The impact of liquidity on senior credit index spreads during the subprime crisis

This paper examines the effects of liquidity during the 2007–09 crisis, focussing on the Senior Tranche of the CDX.NA.IG Index and on Moody's AAA Corporate Bond Index. It aims to understand whether the sharp increase in the credit spreads of these AAA-rated credit indices can be explained by worse credit fundamentals alone or whether it also reflects a lack of depth in the relevant markets, the scarcity of risk-capital, and the liquidity preference exhibited by investors. Using cointegration analysis and error correction models, the paper shows that during the crisis lower market and funding liquidity are important drivers of the increase in the credit spread of the AAA-rated structured product, whilst they are less significant in explaining credit spread changes for a portfolio of unstructured credit instruments. Looking at the experience of the subprime crisis, the study shows that when the conditions under which securitisation can work properly (liquidity, transparency and tradability) suddenly disappear, investors are left highly exposed to systemic risk.

Cross-modal preference acquisition: evaluative conditioning of pictures by affective olfactory and auditory cues

In this research, a cross-model paradigm was chosen to test the hypothesis that affective olfactory and auditory cues paired with neutral visual stimuli bearing no resemblance or logical connection to the affective cues can evoke preference shifts in those stimuli. Neutral visual stimuli of abstract paintings were presented simultaneously with liked and disliked odours and sounds, with neutral-neutral pairings serving as controls. The results confirm previous findings that the affective evaluation of previously neutral visual stimuli shifts in the direction of contingently presented affective auditory stimuli. In addition, this research shows the presence of conditioning with affective odours having no logical connection with the pictures.

Pesticides, preference heterogeneity and environmental taxes

In this paper we present results from two choice experiments (CE), designed to take account of the different negative externalities associated with pesticide use in agricultural production. For cereal production, the most probable impact of pesticide use is a reduction in environmental quality. For fruit and vegetable production, the negative externality is on consumer health. Using latent class models we find evidence of the presence of preference heterogeneity in addition to reasonably high willingness to pay (WTP) estimates for a reduction in the use of pesticides for both environmental quality and consumer health. To place our WTP estimates in a policy context we convert them into an equivalent pesticide tax by type of externality. Our tax estimates suggest that pesticide taxes based on the primary externality resulting from a particular mode of agricultural production are a credible policy option that warrants further consideration.

The biocontrol fungus Pochonia chlamydosporia shows nematode host preference at the infraspecific level

A RAPD-PCR assay was developed and used to test For competitive variability in growth of the nematode biological control fungus Pochonia chlamydosporia. Saprophytic competence in soil with or without tomato plants was examined in three isolates of the fungus: RES 280 (J), originally isolated from potato cyst nematode (PCN) cysts; RES 200 (1) and RES 279 (S), both originally isolated from root knot nematode (RKN) eggs. Viable counts taken at 70 d indicated that I was the best saprophyte followed by S, with J the poorest. RAPD-PCR analysis of colonies from mixed treatments revealed that there was a cumulative effect of adding isolates to the system. This Suggested that the isolates did not interact and that they may occupy separate niches in soil and the rhizosphere. To investigate parasitic ability, soils were seeded with two isolates of the fungus: J and S, singly or in combination. Tomato or potato plants were grown in these soils; free of nematodes, or inoculated with PCN or RKN, and incubated for 77 d. The abundance of the PCN isolate J in PCN cysts was significantly greater than that of the RKN isolate S but in RKN egg masses, S was significantly more abundant than J. RAPD-PCR analysis of colonies from mixed treatments confirmed that J was more abundant than S ill PCN cysts whereas the converse was observed on RKN egg masses. This substantiates the phenomenon of nematode host preference at the infraspecific level of P. chlamydosporia and highlights its relevance for biological control of plant parasitic nematodes.

The biocontrol fungus pochonia chlamydosporia shows nematode host preference at the infraspecific level

A RAPD-PCR assay was developed and used to test For competitive variability in growth of the nematode biological control fungus Pochonia chlamydosporia. Saprophytic competence in soil with or without tomato plants was examined in three isolates of the fungus: RES 280 (J), originally isolated from potato cyst nematode (PCN) cysts; RES 200 (1) and RES 279 (S), both originally isolated from root knot nematode (RKN) eggs. Viable counts taken at 70 d indicated that I was the best saprophyte followed by S, with J the poorest. RAPD-PCR analysis of colonies from mixed treatments revealed that there was a cumulative effect of adding isolates to the system. This Suggested that the isolates did not interact and that they may occupy separate niches in soil and the rhizosphere. To investigate parasitic ability, soils were seeded with two isolates of the fungus: J and S, singly or in combination. Tomato or potato plants were grown in these soils; free of nematodes, or inoculated with PCN or RKN, and incubated for 77 d. The abundance of the PCN isolate J in PCN cysts was significantly greater than that of the RKN isolate S but in RKN egg masses, S was significantly more abundant than J. RAPD-PCR analysis of colonies from mixed treatments confirmed that J was more abundant than S ill PCN cysts whereas the converse was observed on RKN egg masses. This substantiates the phenomenon of nematode host preference at the infraspecific level of P. chlamydosporia and highlights its relevance for biological control of plant parasitic nematodes.

Carbohydrate preference, acid tolerance and bile tolerance in five strains of Bifidobacterium

Aims: To assess the suitability of bifidobacteria for inclusion in synbiotic products on the basis of carbohydrate preference, acid and bile tolerance. Methods and Results: Five strains of Bifidobacterium were analysed for their carbohydrate preference from 12 substrates. Maximum growth rates were used to compare substrate preferences. Galacto-oligosaccharides and isomalto-oligosaccharides were well utilized by all the test species. Most bacteria tested could also utilize at least one type of fructan molecule. To determine transit tolerance of potentially probiotic bifidobacteria, acid and bile resistance was tested. A wide range acid resistance was found. Bile tolerance also varied. Conclusions: GOS and IMO were generally well utilized by the tested species. Other substrates were used to different degrees by the different species. Most bifidobacteria are poorly resistant to strongly acidic conditions with the exception of Bifidobacterium lactis Bb12. Bile tolerances were widely variable and it was shown that caution should be exercised when using colorimetric methods to assess bile tolerance. Significance and Impact of Study: The study allows the comparison of the properties of bifidobacteria, allowing a cost effective screen for the best species for use in synbiotic products to allow better survival and efficacy.

Flesh colour dominates consumer preference for chicken

Existing research investigating interactions between visual and oral sensory cues has tended to use model food systems. In contrast, this study compared product quality assessments of corn-fed and wheat-fed chicken products among persons recruited in Northern Ireland. Three approaches have been adopted to investigate the effect of colour upon consumer choice of chicken: sensory assessment under normal lighting; focus group discussion; and sensory assessment under controlled lighting conditions. Initial consumer sensory assessment indicated that wheat-fed chicken was perceived to be tenderer and to have a more intense flavour than that which was corn-fed. Qualitative enquiry discerned that this was because consumers perceived the yellow colour of corn-fed chicken negatively. Yellow-coloured corn-fed chicken was therefore again compared with wheat-fed chicken in terms of flavour, texture and overall liking with the flesh colour disguised by means of controlled lighting. Quality ratings for corn-fed chicken were more positive when the yellow flesh colour was disguised, with corn-fed chicken judged to be tenderer than wheat-fed chicken and more flavoursome. This study illustrates the importance of using a combination of methods to gain insight into interactions between different sensory modalities in consumer quality judgements and adds to previous research on the importance of colour upon consumer choice of real foods. (c) 2005 Elsevier Ltd. All rights reserved.

Distinguishing novelty and familiarity effects in infant preference procedures

This paper considers possible problems researchers might face when interpreting the results of studies that employ variants of the preference procedure. Infants show a tendency to shift their preference from familiar to novel stimuli with increasing exposure to the familiar stimulus, a behaviour that is exploited by the habituation paradigm. This change in attentional preference with exposure leads us to suggest that researchers interested in infants' pre-experimental or spontaneous preferences should beware of the potentially confounding effects of exposing infants to familiarization trials prior to employing the preference procedure. The notion that infant attentional preference is dynamic also calls into question the use of the direction of post-familiarization preference per se when interpreting the knowledge or strategies available to infants. We look into the results of a cross-modal word learning study to show how the interpretation of results may be difficult when infants exhibit a significant preference in an unexpected direction. As a possible solution to this problem we propose that significant preferences in both directions should be sought at multiple intervals over time. Copyright (C) 2004 John Wiley Sons, Ltd.

Learning and natal host influence host preference, handling time and sex allocation behaviour in a pupal parasitoid

The host choice and sex allocation decisions of a foraging female parasitoid will have an enormous influence on the life-history characteristics of her offspring. The pteromalid Pachycrepoideus vindemiae is a generalist idiobiont pupal parasitoid of many species of cyclorrhaphous Diptera. Wasps reared in Musca domestica were larger, had higher attack rates and greater male mating success than those reared in Drosophila melanogaster. In no-choice situations, naive female R vindemiae took significantly less time to accept hosts conspecific with their natal host. Parasitoids that emerged from M. domestica pupae spent similar amounts of time ovipositing in both D. melanogaster and M. domestica. Those parasitoids that had emerged from D. melanogaster spent significantly longer attacking M. domestica pupae. The host choice behaviour of female P. vindemiae was influenced by an interaction between natal host and experience. Female R vindemiae reared in M. domestica only showed a preference among hosts when allowed to gain experience attacking M. domestica, preferentially attacking that species. Similarly, female parasitoids reared on D. melanogaster only showed a preference among hosts when allowed to gain experience attacking D. melanogaster, again preferentially attacking that species. Wasp natal host also influenced sex allocation behaviour. While wasps from both hosts oviposited more females in the larger host, M. domestica, wasps that emerged from M. domestica had significantly more male-biased offspring sex ratios. These results indicate the importance of learning and natal host size in determining R vindemiae attack rates. mating success, host preference and sex allocation behaviour, all critical components of parasitoid fitness.

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.

Liquidity in commercial property markets: deconstructing the transaction process

This paper draws from a wider research programme in the UK undertaken for the Investment Property Forum examining liquidity in commercial property. One aspect of liquidity is the process by which transactions occur including both how properties are selected for sale and the time taken to transact. The paper analyses data from three organisations; a property company, a major financial institution and an asset management company, formally a major public sector pension fund. The data covers three market states and includes sales completed in 1995, 2000 and 2002 in the UK. The research interviewed key individuals within the three organisations to identify any common patterns of activity within the sale process and also identified the timing of 187 actual transactions from inception of the sale to completion. The research developed a taxonomy of the transaction process. Interviews with vendors indicated that decisions to sell were a product of a combination of portfolio, specific property and market based issues. Properties were generally not kept in a “readiness for sale” state. The average time from first decision to sell the actual property to completion had a mean time of 298 days and a median of 190 days. It is concluded that this study may underestimate the true length of the time to transact for two reasons. Firstly, the pre-marketing period is rarely recorded in transaction files. Secondly, and more fundamentally, studies of sold properties may contain selection bias. The research indicated that vendors tended to sell properties which it was perceived could be sold at a ‘fair’ price in a reasonable period of time.