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.

Effect of linseed oil and fish oil alone or as an equal mixture of ruminal fatty acid metabolism in growing steers fed maize silage-based diets

Based on the potential benefits to human health there is interest in increasing 18:3n-3, 20:5n-3, 22:6n-6, and cis-9,trans-11 conjugated linoleic acid (CLA) in ruminant foods. Four Aberdeen Angus steers (406 ± 8.2 kg BW) fitted with rumen and duodenal cannulae were used in a 4 x 4 Latin square experiment with 21 d periods to examine the potential of fish oil (FO) and linseed oil (LO) in the diet to increase ruminal outflow of trans-11 18:1 and total n-3 polyunsaturated fatty acids (PUFA) in growing cattle. Treatments consisted of a control diet (60:40; forage:concentrate ratio, on a DM basis, respectively) based on maize silage, or the same basal ration containing 30 g/kg DM of FO, LO or a mixture (1:1, w/w) of FO and LO (LFO). Diets were offered as total mixed rations and fed at a rate of 85 g DM/kg BW0.75/d. Oils had no effect (P = 0.52) on DM intake. Linseed oil had no effect (P > 0.05) on ruminal pH or VFA concentrations, while FO shifted rumen fermentation towards propionate at the expense of acetate. Compared with the control, LO increased (P < 0.05) 18:0, cis 18:1 (Δ9, 12-15), trans 18:1 (Δ4-9, 11-16), trans 18:2, geometric isomers of ∆9,11, ∆11,13, and ∆13,15 CLA, trans-8,cis-10 CLA, trans-10,trans-12 CLA, trans-12,trans-14 CLA, and 18:3n-3 flow at the duodenum. Inclusion of FO in the diet resulted in higher (P < 0.05) flows of cis-9 16:1, trans 16:1 (Δ6-13), cis 18:1 (Δ9, 11, and 13), trans 18:1 (Δ6-15), trans 18:2, 20:5n-3, 22:5n-3, and 22:6n-3, and lowered (P < 0.001) 18:0 at the duodenum relative to the control. For most fatty acids at the duodenum responses to LFO were intermediate of FO and LO. However, LFO resulted in higher (P = 0.04) flows of total trans 18:1 than LO and increased (P < 0.01) trans-6 16:1 and trans-12 18:1 at the duodenum compared with FO or LO. Biohydrogenation of cis-9 18:1 and 18:2n-6 in the rumen was independent of treatment, but both FO and LO increased (P < 0.001) the extent of 18:3n-3 biohydrogenation compared with the control. Ruminal 18:3n-3 biohydrogenation was higher (P < 0.001) for LO and LFO than FO, while biohydrogenation of 20:5n-3 and 22:6n-3 in the rumen was marginally lower (P = 0.05) for LFO than FO. In conclusion, LO and FO at 30 g/kg DM altered the biohydrogenation of unsaturated fatty acids in the rumen causing an increase in the flow of specific intermediates at the duodenum, but the potential of these oils fed alone or as a mixture to increase n-3 PUFA at the duodenum in cattle appears limited.

Diallyl disulphide, a beneficial component of garlic oil, causes a redistribution of cell-cycle growth phases, induces apoptosis and enhances butyrate-induced apoptosis in colorectal adenocarcinoma cells (HT-29)

Colon cancer is a leading and expanding cause of death worldwide. A major contributory factor to this disease is diet composition; some components are beneficial (e.g. dietary fibre) whilst others are detrimental (e.g. alcohol). Garlic oil is a prominent dietary constituent that prevents the development of colorectal cancer. This effect is believed to be mainly due to diallyl disulphide (DADS), which selectively induces redox stress in cancerous (rather than normal) cells which leads to apoptotic cell death. However, the detailed mechanism by which DADS causes apoptosis remains unclear. We show that DADS-treatment of colonic adenocarcinoma cells (HT-29) initiates a cascade of molecular events characteristic of apoptosis. These include a decrease in cellular proliferation, translocation of phosphatidylserine to the plasma-membrane outer-layer, activation of caspase-3, genomic-DNA fragmentation and G2/M phase cell-cycle arrest. Short-chain fatty acids (SCFAs), particularly butyrate (abundantly produced in the gut by bacterial fermentation of dietary polysaccharides), enhance colonic cell integrity but, in contrast, inhibit colonic-cancer cell growth. Combining DADS with butyrate augmented the effect of butyrate on HT-29 cells. These results suggest that the anti-cancerous properties of DADS afford greater benefit when supplied with other favourable dietary factors (SCFA/polysaccharides) that likewise reduce colonic tumour development.

Effects of caffeic acid and bovine serum albumin in reducing the rate of development of rancidity in oil-in-water and water-in-oil emulsions

The antioxidant properties of caffeic acid and bovine serum albumin in oil-in-water and water-in-oil emulsions were studied. Caffeic acid (5 mmol/kg emulsion) showed good antioxidant properties in both 30% sunflower oil-in-water (OW) and 20% water-in-sunflower oil emulsions (WO), pH 5.4, during storage at 50 ºC. Although bovine serum albumin (BSA) (0.2%) had a slight antioxidant effect, the combination of caffeic acid and BSA showed a synergistic reduction in the rate of development of rancidity, with significant reductions in concentration of total volatiles, peroxide value (PV) and p-anisidine value (PA) for both emulsion types. The synergistic increase in stability of the OW and WO emulsions containing BSA and caffeic acid was 102.9 and 50.4 % respectively based on TOTOX values, which are calculated as 2PV + PA, with greater synergy calculated if based on formation of headspace volatiles, The OW emulsion was more susceptible to the development of headspace volatiles by oxidation than the WO emulsion, even though the degree of oxidation assessed by the TOTOX value was similar.

DHA-rich fish oil reverses the detrimental effects of saturated fatty acids on postprandial vascular reactivity

Background: Experimental elevation of nonesterified fatty acids (NEFAs) impairs endothelial function, but the effect of NEFA composition is unknown. Objective: The objective was to test the effect of acute elevation of NEFAs enriched with either saturated fatty acids (SFAs) or SFAs with long-chain (LC) n−3 (omega-3) PUFAs on vascular function measured via flow-mediated dilatation (FMD), laser Doppler iontophoresis (LDI), and digital volume pulse (DVP). Design: In 59 subjects (30 men and 29 women), repeated oral fat feeding of either palm stearin (SFA) or palm stearin with DHA-rich fish oil (SFA + LC n−3 PUFA) was performed on 2 separate occasions with continuous heparin infusion to elevate NEFAs for a duration of 60 to 240 min. Vascular function was measured at baseline and at the end of NEFA elevation; venous blood was collected for measurement of lipids and circulating markers of endothelial function. Results: NEFA elevation during consumption of the SFA-rich drinks was associated with a marked impairment of FMD, whereas consumption of SFAs + LC n−3 PUFAs improved FMD response, with a mean (±SEM) difference of 2.06 ± 0.29% (P < 0.001). Positive correlations were found with percentage weight of LC n−3 PUFAs in circulating NEFAs and change in FMD response [Spearman's rho (rs) = 0.460, P < 0.001]. LDI measures increased during both treatments (P ≤ 0.026), and there was no change in DVP indexes. Conclusions: The composition of NEFAs can acutely affect FMD. The beneficial effect of LC n−3 PUFAs on postprandial vascular function warrants further investigation but may be mediated by nitric oxide–independent mechanisms. This trial is registered at clinicaltrials.gov as NCT01351324.