent a significant health burden. Epidemiology studies have implicated Tp53 mutations triggered by UV exposure, and human papilloma virus (HPV) infection to be significant causes of non-melanoma skin cancer. However, the relationship between Tp53 and cutaneous HPV infection is not well understood in skin cancers. In this study we assessed the association of HPV infection and Tp53 polymorphisms and mutations in lesional specimens with squamous cell carcinomas.We studied 55 cases of histologically confirmed cutaneous squamous cell carcinoma and 41 controls for the presence of HPV infection and Tp53 genotype (mutations and polymorphism).We found an increased number of Tp53 mutations in the squamous cell carcinoma samples compared with perilesional or control samples. There was increased frequency of homozygous Tp53-72R polymorphism in cases with squamous cell carcinomas, while the Tp53-72P allele (Tp53-72R/P and Tp53-72P/P) was more frequent in normal control samples. Carcinoma samples positive for HPV showed a decreased frequency of Tp53 mutations compared to those without HPV infection. In addition, carcinoma samples with a Tp53-72P allele showed an increased incidence of Tp53 mutations in comparison carcinomas samples homozygous for Tp53-72R.These studies suggest there are two separate pathways (HPV infection and Tp53 mutation) leading to cutaneous squamous cell carcinomas stratified by the Tp53 codon-72 polymorphism. The presence of a Tp53-72P allele is protective against cutaneous squamous cell carcinoma, and carcinoma specimens with Tp53-72P are more likely to have Tp53 mutations. In contrast Tp53-72R is a significant risk factor for cutaneous squamous cell carcinoma and is frequently associated with HPV infection instead of Tp53 mutations. Heterozygosity for Tp53-72R/P is protective against squamous cell carcinomas, possibly reflecting a requirement for both HPV infection and Tp53 mutations

Association between loop diuretic dose changes and outcomes in chronic heart failure: observations from the ESC-EORP Heart Failure Long-Term Registry

[Abstract] Aims. Guidelines recommend down-titration of loop diuretics (LD) once euvolaemia is achieved. In outpatients with heart failure (HF), we investigated LD dose changes in daily cardiology practice, agreement with guideline recommendations, predictors of successful LD down-titration and association between dose changes and outcomes. Methods and results. We included 8130 HF patients from the ESC-EORP Heart Failure Long-Term Registry. Among patients who had dose decreased, successful decrease was defined as the decrease not followed by death, HF hospitalization, New York Heart Association class deterioration, or subsequent increase in LD dose. Mean age was 66±13 years, 71% men, 62% HF with reduced ejection fraction, 19% HF with mid-range ejection fraction, 19% HF with preserved ejection fraction. Median [interquartile range (IQR)] LD dose was 40 (25–80) mg. LD dose was increased in 16%, decreased in 8.3% and unchanged in 76%. Median (IQR) follow-up was 372 (363–419) days. Diuretic dose increase (vs. no change) was associated with HF death [hazard ratio (HR) 1.53, 95% confidence interval (CI) 1.12–2.08; P = 0.008] and nominally with cardiovascular death (HR 1.25, 95% CI 0.96–1.63; P = 0.103). Decrease of diuretic dose (vs. no change) was associated with nominally lower HF (HR 0.59, 95% CI 0.33–1.07; P = 0.083) and cardiovascular mortality (HR 0.62 95% CI 0.38–1.00; P = 0.052). Among patients who had LD dose decreased, systolic blood pressure [odds ratio (OR) 1.11 per 10 mmHg increase, 95% CI 1.01–1.22; P = 0.032], and absence of (i) sleep apnoea (OR 0.24, 95% CI 0.09–0.69; P = 0.008), (ii) peripheral congestion (OR 0.48, 95% CI 0.29–0.80; P = 0.005), and (iii) moderate/severe mitral regurgitation (OR 0.57, 95% CI 0.37–0.87; P = 0.008) were independently associated with successful decrease. Conclusion. Diuretic dose was unchanged in 76% and decreased in 8.3% of outpatients with chronic HF. LD dose increase was associated with worse outcomes, while the LD dose decrease group showed a trend for better outcomes compared with the no-change group. Higher systolic blood pressure, and absence of (i) sleep apnoea, (ii) peripheral congestion, and (iii) moderate/severe mitral regurgitation were independently associated with successful dose decrease

The dynamics of commodity return comovements

We compare factor models with respect to their ability to explain commodity futures return comovements. A simple one-factor model based on the first principal component extracted from a panel of commodity returns outperforms a macroeconomic model, and explains most of the realized comovements. We find that intersectoral correlations display more time variations than intrasectoral correlations. Dissecting the evidence further, we find that comovements are driven by the variation of the factor as opposed to exposure to it. Our results cast doubt on the persistence of the effects of financialization and emphasize the importance of the dynamics of the factor variance

Sex- and age-related differences in the management and outcomes of chronic heart failure: an analysis of patients from the ESC HFA EORP Heart Failure Long-Term Registry

Aims: This study aimed to assess age- and sex-related differences in management and 1-year risk for all-cause mortality and hospitalization in chronic heart failure (HF) patients. Methods and results: Of 16 354 patients included in the European Society of Cardiology Heart Failure Long-Term Registry, 9428 chronic HF patients were analysed [median age: 66 years; 28.5% women; mean left ventricular ejection fraction (LVEF) 37%]. Rates of use of guideline-directed medical therapy (GDMT) were high (angiotensin-converting enzyme inhibitors/angiotensin receptor blockers, beta-blockers and mineralocorticoid receptor antagonists: 85.7%, 88.7% and 58.8%, respectively). Crude GDMT utilization rates were lower in women than in men (all differences: P\ua0 64 0.001), and GDMT use became lower with ageing in both sexes, at baseline and at 1-year follow-up. Sex was not an independent predictor of GDMT prescription; however, age >75 years was a significant predictor of GDMT underutilization. Rates of all-cause mortality were lower in women than in men (7.1% vs. 8.7%; P\ua0=\ua00.015), as were rates of all-cause hospitalization (21.9% vs. 27.3%; P\ua075 years. Conclusions: There was a decline in GDMT use with advanced age in both sexes. Sex was not an independent predictor of GDMT or adverse outcomes. However, age >75 years independently predicted lower GDMT use and higher all-cause mortality in patients with LVEF 6445%