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An Analysis of the Amihud Illiquidity Premium
Michael Brennan,Sahn-Wook Huh,Avanidhar Subrahmanyam 한국재무학회 2012 한국재무학회 학술대회 Vol.2012 No.05
This paper analyzes the Amihud (2002) measure of illiquidity and its role in assetpricing. It is shown first that the effect of illiquidity on asset pricing is clarified by using the turnover version of the Amihud measure and including firm size as a separate variable. When we decompose the Amihud measure into elements that correspond to positive (up) and negative (down) return days, we find that in general, only the down-day element commands a return premium. Further analysis of the upand down-day elements using order flows shows that a sidedness variable, which captures the tendency for orders to cluster on the sell side on down days, is associated with a more significant return premium than the other components of the Amihud measure.
Michael J. Brennan,Sahn-Wook Huh,Avanidhar Subrahmanyam 한국재무학회 2014 한국재무학회 학술대회 Vol.2014 No.05
We decompose PIN, the Probability of Informed Trading, into components that capture informed trading on good news (PIN G) and on bad news (PIN B), and provide new evidence that PIN and its components capture informed trading around quarterly earnings announcements. Our principal result concerns asymmetry in the pricing of the two PIN components: we find that the return premium for PIN B is large and highly significant, while that for PIN G is much smaller and is statistically insignificant.
Presynaptic Regulation of Astroglial Excitatory Neurotransmitter Transporter GLT1
Yang, Yongjie,Gozen, Oguz,Watkins, Andrew,Lorenzini, Ileana,Lepore, Angelo,Gao, Yuanzheng,Vidensky, Svetlana,Brennan, Jean,Poulsen, David,Won Park, Jeong,Li Jeon, Noo,Robinson, Michael B.,Rothstein, J Elsevier 2009 Neuron Vol.61 No.6
<P><B>Summary</B></P><P>The neuron-astrocyte synaptic complex is a fundamental operational unit of the nervous system. Astroglia regulate synaptic glutamate, via neurotransmitter transport by GLT1/EAAT2. Astroglial mechanisms underlying this essential neuron-glial communication are not known. We now show that presynaptic terminals regulate astroglial synaptic functions, GLT1/EAAT2, via kappa B-motif binding phosphoprotein (KBBP), the mouse homolog of human heterogeneous nuclear ribonucleoprotein K (hnRNP K), which binds the GLT1/EAAT2 promoter. Neuron-stimulated KBBP is required for GLT1/EAAT2 transcriptional activation and is responsible for astroglial alterations in neural injury. Denervation of neuron-astrocyte signaling by corticospinal tract transection, ricin-induced motor neuron death, or neurodegeneration in amyotrophic lateral sclerosis all result in reduced astroglial KBBP expression and transcriptional dysfunction of astroglial transporter expression. Presynaptic elements dynamically coordinate normal astroglial function and also provide a fundamental signaling mechanism by which altered neuronal function and injury leads to dysregulated astroglia in CNS disease.</P>