Risk exposures and international diversification: Evidence from iShares

We examine the newly developed international diversification instruments–iShares traded on the American Stock Exchange. Given the fact that iShares can be created and redeemed at will, the daily price of an iShare is expected to be equal to the daily portfolio value of the underlying assets in the home-country market. Therefore, theoretically, iShare pricing should be influenced by the risk from the iShare's home-country market and not the risk from the US market, per se. We evaluate the risk exposure of iShare prices to the US market (non-fundamental effect) as well as the home-country market (the fundamental effect). We find that most iShare returns are significantly influenced by and sensitive to the US market risk. Moreover, the US market appears to be the key permanent driving factor and the home-country market is a pronounced transitory driving force for iShare prices. These findings indicate the presence of limits of international arbitrage for iShares. As a result, the international diversification benefits of iShares become questionable.

Multipartite entanglement and quantum state exchange

We investigate multipartite entanglement in relation to the process of quantum state exchange. In particular, we consider such entanglement for a certain pure state involving two groups of N trapped atoms. The state, which can be produced via quantum state exchange, is analogous to the steady-state intracavity state of the subthreshold optical nondegenerate parametric amplifier. We show that, first, it possesses some 2N-way entanglement. Second, we place a lower bound on the amount of such entanglement in the state using a measure called the entanglement of minimum bipartite entropy.

A note on execution costs for stock index futures: Information versus liquidity effects

This paper examines execution costs and the impact of trade size for stock index futures using price-volume transaction data from the London International Financial Futures and Options Exchange. Consistent with Subrahmanyam [Rev. Financ. Stud. 4 (1991) 11] we find that effective half spreads in the stock index futures market are small compared to stock markets, and that trades in stock index futures have only a small permanent price impact. This result is important as it helps to better understand the success of equity index products such as index futures and Exchange Traded Funds. We also find that there is no asymmetry in the post-trade price reaction between purchases and sales for stock index futures across various trade sizes. This result is consistent with the conjecture in Chan and Lakonishok [J. Financ. Econ. 33 (1993) 173] that the asymmetry surrounding block trades in stock markets is due to the high cost of short selling and the general reluctance of traders to short sell on stock markets. (C) 2004 Elsevier B.V. All rights reserved.

Spin exchange and superconductivity in a t-J(')-V model for two-dimensional quarter-filled systems

The effect of antiferromagnetic spin fluctuations on two-dimensional quarter-filled systems is studied theoretically. An effective t-J(')-V model on a square lattice which accounts for checkerboard charge fluctuations and next-nearest-neighbor antiferromagnetic spin fluctuations is considered. From calculations based on large-N theory on this model it is found that the exchange interaction J(') increases the attraction between electrons in the d(xy) channel only, so that both charge and spin fluctuations work cooperatively to produce d(xy) pairing.

Regulation of albumin endocytosis by PSD95/Dlg/ZO-1 (PDZ) scaffolds - Interaction of Na+-H+ exchange regulatory factor-2 with ClC-5

The constitutive reuptake of albumin from the glomerular filtrate by receptor-mediated endocytosis is a key function of the renal proximal tubules. Both the Cl- channel ClC-5 and the Na+-H+ exchanger isoform 3 are critical components of the macromolecular endocytic complex that is required for albumin uptake, and therefore the cell-surface levels of these proteins may limit albumin endocytosis. This study was undertaken to investigate the potential roles of the epithelial PDZ scaffolds, Na+-H+ exchange regulatory factors, NHERF1 and NHERF2, in albumin uptake by opossum kidney ( OK) cells. We found that ClC-5 co-immunoprecipitates with NHERF2 but not NHERF1 from OK cell lysate. Experiments using fusion proteins demonstrated that this was a direct interaction between an internal binding site in the C terminus of ClC-5 and the PDZ2 module of NHERF2. In OK cells, NHERF2 is restricted to the intravillar region while NHERF1 is located in the microvilli. Silencing NHERF2 reduced both cell-surface levels of ClC-5 and albumin uptake. Conversely, silencing NHERF1 increased cell-surface levels of ClC-5 and albumin uptake, presumably by increasing the mobility of NHE3 in the membrane and its availability to the albumin uptake complex. Surface biotinylation experiments revealed that both NHERF1 and NHERF2 were associated with the plasma membrane and that NHERF2 was recruited to the membrane in the presence of albumin. The importance of the interaction between NHERF2 and the cytoskeleton was demonstrated by a significant reduction in albumin uptake in cells overexpressing an ezrin binding-deficient mutant of NHERF2. Thus NHERF1 and NHERF2 differentially regulate albumin uptake by mechanisms that ultimately alter the cell-surface levels of ClC-5.

DOSY NMR studies of chemical exchange behavior of poly(2-hydroxyethyl methacrylate)

PFG-NMR was used to study the chemical exchange of linear PHEMA having a range of molecular weights with water in DMSO containing varying quantities of water. The aim was to investigate the use of PFG-NMR to study chemical exchange between a polymer with exchangeable protons and a small fast diffusing molecule to provide insight into the conformation adopted by a polymer in solution. The experimental data were simulated closely for the two-site exchange case using the Bloch equations modified for chemical exchange and diffusion. The exchange rate could be used to detect changes in polymer conformation resulting from changes in the solvent. PHEMA of MW 10 000 showed significant time-dependent changes in exchange rate, resulting from preferential solvation of the OH sites by water, and subsequent conformational changes which altered accessibility of the OH sites to water. This behavior was not observed for larger MW PHEMA, which adopted a stable conformation immediately. Large changes in the exchange rate were not reflected in changes to the hydrodynamic radius, suggesting that a minimal overall change in the chain dimensions occurred. DMSO was found to be a poor solvent for PHEMA, which adopts a compact conformation in DMSO. This work has demonstrated that PFG-NMR is a sensitive method for detecting subtle changes in polymer conformation in polymers with exchangeable protons.