estimating residential demand for electricity in greece abstract this paper examines the residential demand for electricity in greece the issues of structural stability price and income sensitivity of both long and short run residential demand for electricity in greece were examined employing monthly data over the period 1986 1999 the long run residential demand for electricity is estimated taking into account changes in weather conditions weighted by the size of the population employing multivariate framework analysis a long run residential demand function for electricity sensitive to real income price level and weather conditions is found to exist and the importance of short run deviations is presented using vector error correction model vecm estimation the empirical evidence suggests the presence of a stable residential demand for electricity in greece both in the long and short run periods and the policy implications of such a relationship are presented

an engineering economic approach to estimating the price elasticity of residential electricity demand abstract this paper develops separate methods for projecting short and long run electricity demand the short run econometric analysis accounts explicitly for weather sensitive appliances and distinguishes these from non weather sensitive appliances the long run analysis combines the econometric approach with an engineering accounting approach unlike pure econometric approaches it is able to identify the effect of sharp price increases on electricity demand it treats total price elasticity as the sum of a utilization elasticity and a long run stock adjustment using utility specific data we obtain elasticity estimates at the low end of the range of previous estimates

is it time to split the s p 500 futures contract by october 1996 the value of the s p 500 index futures contract had grown to five times its value at its inception in april 1982 one way to make the contract more accessible to small investors and to smooth out trading is to split the contract splitting the contract could increase transaction costs although competition would probably limit the amount of the increase less clear is the need for increasing the minimum percentage tick size the current minimum tick size is small for s p 500 futures compared with that of other futures and also common stocks the larger tick size could affect volume however by increasing trading costs and reducing the willingness to trade

household production and the short and long run demand for electricity this paper deals with the residential demand for electricity a theoretical model is formulated which is based on intertemporal optimization in a household production context the model is estimated using a dynamic version of the pls partial least squares approach most important determinants of electricity consumption are the prices of appliances and of those goods which can either be purchased in the market or produced at home the dynamic interrelationship between capital stock and electricity consumption is also an important element of the estimated model

the role of transaction costs for financial volatility evidence from the paris bourse this paper analyzes the causal linkage between transaction costs and financial volatility under two methodological improvements over the existing literature first we use panel data in which exogenous transaction cost differences in the french stock market are induced by price level dependent minimum price variation rules tick size rules unlike in previous studies based on one time regulatory tick size changes like the u s decimalization we can separately identify and control for marketwide volatility changes second we avoid the pitfalls of biased volatility measurement across regimes by using the range as a tick size robust volatility metric panel regressions controlling for marketwide volatility effects show at high levels of statistical significance that the hourly range volatility of individual stocks increases by more than 30 for a 20 exogenous increase in transaction costs due to tick size variations in the french trading system in the light of this evidence higher transaction costs in general and security transaction taxes in particular should be considered as volatility increasing jel f3 g1 g14

minimum price variations discrete bid ask spreads and quotation sizes exchange minimum price variation regulations create discrete bid ask spreads if the minimum quotable spread exceeds the spread that otherwise would be quoted spreads will be wide and the number of shares offered at the bid and ask may be large a cross sectional discrete spread model is estimated by using intraday stock quotation spread frequencies the results are used to project 1 16 spread usage frequencies given a 1 16 tick projected changes in quotation sizes and in trade volumes are obtained from regression models for stocks priced under 10 the models predict spreads would decrease 38 percent quotation sizes would decrease 16 percent and daily volume would increase 34 percent article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

spot and forward volatility in foreign exchange this paper investigates the empirical relation between spot and forward implied volatility in foreign exchange we formulate and test the forward volatility unbiasedness hypothesis which is the volatility analogue to the extensively researched hypothesis of unbiasedness in forward exchange rates using a new data set of spot implied volatility quoted on over the counter currency options we compute the forward implied volatility that corresponds to the forward contract on future spot implied volatility known as a forward volatility agreement we nd statistically signi cant evidence that forward implied volatility is a systematically biased predictor that overestimates future spot implied volatility the bias in forward volatility generates high economic value to an investor exploiting predictability in the returns to volatility speculation and indicates the presence of predictable volatility term premiums in foreign exchange

tax policy and aggregate demand management under catching up with the joneses this paper examines the role for tax policies in productivity shock driven economies with catching up with the joneses utility functions the optimal tax policy is shown to affect the economy countercyclically via procyclical taxes i e cooling down the economy with higher taxes when it is overheating in booms and stimulating the economy with lower taxes in recessions to keep consumption up thus models with catching up with the joneses utility functions call for traditional keynesian demand management policies but for rather unorthodox reasons

a model of residential demand for electricity using a national household sample abstract using a three equation model demand price appliance stock index and a current national household data set this study develops partial and total elasticity estimates for the usa partial elasticities are 0 102 for income and 0 193 for price while total elasticities are 0 410 for income and 1 403 for price

liquidity in auction and specialist market structures evidence from the italian bourse abstract several studies find that bid ask spreads for stocks listed on the nyse are lower than for stocks listed on nasdaq while this suggests that specialist market structures provide greater liquidity than competing dealer markets the nature of trading on the nyse which comprises a specialist competing with limit order flow obfuscates the comparison in 2001 a structural change was implemented on the italian bourse many stocks that traded in an auction market switched to a specialist market where the specialist controls order flow results confirm that liquidity is significantly improved when stocks commence trading in the specialist market analysis of the components of the bid ask spread reveal that the adverse selection component of the spread is significantly reduced this evidence suggests that specialist market structures provide greater liquidity to market participants

a resolution of the equity premium puzzle abstract the introduction of a simple non time additive utility function can explain the equity premium puzzle noted by mehra and prescott with a reasonable value for the relative risk aversion coefficient

determinants of portfolio performance ii an update 1991 determinants of portfolio performance ii an update financial analysts journal vol 47 no 3 pp 40 48

stock price clustering and discreteness stock prices cluster on round fractions clustering increases with price level and volatility and decreases with capitalization and transaction frequency clustering is pervasive price clustering will occur if traders use discrete price sets to simplify their negotiations exchange regulations require that most stocks be traded on eighths clustering on larger fractions will occur if traders choose to use discrete price sets based on quarters halves or whole numbers an econometric model of clustering is derived and estimated projections from the results suggest that traders would frequently use odd sixteenths when trading low price stocks if exchange regulations permitted trading on sixteenths article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

dynamic demand for residential electricity in taiwan under seasonality and increasing block pricing abstract this paper studies the dynamic demand for residential electricity in taiwan employing a monthly panel data set composed of 19 counties and spanning the period from 2007 01 to 2013 12 the partial adjustment model used addresses the endogeneity of the electricity price that results from the increasing block pricing the estimated results show that there is a significant seasonal difference in the demand for electricity between the summer and non summer periods both the adjustment speed and own price elasticity during the summer months are found to be lower than those in the non summer months due to the hot weather in summer it is easier for consumers to adjust their electricity consumption in response to the changes in electricity pricing during the non summer time the estimated inelastic short run and long run income effects show that electricity is a necessity for consumers moreover the controversial electricity conservation policies are found to be ineffective measures for reducing electricity consumption in taiwan

structural changes in residential energy demand abstract residential energy consumers in the usa faced several demand shocks in the 1970s and 1980s these included price rises engineered by the organization of petroleum exporting countries natural gas curtailments shortages of petroleum products and deregulation of energy markets one result of these events has been structural change in the demand for electricity and petroleum by residential consumers demand functions are now more responsive to price changes and consumers react more quickly in adjusting their capital stocks to new levels

imperfect competition in financial markets an empirical study of island and nasdaq the competition between island and nasdaq at the beginning of the century offers a natural laboratory to study competition between and within trading platforms and its consequences for liquidity supply our empirical strategy takes advantage of the difference between the pricing grids used on island and nasdaq as well as of the decline in the nasdaq tick using the finer grid prevailing on their market island limit order traders undercut nasdaq quotes much more than they undercut one another the drop in the nasdaq tick size triggered a drop in island spreads despite the island tick already being very thin before nasdaq decimalization we also estimate a structural model of liquidity supply and find that island limit order traders earned rents before nasdaq decimalization our results suggest that perfect competition cannot be taken for granted even on transparent open limit order books with a very thin pricing grid

price sensitivity of residential energy consumption in norway abstract the main aim of this paper is to test the stability of the results of a model which focus on the relationship between the choice of heating equipment and the residential energy consumption the results for the income and energy price variables are of special interest stability in the time dimension is tested by applying the model on micro data for each of the years 1993 1995 the parameter estimates are stable within a 95 confidence interval however the estimated impact of the energy price variable on energy consumption was considerably weaker in 1994 than in 1993 and 1995 the results for two different income groups in the pooled data set are also subject to stability testing the energy price sensitivity in residential energy consumption is found to be higher for high income households than for low income households

lifeline electricity rates as an income transfer device the lifeline electricity rates are presumed to be inefficient because they violate optimal pricing principles but they may also be an ineffective and inequitable way to transfer assistance to low income households evidence is presented to challenge the assumption that simple demand changes will permit high consuming households to subsidize low income users social security food stamps and other social programs are better alternatives to a general income transfer 7 references 2 tables dck

a new stepwise power tariff model and its application for residential consumers in regulated electricity markets stepwise power tariff spt which has been put into practice is a crucial way for energy saving and environment protecting in this paper a new optimal model of spt based on residential demand response model is presented the optimal decision is proposed to restrain high electricity consumption as well as safeguard benefits of both supply and demand sides as a result the objective is designed to minimize electricity consumption and constraints are taken into consideration thoroughly including acceptable index of consumers average price sales profit of power providers and basic electricity demand which serves as a foundation for smooth implement of spt to solve the constrained optimal problem genetic algorithm ga is employed the effectiveness of the model and algorithm is investigated and demonstrated based on real data of 300 residents by a numerical example the study shows that the method can reduce power consumption obviously with little sacrifice of the benefits of consumers and power providers

toward a national market system for u s exchange listed equity options in its response to the 1975 congressional mandate to implement a national market system for financial securities the securities and exchange commission sec initially exempted the option market recent dramatic changes in the structure of the option market prompted the sec to revisit this issue we examine a sample of actively traded multiply listed equity options to ask whether this market s characteristics appear consistent with the goals of producing economically efficient transactions and facilitating best execution we find marked changes between june 2000 when quotes are often ignored and january 2002 when the market more closely resembles a national market equity option trading changed dramatically with the beginning of vigorous competition for order flow in many actively traded options during august 1999 the

replacement or additional purchase the impact of energy efficient appliances on household electricity saving under public pressures abstract this study examined the influence of additional and replacement purchases of energy efficient air conditioners on power savings we used a questionnaire survey and measured electricity use data from 339 japanese households collected from two city areas with different level of government requested electricity saving rates namely osaka 10 and matsuyama 5 the main findings of our study are as follows 1 households that purchased energy efficient air conditioners saved more electricity than those that did not 2 additional purchase households showed significant energy savings whereas replacement households did not the rebound effect may negate the energy saving effects of a new air conditioner 3 altruistic attitude is associated with more active participation in power saving 4 households in osaka saved more electricity than those in matsuyama probably because the government call to save electricity was more forceful

determinants of residential space heating expenditures in germany abstract we first examine the determinants of household expenditures on space heating and hot water supply in germany a number of socio economic characteristics of households are included along with building characteristics our analysis covers information on more than 12 000 households in germany for the years 1998 and 2003 the analysis continues by investigating whether different kinds of households are affected differently by increases in energy prices households in owner occupied properties are less affected compared to those in rented accommodation this could be because owners are more likely to have installed energy efficient heating and hot water supply systems and landlords have less of an incentive to improve the conditions of their rented accommodations an energy policy targeting especially the latter group might benefit not only households in rented accommodation but might also increase energy efficiency and reduce greenhouse gas emissions as well

socioeconomic development and electricity consumption a cross country analysis using the random coefficient method this paper analyses the relationship between electricity consumption and socioeconomic variables by estimating the electricity consumption function on the basis of single year cross country data and using ols and random coefficient rc methods the latter method yields both mean response as well as country specific coefficients while electricity consumption is found to rise with socioeconomic development it is found to be inelastic with respect to changes in all the variables the estimated country specific coefficients with respect to per capita gnp and share of industry in gdp are found not to vary across countries indicating that the impact of these variables on electricity consumption is similar across countries on the other hand the impact of other variables years of schooling gdp growth urbanization and population density is found to vary substantially across countries

residential demand for liquid petroleum gas abstract this is the first micro based study of residential demand for liquid petroleum gas lpg the data are from doe s residential energy consumption survey results are compared with elasticity estimates derived from the same data set for the three other main residential fuels lpg has a price elasticity for space and water heating combined of 1 3 income elasticity is 0 207

stealth trading in options markets we investigate how price discovery occurs in the options markets through traders trade size choice by employing transactions data on all options traded on a sample of 100 firms we show that informed traders fragment their orders into small medium trades for low high volume contracts we also find that almost 60 of the price discovery occurs in the exchange with the largest market share for a given option where informed traders favor medium size trades upon examining distinct option series for a given stock we find that at the money calls display the highest information share

an intertemporal general equilibrium model of asset prices this paper develops a continuous time general equilibrium model of a simple but complete economy and uses it to examine the behavior of asset prices in this model asset prices and their stochastic properties are determined endogenously one principal result is a partial differential equation which asset prices must satisfy the solution of this equation gives the equilibrium price of any asset in terms of the underlying real variables in the economy in this paper we develop a general equilibrium asset pricing model for use in applied research an important feature of the model is its integration of real and financial markets among other things the model endogenously determines the stochastic process followed by the equilibrium price of any financial asset and shows how this process depends on the underlying real variables the model is fully consistent with rational expectations and maximizing behavior on the part of all agents our framework is general enough to include many of the fundamental forces affecting asset markets yet it is tractable enough to be specialized easily to produce specific testable results furthermore the model can be extended in a number of straightforward ways consequently it is well suited to a wide variety of applications for example in a companion paper cox ingersoll and ross 7 we use the model to develop a theory of the term structure of interest rates many studies have been concerned with various aspects of asset pricing under uncertainty the most relevant to our work are the important papers on intertemporal asset pricing by merton 19 and lucas 16 working in a continuous time framework merton derives a relationship among the equilibrium expected rates of return on assets he shows that when investment opportunities are changing randomly over time this relationship will include effects which have no analogue in a static one period model lucas considers an economy with homogeneous individuals and a single consumption good which is produced by a number of processes the random output of these processes is exogenously determined and perishable assets are defined as claims to all or a part of the output of a process and the equilibrium determines the asset prices our theory draws on some elements of both of these papers like merton we formulate our model in continuous time and make full use of the analytical tractability that this affords the economic structure of our model is somewhat similar to that of lucas however we include both endogenous production and

does asset allocation policy explain 40 90 or 100 percent of performance comments this material comments on does asset allocation policy explain 40 90 or 100 percent of performance

a national micro data based model of residential electricity demand new evidence on seasonal variation building on earlier estimates of electricity demand the author estimates elasticities by month to determine differences between heating and cooling seasons he develops a three equation model of residential electricity demand that includes all the main components of economic theory the model generates seasonal elasticity estimates that generally support economic theory based on the model using a national current household data set monthly division the evidence indicates there is a seasonal pattern for price elasticity of demand while less pronounced there also appears to be seasonal patterns for cross price elasticity of alternative fuels for the elasticity of appliance stock index and for an intensity of use variable

market making with costly monitoring an analysis of the soes controversy we develop a model of price formation in a dealership market where monitoring of the information flow requires costly effort the result is imperfect monitoring which creates profit opportunities for speculators who pick off stale quotes externalities associated with monitoring give rise to multiple equilibria in which dealers earn strictly positive expected profits we obtain various policy implications a switch to automatic execution can improve or worsen spreads and price discovery depending on the specific equilibrium a reduction in the minimum quoted depth tightens the spread but it reduces price efficiency our analysis is relevant for the soes controversy given that speculators in our model behave as the real world soes bandits our model predicts that soes bandits should trade in stocks with small spreads and that soes bandit activity should widen the spread we provide empirical evidence consistent with these predictions

seasonal variation in residential electricity demand evidence from survey data in this paper we estimate twelve monthly electricity demand equations for households using a detailed microdata set the microdata are based largely on a detailed 1975 survey of us households and incude variables enabling us to measure block price schedules family income socio demographic variables appliance stocks housing characteristics and heating and cooling degree days of single family units we find that price elasticities are higher in absolute value during peak periods of demand income elasticity estimates show no discernible seasonal pattern our disaggregated data also allow us to estimate the seasonal usage patterns of several electricity using appliances the estimates follow expected patterns

competition and collusion in dealer markets this article develops a game theoretic model to analyze market makers intertemporal pricing strategies we show that dealers who adopt noncooperative pricing strategies may set bid ask spreads above competitive levels this form of implicit collusion differs from explicit collusion where dealers cooperate to fix prices price discreteness or asymmetric information are not required for collusion to occur rather institutional arrangements that restrict access to the order flow are important determinants of the ability to collude because they reduce dealers incentives to compete on price public policy efforts to increase interdealer competition should focus on such restrictions

the ex dividend day behavior of stock prices the case of japan we provide a comprehensive empirical analysis of stock price behavior around the ex dividend day in japan we find that prices rise on the ex day and that dividend related tax effects appear to be secondary returns around ex dividend days are dominated by the proximity of many ex days to the fiscal year end excess returns of 1 percent which are independent of any dividend related considerations are higher than round trip transaction costs on medium sized transactions prices seem to imply selling pressure before and buying pressure at the start of the new fiscal year these trading patterns appear to be motivated by intercorporate manipulative trading around the end of the firms fiscal year which are unrelated to dividends article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

seminonparametric estimation of conditionally constrained heterogeneous processes asset pricing applications the overidentifying restrictions of the intertemporal capital asset pricing model are usually rejected when tested using data on consumption growth and asset returns particu larly when additively separable constant relative risk utility is attributed to the representa tive agent this article investigates the extent to which specification error can explain these rejections the empirical strategy is limited information maximum likelihood in conjunc tion with seminonparametric expanding parameter space representations for both the law of motion and utility we find that consumption growth and asset returns display conditional heterogeneity but this fact does not account for rejection of the overidentifying restrictions as might be anticipated from the work of hansen singleton and others using generalized method of moments methods we also find that expansion of the parameter space in the direction of nonseparable utility causes the overidentifying restrictions to be accepted our estimation strategy provides information on the manner in which the restrictions distort the law of motion in particular imposition of additively separable constant relative risk aversion utility causes the conditional variance of consumption growth to be overpredicted the conditional covariance of asset returns with consumption growth to be overpredicted and an equity premium imposition of nonseparable seminon parametric utility causes distortion in these same directions though the distortions are much smaller which is consistent with the outcomes of the tests of the restrictions

energy demand with declining rate schedules an econometric model for the u s commercial sector we specify and estimate a model of the demand for electricity and natural gas in commercial buildings using data from the commercial building energy consumption survey although not observed declining rate schedules are approximated by a downward sloping function fitted to billing data for individual survey units marginal prices rates temperature variables and a large number of building characteristics are incorporated into the model as explanatory variables demand and rate schedule equations constitute a simultaneous system with prices and quantities jointly determined the effects on price elasticities of using endogenous marginal rather than exogenous average prices are estimated to be quite large

options resilience during extreme volatility evidence from the market events of may 2010 abstract using intraday trades and quotes data we study the stock options market before during and after the market events of may 6 2010 focusing on the s p 500 and s p 100 stock options we explore if the options market provided any discernible signals that forewarned the extreme volatility on that day and whether the recovery was fast and without a permanent impact we find that the options market reacted to the volatility rather than predicting it and almost all of the variables are indistinguishable from their previous levels in the next few trading days intraday empirical analysis suggests that most of the impact was over within a few hours from the peak of market volatility

is there price discovery in equity options abstract we use tick by tick quote data for 39 liquid us stocks and options on them and we focus on events when the two markets disagree about the stock price in the sense that the option implied stock price obtained from the put call parity relation is inconsistent with the actual stock price option market quotes adjust to eliminate the disagreement while the stock market quotes behave normally as if there were no disagreement the disagreement events are typically precipitated by stock price movements and display signed option volume in the direction that tends to eliminate the disagreements these results show that option price quotes do not contain economically significant information about future stock prices beyond what is already reflected in current stock prices i e no economically significant price discovery occurs in the option market we also find no option market price discovery using a much larger sample of disagreement events based on a weaker definition of a disagreement which verifies that the findings for the primary sample are not due to unusual or unrepresentative market behavior during the put call parity violations

electricity demand in multi family renter occupied residences this paper focuses on multi family renter occupied housing where the landlord provides major appliances a large residential sector that has not received widespread attention in the literature experimental data are used from a test where one group of households was billed directly for the electricity they consumed while a control group had unlimited electric service included as part of the monthly rent the empirical analysis yields short run demand estimates that satisfy to a remarkable extent the ceteris paribus assumptions of demand analysis this is the case for two reasons 1 the households did not individually execute the appliance choice decision at various unknown times in the past and 2 the stock of appliances upon which the derived short run demand is conditional is identical for all households in the sample a second important feature is emphasis on functional form examined in some detail is the question of the appropriate functional form for residential electricity demand finally empirical results of the analysis are used to investigate the cost effectiveness and welfare effects of installing submeters in existing multi family residences

determinants of portfolio performance in order to delineate investment responsibility and measure performance contribution pension plan sponsors and investment managers need a clear and relevant method of attributing returns to those

competition without fungibility evidence from alternative market structures for derivatives in this paper we compare option contracts from a traditional derivatives exchange to bank issued options also referred to as covered warrants while bank issued option markets and traditional derivatives exchanges exhibit significant structural differences such as the absence of a central counterparty for bank issued options they frequently exist side by side and the empirical evidence shows that there is significant overlap in their product offerings although options are not fungible between the two markets the empirical analysis indicates that bid ask spreads in either market are lowered by 1 2 due to competition from the other market providing evidence that the benefits of competing market structures are available in the absence of fungibility

human vs high frequency traders penny jumping and tick size abstract this paper examines changes in market quality resulting from the smaller tick size of the interbank foreign exchange market coupled with the lower tick size the special composition of traders and their order placement strategies created a suitable environment for high frequency traders hft s to implement sub penny jumping strategy to front run human traders we show that the spread declined following the introduction of decimal pip pricing however benefits of spread reduction were mostly absorbed by the hft s market depths were also significantly reduced with the occupation of the top of the order book by hft s this new environment changed the market maker market taker composition between different traders and altered price impacts of the order flows

quotes order flow and price discovery the goal of this article is to examine the impact of 1975 congressional mandate to integrate the trading of nyse listed stocks the conclusions are most of the time the new york stock exchange nyse quote matches or determines the best displayed quote and the nyse is the most frequent initiator of quote changes non nyse markets attract a significant portion of their volume when they are posting inferior bids or offers indicating they obtain order flow for other reasons such as payment for order flow yet when a non nyse market does post a better bid or offer it does attract additional order flow

residential energy use abstract the energy information administration recently published data they collected from the national interim energy consumption survey niecs niecs includes detailed information on 4081 individual households demographic characteristics energy related features of the structure heating equipment and appliances therein recent conservation actions taken by the household and fuel consumption and costs for the april 1978 march 1979 one year period this data set provides a new and valuable resource for analysis we summarized and analysed the niecs data on household energy consumption total energy use electricity use and use of the primary space heating fuel the regression equations constructed explain roughly half the variation in energy use among households these equations contain 10 or fewer independent variables the most important of which are fuel price year house was built floor area and heating degree days

is information assimilated at announcements in the european carbon market abstract we examine the high frequency new information impact on prices volatility trading volume and illiquidity at scheduled macroeconomic and verified emissions announcements for the european carbon futures market verified emissions united states non farm payroll and german new factory order macroeconomic announcements impact carbon prices swiftly within 5 min we show that a one standard deviation surprise increase in verified emission announcements is associated with an approximate ten percentage point 9 96 increase in carbon futures returns a wait and see stylized trading behavior is evident at announcements in volatility and trading volumes market illiquidity increases at announcements in relation to united states non farm payroll albeit there is no evidence of an increase in illiquidity prior to announcements the development of new information impact over time occurs mainly in the at announcement 5 minute time interval

appliance specific electricity consumption in slovene households abstract on the basis of a national household survey carried out in 1983 this study presents estimates of electricity use per appliance our estimates of electricity use for space heating water heating and cooking are considerably lower than the engineering estimates the estimates for other electricity using appliances broadly conform with engineering estimates our low estimate of the short run income elasticity is in close agreement with other studies

trade execution costs and market quality after decimalization this study assesses trade execution costs and market quality for nyse and nasdaq stocks before and after the 2001 change to decimal pricing several theoretical predictions are confirmed quoted bid ask spreads declined substantially on each market with the largest declines for heavily traded stocks the percentage of shares receiving price improvement increased on the nyse but not on nasdaq however those trades completed at prices within or outside the quotes were improved or disimproved by smaller amounts after decimalization and trades completed outside the quotes saw the largest reductions in trade execution costs as a class effective bid ask spreads as a percentage of share price arguably the most relevant measure of execution costs for smaller trades averaged 0 33 on a volume weighted basis after decimalization for both nyse and nasdaq stocks there is no evidence of systematic intraday reversals of quote changes on either market as would be expected if decimalization had damaged liquidity supply

residential demand for fuelwood this is the first national microbased study of residential demand for wood as fuel the data are from the us department of energy residential energy consumption survey the model employs a somewhat unique interaction dummy for price that allows the simultaneity problem to be adjusted for in a 2sls format and then the interaction term to be calculated and entered in the second stage results are compared with elasticity estimates derived from the same data set for the four other main residential fuels wood has a price elasticity of 0 421 for main users

the short run residential demand for electricity the model of short run residential demand for electricity combines price schedule information obtained from the federal energy regulatory commission with household specific data from the 1972 73 consumer expenditure survey to determine the household s level of electricity consumption and relate it to the household s demographic profile and appliance stock the overall short run price elasticity estimate of 0 550 supports existing findings that short run residential electricity demand is price inelastic however the variation in elasticities across end use categories suggests that the overall response is made up of a complex set of responses that vary substantially and significantly across appliances this implies that it may be more efficient to tailor conservation policies to the stock configuration of the population 17 references 6 tables

lifeline electricity rates as an income transfer device comment the authors question the supporting evidence given in an earlier paper by burgess and paglin eapa 7 4039 they suggest using the national interim energy consumption survey niecs as an alternative base and present a new set of equations to validate the income elasticity of demand in the justification of lifeline rates burgess and paglin reply noting that garbacz s study raises questions about a national requirement for lifeline rates 4 references 5 tables dck

island goes dark transparency fragmentation and regulation responding to a september 2002 regulatory enforcement the island electronic communications network stopped displaying its limit order book in the three most active exchange traded funds etfs where it was the dominant venue island s share of trading activity and price discovery fell fragmenting the market etf prices adjust more slowly when island goes dark and there is substantial price discovery movement from etfs to the futures market trading costs increase on island and decrease off island with higher trading costs overall when island later redisplays its orders market quality improves with transparency and the reduction in fragmentation both playing important roles copyright 2005 oxford university press

annuities and individual welfare advancing annuity demand theory we present suffcient conditions for the optimality of full annuitization under market completeness that are substantially less restrictive than those used by yaari 1965 we examine demand with market incompleteness finding that positive annuitization remains optimal widely but complete annuitization does not how uninsured medical expenses affect demand for illiquid annuities depends critically on the timing of the risk a new set of calculations with optimal consumption trajectories very different from available annuity income streams still shows a preference for considerable annuitization suggesting that limited annuity purchases are plausibly due to psychological or behavioral biases

demand for space heating in apartment blocks measuring effects of policy measures aiming at reducing energy consumption abstract panel data covering the period 1984 1995 on energy consumption and technical characteristics of apartment blocks from denmark are analysed in order to measure effects of policy measures aimed at reducing the consumption of energy for space heating results indicate that building regulations have been important in reducing energy consumption in new buildings furthermore conditional price responses are estimated to be relatively small or non existent indicating small short run effects of fuel taxes on energy consumption in apartment blocks finally a consultancy scheme implemented with the purpose of improving knowledge about the potential for energy savings is found to have had moderate effects

electricity consumption and economic growth in jamaica abstract this study examines the relationship between electricity consumption and economic growth in jamaica during 1970 86 a period of rapid increase in energy prices the results show that the aggregate demand for electricity is slightly income elastic electricity has a significant impact on economic growth the electricity intensity has increased over time residential demand is fairly income elastic commercial demand is price inelastic and the rate of adjustment is slow these results suggest that conservation policies could be ineffective therefore indigenous sources of electricity are important for jamaica to be less dependent on imported energy

new empirical evidence on the bid ask spread in this article we model the determinants of spread for 734 firms listed on the nyse over the period 1 january 1998 to 31 december 2008 we propose a panel data model of the determinants of spread there are four main messages emerging from our work we find a statistically significant effect of volume on spread inconsistent with the work of johnson 2008 on price we find mixed results consistent with the literature on the effect of price volatility on spread our results are completely the opposite of the cross sectional literature but sides with the relatively recent work of chordia et al 2001 we allow for persistence of spread as a determinant of spread and find significant evidence of spread persistence across all 16 sectors finally we examine size effects and find statistically strong evidence of size effects based on the relationship between price and spread persistence and spread and volatility and spread

does idiosyncratic risk really matter goyal and santa clara 2003 find a significantly positive relation between the equalweighted average stock volatility and the value weighted portfolio returns on the nyse amex nasdaq stocks for the period of 1963 08 to 1999 12 we show that this result is driven by small stocks traded on the nasdaq and is in part due to a liquidity premium in addition their result does not hold for the extended sample of 1963 08 to 2001 12 and for the nyse amex and nyse stocks more importantly we find no evidence of a significant link between the value weighted portfolio returns and the median and value weighted average stock volatility the intertemporal relation between risk and return has long been an important topic in asset pricing literature most asset pricing models postulate a positive relationship between a stock portfolio s expected returns and risk which is often modeled by the variance or standard deviation of the portfolio s returns however there is no agreement about the existence of such a trade off for stock market indices 1 while return volatility is an intuitively appealing measure of risk different approaches used by previous researchers suggest that no clear consensus has emerged regarding its relevance 2 whether or not investors require a larger risk premium on average for investing in a security during times when the security is more risky remains an open question

tick size bid ask spreads and market structure we propose a link between market structure and the resulting market characteristics tick size bid ask spreads quote clustering and market depth we analyze transactions data of stocks traded on the london stock exchange a dealer market we conclude that market charateristics are endogenous to the market structure the london dealer market does not have a mandated tick size and it exhibits higher spreads higher quote clusterings and higher market depth than the nyse auction market clustering of trade prices is similar in london and new york

electricity policies for low income households this paper discusses the implications of restructuring the u s electricity industry for low income energy policy and low income households the paper discusses the historical development of existing low income energy policies and programs federal policy has focused primarily on addressing the heating needs of low income customers state policy has traditionally vested the vertically integrated utility with much of the responsibility to provide energy programs to low income customers the paper considers how industry restructuring may affect the appropriateness of these policies and programs the paper describes new policies to provide low income electricity services that could be developed in parallel with broader industry restructuring efforts

residential energy demand additional empirical evidence by minority household type abstract in a number of recent studies household level data for specific urban areas or national household level micro data have been used to estimate price and income elasticities of energy demand none of this literature however provides us with elasticity estimates by minority majority household type the main focus of this paper is to measure the responsiveness of the quantity of electricity and total energy demanded for black hispanis and majority households to price and income price and income elasticities are compared among these groups over the short and long term a variable elasticity demand model is estimated the elasticities are allowed to vary with respect to non price and income variables the price elasticities of demand vary with heating and cooling degree days and the income elasticities with the number of household members mean estimates were calculated over the respective samples findings indicate that demand for electricity is relatively price inelastic irrespective of household group however blacks are more sensitive to variations in the short run to price than hispanic and majority households in the long run blacks are also more sensitive to price changes but the magnitude of the response to price changes in the long run relative to the short run is larger for hispanics and majority households respectively than for blacks

make take structure and market quality evidence from the u s options markets we examine the make take structure which compensates liquidity suppliers and charges liquidity demanders in the options markets where it competes with a traditional structure that uses payments for order flow using the introduction of the make take structure as an event we find that execution costs including fees for liquidity demanders decline after the event for the affected options that the make take structure encourages market makers to improve quoted prices and that brokers change their routing behavior to include fees in the routing decision the decline in execution costs is consistent with the benefits of the increased quote competition from the make take structure prevailing over the fees the structure charges to liquidity demanders this paper was accepted by wei jiang finance

residential demand for electricity the case of greece this paper examines the determinants of residential electricity consumption in greece over the period 1961 86 the paper presents first a brief description of the evolution of residential electricity consumption then it proceeds in the estimation of elasticities of residential demand for electricity using a single equation model with the ridge regression method the paper concludes that i the residential demand for electricity is price inelastic and income elastic ii there is high substitutability between electricity and lpg iii during the examined period the number of consumers played a very important role in the expansion of electricity consumption in greece and iv there is no regional variation in residential electricity demand

implications of the discreteness of observed stock prices stock prices on the organized exchanges are restricted to be divisible by 1 8 therefore the true price usually differs from the observed price this paper examines the biases resulting from the discreteness of observed stock prices it is shown that the natural estimators of the variance and all of the higher order moments of the rate of returns are biased an approximate set of correction factors is derived and a procedure is outlined to show how the correction can be made the natural estimators of the beta and of the variance of the market portfolio on the other hand are nearly unbiased the behavior of stock prices has been an issue of interest to the financial economist for many years this interest resulted in a growing number of empirical studies which attempt to estimate this behavior e g blattberg and gonedes 2 fama 6 fama and roll 7 8 barnea and downes 1 to date stock price behavior is estimated under the assumption that the observed trading price is the true equilibrium price however observed stock prices and stock price changes on the organized exchanges are restricted to multiples of 1 8 of a dollar 1 therefore if the true distribution of stock prices is continuous an observed trading price can be different from the true price this paper examines the biases in estimating the moments of stock price changes caused by the discreteness of observed stock prices the major focus of the paper is in noting this problem providing a model which explains the source of these biases and quantifying their size section i demonstrates that due to the discrete nature of observed stock prices the natural estimators for the variance and for the higher order moments of the rate of returns are biased upward this bias is larger for stocks with lower prices and smaller standard deviation for instance assuming that the standard deviation a is 0 001 the stock price is one dollar the true probability distribution of stock prices is lognormal and the observed prices are as close as possible to the true prices then the natural estimator of r has expectation 0 01400 hence it is biased upward by 1300 significant biases have important implications in option pricing we derive an approximate set of correction factors which can be applied to the

an engineering econometric analysis of seasonal energy demand and conservation in the pacific northwest this article estimates a new model of residential electricity demand it differs from previous work in two ways first we use individual monthly billing data in a pooled time series cross section framework second we use an engineering thermal load technique to model the household space heating technology we estimate the model using data from the pacific northwest and use the results to analyze three conservation measures a price increase a reduction in thermostat settings and improvement of insulation levels we find average rates of return for insulation upgrades of 4 9 for ceilings and 8 3 for walls

pricing effects when competitors arrive the case of discount certificates in germany this article investigates how overpricing of outstanding certificates also called master certificates changes when competing products that duplicate the features of master certificates are issued i argue that competition effects may be reverted and overpricing may increase rather than decrease after competitors arrive when retail investors fail to detect implications of credit risk differences on certificates values using difference in differences estimations on matched samples i find that overpricing of master certificates decreases after the competing products have been issued but only when the master issuer s credit risk is lower than that of the duplicate issuer while it increases when the credit risk difference is positive these findings are robust to controlling for retail investors demand in various ways thus the study indicates that retail investors failure to detect the value implications of issuers credit risk can undermine product competition

symposium on market microstructure focus on nasdaq abstract this special issue of the journal of financial economics includes six articles that analyze the market microstructure of nasdaq in various ways the question of the costs of trading on nasdaq has become contentious in both the academic and legal regulatory arenas since the christie and schultz 1994 article first noted that many actively traded nasdaq stocks were almost never quoted on odd eights the articles in this symposium bring new and interesting insights to this debate

short run residential demand for fuels a disaggregated approach a disaggregated model of residential energy demand is specified and then used to examine the data and econometric techniques available to estimate such a model inconsistencies in the currently popular random effects model and weighted least squares generate inconsistent parameter estimates for short run modeling some of the currently available pooled data is of poor quality the principal data series of concern are the appliance stock series but current research is attempting to improve aggregate data while the disaggregated elasticities reported can only be considered tentative the approach combined with better data and econometric techniques will produce an important policy tool the regression results are summarized in two tables in the appendix 42 references 5 tables

estimation bias induced by discrete security prices commonly equilibrium security prices are modeled by continuous state stochastic processes while observed prices are rounded into discrete units this paper models the rounding mechanism and examines the probabilistic structure of the resultant rounded process we provide accurate and simple estimates of the inflation in estimated variance and kurtosis induced by ignoring rounding in particular the maximum likelihood estimate of security price volatility using rounded prices is developed and a simulation analysis is performed to examine the small sample properties of this estimator for many practical applications a simple correction for rounding becomes available

competition interlisting and market structure in options trading abstract this paper applies a game theory approach to examine the effects of a market structure change in options trading from a monopoly to a cournot type oligopoly that occurred in two successive periods on the montreal exchange we analyze the intra day behaviour of option bid ask spreads and find that cross listing has a differential impact on spreads affecting quoted but not effective spreads under oligopoly we also find that the impact of the change in structure on effective spreads comes mostly from an increase in limit orders and is consistent with a switch from cournot to bertrand type strategic behaviour for such orders we conclude that market structure effects within an options exchange are enough to realize most of the benefits of inter market competition even in the context of market thinness

modeling the bid ask spread measuring the inventory holding premium the need to understand and measure the determinants of market maker bid ask spreads is crucial in evaluating the merits of competing market structures and the fairness of market maker rents this study develops a simple parsimonious model for the market maker s spread that accounts for the effects of price discreteness induced by minimum tick size order processing costs inventory holding costs adverse selection and competition the inventory holding and adverse selection cost components of spread are modeled as an option with a stochastic time to expiration this inventory holding premium embedded in the spread represents compensation for the price risk borne by the market maker while the security is held in inventory the premium is partitioned in such a way that the inventory holding and adverse selection cost components as well as the probability of an informed trade are identified the model is tested empirically using nasdaq stocks in three distinct minimum tick size regimes and is shown to perform well both in an absolute sense and relative to competing specifications

average and marginal price changes and the demand for electricity an econometric study the empirical literature on the demand for electricity has hitherto failed to adequately deal with increasing block pricing while it is desirable in principle to include the entire price schedule in the demand function the convention has been to include as an argument either an average or a marginal price yet use of either to the exclusion of the other one leads inter alia to biased estimates of own price elasticity with this in mind a residential demand function is estimated employing both average and marginal price while a number of interesting results emerge it is significant that the coefficient on marginal price is right that is the expected inverse relationship between the quantity of electricity demanded and the marginal price it obtains on the other hand the positive sign on average price is troubling because average price is in this case exactly the same concept as the intra marginal payment a change in average price is exactly the same concept as a change in real income t

the demand for electricity and natural gas in the northeastern united states the demand for natural gas and electricity for the residential commercial and industrial sectors was estimated using a combination of the error components model and seemingly unrelated regressions the estimated demand models showed both natural gas and electricity to be price elastic in the long run and price inelastic in the short run in all sectors except the commercial sector in which electricity demand is unresponsive to its own price natural gas had negligible income elasticities in the residential and commercial sectors and a long run income elasticity of 2 86 in the industrial sector electricity had an insignificant income effect in all sectors but the industrial where its long run elasticity was unitary only in the residential demand for natural gas is the cross price elasticity substantial with the price of electricity having a long run cross elasticity of 1 70 fuel oil prices generally had a negative impact probably indicating a large income effect the elasticities of adjustment were higher for natural gas than electricity indicating a faster adjustment to change either in response to greater instability in energy availability or reflecting more alternative fuels or both 16 references 4 tables