Pervasive liquidity risk

While there is no equilibrium framework for defining liquidity risk per se, several plausible arguments suggest that liquidity risk is pervasive and thus may be priced. For example, market frictions increase the cost of hedging strategies requiring frequent portfolio rebalancing. Also, liquidity risk is likely to play a role whenever the market declines and investors are prevented from hedging via short positions. Using monthly return data from 1963–2000, and a broad set of test assets, we examine six candidate factor representations of aggregate liquidity risk, and test whether any one of these are priced. The results are interesting. First, with the surprising exception of the recent measure proposed by Pastor and Stambaugh (2001), liquidity factor shocks induce co-movements in individual stocks’ liquidity measure (commonality in liquidity). The commonality is similar to that found in the extant literature (Chordia, Roll, and Subrahmanyam (2000)), which so far has been restricted to a single year of data. Second, again with the exception of the Pastor-Stambaugh measure, the liquidity factors receive statistically significant betas when added to the Fama-French model. Third, maximum-likelihood estimates of the risk premium are significant for the measure based on bid-ask spreads, contemporaneous turnover, as well as the Pastor-Stambaugh measure, which exploits price reversals following volume shocks. Overall, the simple-to-compute, "low-minus-high" turnover factor first proposed by Eckbo and Norli (2000) appears to do as least as well as the other factor measures

Entropy of gravitationally collapsing matter in FRW universe models

We look at a gas of dust and investigate how its entropy evolves with time under a spherically symmetric gravitational collapse. We treat the problem perturbatively and find that the classical thermodynamic entropy does actually increase to first order when one allows for gravitational potential energy to be transferred to thermal energy during the collapse. Thus, in this situation there is no need to resort to the introduction of an intrinsic gravitational entropy in order to satisfy the second law of thermodynamics.Comment: 9 pages, 4 figures. Major changes from previous version. We consider only thermodynamic entropy in this version. Published in PR

Level-biases in estimated breeding values due to the use of different SNP panels over time in ssGBLUP

International audienceAbstractBackgroundThe main aim of single-step genomic predictions was to facilitate optimal selection in populations consisting of both genotyped and non-genotyped individuals. However, in spite of intensive research, biases still occur, which make it difficult to perform optimal selection across groups of animals. The objective of this study was to investigate whether incomplete genotype datasets with errors could be a potential source of level-bias between genotyped and non-genotyped animals and between animals genotyped on different single nucleotide polymorphism (SNP) panels in single-step genomic predictions.ResultsIncomplete and erroneous genotypes of young animals caused biases in breeding values between groups of animals. Systematic noise or missing data for less than 1% of the SNPs in the genotype data had substantial effects on the differences in breeding values between genotyped and non-genotyped animals, and between animals genotyped on different chips. The breeding values of young genotyped individuals were biased upward, and the magnitude was up to 0.8 genetic standard deviations, compared with breeding values of non-genotyped individuals. Similarly, the magnitude of a small value added to the diagonal of the genomic relationship matrix affected the level of average breeding values between groups of genotyped and non-genotyped animals. Cross-validation accuracies and regression coefficients were not sensitive to these factors.ConclusionsBecause, historically, different SNP chips have been used for genotyping different parts of a population, fine-tuning of imputation within and across SNP chips and handling of missing genotypes are crucial for reducing bias. Although all the SNPs used for estimating breeding values are present on the chip used for genotyping young animals, incompleteness and some genotype errors might lead to level-biases in breeding values

On the Groupiness and Intermittency of Oceanic Whitecaps

The enhancement of wave breaking activity during wave group passage is investigated using coherent field observations of the instantaneous sea surface elevation and whitecap coverage from platform-based stereo video measurements in the central North Sea. Passing wave groups are shown to be associated with a two to threefold enhancement in the probability distribution of total whitecap coverage W whereas the enhancement of active whitecap coverage WA is approximately fivefold. Breaking time scales and intermittency characteristics are also investigated with the inclusion of a secondary data set of W and WA observations collected during a research cruise in the North Pacific. The time scale analysis suggests a universal periodicity in wave breaking activity within a representative sea-surface area encompassing approximately one dominant wave crest. The breaking periodicity is shown to be closely linked to the peak period of the dominant wave components, suggesting that long-wave modulation of wave breaking is a predominant mechanism controlling the intermittency of wave breaking across scales.publishedVersio

Proof firm downsizing and diagnosis-specific disability pensioning in Norway

<br>Background: We wanted to investigate if firm downsizing is related to an increased rate of disability pensions among the former employed, especially for those with musculoskeletal and psychiatric diagnoses, and for those having to leave the firm.</br> <br>Methods: Statistics Norway provided a linked file with demographic information and all social security grants from the National Insurance Administration for 1992–2004 for all inhabitants in Norway. Our sample was aged 30–55 years in 1995, being alive, employed and not having a disability pension at the end of 2000. Downsizing was defined as percent change in number of employed per firm from 1995 to end 2000. Employment data were missing for 25.6% of the sample.</br> <br>Results: Disability pension rates in the next four years were 25% higher for those experiencing a 30-59% downsizing than for those not experiencing a reduction of the workforce. 1-29% and 60-100% downsizing did not have this effect. Stayers following down-sizing had higher disability pension rates than leavers. What we have called complex musculoskeletal and psychiatric diagnoses were relatively most common.</br> <br>Conclusion: Moderate downsizing is followed by a significant increase in disability pension rates in the following four years, often with complex musculoskeletal and psychiatric diagnoses.</br&gt

The Arabidopsis (ASHH2) CW domain binds monomethylated K4 of the histone H3 tail through conformational selection

Chromatin post‐translational modifications are thought to be important for epigenetic effects on gene expression. Methylation of histone N‐terminal tail lysine residues constitutes one of many such modifications, executed by families of histone lysine methyltransferase (HKMTase). One such protein is ASHH2 from the flowering plant Arabidopsis thaliana, equipped with the interaction domain, CW, and the HKMTase domain, SET. The CW domain of ASHH2 is a selective binder of monomethylation at lysine 4 on histone H3 (H3K4me1) and likely helps the enzyme dock correctly onto chromatin sites. The study of CW and related interaction domains has so far been emphasizing lock–key models, missing important aspects of histone‐tail CW interactions. We here present an analysis of the ASHH2 CW‐H3K4me1 complex using NMR and molecular dynamics, as well as mutation and affinity studies of flexible coils. β‐augmentation and rearrangement of coils coincide with changes in the flexibility of the complex, in particular the η1, η3 and C‐terminal coils, but also in the β1 and β2 strands and the C‐terminal part of the ligand. Furthermore, we show that mutating residues with outlier dynamic behaviour affect the complex binding affinity despite these not being in direct contact with the ligand. Overall, the binding process is consistent with conformational selection. We propose that this binding mechanism presents an advantage when searching for the correct post‐translational modification state among the highly modified and flexible histone tails, and also that the binding shifts the catalytic SET domain towards the nucleosome

Cardiac function associated with previous, current and repeated depression and anxiety symptoms in a healthy population: the HUNT study.

Objective: Symptoms of anxiety and depression often co-exist with cardiovascular disease (CVD), yet little is known about the association with left ventricular (LV) subclinical dysfunction. We aimed to study the cross-sectional associations of previous, current and repeated depression or anxiety symptoms, with sensitive indices of LV systolic and diastolic function, based on tissue Doppler (TD) and speckle tracking (ST) imaging methods. Methods: A random selection of 1296 individuals free from known CVD, hypertension and diabetes were examined with echocardiography at baseline of the third Nord-Trøndelag Health Study, (HUNT3, 2006–2008). The primary outcomes were LV diastolic function (e′) and LV systolic function (longitudinal global strain). The primary exposures were self-report on the Hospital Anxiety and Depression Scale (HADS). Associations between outcomes and baseline exposures were available for 1034 (80%), and with previous and repeated exposures for 700 participants who also participated in HUNT2 (1995–1997). Results: Previous and repeated depression symptoms, but not current depression, were linearly associated with a reduction in e′. The average sum of two repeated HADS-D scores 10 years apart had the strongest effect on e′ (−8.3%; 95% CI −13.9% to −2.7%) per 5 units. We observed a sex difference between depression symptoms and longitudinal global strain (p for interaction 0.019), where women had a marginal negative effect. Anxiety symptoms, neither previous, current nor repeated were associated with subclinical LV dysfunction. Conclusions: In a healthy sample, confirmed free of CVD, past and repeated depression symptoms were associated with subclinical LV dysfunction. Thus, depression symptoms might represent a modifiable risk factor for future CVD.This is an Open Access article distributed in accordance with the Creative Commons Attribution Non Commercial (CC BY-NC 4.0) license, which permits others to distribute, remix, adapt, build upon this work non-commercially, and license their derivative works on different terms, provided the original work is properly cited and the use is non-commercial. See: http://creativecommons.org/licenses/by-nc/4.0

Marine Plastic Drift from the Mekong River to Southeast Asia

Southeast Asia is the world’s most polluted area in terms of marine plastics. The Mekong River is one of the largest rivers in the area, and ranked as somewhere between the 8th- and 11th-biggest contributor to plastics in the world’s oceans. Here, we investigate how microplastics drift from the Mekong river to Southeast Asia, and which coastlines are most exposed. We identify potential factors (wind drift, rivers, vertical mixing and sinking rates) that affect plastic drift in the region using the OpenDrift model with realistic wind and ocean currents for simulations between three months (summer and winter) and 15 months. We find that the seasonal drift is influenced by the monsoon systems and that most of the plastics strand in the Philippines and Indonesia. In addition, the role of wind drift is significant in strong winds. Vertical mixing and sinking rates are unknowns that affect the relative importance of wind drift (near the surface) and ocean currents. Simulations with different terminal velocities show that, unsurprisingly, the higher the terminal velocities are, the closer they deposit to the source. In light of the large uncertainties in sinking rates, we find that the plastic distribution has large uncertainties, but is clearly seasonal and influenced by wind, vertical mixing, river discharge and sinking rates. The Philippines and Indonesia are found to have the coastlines that are most exposed to plastic pollution from the Mekong river. This study shows that simulations of marine plastic drift are very variable, depending on many factors and assumptions. However, it provides more detailed information on marine plastic pollution in Southeast Asia, and hopefully helps authorities take more practical actions.publishedVersio

Correcting for base-population differences and unknown parent groups in single-step genomic predictions of Norwegian Red cattle

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