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.

Model driven product line engineering : core asset and process implications

Reuse is at the heart of major improvements in productivity and quality in Software Engineering. Both Model Driven Engineering (MDE) and Software Product Line Engineering (SPLE) are software development paradigms that promote reuse. Specifically, they promote systematic reuse and a departure from craftsmanship towards an industrialization of the software development process. MDE and SPLE have established their benefits separately. Their combination, here called Model Driven Product Line Engineering (MDPLE), gathers together the advantages of both. Nevertheless, this blending requires MDE to be recasted in SPLE terms. This has implications on both the core assets and the software development process. The challenges are twofold: (i) models become central core assets from which products are obtained and (ii) the software development process needs to cater for the changes that SPLE and MDE introduce. This dissertation proposes a solution to the first challenge following a feature oriented approach, with an emphasis on reuse and early detection of inconsistencies. The second part is dedicated to assembly processes, a clear example of the complexity MDPLE introduces in software development processes. This work advocates for a new discipline inside the general software development process, i.e., the Assembly Plan Management, which raises the abstraction level and increases reuse in such processes. Different case studies illustrate the presented ideas.

Physical Constraints to Aquatic Plant Growth in New Zealand Lakes

The nature of aquatic plant communities often defines benthic habitat within oligotrophic and mesotrophic lakes and lake management increasingly recognizes the importance of maintaining plant diversity in order to sustain biological diversity and capacity within lakes. We have developed simple statistical relationships between key physical and vegetation variables that define the habitat requirements, or “habitat-templates”, of key vegetation types to facilitate management of plant communities in New Zealand lakes. Statistical relationships were derived from two datasets. The first was a multi-lake dataset to determine the effects of water level fluctuation and water clarity. The second dataset was from a comprehensive shoreline survey of Lake Wanaka, which allowed us to examine within-lake variables such as beach slope and wave action. Sufficient statistical relationships were established to develop a habitat template for each of the major species or assemblages. The relationships suggested that the extent and diversity of shallow-growing species was related to a combination of the extent of water level fluctuation and wave exposure. (PDF contains 9 pages.)

Regeneration of Giant Salvinia from Apical and Axillary Buds following Desiccation or Physical Damage

Can a new giant salvinia infestation occur even if most of the mat is destroyed except for the protected buds? From this study, we are able to conclude that buds can produce new growth under certain stressful conditions. They must be greater than 0.2 cm in length and they must possess greater than 30% moisture content to survive.

Unlike Physical Exercise, Modified Environment Increases the Lifespan of SOD1(G93A) Mice However Both Conditions Induce Cellular Changes

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Effects and impacts of physical stress on entrained organisms.

Environmental studies of power plants have recently shifted their emphasis from examination of the effects of heated discharges to studies of the impacts of entire cooling systems. One of the major impacts arises when planktonic organisms are carried into and through a plant with the cooling water. Because of their relatively immobile, free-floating character, planktonic organisms are highly vulnerable to being "entrained" or passively drawn into the cooling water condenser systems of power plants. More than 70% of estuarine animals have planktonic eggs and larvae. The environmental impact of entrainment is related to the composition and abundance of affected organisms, the numbers of organisms in the adjacent waters, survival rates during entrainment as related to natural survival, the ecological roles of entrained organisms, and their reproductive strategies.

Physical Modeling of Current-Induced Seabed Scour around a Vibrating Submarine Pipeline

Most of the existing researches either focus on vortex-induced-vibrations (VIV) of a pipeline near a rigid boundary, or on seabed scour around a fixed pipeline. In the fields, pipeline vibration and seabed scour are actually always coupled. Based on the similarity analysis, a series of tests were conducted with a hydro-elastic facility to investigate the influence of pipe vibration on the local scour and the effects of scour process on the pipeline dynamic responses. Experimental results indicate that, there exist two phases in the process of sand scouring around the pipeline with small embedment, i.e. Phase I: scour beneath pipe without VIV, and Phase II: scour with VIV of pipe. It is also found that the gap-to-diameter ratio (e/D) has much effect upon the scour depth for the fixed pipes. For a given value of e/D, the vibrating pipes with close proximity to seabed may induce a deeper scour hole than the fixed ones. Within the examined gap-to-diameter ratio range (425 < e/D < 0.75), the influences of gap-to-diameter ratio on the maximum values of scour-depth for the case of vibrating pipes are not as much as those for the case of fixed pipes.

Studies of physical, chemical, and biological oceanography in the vicinity of the Revilla Gigedo Islands during the “Island Current Survey” of 1957

ENGLISH: The tendency of the tunas, especially the yellowfin (Neothunnus macropterus) to be more abundant in the near vicinity of islands and seamounts, or "banks", than in the surrounding oceanic areas, is well known to commercial fishermen. This has been confirmed by statistical analysis of fishing vessel logbook records, which demonstrates that the catch-per-day's-fishing is, indeed, higher in the near vicinity of these features. It is hypothesized that islands and seamounts cause changes in the physical circulation or the biochemical cycle resulting in greater supplies of food for tunas in their immediate environs. In order to examine this hypothesis, and in order to study possible mechanisms involved, the "Island Current Survey" was undertaken from 8 May to 12 June, 1957, under the joint auspices of the Inter-American Tropical Tuna Commission and the Scripps Institution of Oceanography. Surveys of varying nature and extent were made from M/V Spencer F. Baird near Alijos Rocks, Clarion Island, Shimada Bank and Socorro Island (Figure 1). These studies sought to provide knowledge of the action of islands and seamounts in arresting, stalling or deflecting the mean current past them, in establishing convergence and divergence in the surface flow, in producing vertical motion (mixing and upwelling), and in influencing the primary production and the standing crops of phytoplankton and zooplankton. Each survey is discussed below in detail. Observations made at a front on 10 June will be discussed in another paper. SPANISH: Los pescadores que realizan la pesca comercial conocen muy bien la tendencia de los atunes, en particular del atún aleta amarilla (Neothunnus macropterus), de presentarse en mayor abundancia en las cercanías inmediatas a las islas y cimas submarinas, o "bancos", que en las áreas oceánicas circundantes. Este hecho ha sido confirmado par el análisis estadístico de los registros de los cuadernos de bitácora de las embarcaciones pesqueras, demostrándose que la captura par dias de pesca es, en efecto, más abundante en la inmediata proximidad de tales formaciones. Hipotéticamente se admite que las islas y las cimas submarinas provocan cambios en la circulación física o en el ciclo bioquímico, lo cual se pone de manifiesto a través de un mejor abastecimiento de alimento para los atunes en sus cercanías inmediatas. Con la finalidad de verificar esta hipótesis y de estudiar los mecanismos que ella involucra, se realizó la “Island Current Survey” del 8 de mayo al 12 de junio de 1957, bajo los auspicios de la Comisión Interamericana del Atún Tropical y de la Institución Scripps de Oceanografia. Con el barco Spencer F. Baird se hicieron observaciones de distintas clases y alcances cerca de las Rocas Alijos, la Isla Clarion, el Banco Shimada y la Isla Socorro (Figura 1). Estos estudios tuvieron por objeto adquirir conocimientos sobre la acción que ejercen las islas y cimas submarinas sobre la corriente promedio, ya sea deteniéndola, reduciendo su velocidad o desviando su curso, así como estableciendo convergencia o divergencia en su flujo de superficie, o provocando un movimiento vertical (mezcla y afloramiento) e influyendo en la producción primaria y en las existencias de fitoplancton y zooplancton. Cada operación será tratada a continuación por separado. Las observaciones hechas el dia 10 de junio sobre un frente serán objeto de otra publicación.

Growth of Silicon Carbide Bulk Crystals by Physical Vapor Transport Method and Modeling Efforts in the Process Optimization

Silicon carbide bulk crystals were grown in an induction-heating furnace using the physical vapor transport method. Crystal growth modeling was performed to obtain the required inert gas pressure and temperatures for sufficiently large growth rates. The SiC crystals were expanded by designing a growth chamber having a positive temperature gradient along the growth interface. The obtained 6H-SiC crystals were cut into wafers and characterized by Raman scattering spectroscopy and X-ray diffraction, and the results showed that most parts of the crystals had good crystallographic structures.