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The “flash crash” of May 6, 2010, was the second-largest point swing (1,010.14 points) and the biggest one-day point decline (998.5 points) in the history of the Dow Jones Industrial Average. For a few minutes, $1 trillion in market value vanished. In this article, the authors argue that the flash crash was the result of the new dynamics at play in the current market structure. They highlight the role played by order toxicity in affecting liquidity provision, and they show that a measure of this toxicity, the volume synchronized probability of informed trading (VPIN), captures the increasing toxicity of the order flow in the hours and days prior to collapse. Because the flash crash might have been avoided had liquidity providers remained in the marketplace, a solution is proposed in the form of a “VPIN contract” that would allow liquidity providers to dynamically monitor and manage their risks.

This paper delineates the link between the existence of information, the timing of trades, and the stochastic process of prices. We show that time affects prices, with the time between trades affecting spreads. Because the absence of trades is correlated with volume, our model predicts a testable relation between spreads and normal and unexpected volume, and demonstrates how volume affects the speed of price adjustment. Our model also demonstrates how the transaction price series will be a biased representation of the true price process, with the variance being both overstated and heteroskedastic. FEW TOPICS IN FINANCE are of broader interest than the time series properties of security prices. Fundamental to research on such diverse topics as security returns, market efficiency, investor trading strategies, option behavior, and security market design, the stochastic process of prices underlies much of the phenomena studied in financial economics. But how the stochastic process of prices behaves, or even what factors determine the movement between one security price and the next remains unclear. These theoretical questions have spurred extensive research on security price formation, much of it in the large, and growing area of security market microstructure. The microstructure literature investigates how prices evolve by analyzing how traders learn from market data. This focus allows researchers to characterize the time series properties of prices as a function of the information trades reveal to the market. In the standard microstructure models, however, time per se plays no role. In the Kyle (1985) framework, for example, all trades are batched so that wheni individual orders arrive is not relevant (or even known) to the market maker. Similarly, in the Glosten and Milgrom (1985) sequential trade model, orders are assumed to arrive in some probabilistic fashion which is independent of any time parameters. In these models, the timing of trades is irrelevant for the behavior of prices because time itself has no information content.

We consider a risk neutral final goods producer, operating with a concave production function. We show that when faced with the possibility of quantity rationing in the spot market for an input the producer will always pay a premium to purchase some units of that input in a forward market. A monopolistic supplier of the input can therefore earn additional rents by offering to sell units in both a forward market and a spot market, effectively price discriminating along a producer's demand curve for the input. We thus provide a model of forward contracting in which prices are set sequentially, there is no risk aversion, and customers purchase positive quantities in both the forward and the spot market.

The ideal of an autonomous, clearly bounded, self‐assertive, self‐responsible individual — which lies at the center of humanistic psychology — is culturally and contextually limited. By overlooking the fact that selves are socially constructed, humanistic psychology — like mainstream psychology — has ignored the relationship between selves and their contexts and has idealized a self that is isolated, alienated, and empty. A postmodern humanistic psychology that puts a relational self at its center, and sees this self as culturally, contextually and interactionally variable, would permit the development of a pluralistic psychology that would once again put the experiencing Subject at the center and would also lead toward transformation of dehumanizing social contexts.

This paper is an empirical investigation into the practices of the Second Bank of the United States during the decade preceding Andrew Jackson's veto of the Bank. A new monthly data set derived from financial publications and Second Bank records of the time is employed to investigate whether the Bank operated in the public interest, as argued by its supporters, or to further its own monopolistic interests, as argued by its detractors. The paper analyzes the role played by this early central bank, and provides an intriguing example of one experiment in the private provision of public goods.

This paper examines the effects of price-contingent orders on security prices. The authors show that a market maker who knows the type and composition of trades will set larger spreads and adjust prices faster than if price-contingent orders were not allowed. Because traders have rational expectations over the book, the authors demonstrate that uncertainty over order type reduces the variance of prices but with a corresponding loss in price informativeness. They also show that the sequence property of price-contingent orders increases the probability of large price movements. This distinction between variance and episodic price volatility has important policy implications. Copyright 1991 by American Finance Association.

In the current credit crisis there is little or no trade in a variety of financial assets, even though bids and asks exist for many of these assets. We develop a model in which this illiquidity arises from uncertainty, and we argue that this new form of illiquidity makes bid and ask prices unsuitable as metrics for establishing fair value for these assets. We show how the extreme uncertainty that traders currently face can be characterized by incomplete preferences over portfolios, and we use Bewley's [2002] model of decision making under uncertainty to derive equilibrium quotes and the non-existence of trade at these quotes. Having established the origin of the quotes, and why the market freezes, we are then able to use our approach to suggest alternatives for valuing assets in illiquid markets.

This paper investigates the linkage of microstructure, accounting, and asset pricing. We determine the relationship between firm characteristics as captured by accounting and market data and a firm's probability of private information-based trade (PIN) as estimated from trade data. This allows us to determine what types of firms have high information risk. We then use these data to create an instrument for PIN, the PPIN, which we can estimate from firm-specific data. We show that PPINs have explanatory power for the cross-section of asset returns in long sample tests. We also investigate whether information risk vitiates the influence of other variables on asset returns. Our results provide strong support for information risk affecting asset returns, and suggest that PIN weakens, but does not remove, the role of size in asset returns.

This paper examines alternative financial contracts for international lending. I demonstrate that conventional loans can be pareto dominated by financial contracts explicitly incorporating characteristics of the borrower's product market. I provide conditions under which commodity-linked debt is desirable, and determine when more complicated revenue-linked loans are optimal. I also demonstrate that the type of lending contract has important real effects on production decisions. One result of this research is to demonstrate why equity-based lending arrangements may have limited applicability.

This paper investigates the effect on bank equity values of the Comptroller of the Currency's announcement that some banks were "too big to fail" and that for those banks total deposit insurance would be provided. Using an event study methodology, we find positive wealth effects accruing to TBTF banks, with corresponding negative effects accruing to non-included banks. We demonstrate that the magnitude of these effects differed with bank solvency and size. We also show that the policy to which the market reacted was that suggested by the Wall Street Journal and not that actually intended by the Comptroller. THE ROLE OF DEPOSIT insurance has become a topic of increasing debate. Advocates argue that by removing the incentive to "run", deposit insurance protects individual financial institutions from instability in the intermediation process, thereby providing stability to the financial system as a whole.1 The recent rise in bank failures and the concomitant crises in the S&L industry, however, demonstrate that this stability is not guaranteed. Moreover, critics note that deposit insurance may introduce incentive problems and wealth effects into the financial system, both of which can impede the effective functioning of any deposit insurance system. These problems have prompted concern about the structure of the current deposit insurance system and have led to numerous proposals regarding its restructuring.2 This paper investigates one aspect of this debate by analyzing the effect on bank equity values of the policy decision to insure completely some banks but not others. Specifically, in September 1984 the Comptroller of the Currency testified before Congress that some banks were simply "too big to fail" (TBTF) and that for those banks total deposit insurance would be provided. While not explicitly naming the banks, the Comptroller admitted that this policy would apply to the eleven largest banks. Using an event study methodology, we analyze

In this paper, we investigate the effects of information asymmetry across equity investor groups as an explanation for the capital structure decisions of the firm. We test empirically whether differences in information across outside investors have any bearing on the leverage ratios of firms and on their choice of financing instrument when raising external capital. We use the probability of information-based trading (PIN) estimated using trade based data to test our theory. We find that firms with higher information risk (extrinsic information asymmetry across groups of investors) measured using PIN have higher market leverage. Extrinsic information asymmetry also seems to play a significant role in the firm's decision to issue debt or equity when raising capital, with high PIN firms more likely to issue debt. Comparing firms that issued debt and repurchased equity in the same year (increased leverage) with those that issued equity and repurchased debt in the same year (decreased leverage), we find firms with higher extrinsic information asymmetry are more likely to increase their leverage. These results strongly support the hypothesis that information risk affects capital structure after controlling for information asymmetry between firm managers and outside investors.

We construct a comprehensive measure of overall investment banking competitiveness for follow-on offerings that aggregates the various dimensions of competition such as fees, pricing accuracy, analyst recommendations, distributional abilities, market making prowess, debt offering capabilities, and overall reputation. The measure allows us to incorporate trade-offs that investment banks may use in competing for new or established clients. We find that firms who seek a higher reputation underwriter face relatively non-competitive markets. In contrast, firms who switch to similar-quality underwriters enjoy more intense competition among investment banks which manifests in lower fees and more optimistic recommendations. Investment banks do compete vigorously for some clients, with the level of competition related to the likelihood of gaining or losing clients. Finally, investment banks not performing up to market norms are more likely to be dropped in the follow-on offering.

Sphingosine-1-phosphate (S1P), a bioactive lipid released from activated platelets, has been demonstrated in animal models to regulate vascular tone through receptor-mediated activation of Rho-associated kinase 1 and nitric oxide synthase 3. The role of S1P in regulation of human vascular tone (particularly during pregnancy, with its unique vascular adaptations and localized platelet activation) is unknown. We hypothesized that S1P would constrict small placental arteries through activation of Rho-associated kinases with modulation by nitric oxide. Reverse transcription-polymerase chain reaction of chorionic plate artery preparations detected mRNAs encoding all five receptors for S1P, and S1P induced dose-dependent vasoconstriction of both chorionic plate and stem villous isobarically mounted arteries, which at 10 micromol/L was 32.9% +/- 3.86% (mean +/- SEM) and 34.6% +/- 7.01%, respectively. In stem villous arteries, S1P-induced vasoconstriction was enhanced significantly following inhibition of nitric oxide synthases with N(G)-nitro-L-arginine methyl ester (100 micromol/L, 52.6% +/- 6.28%, P0.05). The S1P-induced vasoconstriction was reversed by Y27632, an inhibitor of Rho-associated kinases (10 micromol/L) in both chorionic plate (to 14.9% +/- 4.95%) and stem villous arteries (to 2.71% +/- 6.13%). The S1P added to alpha-toxin-permeabilized, isometrically mounted chorionic plate arteries bathed in submaximal Ca(2+)-activating solution induced Ca(2+)-sensitization of constriction, which was 47.7% +/- 10.0% of that occurring to maximal Ca(2+)-activating solution. This was reduced by Y27632 to 18.4% +/- 18.4%. Interestingly, S1P-induced vasoconstriction occurred in all isobarically mounted arteries but was inconsistent in isometrically mounted chorionic plate arteries. In summary, S1P-induced vasoconstriction in human placental arteries is mediated by increased Ca(2+)-sensitization through activation of Rho-associated kinases, and this vasoconstriction also is modulated by nitric oxide. Identification of these actions of S1P in the placental vasculature is important for understanding both normal and potentially abnormal vascular adaptations with pregnancy.

Fetal growth restriction (FGR) affects up to 8% of all pregnancies and has massive short-term (increased fetal morbidity and mortality) and long-term (increased incidence of cardiovascular disease in adulthood) health implications. Doppler waveform analysis of pregnancies complicated by FGR suggests compromised uteroplacental circulation and placental hypoperfusion. Our aim was to determine whether myometrial small artery function was aberrant in FGR and to assess whether sildenafil citrate could improve vasodilatation in FGR pregnancies.Small arteries dissected from myometrial biopsies obtained at cesarean section from normal pregnant women (n = 27) or women whose pregnancies were complicated by FGR (n = 12) were mounted on wire myographs. Vessels were constricted (with arginine vasopressin or U46619) and relaxed (with bradykinin) before and after incubation with a phosphodiesterase-5 inhibitor, sildenafil citrate.We demonstrated increased myometrial small artery vasoconstriction and decreased endothelium-dependent vasodilatation in vessels from women whose pregnancies were complicated by FGR. Sildenafil citrate significantly reduced vasoconstriction and significantly improved relaxation of FGR small arteries.We conclude that sildenafil citrate improves endothelial function of myometrial vessels from women whose pregnancies are complicated by intrauterine growth restriction. Sildenafil citrate may offer a potential therapeutic strategy to improve uteroplacental blood flow in FGR pregnancies.

In this research we investigate the behavior of noise traders and their impact on the market. We do this in an experimental market setting that allows us to determine not only how noise traders fare in a competitive asset market with other traders, but also how the equilibrium changes if a securities transactions tax ("Tobin tax") is imposed. We find that noise traders lose money on average: they do not engage in extensive liquidity provision, and their attempt to make money by trend chasing is unsuccessful as they lose most in securities whose prices experience large moves. Noise traders adversely affect the informational efficiency of the market: they drive prices away from fundamental values, and the further away the market gets from the true value, the stronger this effect becomes. With a securities transaction tax, noise traders submit fewer orders and lose less money in those securities that exhibit large price movements. The tax is associated with a decrease in market trading volume, but informational efficiency remains essentially unchanged and liquidity (as measured by the price impact of trades) actually improves. We find no significant effect, however, on market volatility, suggesting that at least this rationale for a securities transaction tax is not supported by our data.

Objective The purpose of this study was to assess the involvement of rho kinase (ROK) in agonist-dependent contraction of omental, myometrial, and placental arteries of pregnant women at term. Study design Wire myography was used to assess if contractions of intact or α-toxin-permeabilized arteries obtained from women at elective cesarean section were influenced by the ROK inhibitor Y-27632. Results Western blotting indicated the presence of ROKα in each of the 3 tissue types. In intact human omental, myometrial, or placental arteries, Y-27632 dose-dependently reduced constrictions to the thromboxane-mimetic U46619. In permeabilized vessels, U46619 induced substantial Ca 2+ -sensitization of contraction that was inhibited by Y27632. The phosphatase inhibitor calyculin A induced a Ca 2+ sensitization of contraction similar to that of U46619 in permeabilized omental arteries that was unaffected by Y-27632, suggesting that ROK may signal via myosin phosphatase in these vessels. Conclusion These results are the first report of the involvement of ROK in the receptor-coupled constriction of intact and permeabilized arteries from pregnant women.

Objective In preeclampsia, endothelium-dependent function is markedly aberrant. Myometrial resistance arteries from women with preeclampsia show a minimal, wholly nitric oxide-mediated, bradykinin-induced relaxation. Our aim was to test that phosphodiesterase 5 (PDE5) inhibition could improve endothelium-dependent function in preeclampsia. Study design Small arteries dissected from myometrial biopsies obtained at cesarean section from normal pregnant women (N = 22) or women with preeclampsia (N = 24) were mounted on wire or pressure myographs. Vessels were constricted (arginine vasopressin or U46619) and relaxed (bradykinin) before and after incubation with a PDE5 inhibitor, UK-343664. Results Endothelium-dependent vasodilatation was decreased in vessels from women with preeclampsia. 100 nmol/L UK-343664 did not affect normal pregnant but significantly improved relaxation of the vessels from women with preeclampsia. Conclusion A PDE5 inhibitor enhances endothelial function of myometrial vessels from women with preeclampsia, such that the behavior of these arteries approximates to those from normal women. These agents offer a potential therapeutic strategy for the management of preeclampsia.

Liquidity occupies a central importance for many areas of finance. But there are very disparate views of liquidity, and correspondingly many different policy implications attached to these views. In this paper, I consider the many faces of liquidity and their implications for financial market stability. In particular, I focus on the traditional economics view of liquidity as destabilizing and the more positive microstructure view of liquidity as a positive attribute for both traders and markets. I outline the various policy prescriptions for market stability that arise from these disparate views, and how they relate to current market developments. I then consider a new view of liquidity deriving from the new research on uncertainty aversion, and I detail what this approach implies for market stability. I conclude by summarizing the implications for public policy and central bank behavior toward liquidity.

There is much interest in chemokine receptors as therapeutic targets in diseases such as AIDS, autoimmune and inflammatory disorders, and cancer. Hampering such studies is the lack of accurate three-dimensional structural models of these molecules. The CC-chemokine receptor D6 is expressed at exceptionally high levels in heterologous transfectants. Here we report the purification and biochemical characterization of milligram quantities of D6 protein from relatively small cultures of transfected mammalian cells. Importantly, purified D6 retains full functional activity, shown by displaceable binding of 125I-labelled MIP-1β (macrophage inflammatory protein-1β) and by complete binding of the receptor to a MIP-1α affinity column. In addition, we show that D6 is decorated on the N-terminus by N-linked glycosylation. Mutational analysis reveals that this glycosylation is dispensable for ligand binding and high expression in transfected cells. Metabolic labelling has revealed the receptor to also be sulphated and phosphorylated. Phosphorylation is ligand independent and is not enhanced by ligand binding and internalization, suggesting similarities with the viral chemokine receptor homologue US28. Like US28, an analysis of the full cellular complement of D6 in transfected cells indicates that >80% is found associated with intracellular vesicular structures. This may account for the high quantities of D6 that can be synthesized in these cells. These unusual properties of D6, and the biochemical characterization described here, leads the way towards work aimed at generating the three-dimensional structure of this seven-transmembrane-spanning receptor.

Objectives In pre-eclampsia (PE), endothelium-dependent function of myometrial small arteries is markedly attenuated. The residual PE response is wholly NO mediated. We have previously demonstrated that PDE5 inhibition can improve endothelial function in myometrial small arteries from women with PE. We aimed to assess whether the effect of PDE5 inhibition in PE was myometrial artery specific. Study design Small arteries were dissected from omental biopsies obtained at Caesarean section from normal pregnant women (NP, N = 20) and women with PE ( N = 11). Chorionic plate small arteries were dissected from NP ( N = 13) and PE ( N = 11) placentae. Vasoconstriction (arginine vasopressin or thromboxane-mimetic U46619) and endothelial-dependent relaxation were assessed by wire and pressure myography. Constriction/relaxation curves were repeated post 1 h incubation with PDE5 inhibitors UK-343664 or sildenafil citrate (0, 10 or 100 nM). Results Omental artery constriction was increased in PE. Omental vessel constriction was unaffected by PDE5 inhibition. Sildenafil citrate improved bradykinin-induced but not acetylcholine-induced relaxation of omental small arteries from NP women. PDE5 inhibition did not alter relaxation of omental arteries from women with PE. Placental small arteries were unaffected by PDE5 inhibition. Conclusion Use of PDE5 inhibitors does not significantly alter endothelial-dependent relaxation in omental or placental small arteries from PE women.

Technological challenges, governance issues, competitive pressures, and questions about the oversight of trading practices are but a few of the many forces besetting U.S. equity markets. This article outlines some important issues surrounding the evolving structure of the U.S. equity markets and offers some alternative regulatory approaches that might be more consistent with this new competitive environment. ; Crafted more than a quarter-century ago in a time of dominant markets interacting with smaller competitors, the National Market System (NMS) was based on a one-size-fits-all approach in which all trade orders were to be treated equally. Over time, technology has enabled the development of new trading systems and dramatically expanded the number of potential competitors. In addition, the traditional market structure of member-owned cooperatives has given way to corporate ownership, which poses challenges for the self-regulatory structure underlying equity market supervision. ; Within this new environment, how should markets compete, how should they be linked, and how should they be regulated? To address these questions, the author discusses several pressing issues such as price-time priority, liquidity rebates, tape revenue, pricing increments, and access fees as well as more general issues such as the viability of self-regulation. ; The Securities and Exchange Commission’s proposed Regulation NMS is a promising start toward addressing the current market structure’s needs. But the author feels that its changes are piecemeal and do not go deep enough to develop a new vision consistent with the current economic realities of equity markets. Where direction is most needed, she concludes, is at the firm level, where regulation must.

The study argues that commercial banks pose unique corporate governance problems for managers and regulators as well as for claimants on the banks' cash flows, such as investors and depositors. The authors support the general principle that fiduciary duties should be owed exclusively to shareholders. However, in the special case of banks, they contend that the scope of the fiduciary duties and obligations of officers and directors should be broadened to include creditors. In particular, the authors call on bank directors to take solvency risk explicitly and systematically into account when making decisions or else face personal liability for failure to do so.

Market microstructure and asset pricing both consider the behavior and formation of prices in asset markets. Yet neither literature explicitly recognizes the importance and role of the factors so crucial to the other approach. This survey seeks to join the two literatures by surveying the work linking microstructure factors to asset price dynamics. In the short run, these dynamics involve issues such as the auto-correlation and cross-correlation structure of stocks, and our survey will examine the literature relating these correlation structures to microstructure factors such as non-synchronous trading and dealer behavior. In the longer run, issues such as liquidity and the relation of private information to asset price dynamics are important. We survey the theoretical work linking microstructure factors to long-run returns, and we consider why stock prices might be expected to reflect premia related to liquidity or informational asymmetries. We also survey the empirical literature testing these relationships. We then discuss what issues remain contentious, and we provide some guidance for future research. We hope to show in this survey that asset-pricing dynamics may be better understood by recognizing the role played by microstructure factors, and that microstructure research can be enhanced by a greater understanding of its linkages with fundamental economic variables.

In this paper we analyze the demutualization of exchanges. Over the last 5 years nineteen stock markets had privatized, and consequently changed their governance structure. The most important finding is that exchange privatizations appear to be value-enhancing changes.

We propose a dynamic model of trade and estimate the model on 16 actively traded stocks on the New York Stock Exchange over 15 years of transaction data. We investigate (1) how the arrival rates of informed and uninformed trades vary over time, (2) how they interact with each other, and (3) what the implications are of the trade dynamics on the securities price processes such as market liquidity, depth, and volatility. In particular, we extend the model of Easley and O'Hara (1992) to allow the arrival rates of informed and uninformed trades to be time-varying and forecastable. We specify a generalized autoregressive bivariate process for (1) the arrival rates of trades and (2) the logarithm of the arrival rates. Calibration results indicate that the two specifications exhibit similar performance. They both point to some common features of the trade dynamics. First, the arrival rates of both informed and uninformed trades are highly persistent. Heavy trading is more likely to be followed by heavy trading. Second, uninformed traders tend to follow their own type but to avoid the informed traders. Uninformed traders refrain from entering the market after a day with many informed traders. Informed traders, on the other hand, are not as responsive to the arrival of uninformed traders. Finally, while the arrival rates of both types of traders increase over time, it is mainly the increase in the arrival of uninformed traders that contributes to the surge in trading activities. Given the forecasted arrival rates, we investigate the correlation between the arrival rates of trades and trade composition on market volatility and liquidity. First, we find that the forecasted arrival rates of both types of trades are positively correlated with intra-day volatility measures such as the absolute returns on daily open-close and high-low. Hence, potentially we could use the forecasted arrival rates to enhance the forecasting of daily volatilities. Second, under our model structure, the opening bid-ask spread, a measure of market liquidity, is proportional to the relative proportion of informed trades and the significance of the information event. We find that the proportion of informed trades is negatively correlated with the total number of trades. As the number of trades increases over time, the relative proportion of informed trades increases and hence, assuming relative time stability on the significance of information events, the opening bid-ask spread becomes narrower and the market becomes more liquid. Finally, we compute the price impact curve of consecutive buy orders and report the half life of the price impact as a measure of market depth. The difference in mean half life across stocks indicates their difference in market depth. The positive correlation between the half life and total trades indicates that the market is deeper in presence of more trades.

We investigate the role of information in affecting a firm's cost of capital. Using a multi-asset rational expectations model, we show that differences in the composition of information between public and private information affect the cost of capital, with investors demanding a higher return to hold stocks with greater private information. This higher return arises because informed investors are better able to shift their portfolio weights to incorporate new information, and uninformed investors are thus disadvantaged. The model demonstrates how in equilibrium the quantity and quality of information affect asset prices, resulting in cross-sectional differences in firms' required returns. We show how a firm can influence its cost of capital by choosing features like accounting treatments, financial analyst coverage, and market microstructure.

O’HARA: A longstanding theme in economic research has been, “does regulation lead markets or follow”? We don’t necessarily know the answer but, if we rephrase it, “do regulators lead markets or follow,” then, given the order of today’s panels, we know the answer. We are last.

Contrary to popular belief, speed is not the defining characteristic that sets high-frequency (HFT) trading apart. In The Volume Clock: Insights into the High-Frequency Paradigm, which appeared in the Fall 2012 issue of The Journal of Portfolio Management, authors Maureen O’Hara, David Easley and Marcos M. Lopez de Prado explain that as a result of regulatory changes, the power of computers is now being utilized by HFTs in ways that were previously not allowed. Whenever a new predator appears in a habitat, there is a shock period that lasts until the hunted species adapt and evolve, the authors maintain. This Practical Applications report details the options that the authors suggest low-frequency trading practitioners employ to help them adapt to this new environment. O’Hara is the Robert W. Purcell Professor of Finance at Cornell University in Ithaca and Chairman of Investment Technology Group’s board of directors. Easley is the Henry Scarborough Professor of Social Science and Donald C. Opatrny ’74 Chair in the Department of Economics at Cornell University. Lopez de Prado is Head of Quantitative Trading & Research at Hess Energy Trading Company (HETCO), the trading arm of Hess Corporation.

Transmyocardial laser revascularization, a new strategy for the treatment of diffuse ischemic heart disease, uses laser technology for the theoretical purpose of forming transmyocardial channels in the heart to increase perfusion to ischemic zones. This report summarizes our initial clinical experience with the procedure.Excimer transmyocardial laser revascularization was performed in a reversibly ischemic region of the heart in 15 patients. Ischemia and myocardial viability were evaluated by assessment of symptoms and of results of radionuclide single photon emission computed tomography imaging, exercise tolerance testing, and 24-hour Holter monitoring.No adverse events occurred as a result of the laser revascularization, although 1 patient with preoperative ventricular arrhythmias died 48 hours postoperatively as a result of refractory ventricular tachycardia. Angina class decreased significantly from base line values in patients who had undergone the procedure (mean Canadian Cardiovascular Association angina class, 3.5+/-0.5 at base line, 1.6+/-0.6 at 1 month, 1.5+/-0.8 at 3 months, 1.9+/-0.9 at 6 months, 1.8+/-0.8 at 12 months; p0.002), and nitroglycerin requirements were similarly decreased in patients who had undergone laser revascularization (mean g/wk of sublingual nitroglycerin, 19+/-4 at baseline, 5+/-3 at 1 month, 4+/-2 at 3 months, 4+/-2 at 6 months, 2+/-1 at 12 months; p0.02). Exercise tolerance testing demonstrated increase in exercise duration compared with base line values (mean minutes, 7.4+/-3.1 at base line, 8.0+/-3.9 at 1 month, 8.5+/-4.4 at 3 months, and 9.0+/-3.9 at 12 months; p0.05); those increases were not large enough to be statistically significant, however.Our data are consistent with the concept that excimer transmyocardial laser revascularization in individuals with significant ischemic heart disease appears to be well tolerated, can be performed safely, and may lead to a reduction in ischemic symptomatology.

We investigate the role of information-based trading in affecting asset returns. We show in a rational expectation example how private information affects equilibrium asset returns. Using a market microstructure model, we derive a measure of the probability of information-based trading, and we estimate this measure using data for individual NYSE-listed stocks for 1983 to 1998. We then incorporate our estimates into a Fama and French (1992) asset-pricing framework. Our main result is that information does affect asset prices. A difference of 10 percentage points in the probability of information-based trading between two stocks leads to a difference in their expected returns of 2.5 percent per year. ASSET PRICING IS FUNDAMENTAL to our understanding of the wealth dynamics of an economy. This central importance has resulted in an extensive literature on asset pricing, much of it focusing on the economic factors that influence asset prices. Despite the fact that virtually all assets trade in markets, one set of factors not typically considered in asset-pricing models are the features of the markets in which the assets trade. Instead, the literature on asset pricing abstracts from the mechanics of asset price evolution, leaving unsettled the underlying question of how equilibrium prices are actually attained. Market microstructure, conversely, focuses on how the mechanics of the trading process affect the evolution of trading prices. A major focus of this extensive literature is on the process by which information is incorporated into prices. The microstructure literature provides structural models of how prices become efficient, as well as models of volatility, both issues clearly of importance for asset pricing. But of perhaps more importance, microstructure models pro

Publisher Summary This chapter discusses important aspects of the market microstructure literature and the theoretical approaches to the behavior of security prices and markets in the presence of differential information. The Walrasian (batch) market approach to modeling security market behavior in the presence of differential information is described. From this point of view there is a single market-clearing price set by some specified market intermediary. Because trades are aggregated and markets operate at specific points in time, this framework is closely related to rational expectations models. An alternative modeling approach is also presented– sequential trade model. In this model trades occur one at a time, different prices to buy and sell are quoted by a market specialist, and the sequence of orders may affect market behavior. From this point of view there is no market price; the price in any transaction will differ depending upon myriad factors such as whether the trade is large or small, the order arose from a buyer or seller, and the order is a limit or a market.

Extending an empirical technique developed in Easley, Kiefer, and O'Hara (1996), (1997a), we examine different hypotheses about stock splits. In line with the trading range hypothesis, we find that stock splits attract uninformed traders. However, we also find that informed trading increases, resulting in no appreciable change in the information content of trades. Therefore, we do not find evidence consistent with the hypothesis that stock splits reduce information asymmetries. The optimal tick size hypothesis predicts that stock splits attract limit order trading and this enhances the execution quality of trades. While we find an increase in the number of executed limit orders, their effect is overshadowed by the increase in the costs of executing market orders due to the larger percentage spreads. On balance, the uninformed investors' overall trading costs rise after stock splits.

Researchers are increasingly using data from the Nasdaq market to examine pricing be? havior, market design, and other microstructure phenomena. The validity of any study that classifies trades as buys or sells depends on the accuracy of the classification method. Us? ing a Nasdaq proprietary data set that identifies trade direction, we examine the validity of several trade classification algorithms. We find that the quote rule, the tick rule, and the Lee and Ready (1991) rule correctly classify 76.4%, 77.66%, and 81.05% ofthe trades, re? spectively. However, all classification rules have only a very limited success in classifying trades executed inside the quotes, introducing a bias in the accuracy of classifying large trades, trades during high volume periods, and ECN trades. We also find that extant algo? rithms do a mediocre job when used for calculating effective spreads. For Nasdaq trades, we propose a new and simple classification algorithm that improves over extant algorithms.

Maureen O'Hara is the Robert W. Purcell Professor of Finance at Cornell University. Market microstructure research has provided important insights into the operation and behavior of securities markets and into the intra-day behavior of asset prices. What has not yet been established is how market microstructure affects economic behavior more generally. This article focuses on the quest for the link between microstructure and economic meaning. It looks at several areas where microstructure should matter, and it suggests ways for looking for such a linkage. The article attempts to define what we know and don't know regarding microstructure effects, as well as suggesting a research agenda of what we ought to know.

This paper examines the adverse selection problem that arises from the repeated trades of informed traders. We develop a model of trading that incorporates the interaction of expectations, prices, and volume. We then examine how trading volume affects the speed of price adjustment to information, and demonstrate how this price effect differs across markets. Our results suggest that the efficiency of price adjustment to new information may differ dramatically depending on security market structure, even when there is endogenous entry of informed traders. We illustrate these price adjustment properties by developing a simulation of our theoretical model.

This article discusses the so-called Hundredth Monkey Phenomenon that has been used to support a theory of critical mass in human group consciousness. Discussed are the actual studies of macaque behavior transmission and how they have been misrepresented. In considering some of the factors contributing to this story's currency in human potential circles, I have explored pseudoscience and its contradictions, ambivalence toward established science, and the lack of adequate grounds for appraisal of scientific claims. The Hundredth Monkey Phenomenon is described as a bad myth that compares poorly with the powerful sustaining myth of the human potential movement, i.e., a belief in the possibility of a world composed of free, responsible, creative, rational persons participating together in the creation of a humane, pluralistic, global community.

A man was accidentally immersed in hot acidic trivalent chromium sulphate solution but none was swallowed. The clinical course was dominated by burns, intravascular haemolysis, and acute renal failure. Blood concentrations of chromium were measured during treatment and tissue concentrations were measured at death. Exchange transfusion reduced blood chromium concentrations by two-thirds. The total quantities of chromium absorbed and removed by various routes were calculated. In-vitro studies showed that the chromium solution did not directly cause haemolysis.

This paper examines the behavior of the postal savings system in the Depression. It is shown that because the system was created with an inflexible structure it was unable to carry out its prescribed function when economic conditions changed in the Depression. Instead, the system evolved from a small-scale government program designed for the low-income saver into a financial force capable of causing problems for the savings and loan industry, the housing market, and even the banking system.

In Carl Rogers on Personal Power (1977), Rogers devotes almost a whole chapter to what he sees as remarkable similarities between "person-centered approaches" and the pedagogical strategies of Brazilian educator, Paulo Freire. During the last 13 years I have heard such similarities debated in almost every context in which the social and political implications of person-centered approaches are considered. Many Rogerians and other North American humanistic psychologists believe there is a similarity. Freirians and many Third World humanistic psychologists often disagree. This article introduces some new reflections on the work of both men that might be useful to those committed to a search for a more humane world. I hope to establish that the differences of opinion regarding the work of the two men are legitimate, that is, they are based in real differences. However, I also want to show it possible to reconcile these differences by considering the deeper underlying precepts of Freire and Rogers. Through examination of large group person-centered workshops I suggest that a reconsideration of what may be at the base of the ideas of the two men could point the way to possible new discoveries about our human nature and our human future.