Stock market efficiency, the small firm effect and cointegration

The cointegration methodology commonly used for testing the efficiency of the foreign exchange market is applied to a sample of UK share prices. Specifically we test for static market efficiency in the share prices of small and large firms, using monthly data from January 1975 to December 1989. The empirical findings provide evidence of market efficiency for portfolios of large firms but of inefficiency for small firm portfolios. These results are indicative of a small firm effect in the UK stock market.

Exchange rate exposure:do size and foreign operations matter?

Purpose – The purpose of this paper is to examine the effect of firm size and foreign operations on the exchange rate exposure of UK non-financial companies from January 1981 to December 2001. Design/methodology/approach – The impact of the unexpected changes in exchange rates on firms’ stock returns is examined. In addition, the movements in bilateral, equally weighted (EQW) and trade-weighted and exchange rate indices are considered. The sample is classified according to firm size and the extent of firms’ foreign operations. In addition, structural changes on the relationship between exchange rate changes and individual firms’ stock returns are examined over three sub-periods: before joining the exchange rate mechanism (pre-ERM), during joining the ERM (in-ERM), and after departure from the ERM (post-ERM). Findings – The findings indicate that a higher percentage of UK firms are exposed to contemporaneous exchange rate changes than those reported in previous studies. UK firms’ stock returns are more affected by changes in the EQW, and US$ European currency unit exchange rate, and respond less significantly to the basket of 20 countries’ currencies relative to the UK pound exchange rate. It is found that exchange rate exposure has a more significant impact on stock returns of the large firms compared with the small and medium-sized companies. The evidence is consistent across all specifications using different exchange rate. The results provide evidence that the proportion of significant foreign exchange rate exposure is higher for firms which generate a higher percentage of revenues from abroad. The sensitivities of firms’ stock returns to exchange rate fluctuations are most evident in the pre-ERM and post-ERM periods. Practical implications – This study provides important implications for public policymakers, financial managers and investors on how common stock returns of various sectors react to exchange rate fluctuations. Originality/value – The empirical evidence supports the view that UK firms’ stock returns are affected by foreign exchange rate exposure.

The exchange rate exposure of UK non-financial companies

Purpose – The purpose of this paper is to investigate the exchange rate exposure of UK nonfinancial companies from January 1981 to December 2001. Design/methodology/approach – The study employs different exchange rate measures and adopts an equally weighted exchange rate. The analyses are conducted at the firm level. All analyses are conducted by regressing the firm’s exchange rate exposure coefficients on its size, foreign activity variables and financial hedging proxies over the whole sample period. Findings – The findings show that a higher percentage of UK non-financial companies are exposed to exchange rate changes than those reported in previous studies. Generally, the results provide a stronger support for the suggested equally weighted rate as an economic variable, which affects firms’ stock returns. The results also show a high proportion of positive exposure coefficients among firms with significant exchange rate exposure, indicating a higher proportion of firms benefiting from an appreciation of the pound. Finally, the results also indicate evidence that firms’ foreign operations and hedging variables affect their sensitivity to exchange rate exposure. Practical implications – This study provides important implications for public policymakers who wish to understand links between policies that affect exchange rates and relative wealth effects. Originality/value – The empirical results of this study should help investors to examine how common stock returns react to exchange rate fluctuations when making financial decisions, and prove useful for financial managers when measuring exposure to foreign exchange rate changes.

Suomalaisten julkisesti listattujen senttiosakkeiden suoriutuminen verrattuna OMX Helsinki Small Cap -indeksin muihin osakkeisiin

Senttiosakkeista tehtyjä tutkimuksia on olemassa hyvin rajoitetusti, ja ne ovat keskittyneet lähinnä senttiosakelistautumisiin. Tässä tutkielmassa tarkastellaan suomalaisia julkisesti noteerattuja senttiosakkeita ja niiden suoriutumista kymmenen vuoden ajanjaksolla vuosina 2006–2015. Tavoitteena oli selvittää, onko suomalaisiin julkisesti noteerattuihin senttiosakkeisiin sijoittaminen kannattavaa toimintaa ja minkälaisia tuottoja on odotettavissa senttiosakkeisiin sijoittamalla. Tutkimusaineisto koostui tutkielmassa tehdyn määritelmän mukaisista senttiosakkeista ja muista Small Cap -indeksin osakkeista, joita kutsuttiin puolestaan ei-senttiosakkeiksi. Tuotot laskettiin osakkeiden päivittäisistä tuottoindekseistä. Tuottoja verrattiin lyhyellä, keskipitkällä ja pitkällä aikavälillä. Tuottojen tarkastelun tueksi senttiosakkeille ja ei-senttiosakkeille laskettiin seuraavat menestysmittarit: Sharpen luku, Treynorin indeksi ja Jensenin alfa. Lopuksi verrattiin vielä seuraavia tunnuslukuja: ROE (%), E/P-luku, P/B-luku, osinkotuotto-% ja velan suhde omaan pääomaan (%). Saatujen tulosten perusteella suomalaiset julkisesti noteeratut senttiosakkeet ovat lyhyellä aikavälillä kannattavia sijoituskohteita, mutta mitä pidemmäksi tarkasteluperiodi kasvoi, sitä huonommin ne suoriutuivat. Lisäksi senttiosakkeet hävisivät kaikilla tarkasteluperiodeilla ei-senttiosakkeille. Suurimmat positiiviset tuotot olivat kuitenkin yksittäisillä senttiosakkeilla. Senttiosakkeisiin havaittiin liittyvän paljon riskejä, kuten suuri volatiliteetti, suuret negatiiviset tuotot ja konkurssin mahdollisuus. Myös kaikki menestysmittarit ja tunnusluvut indikoivat senttiosakkeiden olevan ei-senttiosakkeita huonompia sijoituskohteita. Sijoittajien on oltava erityisen tarkkoja senttiosakkeiden kanssa, sillä niihin sijoittaminen on pitkälti verrattavissa uhkapelaamiseen.

Report of the pollack (Pollachius pollachius) Exchange 2016

In September 2015, the Working Group on Biological Parameters (WGBIOP) recommended the first otolith exchange for Pollachius pollachius in 2016 (Otolith Exchanges proposals for 2016/2017; ICES, 2015). Kélig Mahe (IFREMER, France) was decided to be the responsible to organise this otolith exchange. A total of 5 readers from 2 countries (France & Spain) participated at the exchange of 2016. The otoliths of 314 individuals sampled from 2011 to 2015 in Southern stock (ICES area: IXa; n=99) and in (ICES areas: IVc, VIId, VIIe, VIIj-h; n=215) were used for this exchange. For the Northern stock, the precision values for both stocks were very high but the value for Northern stock (PA=91.6%, CV=3.8%; APE= 0.8%) was higher than this for Southern stock (PA=74.5%, CV=14.9%; APE= 1.9%). There were some differences between readers but there were no difference between Northern stock readers and between Southern stock readers.

Adsorption of amyloglucosidase from Aspergillus niger NRRL 3122 using ion exchange resin

Amyloglucosidase enzyme was produced by Aspergillus niger NRRL 3122 from solid-state fermentation, using deffated rice bran as substrate. The effects of process parameters (pH, temperature) in the equilibrium partition coefficient for the system amyloglucosidase - resin DEAE-cellulose were investigated, aiming at obtaining the optimum conditions for a subsequent purification process. The highest partition coefficients were obtained using 0.025M Tris-HCl buffer, pH 8.0 and 25ºC. The conditions that supplied the highest partition coefficient were specified, the isotherm that better described the amyloglucosidase process of adsorption obtained. It was observed that the adsorption could be well described by Langmuir equation and the values of Qm and Kd estimated at 133.0 U mL-1 and 15.4 U mL-1, respectively. From the adjustment of the kinetic curves using the fourth-order Runge-Kutta algorithm, the adsorption (k1) and desorption (k2) constants were obtained through optimization by the least square procedure, and the values calculated were 2.4x10-3 mL U-1 min-1 for k1 and 0.037 min-1 for k2 .

Catalytic enantioselective arylations: boron to zinc exchange as a powerful tool for the generation of transferable aryl groups

The transmetalation between boron and zinc is of great importance for application in organic synthesis, since it allows the formation of new carbon-carbon bonds between organometallic units and electrophiles. The direct arylation of aldehydes or more scarcely ketones, in a catalytic, enantioselective manner using chiral catalysts has been described recently. The enantiomerically enriched diarylmethanols obtained in these reactions are valuable precursors for important bioactive molecules. This review provides a synopsis of this ever-growing field and highlights some of the challenges that still remain.

A concise enantioselective synthesis of (+)-endo-brevicomin accomplished by a tellurium/metal exchange reaction

A homoenolate generated by tellurium/lithium exchange reaction was employed in a straightforward enantioselective synthesis of (+)-endo-brevicomin in 70% yield and 84.4% e.e.

Merluccius hubbsi (Teleostei: Merlucciidae): stock identification based on reproductive biology in the south-southeast brazilian region

The Argentine hake, Merluccius hubbsi, a demersal-pelagic species found from Rio de Janeiro, Brazil to the Tierra del Fuego, Argentina, has become an important target of the Brazilian bottom-trawler fleet since 2001. Earlier studies focusing on the species have suggested that more than one stock might occur off the Brazilian coast, in accordance with environmental features. In order to evaluate this hypothesis, fish were collected from four different areas in the Brazilian waters in which the hake is distributed, during the summers and winters of 1996-2001 and 2004, the females being used to analyze and compare spatial-temporal variations in ovarian maturation. Gonad indexes were also applied for the same purpose. Results indicate a north-south spawning gradient occurring as from summer at around 21°S to winter near 34°S, leading to the identification of two distinct stocks: one located between 21°S and 29°S (Southeastern stock) and the other between 29°S and 34°S (Southern stock), this latter shared with Uruguay and Argentina. Brazilian stocks present clear signs of overexploitation, the situation calling for an urgent solution.

AFFINE INTERVAL EXCHANGE TRANSFORMATIONS WITH FLIPS AND WANDERING INTERVALS

There exist uniquely ergodic affine interval exchange transformations of [0,1] with flips which have wandering intervals and are such that the support of the invariant measure is a Cantor set.

Lower Bounds on the Exchange-Correlation Energy in Reduced Dimensions

Bounds on the exchange-correlation energy of many-electron systems are derived and tested. By using universal scaling properties of the electron-electron interaction, we obtain the exponent of the bounds in three, two, one, and quasione dimensions. From the properties of the electron gas in the dilute regime, the tightest estimate to date is given for the numerical prefactor of the bound, which is crucial in practical applications. Numerical tests on various low-dimensional systems are in line with the bounds obtained and give evidence of an interesting dimensional crossover between two and one dimensions.

Physical signatures of discontinuities of the time-dependent exchange-correlation potential

The exact exchange-correlation (XC) potential in time-dependent density-functional theory (TDDFT) is known to develop steps and discontinuities upon change of the particle number in spatially confined regions or isolated subsystems. We demonstrate that the self-interaction corrected adiabatic local-density approximation for the XC potential has this property, using the example of electron loss of a model quantum well system. We then study the influence of the XC potential discontinuity in a real-time simulation of a dissociation process of an asymmetric double quantum well system, and show that it dramatically affects the population of the resulting isolated single quantum wells. This indicates the importance of a proper account of the discontinuities in TDDFT descriptions of ionization, dissociation or charge transfer processes.

Contribution of the second Landau level to the exchange energy of the three-dimensional electron gas in a high magnetic field

We derive a closed analytical expression for the exchange energy of the three-dimensional interacting electron gas in strong magnetic fields, which goes beyond the quantum limit (L=0) by explicitly including the effect of the second, L=1, Landau level and arbitrary spin polarization. The inclusion of the L=1 level brings the fields to which the formula applies closer to the laboratory range, as compared to previous expressions, valid only for L=0 and complete spin polarization. We identify and explain two distinct regimes separated by a critical density n(c). Below n(c), the per particle exchange energy is lowered by the contribution of L=1, whereas above n(c) it is increased. As special cases of our general equation we recover various known more limited results for higher fields, and we identify and correct a few inconsistencies in some of these earlier expressions.

Ric-8A, a G alpha protein guanine nucleotide exchange factor potentiates taste receptor signaling

Taste receptors for sweet, bitter and umami tastants are G-protein-coupled receptors (GPCRs). While much effort has been devoted to understanding G-protein-receptor interactions and identifying the components of the signalling cascade downstream of these receptors, at the level of the G-protein the modulation of receptor signal transduction remains relatively unexplored. In this regard a taste-specific regulator of G-protein signaling (RGS), RGS21, has recently been identified. To study whether guanine nucleotide exchange factors (GEFs) are involved in the transduction of the signal downstream of the taste GPCRs we investigated the expression of Ric-8A and Ric-8B in mouse taste cells and their interaction with G-protein subunits found in taste buds. Mammalian Ric-8 proteins were initially identified as potent GEFs for a range of G alpha subunits and Ric-8B has recently been shown to amplify olfactory signal transduction. We find that both Ric-8A and Ric-8B are expressed in a large portion of taste bud cells and that most of these cells contain IP3R-3 a marker for sweet, umami and bitter taste receptor cells. Ric-8A interacts with G alpha-gustducin and G alpha i2 through which it amplifies the signal transduction of hTas2R16, a receptor for bitter compounds. Overall, these findings are consistent with a role for Ric-8 in mammalian taste signal transduction.

Clarification of a wheat straw-derived medium with ion-exchange resins for xylitol crystallization

BACKGROUND: Xylitol bioproduction from lignocellulosic residues comprises hydrolysis of the hemicellulose, detoxification of the hydrolysate, bioconversion of the xylose, and recovery of xylitol from the fermented hydrolysate. There are relatively few reports on xylitol recovery from fermented media. In the present study, ion-exchange resins were used to clarify a fermented wheat straw hemicellulosic hydrolysate, which was then vacuum-concentrated and submitted to cooling in the presence of ethanol for xylitol crystallization. RESULTS: Sequential adsorption into two anion-exchange resins (A-860S and A-500PS) promoted considerable reductions in the content of soluble by-products (up to 97.5%) and in medium coloration (99.5%). Vacuum concentration led to a dark-colored viscous solution that inhibited xylitol crystallization. This inhibition could be overcome by mixing the concentrated medium with a commercial xylitol solution. Such a strategy led to xylitol crystals with up to 95.9% purity. The crystallization yield (43.5%) was close to that observed when using commercial xylitol solution (51.4%). CONCLUSION: The experimental data demonstrate the feasibility of using ion-exchange resins followed by cooling in the presence of ethanol as a strategy to promote the fast recovery and purification of xylitol from hemicellulose-derived fermentation media. (c) 2008 Society of Chemical Industry.