Rating agency actions and the pricing of debt and equity of European banks: What can we infer about private sector monitoring of bank soundness?

The recent consultative papers by the Basel Committee suggest an explicit role for external rating agencies in the assessment of the credit risk of banks' assets. In this context, an assessment of the information contained in credit ratings is important. We address this issue via an event study of rating change announcements by leading international rating agencies, focussing on a sample of European banks. We find no evidence of announcement effects on bond prices. We are largely able to exclude lack of liquidity as an explanation for this puzzling result and suggest some alternatives, such as 'too-big-to-fail.' For equity prices, we find strong effects of unexpected ratings changes and confirm prior evidence that stock prices may react very differently to ratings downgrades, depending on the underlying reason. Overall, our results suggest that ratings agencies may perform a useful role in summarising and obtaining non-public information on banks, at least for stockholders. JEL Classification: G21, G14, G18

htsint: a Python library for sequencing pipelines that combines data through gene set generation

Background: Sequencing technologies provide a wealth of details in terms of genes, expression, splice variants, polymorphisms, and other features. A standard for sequencing analysis pipelines is to put genomic or transcriptomic features into a context of known functional information, but the relationships between ontology terms are often ignored. For RNA-Seq, considering genes and their genetic variants at the group level enables a convenient way to both integrate annotation data and detect small coordinated changes between experimental conditions, a known caveat of gene level analyses. Results: We introduce the high throughput data integration tool, htsint, as an extension to the commonly used gene set enrichment frameworks. The central aim of htsint is to compile annotation information from one or more taxa in order to calculate functional distances among all genes in a specified gene space. Spectral clustering is then used to partition the genes, thereby generating functional modules. The gene space can range from a targeted list of genes, like a specific pathway, all the way to an ensemble of genomes. Given a collection of gene sets and a count matrix of transcriptomic features (e.g. expression, polymorphisms), the gene sets produced by htsint can be tested for 'enrichment' or conditional differences using one of a number of commonly available packages. Conclusion: The database and bundled tools to generate functional modules were designed with sequencing pipelines in mind, but the toolkit nature of htsint allows it to also be used in other areas of genomics. The software is freely available as a Python library through GitHub at https://github.com/ajrichards/htsint

The Cost of Equity Capital in Australia: What Can We Learn from International Equity Returns?

This paper reviews some evidence on the cost of equity capital in Australia and overseas. Two conventional approaches yield conflicting results. A third approach, based on the International Asset Pricing Model, starts from the premise that Australian equities are part of a world market, and hence must be priced in a manner that reflects their risk in an international context. There is evidence that Australian stockmarket returns show more risk than would be justified by the relatively low debt/equity ratios of Australian companies. Furthermore, real earnings in Australia appear to have been relatively risky when measured against the benchmark of world earnings. If there is more risk in the Australian economy, it is possible that the cost of equity is higher in Australia than overseas.

Larval dispersion along a straight coast with tidal currents: Complex distribution patterns from a simple model

Copyright © 1995 Inter-Research.The majority of marine species have a complex life cycle where the adult phase is preceded by a pelagic larval phase. The dynamics of the more obvious adult phase may be strongly influenced by the distribution and abundance of larvae. Field experiments have been unable to give a complete picture of the spatial-temporal dynamics of the larval phase. This is due to the extremely small size of the individual larvae and the environment in which they live. Here we present a mathematical model of the dispersal of larvae into a region consisting of a straight coastline and a current dominated by tidal effects. Spawning is near the coast from a well-defined site the size of a small jetty or reef and the larvae have a relatively short pelagic lifetime. The model is based on the advection-diffusion-mortality equation. Using a new analytic solution to the model, we examine the effect of processes such as the current structure, mortality, and the duration and rate at which larvae are released, on dispersal. The model is relatively simple but produces surprisingly complex patterns of dispersal. This has implications for attempts to produce more complex models of dispersal and the way in which field data of larval densities should be interpreted.S. A. Richards, H. P. Possingham, B. J. Noy

Spectroscopy of Broad Line Blazars from 1LAC

We report on optical spectroscopy of 165 Flat Spectrum Radio Quasars (FSRQs) in the Fermi 1LAC sample, which have helped allow a nearly complete study of this population. Fermi FSRQ show significant evidence for non-thermal emission even in the optical; the degree depends on the gamma-ray hardness. They also have smaller virial estimates of hole mass than the optical quasar sample. This appears to be largely due to a preferred (axial) view of the gamma-ray FSRQ and non-isotropic (H/R ~ 0.4) distribution of broad-line velocities. Even after correction for this bias, the Fermi FSRQ show higher mean Eddington ratios than the optical population. A comparison of optical spectral properties with Owens Valley Radio Observatory radio flare activity shows no strong correlation.Comment: Accepted for publication in Ap

A Complexity Analysis of Smart Pixel Switching Nodes for Photonic Extended Generalized Shuffle Switching Networks

This paper studies the architectural tradeoffs found in the use of smart pixels for nodes within photonic switching interconnection networks are discussed. The particular networks of interest within the analysis are strictly nonblocking extended generalized shuffle (EGS) networks. Several performance metrics are defined for the analysis, and the effect of node size on these metrics is studied. Optimum node sizes are defined for each of the performance metrics and system-level limitations are identified

Measurement of viscous sound absorption at 50-150 kHz in a model turbid environment

The visco-thermal absorption of sound by suspended particulate matter can be reliably measured using a reverberation technique. This absorption may have an adverse effect on the performance of sonars operating at 50–300 kHz in coastal waters where suspensions are often present in significant concentrations. A series of experiments has been performed to study the viscous absorption by suspensions in the frequency range of 50–150 kHz. In the test volumes employed, the effect is small. It is therefore measured by taking the difference in reverberation times of a volume of water with and without particles. This greatly reduces the effect on the measurement of the other sources of absorption. Even so, it is necessary to design the experiment to characterize and minimize acoustic losses which occur at the surfaces of the container, the hydrophones, and their cables, and losses associated with bubbles and turbulence. These effects are discussed and results for particulate absorption for suspensions of spherical glass beads are presented and compared to theoretical predictions. Measured absorption agrees well with that predicted by theory for concentrations above 0.5 kg/m3 and up to 2.0 kg/m

The dual endothelin converting enzyme/neutral endopeptidase inhibitor SLV-306 (daglutril), inhibits systemic conversion of big endothelin-1 in humans

Aims - Inhibition of neutral endopeptidases (NEP) results in a beneficial increase in plasma concentrations of natriuretic peptides such as ANP. However NEP inhibitors were ineffective anti-hypertensives, probably because NEP also degrades vasoconstrictor peptides, including endothelin-1 (ET-1). Dual NEP and endothelin converting enzyme (ECE) inhibition may be more useful. The aim of the study was to determine whether SLV-306 (daglutril), a combined ECE/NEP inhibitor, reduced the systemic conversion of big ET-1 to the mature peptide. Secondly, to determine whether plasma ANP levels were increased. Main methods - Following oral administration of three increasing doses of SLV-306 (to reach an average target concentration of 75, 300, 1200 ng ml− 1 of the active metabolite KC-12615), in a randomised, double blinded regime, big ET-1 was infused into thirteen healthy male volunteers. Big ET-1 was administered at a rate of 8 and 12 pmol kg− 1 min− 1 (20 min each). Plasma samples were collected pre, during and post big ET-1 infusion. ET-1, C-terminal fragment (CTF), big ET-1, and atrial natriuretic peptide (ANP) were measured. Key findings - At the two highest concentrations tested, SLV-306 dose dependently attenuated the rise in blood pressure after big ET-1 infusion. There was a significant increase in circulating big ET-1 levels, compared with placebo, indicating that SLV-306 was inhibiting an increasing proportion of endogenous ECE activity. Plasma ANP concentrations also significantly increased, consistent with systemic NEP inhibition. Significance - SLV-306 leads to inhibition of both NEP and ECE in humans. Simultaneous augmentation of ANP and inhibition of ET-1 production is of potential therapeutic benefit in cardiovascular disease

Limited antigenic diversity of Plasmodium falciparum apical membrane antigen 1 supports the development of effective multi-allele vaccines

BackgroundPolymorphism in antigens is a common mechanism for immune evasion used by many important pathogens, and presents major challenges in vaccine development. In malaria, many key immune targets and vaccine candidates show substantial polymorphism. However, knowledge on antigenic diversity of key antigens, the impact of polymorphism on potential vaccine escape, and how sequence polymorphism relates to antigenic differences is very limited, yet crucial for vaccine development. Plasmodium falciparum apical membrane antigen 1 (AMA1) is an important target of naturally-acquired antibodies in malaria immunity and a leading vaccine candidate. However, AMA1 has extensive allelic diversity with more than 60 polymorphic amino acid residues and more than 200 haplotypes in a single population. Therefore, AMA1 serves as an excellent model to assess antigenic diversity in malaria vaccine antigens and the feasibility of multi-allele vaccine approaches. While most previous research has focused on sequence diversity and antibody responses in laboratory animals, little has been done on the cross-reactivity of human antibodies.MethodsWe aimed to determine the extent of antigenic diversity of AMA1, defined by reactivity with human antibodies, and to aid the identification of specific alleles for potential inclusion in a multi-allele vaccine. We developed an approach using a multiple-antigen-competition enzyme-linked immunosorbent assay (ELISA) to examine cross-reactivity of naturally-acquired antibodies in Papua New Guinea and Kenya, and related this to differences in AMA1 sequence.ResultsWe found that adults had greater cross-reactivity of antibodies than children, although the patterns of cross-reactivity to alleles were the same. Patterns of antibody cross-reactivity were very similar between populations (Papua New Guinea and Kenya), and over time. Further, our results show that antigenic diversity of AMA1 alleles is surprisingly restricted, despite extensive sequence polymorphism. Our findings suggest that a combination of three different alleles, if selected appropriately, may be sufficient to cover the majority of antigenic diversity in polymorphic AMA1 antigens. Antigenic properties were not strongly related to existing haplotype groupings based on sequence analysis.ConclusionsAntigenic diversity of AMA1 is limited and a vaccine including a small number of alleles might be sufficient for coverage against naturally-circulating strains, supporting a multi-allele approach for developing polymorphic antigens as malaria vaccines