A two-factor model of the U.K. yield curve

I model the forward premium in the U.K. gilt-edged market over the period 1982–96 using a two-factor general equilibrium model of the term structure of interest rates. The model permits the decomposition of the forward premium into separate components representing interest rate expectations, the risk premia associated with each of the underlying factors, and terms capturing the direct impact of the variances of the factors on the shape of the forward curve.

Three-factor models versus time series models:quantifying time-dependencies of interactions between stimuli in cell biology and psychobiology for short longitudinal data

Signal integration determines cell fate on the cellular level, affects cognitive processes and affective responses on the behavioural level, and is likely to be involved in psychoneurobiological processes underlying mood disorders. Interactions between stimuli may subjected to time effects. Time-dependencies of interactions between stimuli typically lead to complex cell responses and complex responses on the behavioural level. We show that both three-factor models and time series models can be used to uncover such time-dependencies. However, we argue that for short longitudinal data the three factor modelling approach is more suitable. In order to illustrate both approaches, we re-analysed previously published short longitudinal data sets. We found that in human embryonic kidney 293 cells cells the interaction effect in the regulation of extracellular signal-regulated kinase (ERK) 1 signalling activation by insulin and epidermal growth factor is subjected to a time effect and dramatically decays at peak values of ERK activation. In contrast, we found that the interaction effect induced by hypoxia and tumour necrosis factor-alpha for the transcriptional activity of the human cyclo-oxygenase-2 promoter in HEK293 cells is time invariant at least in the first 12-h time window after stimulation. Furthermore, we applied the three-factor model to previously reported animal studies. In these studies, memory storage was found to be subjected to an interaction effect of the beta-adrenoceptor agonist clenbuterol and certain antagonists acting on the alpha-1-adrenoceptor / glucocorticoid-receptor system. Our model-based analysis suggests that only if the antagonist drug is administer in a critical time window, then the interaction effect is relevant.

E-service quality:development of a hierarchical model

Using survey data from 358 online customers, the study finds that the e-service quality construct conforms to the structure of a third-order factor model that links online service quality perceptions to distinct and actionable dimensions, including (1) website design, (2) fulfilment, (3) customer service, and (4) security/privacy. Each dimension is found to consist of several attributes that define the basis of e-service quality perceptions. A comprehensive specification of the construct, which includes attributes not covered in existing scales, is developed. The study contrasts a formative model consisting of 4 dimensions and 16 attributes against a reflective conceptualization. The results of this comparison indicate that studies using an incorrectly specified model overestimate the importance of certain e-service quality attributes. Global fit criteria are also found to support the detection of measurement misspecification. Meta-analytic data from 31,264 online customers are used to show that the developed measurement predicts customer behavior better than widely used scales, such as WebQual and E-S-Qual. The results show that the new measurement enables managers to assess e-service quality more accurately and predict customer behavior more reliably.

Predicting general well-being from emotional intelligence and three broad personality traits

This paper examined the joint predictive effects of trait emotional intelligence (trait-EI), Extraversion, Conscientiousness, and Neuroticism on 2 facets of general well-being and job satisfaction. An employed community sample of 123 individuals from the Indian subcontinent participated in the study, and completed measures of the five-factor model of personality, trait-EI, job satisfaction, and general well-being facets worn-out and up-tight. Trait-EI was related but distinct from the 3 personality variables. Trait-EI demonstrated the strongest correlation with job satisfaction, but predicted general well-being no better than Neuroticism. In regression analyses, trait-EI predicted between 6% and 9% additional variance in the well-being criteria, beyond the 3 personality traits. It was concluded that trait-EI may be useful in examining dispositional influences on psychological well-being.

Wealth effects of mergers and acquisitions for US firms: using alternative pricing models

This empirical study employs a different methodology to examine the change in wealth associated with mergers and acquisitions (M&As) for US firms. Specifically, we employ the standard CAPM, the Fama-French three-factor model and the Carhart four-factor models within the OLS and GJR-GARCH estimation methods to test the behaviour of the cumulative abnormal returns (CARs). Whilst the standard CAPM captures the variability of stock returns with the overall market, the Fama-French factors capture the risk factors that are important to investors. Additionally, augmenting the Fama-French three-factor model with the Carhart momentum factor to generate the four-factor captures additional pricing elements that may affect stock returns. Traditionally, estimates of abnormal returns (ARs) in M&As situations rely on the standard OLS estimation method. However, the standard OLS will provide inefficient estimates of the ARs if the data contain ARCH and asymmetric effects. To minimise this problem of estimation efficiency we re-estimated the ARs using GJR-GARCH estimation method. We find that there is variation in the results both as regards the choice models and estimation methods. Besides these variations in the estimated models and the choice of estimation methods, we also tested whether the ARs are affected by the degree of liquidity of the stocks and the size of the firm. We document significant positive post-announcement cumulative ARs (CARs) for target firm shareholders under both the OLS and GJR-GARCH methods across all three methodologies. However, post-event CARs for acquiring firm shareholders were insignificant for both sets of estimation methods under the three methodologies. The GJR-GARCH method seems to generate larger CARs than those of the OLS method. Using both market capitalization and trading volume as a measure of liquidity and the size of the firm, we observed strong return continuations in the medium firms relative to small and large firms for target shareholders. We consistently observed market efficiency in small and large firm. This implies that target firms for small and large firms overreact to new information resulting in a more efficient market. For acquirer firms, our measure of liquidity captures strong return continuations for small firms under the OLS estimates for both CAPM and Fama-French three-factor models, whilst under the GJR-GARCH estimates only for Carhart model. Post-announcement bootstrapping simulated CARs confirmed our earlier results.

Within-role, extra-role and anti-role behaviours in retail banking

Purpose: This paper aims to explore front line employee performance in retail banking and presents distinct components of employee performance, including extra-role and sabotage behaviours. Design/methodology/approach: Data was collected from Irish bank employees. Usable responses were received from 404 respondents and subjected to exploratory factor analysis. Structural Equation Modeling (SEM) was used to undertake a confirmatory factor analysis of the emergent five-factor model. Findings: Results indicate front line employee performance is multi-faceted and comprised of civility, assurance and reliability, customer orientation, as well as extra-role behaviour and anti-role behaviour, or sabotage. Research limitations/implications: This exploratory study focuses on the Irish banking sector. To explore the generalisabilty of results, replication studies among other samples of branch banking employees in other countries are in order. Moreover, our survey is limited to the views of branch employees. We advocate research among bank managers and customers to triangulate potentially divergent views about performance. Practical implications: Findings have implications for recruitment, training and rewards. To ensure new hires are service minded, managers must consider their potential for extra-role or sabotage behaviour. Employees who demonstrate extra-role behaviours must be rewarded to encourage the adoption of such behaviours. Managers must also seek to minimise job stress in order to curtail anti-role behaviours. Originality/value: This paper offers insights into employees' views about their own performance at the front line. It extends the conceptualisation of service quality, by considering extra-role behaviour and sabotage as components of employee performance. © Emerald Group Publishing Limited.

Development of an in-vitro model system to investigate the mechanism of muscle protein catabolism induced by proteolysis-inducing factor

The mechanism of muscle protein catabolism induced by proteolysis-inducing factor, produced by cachexia-inducing murine and human tumours has been studied in vitro using C2C12 myoblasts and myotubes. In both myoblasts and myotubes protein degradation was enhanced by proteolysis-inducing factor after 24 h incubation. In myoblasts this followed a bell-shaped dose-response curve with maximal effects at a proteolysis-inducing factor concentration between 2 and 4 nM, while in myotubes increased protein degradation was seen at all concentrations of proteolysis-inducing factor up to 10 nM, again with a maximum of 4 nM proteolysis-inducing factor. Protein degradation induced by proteolysis-inducing factor was completely attenuated in the presence of cycloheximide (1 μM), suggesting a requirement for new protein synthesis. In both myoblasts and myotubes protein degradation was accompanied by an increased expression of the α-type subunits of the 20S proteasome as well as functional activity of the proteasome, as determined by the 'chymotrypsin-like' enzyme activity. There was also an increased expression of the 19S regulatory complex as well as the ubiquitin-conjugating enzyme (E214k), and in myotubes a decrease in myosin expression was seen with increasing concentrations of proteolysis-inducing factor. These results show that proteolysis-inducing factor co-ordinately upregulates both ubiquitin conjugation and proteasome activity in both myoblasts and myotubes and may play an important role in the muscle wasting seen in cancer cachexia. © 2002 Cancer Research UK.

Model thrombi formed under flow reveal the role of factor XIII-mediated cross-linking in resistance to fibrinolysis

Background: Activated factor XIII (FXIIIa), a transglutaminase, introduces fibrin-fibrin and fibrin-inhibitor cross-links, resulting in more mechanically stable clots. The impact of cross-linking on resistance to fibrinolysis has proved challenging to evaluate quantitatively. Methods: We used a whole blood model thrombus system to characterize the role of cross-linking in resistance to fibrinolytic degradation. Model thrombi, which mimic arterial thrombi formed in vivo, were prepared with incorporated fluorescently labeled fibrinogen, in order to allow quantification of fibrinolysis as released fluorescence units per minute. Results: A site-specific inhibitor of transglutaminases, added to blood from normal donors, yielded model thrombi that lysed more easily, either spontaneously or by plasminogen activators. This was observed both in the cell/platelet-rich head and fibrin-rich tail. Model thrombi from an FXIII-deficient patient lysed more quickly than normal thrombi; replacement therapy with FXIII concentrate normalized lysis. In vitro addition of purified FXIII to the patient's preprophylaxis blood, but not to normal control blood, resulted in more stable thrombi, indicating no further efficacy of supraphysiologic FXIII. However, addition of tissue transglutaminase, which is synthesized by endothelial cells, generated thrombi that were more resistant to fibrinolysis; this may stabilize mural thrombi in vivo. Conclusions: Model thrombi formed under flow, even those prepared as plasma 'thrombi', reveal the effect of FXIII on fibrinolysis. Although very low levels of FXIII are known to produce mechanical clot stability, and to achieve ?-dimerization, they appear to be suboptimal in conferring full resistance to fibrinolysis.

A dynamic model of the hypoxia-inducible factor 1α (HIF-1α) network

Activation of the hypoxia-inducible factor (HIF) pathway is a critical step in the transcriptional response to hypoxia. Although many of the key proteins involved have been characterised, the dynamics of their interactions in generating this response remain unclear. In the present study, we have generated a comprehensive mathematical model of the HIF-1a pathway based on core validated components and dynamic experimental data, and confirm the previously described connections within the predicted network topology. Our model confirms previous work demonstrating that the steps leading to optimal HIF-1a transcriptional activity require sequential inhibition of both prolyl- and asparaginyl-hydroxylases. We predict from our model (and confirm experimentally) that there is residual activity of the asparaginyl-hydroxylase FIH (factor inhibiting HIF) at low oxygen tension. Furthermore, silencing FIH under conditions where prolyl-hydroxylases are inhibited results in increased HIF-1a transcriptional activity, but paradoxically decreases HIF-1a stability. Using a core module of the HIF network and mathematical proof supported by experimental data, we propose that asparaginyl hydroxylation confers a degree of resistance upon HIF-1a to proteosomal degradation. Thus, through in vitro experimental data and in silico predictions, we provide a comprehensive model of the dynamic regulation of HIF-1a transcriptional activity by hydroxylases and use its predictive and adaptive properties to explain counter-intuitive biological observations.

A four-factor user interaction model for content-based image retrieval

In order to bridge the “Semantic gap”, a number of relevance feedback (RF) mechanisms have been applied to content-based image retrieval (CBIR). However current RF techniques in most existing CBIR systems still lack satisfactory user interaction although some work has been done to improve the interaction as well as the search accuracy. In this paper, we propose a four-factor user interaction model and investigate its effects on CBIR by an empirical evaluation. Whilst the model was developed for our research purposes, we believe the model could be adapted to any content-based search system.

Brain-derived neurotrophic factor as an indicator of chemical neurotoxicity:an animal-free CNS cell culture model

Recent changes to the legislation on chemicals and cosmetics testing call for a change in the paradigm regarding the current 'whole animal' approach for identifying chemical hazards, including the assessment of potential neurotoxins. Accordingly, since 2004, we have worked on the development of the integrated co-culture of post-mitotic, human-derived neurons and astrocytes (NT2.N/A), for use as an in vitro functional central nervous system (CNS) model. We have used it successfully to investigate indicators of neurotoxicity. For this purpose, we used NT2.N/A cells to examine the effects of acute exposure to a range of test chemicals on the cellular release of brain-derived neurotrophic factor (BDNF). It was demonstrated that the release of this protective neurotrophin into the culture medium (above that of control levels) occurred consistently in response to sub-cytotoxic levels of known neurotoxic, but not non-neurotoxic, chemicals. These increases in BDNF release were quantifiable, statistically significant, and occurred at concentrations below those at which cell death was measureable, which potentially indicates specific neurotoxicity, as opposed to general cytotoxicity. The fact that the BDNF immunoassay is non-invasive, and that NT2.N/A cells retain their functionality for a period of months, may make this system useful for repeated-dose toxicity testing, which is of particular relevance to cosmetics testing without the use of laboratory animals. In addition, the production of NT2.N/A cells without the use of animal products, such as fetal bovine serum, is being explored, to produce a fully-humanised cellular model.