Essays on Stock Liquidity

This thesis consists of three main empirical chapters on the effect of stock liquidity on exchange markets. The first (Chapter 2) investigates the pricing ability of an illiquidity measure, namely the Amihud measure (Amihud, 2002), in different sample periods. The second (Chapter 3) determines the causal link between two well-known market quality factors liquidity and idiosyncratic volatility adopting two-stage least squares methodology (2SLS). The last empirical chapter (Chapter 4) revisits the limits to arbitrage theory and studies the link between stock liquidity and momentum anomaly profit, employing the difference-in-differences approach. The overall contribution of this thesis is to employ causal techniques in the context of asset pricing in order to eliminate potential endogeneity problems while investigating the relation between stock liquidity and exchange markets. Chapter 2 investigates whether the Amihud measure is priced differently if the investor is optimistic or, conversely, pessimistic about the future of the stock markets.The results of the chapter show that Amihud measure is priced in the low-sentiment period and that there is illiquidity premium when investor sentiment is low. Chapter 3 studies whether a change in stock liquidity has an impact on idiosyncratic volatility, employing causal techniques. Prior studies investigate the link between liquidity and idiosyncratic volatility but none focus on the potential problem of reverse causality. To overcome this reverse causality problem, I use the exogenous event of decimalisation as an instrumental variable and employ two-stage least squares approach to identify the impact of liquidity on idiosyncratic volatility. The results of the chapter suggest that an increase in illiquidity causes an increase in idiosyncratic volatility. As an additional result, my study shows that reduction in the tick size as a result of decimalisation improves firm-level stock liquidity. Chapter 4 examines whether liquid stocks earn more momentum anomaly profits compare to illiquid stocks, using the implementation of different tick sizes for different price ranges in the American Stock Exchange (AMEX) between February 1995 and April 1997. This programme provides a plausibly exogenous variation to disentangle the endogeneity issue and allows me to examine the impact of liquidity on momentum, by clearly exploiting the difference-in-difference framework. The results of the chapter show that liquid stocks earn more momentum profit than illiquid stocks

Profit Persistence in Energy Industry: A Comparison Between Listed and Unlisted Companies

In this paper, we examine the profit persistency for energy industry around the world during the sample period between 2010 and 2016. We distinguish our dataset into two groups: the listed and unlisted companies to see whether these groups show a different pattern. Profit is measured using four different proxies; namely, return on asset, return on equity, return on capital employed and profit margin. The results of this study indicates that profits do not persist. where it means that competition in the energy industry is high. In addition, the competition is found to be higher in listed companies compare to unlisted companies. Keywords: Profit Persistence, Listed and Unlisted Companies, Energy Industry JEL Classifications: G30, L10, C2

Enhanced heat resistance of Listeria innocua as a surrogate of Listeria monocytogenes after sublethal heat treatment

Abstract Its ability to survive under different environmental conditions makes Listeria monocytogenes a critical concern for food safety. When the microorganisms are exposed to sublethal heat treatment above their optimum growth temperature, they increase stress adaptation for further heat treatments. In order to investigate heat stress resistance of L. monocytogenes, L. innocua as a surrogate was exposed to sublethal heat at 46 °C for 30 and 60 min, prior to heat treatment at 60 °C. There was no significant difference in D60°C values between samples exposed to sublethal heat for 30 min and non-pre-heat-treated samples (control) (P > 0.05). In comparison, sublethal heat treatment for 60 min caused a significant increase in D60°C values compared to control samples (P < 0.05). Additionally, cluster analysis of mass spectra obtained from MALDI-TOF was analysed by discriminant analysis of principal components (DAPC) for sublethal heat treatment at 46 °C for 30 min and control group to check stress response at the proteomic level. However, differentiation of stress responses by distinct clusters was not revealing

Expression of phosphate and calcium transporters and their regulators in parotid glands of mice

The concentration of inorganic phosphate (Pi) in plasma is under hormonal control, with deviations from normal values promptly corrected to avoid hyper- or hypophosphatemia. Major regulators include parathyroid hormone (PTH), fibroblast growth factor 23 (FGF-23), and active vitamin D$_{3}$ (calcitriol). This control is achieved by mechanisms largely dependent on regulating intestinal absorption and renal excretion, whose combined actions stabilise plasma Pi levels at around 1–2 mM. Instead, Pi concentrations up to 13 and 40 mM have been measured in saliva from humans and ruminants, respectively, suggesting that salivary glands have the capacity to concentrate Pi. Here we analysed the transcriptome of parotid glands, ileum, and kidneys of mice, to investigate their potential differences regarding the expression of genes responsible for epithelial transport of Pi as well as their known regulators. Given that Pi and Ca$^{2+}$ homeostasis are tightly connected, the expression of genes involved in Ca$^{2+}$ homeostasis was also included. In addition, we studied the effect of vitamin D$_{3}$ treatment on the expression of Pi and Ca$^{2+}$ regulating genes in the three major salivary glands. We found that parotid glands are equipped preferentially with Slc20 rather than with Slc34 Na$^{+}$/Pi cotransporters, are suited to transport Ca$^{2+}$ through the transcellular and paracellular route and are potential targets for PTH and vitamin D$_{3}$ regulation

A novel mouse model for familial hypocalciuric hypercalcemia (FHH1) reveals PTH-dependent and independent CaSR defects

The Calcium-sensing receptor (CaSR) senses extracellular calcium, regulates parathyroid hormone (PTH) secretion, and has additional functions in various organs related to systemic and local calcium and mineral homeostasis. Familial hypocalciuric hypercalcemia type I (FHH1) is caused by heterozygous loss-of-function mutations in the CaSR gene, and is characterized by the combination of hypercalcemia, hypocalciuria, normal to elevated PTH, and facultatively hypermagnesemia and mild bone mineralization defects. To date, only heterozygous Casr null mice have been available as model for FHH1. Here we present a novel mouse FHH1 model identified in a large ENU-screen that carries an c.2579 T > A (p.Ile859Asn) variant in the Casr gene (Casr$^{BCH002}$ mice). In order to dissect direct effects of the genetic variant from PTH-dependent effects, we crossed Casr$^{BCH002}$ mice with PTH deficient mice. Heterozygous Casr$^{BCH002}$ mice were fertile, had normal growth and body weight, were hypercalcemic and hypermagnesemic with inappropriately normal PTH levels and urinary calcium excretion replicating some features of FHH1. Hypercalcemia and hypermagnesemia were independent from PTH and correlated with higher expression of claudin 16 and 19 in kidneys. Likewise, reduced expression of the renal TRPM6 channel in Casr$^{BCH002}$ mice was not dependent on PTH. In bone, mutations in Casr rescued the bone phenotype observed in Pth null mice by increasing osteoclast numbers and improving the columnar pattern of chondrocytes in the growth zone. In summary, Casr$^{BCH002}$ mice represent a new model to study FHH1 and our results indicate that only a part of the phenotype is driven by PTH

Benchmark problem definition and cross-validation for characteristic mode solvers

In October 2016, the Special Interest Group on Theory of Characteristic Modes (TCM) initiated a coordinated effort to perform benchmarking work for characteristic mode (CM) analysis. The primary purpose is to help improve the reliability and capability of existing CM solvers and to provide the means for validating future tools. Significant progress has already been made in this joint activity. In particular, this paper describes several benchmark problems that were defined and analyzes some results from the cross-validations of different CM solvers using these problems. The results show that despite differences in the implementation details, good agreement is observed in the calculated eigenvalues and eigencurrents across the solvers. Finally, it is concluded that future work should focus on understanding the impact of common parameters and output settings to further reduce variability in the results