Back from beyond the bid-ask spread: perspectives on liquidity

Research into the topic of liquidity has greatly benefited from the availability of data. Although bid-ask spreads were inaccessible to researchers, Roll (1984) provided a conceptual model that estimated the effective bid-ask prices from regular time series data, recorded on a daily or longer interval. Later data availability improved and researchers were able to address questions regarding the factors that influenced the spreads and the relationship between spreads and risk, return and liquidity. More recently transaction data have been used to measure the effective spread and researchers have been able to refine the concepts of liquidity to include the impact of transactions on price movements (Clayton and McKinnon, 2000) on a trade-by-trade analysis. This paper aims to use techniques that combine elements from all three approaches and, by studying US data over a relatively long time period, to throw light on earlier research as well as to reveal the changes in liquidity over the period controlling for extraneous factors such as market, age and size of REIT. It also reveals some comparable results for the UK market over the same period.

Back from beyond bid-ask spread: estimating liquidity in international markets

Research on the topic of liquidity has greatly benefited from the improved availability of data. Researchers have addressed questions regarding the factors that influence bid-ask spreads and the relationship between spreads and risk, return and liquidity. Intra-day data have been used to measure the effective spread and researchers have been able to refine the concepts of liquidity to include the price impact of transactions on a trade-by-trade analysis. The growth in the creation of tax-transparent securities has greatly enhanced the visibility of securitized real estate, and has naturally led to the question of whether the increased visibility of real estate has caused market liquidity to change. Although the growth in the public market for securitized real estate has occurred in international markets, it has not been accompanied by universal publication of transaction data. Therefore this paper develops an aggregate daily data-based test for liquidity and applies the test to US data in order to check for consistency with the results of prior intra-day analysis. If the two approaches produce similar results, we can apply the same technique to markets in which less detailed data are available and offer conclusions on the liquidity of a wider set of markets.

Translation of Longus: 'Daphnis and Chloe'

A translation into English of 'Daphnis and Chloe', the ancient Greek novel by Longus.

Barbara Torelli Benedetti, Partenia, a pastoral play. A bilingual edition edited with notes and translation

This edition presents for the first time in print what is probably the earliest known secular, 'regular' play by a woman in Italy. As suggested in the introduction to the work, Torelli's play offers a fascinating example of female dramaturgy and creative adaptation of the pastoral genre in the context of late sixteenth-century Parma. Critical textual study is combined with new biographical material on the author and her literary milieu. The edition provides the first detailed palaeographical study of the complex Cremona manuscript of the play, which unusually includes emendations thought to be in the hand of the author herself (besides others). The transcription also describes for the first time in detail a newly discovered second manuscript of the play in Rome. The play-text is presented in the original Italian with a new facing English translation. Also included is the first transcription of the paratextual verse from the Cremona manuscript and the first transcribed collection of the author’s extant verse (both with translation).

Translating Lucretia: word, image and 'ethical non-indifference' in Simon de Hesdin's translation of Valerius Maximus's 'Facta et dicta memorabilia'

An analysis of how illustrations functioned as a distinctive and important aspect of the translation of Latin versions of the story of the rape and suicide of Lucretia into Middle French texts, especially the 'Faits et dits memorables' (a translation-adaptation of Valerius Maximus's 'Facta et dicta memorabilia'). The study focuses on a selection of 14th- and 15th- century illuminations, and proposes also that the early modern 'Lucretia' portrait tradition should be viewed in the context of these images.