Essays in asset pricing

My dissertation aims at understanding the impact of uncertainty and disagreement on asset prices. It contains three main chapters. Chapter One gives a general introduction into the topic of partial information and heterogeneous beliefs. Chapter Two explains the link between credit spreads and the heterogeneous formation of expectations in an economy where agents with different perception of economic uncertainty disagree about future cash flows of a defaultable firm. The intertemporal risk-sharing of disagreeing investors gives rise to three testable implications: First, larger belief heterogeneity increases credit spreads and their volatility. Second, it implies a higher frequency of capital structure arbitrage violations. Third, it reduces expected equity returns of low levered firms, but the link can be reversed for high levered firms. We use a data-set of firm-level differences in beliefs, credit spreads, and stock returns to empirically test these predictions. The economic and statistical significance of the intertemporal risk-sharing channel of disagreement is substantial and robust to the inclusion of control variables such as Fama and French, liquidity, and implied volatility factors. Chapter Three studies the link between market-wide uncertainty, difference of opinions and co- movement of stock returns. We show that this link plays an important role in explaining the dynamics of equilibrium volatility and correlation risk premia, the differential cross-sectional pricing of index and individual options, and the risk-return profile of several option trading strategies. We use firm-specific data on analyst forecasts and test the model predictions. We obtain the following novel results: (a) The difference of index and individual volatility risk premia is linked to a counter-cyclical common disagreement component about future earnings; (b) This common component helps to explain the differential pricing of index and individual volatility smiles in the cross-section, as well as the time-series of correlation risk premia extracted from option prices; (c) The time series of returns on straddle and dispersion option portfolios reflects a significant time-varying risk premium, which compensates investors for bearing common disagreement risk; (d) Common disagreement is priced in the cross-section of option strategy returns

Vibration stimuli and the differentiation of musculoskeletal progenitor cells: Review of results in vitro and in vivo

Due to the increasing burden on healthcare budgets of musculoskeletal system disease and injury, there is a growing need for safe, effective and simple therapies. Conditions such as osteoporosis severely impact on quality of life and result in hundreds of hours of hospital time and resources. There is growing interest in the use of low magnitude, high frequency vibration (LMHFV) to improve bone structure and muscle performance in a variety of different patient groups. The technique has shown promise in a number of different diseases, but is poorly understood in terms of the mechanism of action. Scientific papers concerning both the in vivo and in vitro use of LMHFV are growing fast, but they cover a wide range of study types, outcomes measured and regimens tested. This paper aims to provide an overview of some effects of LMHFV found during in vivo studies. Furthermore we will review research concerning the effects of vibration on the cellular responses, in particular for cells within the musculoskeletal system. This includes both osteogenesis and adipogenesis, as well as the interaction between MSCs and other cell types within bone tissue

Bond variance risk premiums

This paper studies variance risk premiums in the Treasury market. We first develop a theory to price variance swaps and show that the realized variance can be perfectly replicated by a static position in Treasury futures options and a dynamic position in the underlying. Pricing and hedging is robust even in the underlying jumps. Using a large options panel data set on Treasury futures with different tenors, we report the following findings: First, the term structure of implied variances is downward sloping across maturities and increases in tenors. Moreover, the slope of the term structure is strongly linked to economic activity. Second, returns to the Treasury variance swap are negative and economically large. Shorting a variance swap produces an annualized Sharpe ratio of almost two and the associated returns cannot be explained by standard risk factors. Finally, the returns remain highly statistically significant even when accounting for transaction costs and margin requirements

Assessing the impact of the ECB's Corporate Sector Purchase Programme on SMEs

The European Central Bank's Governing Council is due to hold a policy meeting on 26 October, with many observers anticipating there could be a change to the ECB's monetary stimulus programme. Corrado Macchiarelli, Mara Monti and Andrea Vedolin examine some of the measures that should be considered as the ECB looks to respond to changing conditions in the euro area

Some currency trading positions yield increased returns around Fed announcements

That reflects the high monetary policy uncertainty, argue Alireza Tahbaz-Salehi, Andrea Vedolin and Philippe Muelle

Exchange rates and monetary policy uncertainty

We document that a trading strategy that is short the U.S. dollar and long other currencies exhibits significantly larger excess returns on days with scheduled Federal Open Market Committee (FOMC) announcements. We also show that these excess returns (i) are higher for currencies with higher interest rate differentials vis-à-vis the U.S.; (ii) increase with uncertainty about monetary policy; and (iii) intensify when the Federal Reserve adopts a policy of monetary easing. We interpret these excess returns as a compensation for monetary policy uncertainty within a parsimonious model of constrained financiers who intermediate global demand for currencies

The effects of mindfulness and meditation on fake news credibility

O fenômeno das fake news tem afetado a política, as figuras públicas e os negócios, e a incapacidade dos consumidores de diferenciar informações falsas de verdadeiras tem um papel na disseminação desse tipo de notícias. Na presente pesquisa, propomos que a meditação de atenção plena pode ser uma ferramenta para que os consumidores treinem sua atenção com o objetivo de melhor detectar se as notícias são falsas. Para testar nossas hipóteses, conduzimos dois estudos, um correlacionar e um experimental - além de um pré-teste. No primeiro estudo, demonstramos que aqueles que praticam meditação regularmente tendem a estar menos suscetíveis a notícias falsas, e também encontramos uma correlação entre mindfulness - atenção plena - enquanto característica pessoal e ceticismo. Em nosso segundo estudo mostramos, através de medidas de eye tracking, que uma indução a meditação de 6 minutos pode afetar a atenção e o esforço dos consumidores enquanto leem fake news.The fake news phenomenon has been affecting politics, public figures and businesses, and consumers’ inability to differentiate true and false information plays a role in spreading this type of news. In the present research, we propose that mindfulness and meditation could be a tool for consumers to train their attention in order to better detect if news are fake. In an attempt to test our hypothesis, we conducted a preliminary test and two studies, one correlational and one experimental. On the first study we demonstrate that those who practice meditation on a regular basis tend to be less susceptible to believe fake news. We also found a correlation between dispositional mindfulness and skepticism. Our second study shows, through eye tracking tools, that a six-minute meditation induction can affect consumers’ attention and effort while reading fake news

Bond variance risk premia

Using data from 1983 to 2010, we propose a new fear measure for Treasury markets, akin to the VIX for equities, labeled TIV. We show that TIV explains one third of the time variation in funding liquidity and that the spread between the VIX and TIV captures flight to quality. We then construct Treasury bond variance risk premia as the difference between the implied variance and an expected variance estimate using autoregressive models. Bond variance risk premia display pronounced spikes during crisis periods. We show that variance risk premia encompass a broad spectrum of macroeconomic uncertainty. Uncertainty about the nominal and the real side of the economy increase variance risk premia but uncertainty about monetary policy has a strongly negative effect. We document that bond variance risk premia predict excess returns on Treasuries, stocks, corporate bonds and mortgage-backed securities, both in-sample and out-of-sample. Furthermore, this predictability is not subsumed by other standard predictors

Avaliação do tratamento de crianças portadoras da síndrome de apneia e hipopnéia obstrutiva do sono com o uso de um aparelho intraoral disfunção temporomandibular e dor orofacial

It is well known that Oral Appliance (OA) are efficient for the treatment of Obstructive Sleep Apnea (OSA) in adults. However, evidence for its use in children is still debated. Although surgery is the standard treatment for OSA in this population, OA may be an alternative in situations where there are no clinical conditions for surgical procedures or when this is not an immediate option. Positioning the jaw in a protrusive position during sleep, the devices prevent the collapse of the pharynx. The objective of the present study was to evaluate the efficacy of an OA for the treatment of OSA in pediatric patients. Patients aged between 5 and 12 years, on the waiting list for adenoamigdalectomy, were selected in the outpatient clinic of otorhinolaryngology of two university hospitals. Dental conditions, as well as sleep bruxism (SB), signs and symptoms of temporomandibular disorders, according to the Research Diagnostic Criteria (RDC/TMD) were analyzed, and a sleep questionnaire was applied. The clinical diagnosis of OSA was confirmed through an exam of home portable polysomnography (ApneaLink™, version 9. 00, ResMed Corporation). All the exams were revised by one of the researchers, following the 2005 guidelines of the American Academy of Sleep Medicine. After the diagnosis was confirmed, the OA was made in the School of Odontology. A new portable study was performed after 60 days of use of the OA. Eighteen individuals were evaluated; mean age was 8. 39 years. Initial mean respiratory disorder index (RDI) was 10 events/hour (interval 3-39 events/hour), when compared to 3 events/hour (interval 0-11 events/hour) using the IOD (p<0. 001, Wilcoxon Signed-Rank Test). The SpO2 Nadir increased from 83. 5% (interval of 65%-93%) to 89. 5% (interval of 79-95%), after the use of OA (P 0. 002). The number of episodes of snoring also decreased with the treatment (p<0. 001). No complaints were reported during the follow-up. With regard to the BiteStrip, a reduction of 66 % was observed in the prevalence of patients with SB. The report of parents when answering the sleep questionnaire showed significant improvement in all aspects analyzed. In special or individualized circumstances, OA may be considered an alternative for the treatment of children with OSA.Os aparelhos intraorais (AIO) são reconhecidamente eficientes para tratamento da Apneia Obstrutiva do Sono (SAOS) em adultos. Entretanto, as evidências para seu uso em crianças ainda são discutidas. Embora a cirurgia seja o tratamento padrão para a SAOS nesta população, o AIO pode ser uma alternativa em situações onde não existem condições clínicas para procedimentos cirúrgicos ou esta não é uma opção imediata. Posicionando a mandíbula numa posição protrusiva durante o sono, os parelhos impedem o colapso da faringe. O objetivo deste estudo foi avaliar a eficácia de um AIO para o tratamento da SAOS e o efeito dessa terapia no bruxismo noturno (BS) em pacientes pediátricos. Pacientes com idade de 5 a 12 anos de idade, na lista de espera para cirurgia de adenoamigdalectomia, foram selecionados no ambulatório de otorrinolaringologia de dois hospitais universitários. As condições dentárias, bruxismo do sono (BS), sinais e sintomas de desordens temporomandibulares segundo os Critérios Diagnósticos de Pesquisa (RDC / TMD) foram analisadas e um questionário de sono foi aplicado. O diagnóstico clínico da SAOS foi confirmado através de um exame de monitorização cardiorespiratória portátil domiciliar (ApneaLink ®, versão 9. 00, ResMed).Todos os exames foram revisados por um dos pesquisadores, de acordo com a Academia Americana de Medicina do Sono diretrizes de 2012. Após o diagnóstico confirmado, o AIO foi confeccionado na Faculdade de Odontologia. Um novo estudo portátil foi realizado após de 60 dias de uso do AIO. Durante as duas avaliações cardiorrespiratórias os pacientes utilizaram o adesivo Bite Strip® para avaliação de SB. Foram avaliados 18 indivíduos, com uma média de 8,39 anos de idade. Índice médio de distúrbio respiratório (RDI) inicial foi de 10 eventos / hora (intervalo 3-39 eventos / hora), em comparação com 3 eventos / hora (intervalo 0-11 eventos / hora) usando o AIO (p <0,001, Wilcoxon Signed Rank Test). Nadir SpO2 aumentou de 83,5% (intervalo de 65 para 93%) a 89,5% (intervalo de 79-95%), após o uso do AIO (P 0,002). O número de episódios de ronco também diminuiu com o tratamento (p <0,001). Os sinais e sintomas de DTM não aumentaram após o uso do AIO. No que diz respeito ao BiteStrip, uma redução de 66% foi observada na prevalência de pacientes com BS. Não houve queixas durante o acompanhamento. O relato dos pais ao responder o questionário do sono demonstrou melhora significativa em todos os aspectos analisados. Em circunstâncias especiais ou individualizada, a AIO pode ser considerado como uma alternativa para o tratamento de crianças com SAOS

Mortgage hedging in fixed income markets

We study the feedback from hedging mortgage portfolios on the level and volatility of interest rates. We incorporate the supply shocks resulting from hedging into an otherwise standard dynamic term structure model, and derive two sets of predictions which are strongly supported by the data: First, the duration of mortgage-backed securities (MBS) positively predicts excess bond returns, especially for longer maturities. Second, MBS convexity increases yield and swaption implied volatilities, and this effect has a hump-shaped term structure. Empirically, neither duration, nor convexity are spanned by yield factors. A calibrated version of our model replicates salient features of first and second moments of bond yields