The determinants of UK Equity Risk Premium

Equity Risk Premium (ERP) is the cornerstone in Financial Economics. It is a basic requirement in stock valuation, evaluation of portfolio performance and asset allocation. For the last decades, several studies have attempted to investigate the relationship between macroeconomic drivers of ERP. In this work, I empirically investigate the macroeconomic determinants of UK ERP. For this I parsimoniously cover a large body of literature stemming from ERP puzzle. I motivate the empirical investigation based on three mutually exclusive theoretical lenses. The thesis is organised in the journal paper format. In the first paper I review the literature on ERP over the past twenty-eight years. In particular, the aim of the paper is three fold. First, to review the methods and techniques, proposed by the literature to estimate ERP. Second, to review the literature that attempts to resolve the ERP puzzle, first coined by Mehra and Prescott (1985), by exploring five different types of modifications to the standard utility framework. And third, to review the literature that investigates and develops relationship between ERP and various macroeconomic and market factors in domestic and international context. I find that ERP puzzle is still a puzzle, within the universe of standard power utility framework and Consumption Capital Asset Pricing Model, a conclusion which is in line with Kocherlakota (1996) and Mehra (2003). In the second paper, I investigate the impact of structural monetary policy shocks on ex-post ERP. More specifically, the aim of this paper is to investigate the whether the response of UK ERP is different to the structural monetary policy shocks, before and after the implementation of Quantitative Easing in the UK. I find that monetary policy shocks negatively affect the ERP at aggregate level. However, at the sectoral level, the magnitude of the response is heterogeneous. Further, monetary policy shocks have a significant negative (positive) impact on the ERP before (after) the implementation of Quantitative Easing (QE). The empirical evidence provided in the paper sheds light on the equity market’s asymmetric response to the Bank of England’s monetary policy before and after the monetary stimulus. In the third paper I examine the impact of aggregate and disaggregate consumption shocks on the ex-post ERP of various FTSE indices and the 25 Fama-French style value-weighted portfolios, constructed on the basis of size and book-to-market characteristics. I extract consumption shocks using Structural Vector Autoregression (SVAR) and investigate its time-series and cross-sectional implications for ERP in the UK. These structural consumption shocks represent deviation of agent’s actual consumption path from its theoretically expected path. Aggregate consumption shocks seem to explain significant time variation in the ERP. At disaggregated level, when the actual consumption is less than expected, the ERP rises. Durable and Semi-durable consumption shocks have a greater impact on the ERP than non-durable consumption shocks. In the fourth and final paper I investigate the impact of short and long term market implied volatility on the UK ERP. I also examine the pricing implications of innovations to short and long term implied market volatility in the cross-section of stocks returns. I find that both the short and the long term implied volatility have significant negative impact on the aggregate ERP, while at sectoral level the impact is heterogeneous. I find both short and long term volatility is priced negatively indicating that (i) investors care both short and long term market implied volatility (ii) investors are ready to pay for insurance against these risks

The determinants of UK Equity Risk Premium

Equity Risk Premium (ERP) is the cornerstone in Financial Economics. It is a basic requirement in stock valuation, evaluation of portfolio performance and asset allocation. For the last decades, several studies have attempted to investigate the relationship between macroeconomic drivers of ERP. In this work, I empirically investigate the macroeconomic determinants of UK ERP. For this I parsimoniously cover a large body of literature stemming from ERP puzzle. I motivate the empirical investigation based on three mutually exclusive theoretical lenses. The thesis is organised in the journal paper format. In the first paper I review the literature on ERP over the past twenty-eight years. In particular, the aim of the paper is three fold. First, to review the methods and techniques, proposed by the literature to estimate ERP. Second, to review the literature that attempts to resolve the ERP puzzle, first coined by Mehra and Prescott (1985), by exploring five different types of modifications to the standard utility framework. And third, to review the literature that investigates and develops relationship between ERP and various macroeconomic and market factors in domestic and international context. I find that ERP puzzle is still a puzzle, within the universe of standard power utility framework and Consumption Capital Asset Pricing Model, a conclusion which is in line with Kocherlakota (1996) and Mehra (2003). In the second paper, I investigate the impact of structural monetary policy shocks on ex-post ERP. More specifically, the aim of this paper is to investigate the whether the response of UK ERP is different to the structural monetary policy shocks, before and after the implementation of Quantitative Easing in the UK. I find that monetary policy shocks negatively affect the ERP at aggregate level. However, at the sectoral level, the magnitude of the response is heterogeneous. Further, monetary policy shocks have a significant negative (positive) impact on the ERP before (after) the implementation of Quantitative Easing (QE). The empirical evidence provided in the paper sheds light on the equity market’s asymmetric response to the Bank of England’s monetary policy before and after the monetary stimulus. In the third paper I examine the impact of aggregate and disaggregate consumption shocks on the ex-post ERP of various FTSE indices and the 25 Fama-French style value-weighted portfolios, constructed on the basis of size and book-to-market characteristics. I extract consumption shocks using Structural Vector Autoregression (SVAR) and investigate its time-series and cross-sectional implications for ERP in the UK. These structural consumption shocks represent deviation of agent’s actual consumption path from its theoretically expected path. Aggregate consumption shocks seem to explain significant time variation in the ERP. At disaggregated level, when the actual consumption is less than expected, the ERP rises. Durable and Semi-durable consumption shocks have a greater impact on the ERP than non-durable consumption shocks. In the fourth and final paper I investigate the impact of short and long term market implied volatility on the UK ERP. I also examine the pricing implications of innovations to short and long term implied market volatility in the cross-section of stocks returns. I find that both the short and the long term implied volatility have significant negative impact on the aggregate ERP, while at sectoral level the impact is heterogeneous. I find both short and long term volatility is priced negatively indicating that (i) investors care both short and long term market implied volatility (ii) investors are ready to pay for insurance against these risks

Successful ceftolozane/tazobactam treatment of chronic pulmonary infection with pan‐resistant Pseudomonas aeruginosa

The treatment of chronic Pseudomonas aeruginosa infections is challenging, with resistance and antibiogram diversity accumulating during successive therapies. Some isolates are resistant to all licensed agents, creating treatment problems and an urgent need for new therapies. Among antibiotics in advanced development, ceftolozane/tazobactam has potent in vitro antipseudomonal activity, with low MICs even for strains with AmpC β‐lactamase‐, impermeability‐ and efflux‐mediated resistance to other β‐lactams

Radiographic Sensitivity of Flaw Detection in Solid Rocket Propellants

The sensitivity of flaw detection with x-ray radiographic methods is investigated here qualitatively in case of cast double base and cast composite propellants and for air pockets it is found to be 1.5 and 0.9 percent of the web respectively. General guidelines for the inspection of sustainer charges have also been laid down

Critical Appraisal of Baby Friendly Hospital Initiatives among the beneficiaries of Indore Urban - A Comparative Study

Background: Majority of the women in M.P who breastfeed their babies throw away the colostrum before they begin actual feed. Only 14.9% females feed their babies with in 1/2 an hour (National Family Health Survey-3). In Indore 2 hospitals have been given designation of baby friendly hospital (BFH) namely M.Y. hospital (MYH) which is a tertiary care center, attached to Medical College and District hospital (DH). Objectives: (1) To assess the process of implementation of baby friendly hospital initiative programme. (2) Knowledge, Attitude, Practice regarding breast feeding amongst the beneficiaries. Methods: A comparative study was conducted between two BFH and two NBFH (Non Baby Friendly Hospitals) of Indore. The respondents were categorized into health care providers and beneficiaries. A pretested questionnaire was used to interview the respondents which was made taking into consideration the essential 10 Criteria of BFHI Programme. Results: 89% in BFH and 97% in NBFH were having positive attitude towards colostrum feeding. 81% postnatal mothers in BFH and 96% in NBFH were having knowledge about benefits of exclusive breast feeding. 21% postnatal mothers in BFH and 39% in NBFH initiated breast feeding within ½ an hour. 64 % of mothers in BFH and 62 % mothers in NBFH were practicing exclusive breast Feeding. Conclusion: The above findings show that although designated as BFH, the breast feeding practices remained poor as compared to NBFH. There is an utmost need to reinforce training and constant monitoring of health care providers regarding BFHI

Body composition at birth: A hospital based study

The present hospital based study was a situational analysis to study the anthropometric and body composition parameters of the neonates of Vadodara city and to examine the maternal factors associated with it. Maternal obstetric history and anthropometric measurements (weight and height) were recorded. Birth weight of the neonates was recorded immediately after delivery. Length, MUAC and triceps and supra iliac SFT of the neonates was measured within 48 hours of delivery. Pregnant women had poor nutritional status with 71% weighing < 60 kg and 63% anemic. The overall incidence of low birth weight was 30.79% (57% in LIG and 18% in MIG). Normal birth weight neonates had significantly higher mean anthropometric and body composition parameters as compared to the low birth weight neonates (p≤0.000). Birth weight and anthropometric indices positively correlated with the measures of body composition (p≤0.01). The poor maternal nutritional status resulted in adverse birth outcome. Highest incidence of chronic severe malnutrition (low head circumference for age Z-score) was seen followed by wasting. The neonates had low muscle mass and fat mass unlike the typical “Asian thin fat phenotypeâ€Â

Users, technology and space in libraries in the digital age

Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Architecture, 2005.Includes bibliographical references (leaves 60-62).This thesis is a user research study of emerging issues in the use of libraries as public spaces and as information repositories in the digital age. Till recently strong physicality was attached to the library with the only access to its information resources being visiting the library premises. The availability of the Internet, digital documents and wi-fi has brought about unprecedented changes in the function, use and operation of libraries today. The environment of evolving technologies is bringing about a variety of new user practices that creates ambiguity for the future of the library as an institution as well as an architectural space. This study attempts to identify various issues in the use of library spaces today through the means of qualitative and quantitative data collection methods. Four libraries differing in the technology and quality of space provided have been chosen as case studies. The shifting physical form and meaning of the library's architectural space and its implications for the design of future libraries will be examined. A set of recommendations for better user experience in present and future library spaces will be part of the research.by Tripti G-Chandorkar.S.M

The impact of monetary policy shocks on the Equity Risk Premium before and after the quantitative easing in the United Kingdom

The authors investigate the impact of structural monetary policy shocks on ex-post equity risk premium (ERP) of aggregate and sectoral FTSE indices and 25 Fama-French style value-weighted portfolios. They find that monetary policy shocks negatively affect the ERP but at the sectoral level, the magnitude of the response is heterogeneous. Further, monetary policy shocks have a significant negative (positive) impact on the ERP before (after) the implementation of quantitative easing (QE). The empirical evidence provided in the paper sheds light on the equity market’s asymmetric response to the BoE’s policy before and after the monetary stimulus