Pairs trading in the UK equity market: risk and return

In this paper, we provide the first comprehensive UK evidence on the profitability of the pairs trading strategy. Evidence suggests that the strategy performs well in crisis periods, so we control for both risk and liquidity to assess performance. To evaluate the effect of market frictions on the strategy, we use several estimates of transaction costs. We also present evidence on the performance of the strategy in different economic and market states. Our results show that pairs trading portfolios typically have little exposure to known equity risk factors such as market, size, value, momentum and reversal. However, a model controlling for risk and liquidity explains a far larger proportion of returns. Incorporating different assumptions about bid-ask spreads leads to reductions in performance estimates. When we allow for time-varying risk exposures, conditioned on the contemporaneous equity market return, risk-adjusted returns are generally not significantly different from zero.

Stabilisation of dehydrated nanoemulsions using sugar - protein matrices

There are numerous review papers discussing liquid nanoemulsions and how they compare to other emulsion systems. Little research is available on dried nanoemulsions. The objectives of this research were to (i) study the effect of varying the continuous phase of nanoemulsions with different carbohydrate/protein ratios on subsequent emulsion stability, and (ii) compare the physicochemical properties, lactose crystallisation properties, microstructure, and lipid oxidation of spray dried nanoemulsions compared to spray dried conventional emulsions having different water and sugar contents. Nanoemulsions containing sunflower oil (10% w/w), β-casein (2.5–10% w/w) and lactose or trehalose (10–17.5%) were produced following optimisation of the continuous phase by maximising and minimising viscosity and glass transition temperature (Tg’) using mixture design software. Increasing levels of β-casein from caused a significant increase in viscosity, particle size, and nanoemulsion stability, while resulting in a decrease in Tg’. Powders were made from spray drying emulsions/nanoemulsions consisting of lactose or a 70:30 mixture of lactose:sucrose (23.9%), sodium caseinate (5.1%) and sunflower oil (11.5%) in water. Nanoemulsions, produced by microfluidisation (100 MPa), had higher stability and lower viscosity than control emulsions (homogenization at 17 MPa) with lower solvent extractable free fat in the resulting powder. Partial replacement of lactose with sucrose decreased Tg and delayed Tcr. DVS and PLM showed that in powdered nanoemulsions, lactose crystallises faster than in powdered conventional emulsions. Microstructure of both powders (CLSM and cryo-SEM) showed different FGS in powders and different structure post lactose crystallisation. Powdered nanoemulsions had lower pentanal and hexanal (indicators of lipid oxidation) after 24 months storage due to their lower free fat and porosity, measured using a validated GC HS-SPME method, This research has shown the effect of altering the continuous phase of nanoemulsions on microstructure of spray dried nanoemulsions, which affects physical properties, sugar crystallisation, and lipid oxidation.