The Liquidity-Augmented CAPM: Empirical evidence from the JSE

This study replicates the two-factor Liquidity-Augmented CAPM of Liu (2006) on the JSE over the period 1997–2011. To adjust any risk measures for the downward bias consistent with infrequently traded shares, Fowler and Rorke (1983)’s adjusted OLS coefficients are utilised. Liu’s paper defines liquidity according to the relatively unexplored dimension of trading speed. Measured as a combination of the number of zero daily trades and turnover, this liquidity variable captures the ability of investors to move in and out of positions quickly. The two-factor model is tested against the ordinary CAPM as well as the Fama and French three-factor model in its ability to accurately explain the premiums previously documented with pre-sorted size, value, liquidity, and Beta portfolios. The results are supportive of the two-factor model. The study demonstrates that illiquidity is associated with higher levels of excess returns and that this relationship cannot be captured with the CAPM or the Fama and French three-factor models. Not only does the two-factor model accurately capture the cross-section of returns of liquidity sorted shares, it is also able to better explain the value premium than the other two models. There does not appear to be any size premium over the sample period, although the SMB risk factor is still able to explain some variation in the cross-section of returns. This indicates that although size does seem to proxy for some risk, it is not a priced risk. Most notably, shares sorted according to pre-ranking Beta generate the opposite relationship to what is predicted by the CAPM. There is a consistent and monotonically increasing premium from the high Beta portfolio to the low Beta portfolio. This anomaly cannot be explained by any of the three models

The refolding of riboflavin binding protein

Hen egg riboflavin binding protein (RfBP) acts as a source of riboflavin to the developing embryo. It is the most abundant vitamin binding protein in the egg white. Mutations giving rise to a lack of RfBP lead to embryo death at approximately 13 days. RfBP binds riboflavin tightly in a 1:1 ratio. On formation of this complex, the fluorescence of riboflavin is completely quenched; this quenching is thought to be due to the stacking of aromatic groups within the hydrophobic binding pocket. This quenching provides a convenient assay for the integrity of the riboflavin-binding site of the protein. RfBP consists of a single polypeptide chain of 219 amino acids of molecular mass 29.2 kDa. RfBP undergoes a number of post-translational modifications, namely: the formation of nine disulphide bonds, extensive glycosylation on Asn 36 and Asn 147, and the phosphorylation of eight serine side chains from between Ser 186 and Ser 197. The unfolding and refolding of RfBP was studied by denaturing in 6M guanidium chloride, followed by dilution in buffer, to start refolding. The processes were followed by both steady-state and stopped-flow circular dichroism and fluorescence spectroscopy. RfBP was found to readily unfold and refold, provided the disulphide bonds were intact. The regain of secondary structure was found to be too rapid to measure by the methods available (<12msec). The regain of tertiary structure was found to consist of 4 main phases, and a large proportion (80%) of the tertiary structure formed within 2 msec. The regain of riboflavin binding ability was complete at the end of the second phase, a reaction with a half-life of around 30 msec. In the presence and absence of riboflavin, the kinetics for the first 3 stages of tertiary structure changes seemed to be identical. In the presence of riboflavin, however, seemed to impede the completion of the final, very slow stage, with the refolding reaction only going to 95% completion. The dephosphorylation of the protein seemed to have no affect on this process. When the 9 disulphide bonds are reduced however, RfBP is unable to spontaneously reoxidise to a native-like state in the presence of an oxidised/reduced glutathione redox system. However, the addition of protein disulphide isomerase to the system increases significantly the yield of successfully reoxidised RfBP to about 50%. Attempts to prepare deglycosylated RfBP by chemical methods were unsuccessful since the treatment led to fragmentation of the polypeptide chain

A Comprehensive Study of Extramural Venous Invasion in Colorectal Cancer

Peer reviewedPublisher PD

Network sensitivity to geographical configuration

Gravitational wave astronomy will require the coordinated analysis of data from the global network of gravitational wave observatories. Questions of how to optimally configure the global network arise in this context. We have elsewhere proposed a formalism which is employed here to compare different configurations of the network, using both the coincident network analysis method and the coherent network analysis method. We have constructed a network model to compute a figure-of-merit based on the detection rate for a population of standard-candle binary inspirals. We find that this measure of network quality is very sensitive to the geographic location of component detectors under a coincident network analysis, but comparatively insensitive under a coherent network analysis.Comment: 7 pages, 4 figures, accepted for proceedings of the 4th Edoardo Amaldi conference, incorporated referees' suggestions and corrected diagra

Numerical wave optics and the lensing of gravitational waves by globular clusters

We consider the possible effects of gravitational lensing by globular clusters on gravitational waves from asymmetric neutron stars in our galaxy. In the lensing of gravitational waves, the long wavelength, compared with the usual case of optical lensing, can lead to the geometrical optics approximation being invalid, in which case a wave optical solution is necessary. In general, wave optical solutions can only be obtained numerically. We describe a computational method that is particularly well suited to numerical wave optics. This method enables us to compare the properties of several lens models for globular clusters without ever calling upon the geometrical optics approximation, though that approximation would sometimes have been valid. Finally, we estimate the probability that lensing by a globular cluster will significantly affect the detection, by ground-based laser interferometer detectors such as LIGO, of gravitational waves from an asymmetric neutron star in our galaxy, finding that the probability is insignificantly small.Comment: To appear in: Proceedings of the Eleventh Marcel Grossmann Meetin

Herbicide Trials on Field Crops 1991

Herbicidal weed control is economically important for production of field crops. Field experiments are conducted annually in Arkansas to evaluate the activity of developmental ancommercial herbicides for selective control of weeds in several important crops. These experiments serve both industry and Arkansas agriculture by providing information on the selectivity of herbicides still in the developmental stage and by comparing the activity of these new herbicides with that of recommended herbicides

Cinderella Services in the NHS Internal Market:Does Contracting Make a Difference?

This paper examines the impact of the NHS internal market reforms on an aspect of equity in the British system that features little in recent policy commentary: the allocation of resources between acute services for the entire population and nonacute services for the elderly, the mentally ill, and the disabled (the so-called Cinderella services). The authors\u27 research on health planning and contracting in the NHS in Wales suggests that patterns of services have remained largely unchanged, and that pressures in the reformed system, such as the Patient\u27s Charter initiative, prevent any major reallocation of resources away from the acute sector. Given the ineffectiveness of the contract mechanism in changing funding patterns, the authors consider whether the wider NHS reforms have nevertheless extended the legal remedies available to patients from the Cinderella groups faced with inadequate services. Recent cases suggest that, while the courts are reassessing the principles applied in reviewing administrative action affecting the allocation of health care resources, it is patients requiring acute care who are most likely to benefit. The authors conclude that, in terms of progress towards a more equitable distribution of resources between sectors, the NHS internal market is not a good model for other nations to emulate