Is there Really a When-Issued Premium?

We use a unique set of equities in the when-issued market to provide new tests of the law of one price in financial markets. We compare the prices of when-issued and regular-way shares of publicly-traded subsidiaries and their parents around the time the subsidiaries are fully divested. In contrast to prior analyses of when-issued trading in equity markets, we find that the when-issued shares of the subsidiary trade at a discount. Some of the pricing differences stem from measurement factors such as exchange location and bid-ask clustering that bias the observed when-issued pricing differential away from zero. The remaining difference between the when-issued and regular-way prices is due to asymmetric movements in bid and ask quotes in the two markets. We also find evidence of temporary price pressures on the date of execution of the spinoff of the subsidiary firms that bear resemblance to the pricing in the when-issued market. We interpret the evidence as consistent with the law of one price in the presence of transaction costs.Law of One Price; Market Efficiency; Market Microstructure

Initial Public Offerings: The Case Of Health Maintenance Organizations (HMOs)

Objective: To determine whether the returns of initial public offerings (IPOs) of HMOs in the days following issue are similar to the return behavior of IPOs in previous studies.Data Source: The Center for Research in Security Prices (CRSP) tapes compiled by the Graduate School of Business at the University of Chicago provides daily stock prices, holding period returns, and other data pertinent to research in traded securities.Study Design: The hypothesis to be tested is whether the mean excess return surrounding the offer date is equal to zero.  To adjust the initial returns of the IPOs for overall market movements, Standard & Poor’s Composite Index (S&P 500) was selected as the proxy for the market in general.  We compute the long-run performance for the HMOs and compare that return to the S&P 500 and the CRSP AMEX/NYSE equally-weighted and value-weighted indices.Data Collection/Extraction Method:  We matched for-profit HMOs listed in the National Directory of Managed & Integrated Care Organizations to the commitment offerings reported by Securities Data Corporation to the same firms on the daily CRSP tapes.  This left 49 firms that went public between 1971 through 1997.  The Wharton Research and Data Services External (WRDSX) was used for data extraction and SAS was used for statistical analysis.Principal Findings: IPOs of HMOs are underpriced and demonstrate abnormal returns.  The average initial return on these IPOs is less than that of the average in the United States.  On a long-run performance basis, they performed better than the broad market indices.Conclusions:  Returns follow a similar pattern as do IPOs in general except for the long-run performance.  This needs further research as well as a comparison of performance before and after going public in cases where accounting data is available

Is there Really a When-Issued Premium?

We use a unique set of equities in the when-issued market to provide new tests of the law of one price in financial markets. We compare the prices of when-issued and regular-way shares of publicly-traded subsidiaries and their parents around the time the subsidiaries are fully divested. In contrast to prior analyses of when-issued trading in equity markets, we find that the when-issued shares of the subsidiary trade at a discount. Some of the pricing differences stem from measurement factors such as exchange location and bid-ask clustering that bias the observed when-issued pricing differential away from zero. The remaining difference between the when-issued and regular-way prices is due to asymmetric movements in bid and ask quotes in the two markets. We also find evidence of temporary price pressures on the date of execution of the spinoff of the subsidiary firms that bear resemblance to the pricing in the when-issued market. We interpret the evidence as consistent with the law of one price in the presence of transaction costs

Two-Component Direct Fluorescent-Antibody Assay for Rapid Identification of Bacillus anthracis

A two-component direct fluorescent-antibody (DFA) assay, using fluorescein-labeled monoclonal antibodies specific to the Bacillus anthracis cell wall (CW-DFA) and capsule (CAP-DFA) antigens, was evaluated and validated for rapid identification of B. anthracis. We analyzed 230 B. anthracis isolates; 228 and 229 were positive by CW-DFA and CAP-DFA assays, respectively. We also tested 56 non–B. anthracis strains; 10 B. cereus and 2 B. thuringiensis were positive by the CW-DFA assay, and 1 B. megaterium strain was positive by CAP-DFA. Analysis of the combined DFA results identified 227 of 230 B. anthracis isolates; all 56 strains of the other Bacillus spp. were negative. Both DFA assays tested positive on 14 of 26 clinical specimens from the 2001 anthrax outbreak investigation. The two-component DFA assay is a sensitive, specific, and rapid confirmatory test for B. anthracis in cultures and may be useful directly on clinical specimens

Delayed Toxicity Associated with Soluble Anthrax Toxin Receptor Decoy-Ig Fusion Protein Treatment

Soluble receptor decoy inhibitors, including receptor-immunogloubulin (Ig) fusion proteins, have shown promise as candidate anthrax toxin therapeutics. These agents act by binding to the receptor-interaction site on the protective antigen (PA) toxin subunit, thereby blocking toxin binding to cell surface receptors. Here we have made the surprising observation that co-administration of receptor decoy-Ig fusion proteins significantly delayed, but did not protect, rats challenged with anthrax lethal toxin. The delayed toxicity was associated with the in vivo assembly of a long-lived complex comprised of anthrax lethal toxin and the receptor decoy-Ig inhibitor. Intoxication in this system presumably results from the slow dissociation of the toxin complex from the inhibitor following their prolonged circulation. We conclude that while receptor decoy-Ig proteins represent promising candidates for the early treatment of B. anthracis infection, they may not be suitable for therapeutic use at later stages when fatal levels of toxin have already accumulated in the bloodstream

Anthrax Toxin Receptor 2 Determinants that Dictate the pH Threshold of Toxin Pore Formation

The anthrax toxin receptors, ANTXR1 and ANTXR2, act as molecular clamps to prevent the protective antigen (PA) toxin subunit from forming pores until exposure to low pH. PA forms pores at pH ∼6.0 or below when it is bound to ANTXR1, but only at pH ∼5.0 or below when it is bound to ANTXR2. Here, structure-based mutagenesis was used to identify non-conserved ANTXR2 residues responsible for this striking 1.0 pH unit difference in pH threshold. Residues conserved between ANTXR2 and ANTXR1 that influence the ANTXR2-associated pH threshold of pore formation were also identified. All of these residues contact either PA domain 2 or the neighboring edge of PA domain 4. These results provide genetic evidence for receptor release of these regions of PA as being necessary for the protein rearrangements that accompany anthrax toxin pore formation