Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market

Systematic liquidity shocks should affect the optimal behavior of agents in financial markets. Indeed, fluctuations in various measures of liquidity are significantly correlated across common stocks. Accordingly, this paper empirically analyzes whether Spanish average returns vary cross-sectionally with betas estimated relative to two competing liquidity risk factors. The first one, proposed by Pastor and Stambaugh (2002), is associated with the strength of volume-related return reversals. Our marketwide liquidity factor is defined as the difference between returns highly sensitive to changes in the relative bid-ask spread and returns with low sensitivities to those changes. Our empirical results show that neither of these proxies for systematic liquidity risk seems to be priced in the Spanish stock market. Further international evidence is deserved.

Applying systematic design: the flight refuelling probe project

This report is a product of close industry-academia collaboration between British Aerospace and the Cambridge Engineering Design Centre (EDC). British Aerospace designs and integrates some of the most complex systems in the world, and its expertise in this field has enabled the company to become the United Kingdom's largest exporter. However, to stay at the forefront of the highly competitive aerospace industry it is necessary to seek new ways to work more effectively and more efficiently. The Cambridge EDC has played a part in supporting these needs by providing access to the methods and tools that it has developed for improving the process of designing mechanical systems. The EDC has gained an international reputation for the quality of its work in this subject. Thus, the collaboration is between two organisations each of whom are leaders in their respective fields. The central aim of the project has been to demonstrate how a systematic design process can be applied to a real design task identified by industry. The task selected was the design of a flight refuelling probe which would enable a combat aircraft to refuel from a "flying tanker". However, the systematic approach, methods and tools described in this report are applicable to most engineering design tasks. The findings presented in this report provide a sound basis for comparing the recommended systematic design process with industrial practice. The results of this comparison would enable the company to define ways in which its existing design process can be improved. This research project has a high degree of industrial relevance. The value of the work may be judged in terms of the opportunities it opens up for positive changes to the company's engineering operations. Several members of the EDC have contributed to the project. These include Dr Lucienne Blessing, Dr Stuart Burgess, Dr Amaresh Chakrabarti, Major Mark Nowack, Aylmer Johnson and Dr Paul Weaver. At British Aerospace special thanks must go to Alan Dean and David Halliday for their interest and the support they have given. The project has been managed by Dr Nigel Upton of British Aerospace during a 3 year secondment to the EDC.

Systematic Studies on 3d- and 4f-Metal Containing Polyoxometalates Suitable for Organic Derivatization

232 p.

Systematic liquidity: commonality and inter-temporal variation in the Portuguese stock market

[EN] The aim of this paper is to study systematic liquidity at the Euronext Lisbon Stock Exchange. The motivation for this research is provided by the growing interest in financial literature about stock liquidity and the implications of commonality in liquidity for asset pricing since it could represent a source of non-diversifiable risk. Namely, it is analysed whether there exist common factors that drive the variation in individual stock liquidity and the causes of the inter-temporal variation of aggregate liquidity. Monthly data for the period between January 1988 and December 2011 is used to compute some of the most used proxies for liquidity: bid-ask spreads, turnover rate, trading volume, proportion of zero returns and the illiquidity ratio. Following Chordia et al. (2000) methodology, some evidence of commonality in liquidity is found in the Portuguese stock market when the proportion of zero returns is used as a measure of liquidity. In relation to the factors that drive the inter-temporal variation of the Portuguese stock market liquidity, the results obtained within a VAR framework suggest that changes in real economy activity, monetary policy (proxied by changes in monetary aggregate M1) and stock market returns play an important role as determinants of commonality in liquidity.

Social, economic, and health impact of the respiratory syncytial virus: a systematic search

Background: Bronchiolitis caused by the respiratory syncytial virus (RSV) and its related complications are common in infants born prematurely, with severe congenital heart disease, or bronchopulmonary dysplasia, as well as in immunosuppressed infants. There is a rich literature on the different aspects of RSV infection with a focus, for the most part, on specific risk populations. However, there is a need for a systematic global analysis of the impact of RSV infection in terms of use of resources and health impact on both children and adults. With this aim, we performed a systematic search of scientific evidence on the social, economic, and health impact of RSV infection. Methods: A systematic search of the following databases was performed: MEDLINE, EMBASE, Spanish Medical Index, MEDES-MEDicina in Spanish, Cochrane Plus Library, and Google without time limits. We selected 421 abstracts based on the 6,598 articles identified. From these abstracts, 4 RSV experts selected the most relevant articles. They selected 65 articles. After reading the full articles, 23 of their references were also selected. Finally, one more article found through a literature information alert system was included. Results: The information collected was summarized and organized into the following topics: 1. Impact on health (infections and respiratory complications, mid-to long-term lung function decline, recurrent wheezing, asthma, other complications such as otitis and rhino-conjunctivitis, and mortality; 2. Impact on resources (visits to primary care and specialists offices, emergency room visits, hospital admissions, ICU admissions, diagnostic tests, and treatments); 3. Impact on costs (direct and indirect costs); 4. Impact on quality of life; and 5. Strategies to reduce the impact (interventions on social and hygienic factors and prophylactic treatments). Conclusions: We concluded that 1. The health impact of RSV infection is relevant and goes beyond the acute episode phase; 2. The health impact of RSV infection on children is much better documented than the impact on adults; 3. Further research is needed on mid-and long-term impact of RSV infection on the adult population, especially those at high-risk; 4. There is a need for interventions aimed at reducing the impact of RSV infection by targeting health education, information, and prophylaxis in high-risk populations.