Permanent trading impacts and bond yields

We analyze four years of transaction data for euro-area sovereign bonds traded on the MTS electronic platforms. In order to measure the informational content of trading activity, we estimate the permanent price response to trades. We find not only strong evidence of information asymmetry in sovereign bond markets, but we also show the relevance of information asymmetry in explaining the cross-sectional variations of bond yields across a wide range of bond maturities and countries. Our results confirm that trades of more recently issued bonds and longer maturity bonds have a greater permanent effect on prices. We compare the price impact of trades for bonds across different maturity categories and find that trades of French and German bonds have the highest long-term price impact in the short maturity class whereas trades of German bonds have the highest permanent price impacts in the long maturity class. More importantly, we study the cross-section of bond yields and find that after controlling for conventional factors, investors demand higher yields for bonds with larger permanent trading impact. Interestingly, when investors face increased market uncertainty, they require even higher compensation for information asymmetry.

Affinity purification of 61- and 65-kDa rat brain corticotropin-releasing factor receptors and receptor-associated G proteins.

Corticotropin-releasing factor (CRF) has been shown to have a central role in physiological adaptation to stress. It is recognized for stimulating the release of adrenocorticotropin from the anterior pituitary gland, and has more recently been implicated as a regulator of autonomic and immunological responses to stress. Much confusion has surrounded the characterization of CRF receptors, with proteins of varying molecular weights having been identified but never purified and characterized. Recently, two CRF receptors have been cloned from brain and pituitary gland, but evidence from in-situ hybridization studies suggests that further CRF receptor types exist. We therefore developed two techniques which enable the isolation of CRF receptors from whole rat brain. The use of a solid-phase CRF analogue affinity column and elution using a competing ligand resulted in the purification of a single protein of 61 kDa. A second technique was devised which allowed the co-isolation of associated signalling proteins and the identification of CRF bound species following purification. CRF was covalently cross-linked to receptors and the complex purified using antibodies specific for the ligand. This enabled the purification of a CRF receptor of approximately 65 kDa and associated alpha and beta gamma G protein subunits. This study demonstrates the successful isolation of CRF receptors which are of different molecular weights to those previously observed from affinity cross-linking studies or predicted from cloned genes. In addition, we confirm the involvement of G proteins in CRF stimulated cell signalling by demonstrating their association with purified CRF receptor.

Microstructure of the Euro-area government bond market

This chapter highlights similarities and differences of equity and fixed- income markets and provides an overview of the characteristics of European government bond market trading and liquidity. Most existing studies focus on the U.S. market. This chapter presents the institutional details of the MTS market, which is the largest European electronic platform for trading government, quasi-government, asset- backed, and corporate fixed- income securities. It reviews the main features of high- frequency fixed- income data and the methods for measuring market liquidity. Finally, the chapter shows how liquidity differs across European countries, how liquidity varies with the structure of the market, and how liquidity has changed during the recent liquidity and sovereign crises.

Time and the price impact of a trade

We use Hasbrouck's (1991) vector autoregressive model for prices and trades to empirically test and assess the role played by the waiting time between consecutive transactions in the process of price formation. We find that as the time duration between transactions decreases, the price impact of trades, the speed of price adjustment to trade‐related information, and the positive autocorrelation of signed trades all increase. This suggests that times when markets are most active are times when there is an increased presence of informed traders; we interpret such markets as having reduced liquidity.

Credit and liquidity components of corporate CDS spreads

This paper investigates the role of credit and liquidity factors in explaining corporate CDS price changes during normal and crisis periods. We find that liquidity risk is more important than firm-specific credit risk regardless of market conditions. Moreover, in the period prior to the recent “Great Recession” credit risk plays no role in explaining CDS price changes. The dominance of liquidity effects casts serious doubts on the relevance of CDS price changes as an indicator of default risk dynamics. Our results show how multiple liquidity factors including firm specific and aggregate liquidity proxies as well as an asymmetric information measure are critical determinants of CDS price variations. In particular, the impact of informed traders on the CDS price increases when markets are characterised by higher uncertainty, which supports concerns of insider trading during the crisis.

On the performance of the tick test

In financial research, the sign of a trade (or identity of trade aggressor) is not always available in the transaction dataset and it can be estimated using a simple set of rules called the tick test. In this paper we investigate the accuracy of the tick test from an analytical perspective by providing a closed formula for the performance of the prediction algorithm. By analyzing the derived equation, we provide formal arguments for the use of the tick test by proving that it is bounded to perform better than chance (50/50) and that the set of rules from the tick test provides an unbiased estimator of the trade signs. On the empirical side of the research, we compare the values from the analytical formula against the empirical performance of the tick test for fifteen heavily traded stocks in the Brazilian equity market. The results show that the formula is quite realistic in assessing the accuracy of the prediction algorithm in a real data situation.

The determinants of a cross market arbitrage opportunity: theory and evidence for the European bond market

This paper examines the determinants of cross-platform arbitrage profits. We develop a structural model that enables us to decompose the likelihood of an arbitrage opportunity into three distinct factors: the fixed cost to trade the opportunity, the level at which one of the platforms delays a price update and the impact of the order flow on the quoted prices (inventory and asymmetric information effects). We then investigate the predictions from the theoretical model for the European Bond market with the estimation of a probit model. Our main finding is that the results found in the empirical part corroborate strongly the predictions from the structural model. The event of a cross market arbitrage opportunity has a certain degree of predictability where an optimal ex ante scenario is represented by a low level of spreads on both platforms, a time of the day close to the end of trading hours and a high volume of trade.

Effects of Cobalt Chloride in Junctional Epithelium and Reduced Enamel Epithelium of the Rat Maxillary First Molar

Cobalt is one of the main components of cast metal alloys broadly used in dentistry. It is the constituent of 45 to 70% of numerous prosthetic works. There are evidences that metal elements cause systemic and local toxicity. The purpose of the present study was to evaluate the effects of cobalt on the junctional epithelium and reduced enamel epithelium of the first superior molar in rats, during lactation. To do this, 1-day old rats were used, whose mothers received 300mg of cobalt chloride per liter of distilled water in the drinker, during lactation. After 21 days, the rat pups were killed with an anesthetic overdose. The heads were separated, fixed in ""alfac"", decalcified and embedded in paraffin. Frontal sections stained with hematoxylin and eosin were employed. Karyometric methods allowed to estimate the following parameters: biggest, smallest and mean diameters, D/d ratio, perimeter, area, volume, volume/area ratio, eccentricity, form coefficient and contour index. Stereologic methods allow to evaluate: cytoplasm/nucleus ratio, cell and cytoplasm volume, cell number density, external surface/basal membrane ratio, thickness of the epithelial layers and surface density. All the collected data were subjected to statistic analysis by the non-parametric Wilcoxon-Mann-Whitney test. The nuclei of the studied tissues showed smaller values after karyometry for: diameters; perimeter, area, volume and volume/area ratio. Stereologically, it was observed, in the junctional epithelium and in the reduced enamel epithelium, smaller cells with scarce cytoplasm, reflected in the greater number of cells per mm3 of tissue. In this study, cobalt caused epithelial atrophy, indicating a direct action on the junctional and enamel epithelium.

Effects of Cadmium on the Rat Salivary Glands, During Lactation

Cadmium (Cd) in air, drinking water and food has the potential to affect the health of people, mainly those who live in highly industrialized regions. Cd affects placental function, can cross the placental barrier and directly modify fetal development. Once the organism is particularly susceptible to the exposition to the Cd during the perinatal period, and that this metal can be excreted in the milk, the aim of the present work was to study the effects of the constant exposition to drinkable water containing low levels of Cd during the lactation, on the salivary glands of the rat. Female rats received ad libitum drinking water containing 300mg/l of CdCl2 throughout the whole lactation. Control animals received a similar volume of water without Cd. Lactant rats (21 day old) were killed by lethal dose of anesthetic. The salivary glands were separated, fixed in ""alfac"" solution for 24 h, and serially sectioned. The 6 mu m thick sections were stained with hematoxylin and eosin. Nuclear glandular parameters were estimated, as well as cytoplasm and cell volume, nucleus/cytoplasm ratio, number and surface density, diameters and cell thickness. Mean body weight was 34.86 g for the control group and 18.56 g for the Cd-treated group. Histologically, the glandular acini were significantly smaller, the gland ducts were similar in both groups studied. The connective tissue was more abundant. In conclusion, the salivary glands (submandibular, parotid and sublingual) showed retarded growth after Cd intoxication.

New molecular variants of hypothalamus-pituitary-gonad axis genes and their association with early puberty phenotype in Bos taurus indicus (Nellore)

Endocrine system plays a major role in the control of reproductive functions which are regulated by the hypothalamus-pituitary-gonad axis and its interactions. FSH and LH receptor genes are expressed at the gonads and GnRH receptor gene is expressed at the anterior pituitary gland. Misense mutations of the FSH, LH or GnRH receptors, activating or inactivating their functions in mammals, are potentially useful to allow the understanding of the role of this group of gonadotropins in reproductive phenotypes as early puberty and birth interval length. In the present study, polymorphisms in bovine exon 11 and 3`UTR of LHR, exon 10 and 3`UTR of FSHR and GnRHR genes were characterized with some of them resulting in changes in the aminoacidic chain. These polymorphic sites were found in a Bos taurus indicus (Nellore) female population by means of PCR-SSCP and DNA sequencing. Association between nucleotidic/aminoacidic changes and early puberty were determined by Chi-square analysis. It was found association between FSHR 3`UTR polymorphisms at position 2181, 2248 and 2249 bp and early puberty phenotype (p < 0.05). The presence of these new molecular markers might be considered in further studies to validate its correlation with early puberty or other reproduction associated phenotypes in cattle breeds. (C) 2007 Published by Elsevier B.V.

Clock Genes, Melanopsins, Melatonin, and Dopamine Key Enzymes and Their Modulation by Light and Glutamate in Chicken Embryonic Retinal Cells

The avian circadian system is composed of the retina, the mammalian homolog region of the suprachiasmatic nucleus (SNC), and the pineal gland. The retina, itself, displays many rhythmic physiological events, such as movements of photoreceptor cells, opsin expression, retinal reisomerization, and melatonin and dopamine production and secretion. Altogether, these rhythmic events are coordinated to predict environmental changes in light conditions during the day, optimizing retina function. The authors investigated the expression pattern of the melanopsin genes Opn4x and Opn4m, the clock genes Clock and Per2, and the genes for the key enzymes N-Acetyltransferase and Tyrosine Hidroxylase in chicken embryo dispersed retinal cells. Primary cultures of chicken retina from 8-day-old embryos were kept in constant dark (DD), in 12-h light/12-h dark (12L:12D), in 12L:12D followed by DD, or in DD in the absence or presence of 100 mu M glutamate for 12 h. Total RNA was extracted throughout a 24-h span, every 3 h starting at zeitgeber time 0 (ZT0) of the 6th day, and submitted to reverse transcriptase-polymerase chain reaction (RT-PCR) followed by quantitative PCR (qPCR) for mRNA quantification. The data showed no rhythmic pattern of transcription for any gene in cells kept in DD. However under a light-dark cycle, Clock, Per2, Opn4m, N-Acetyltransferase, and Tyrosine Hydroxylase exhibited rhythmic patterns of transcription. In DD, 100 mu M glutamate was able to induce rhythmic expression of Clock, strongly inhibited the expression of Tyrosine Hydroxylase, and, only at some ZTs, of Opn4x and Opn4m. The neurotransmitter had no effect on Per2 and N-Acetyltransferase transcription. The authors confirmed the expression of the protein OPN4x by immunocytochemistry. These results suggest that chicken embryonic retinal cells contain a functional circadian clock, whose synchronization requires light-dark cycle or glutamate stimuli. (Author correspondence: amdlcast@ib.usp.br).

Dissociation of circadian and light inhibition of melatonin release through forced desynchronization in the rat

Pineal melatonin release exhibits a circadian rhythm with a tight nocturnal pattern. Melatonin synthesis is regulated by the master circadian clock within the hypothalamic suprachiasmatic nucleus (SCN) and is also directly inhibited by light. The SCN is necessary for both circadian regulation and light inhibition of melatonin synthesis and thus it has been difficult to isolate these two regulatory limbs to define the output pathways by which the SCN conveys circadian and light phase information to the pineal. A 22-h light-dark (LD) cycle forced desynchrony protocol leads to the stable dissociation of rhythmic clock gene expression within the ventrolateral SCN (vlSCN) and the dorsomedial SCN (dmSCN). In the present study, we have used this protocol to assess the pattern of melatonin release under forced desynchronization of these SCN subregions. In light of our reported patterns of clock gene expression in the forced desynchronized rat, we propose that the vlSCN oscillator entrains to the 22-h LD cycle whereas the dmSCN shows relative coordination to the light-entrained vlSCN, and that this dual-oscillator configuration accounts for the pattern of melatonin release. We present a simple mathematical model in which the relative coordination of a single oscillator within the dmSCN to a single light-entrained oscillator within the vlSCN faithfully portrays the circadian phase, duration and amplitude of melatonin release under forced desynchronization. Our results underscore the importance of the SCN`s subregional organization to both photic input processing and rhythmic output control.