Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market

Systematic liquidity shocks should affect the optimal behavior of agents in financial markets. Indeed, fluctuations in various measures of liquidity are significantly correlated across common stocks. Accordingly, this paper empirically analyzes whether Spanish average returns vary cross-sectionally with betas estimated relative to two competing liquidity risk factors. The first one, proposed by Pastor and Stambaugh (2002), is associated with the strength of volume-related return reversals. Our marketwide liquidity factor is defined as the difference between returns highly sensitive to changes in the relative bid-ask spread and returns with low sensitivities to those changes. Our empirical results show that neither of these proxies for systematic liquidity risk seems to be priced in the Spanish stock market. Further international evidence is deserved.

A detailed investigation of classification methods for vowel speech imagery recognition

Accurate and fast decoding of speech imagery from electroencephalographic (EEG) data could serve as a basis for a new generation of brain computer interfaces (BCIs), more portable and easier to use. However, decoding of speech imagery from EEG is a hard problem due to many factors. In this paper we focus on the analysis of the classification step of speech imagery decoding for a three-class vowel speech imagery recognition problem. We empirically show that different classification subtasks may require different classifiers for accurately decoding and obtain a classification accuracy that improves the best results previously published. We further investigate the relationship between the classifiers and different sets of features selected by the common spatial patterns method. Our results indicate that further improvement on BCIs based on speech imagery could be achieved by carefully selecting an appropriate combination of classifiers for the subtasks involved.