pathways to a low carbon economy estimations on macroeconomic costs and potential of carbon emission abatement in beijing abstract developing reliable frameworks to estimate the potential of co2 emission abatement and its associated costs merits urgent attention this study aims to estimate the potential as well as macroeconomic costs of co2 emission abatement in beijing using the industrial economy as the basis multiobjective programming and genetic algorithm are integrated into the input output analysis several important findings have been gathered in the study 1 the abatement cost varies between 259 97 and 535 46 per ton at different rates of economic growth 2 a reinforced emission abatement target can induce higher macroeconomic costs 3 an inverse u shaped relationship between co2 reduction cost and gdp growth rate was found when gdp growth rate is above the threshold value of 7 marginal abatement costs decrease rapidly in parallel with gdp growth when the gdp growth rate is below 7 the marginal abatement cost increases significantly with economic growth 4 industries that have the highest and least potential of abatement have been identified for effectively reducing co2 emissions beijing needs to promote economic restructuring to maximize the potential of emission abatement and also fulfil the emission abatement target in a cost effective way this paper provides a quantitative approach to rationalize the policy design process of enacting emission targets and recommends cost effective abatement strategies

dynamic jump intensities and risk premiums evidence from s p500 returns and options we build a new class of discrete time models that are relatively easy to estimate using returns and or options the distribution of returns is driven by two factors dynamic volatility and dynamic jump intensity each factor has its own risk premium the models significantly outperform standard models without jumps when estimated on s p500 returns we find very strong support for time varying jump intensities compared to the risk premium on dynamic volatility the risk premium on the dynamic jump intensity has a much larger impact on option prices we confirm these findings using joint estimation on returns and large option samples

the value of corporate voting rights and control a cross country analysis this paper measures the value of corporate voting rights specifically of the control block of votes in a sample of 661 dual class firms in 18 countries in 1997 a consistent measure across countries is proposed the measure is adjusted for takeover probability block holding costs and dividend and liquidity differences between the share classes the value of controlblock votes varies widely across countries it is close to half of firm market value in south korea andclose to zero in finland the value of control block votes is interpretedas a lower bound for actual private benefits of the controlling shareholder the legal environment law enforcement investor protection takeover regulations andpower concentrating corporate charter provisions explain 68 of the cross country variation in the value of control block votes

answering the skeptics yes standard volatility models do provide accurate forecasts a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility using arch and stochastic volatility models while most of these studies have documented highly significant in sample parameter estimates and pronounced intertemporal volatility persistence traditional ex post forecast evaluation criteria suggest that the models provide seemingly poor volatility forecasts contrary to this contention we show that volatility models produce strikingly accurate interdaily forecasts for the latent volatility factor that would be of interest in most financial applications new methods for improved ex post interdaily volatility measurements based on high frequency intradaily data are also discussed

the effects of urban agglomeration economies on carbon emissions evidence from chinese cities abstract this study expounded the mechanism of the effects of urban agglomeration economies on carbon emissions based on the theory of agglomeration economies based on the stirpat model we built an econometric model we then used the method of spatial econometrics to estimate the effects of urban agglomeration economies on carbon emissions through matching the firm level data and panel data of 283 prefecture level and above cities from 2003 to 2010 in china the results reveal that both specialization and diversification agglomeration can significantly promote carbon emission reduction in local and neighboring cities through the agglomeration externalities specifically specialization agglomeration of low end technology industry has significant reduction effects on carbon emission of local and neighboring cities in most cases while the diversification agglomeration has increased it the specialization and diversification agglomeration of midrange technology industry have increased the carbon emissions of the local and neighboring cities furthermore the specialization and diversification agglomeration of high end technology industry have significant carbon emission reduction effects in varying degrees for the local and neighboring cities

which volatility model for option valuation in china empirical evidence from sse 50 etf options in early 2015 china launched its first exchange traded option the shanghai stock exchange sse 50 etf option to meet the increasing demand for financial derivatives in this article we provide

financial statement comparability and expected crash risk this study examines the impact of financial statement comparability on ex ante crash risk using the comparability measures of de franco et al 2011 we find that expected crash risk decreases with financial statement comparability and this negative relation is more pronounced in an environment where managers are more prone to withhold bad news we also provide evidence that comparability can mitigate the asymmetric market reaction to bad versus good news disclosures our results suggest that financial statement comparability disinclines managers from bad news hoarding which reduces investors perceptions of a firm s future crash risk

decomposition of aggregate carbon intensity for the manufacturing sector comparison of declining trends from 10 oecd countries for the period 1971 1991 abstract as with total energy consumption or aggregate energy intensity changes in aggregate carbon intensity may also be decomposed or attributed to changes in various components including fuel mix for electricity generation final energy mix sub sectoral economic activity and sub sectoral energy intensities the adaptive weighted divisia rolling base year index specification is applied to total carbon emissions from the manufacturing sector of 10 oecd countries for the period 1971 1991 declines in aggregate carbon intensity for these countries range from 70 and may be primarily attributed to decreases in energy intensity i e increases in the average factor productivity of energy however these declines in aggregate carbon intensity appear to have a complex linkage to increases in energy prices as well as changes in other determinants of gross industrial output

which garch model for option valuation characterizing asset return dynamics using volatility models is an important part of empirical finance the existing literature on garch models favors some rather complex volatility specifications whose relative performance is usually assessed through their likelihood based on a time series of asset returns this paper compares a range of garch models along a different dimension using option prices and returns under the risk neutral as well as the physical probability measure we judge the relative performance of various models by evaluating an objective function based on option prices in contrast with returns based inference we find that our option based objective function favors a relatively parsimonious model specifically when evaluated out of sample our analysis favors a model that besides volatility clustering only allows for a standard leverage effect

the chinese warrants bubble in 2005 2008 over a dozen put warrants traded in china went so deep out of the money that they were almost certain to expire worthless nonetheless each warrant was traded more than three times each day at substantially inflated prices this bubble is unique in that the underlying stock prices make warrant fundamentals publicly observable and that warrants have predetermined finite maturities this sample allows us to examine a set of bubble theories in particular our analysis highlights the joint effects of short sales constraints and heterogeneous beliefs in driving bubbles and confirms several key findings of the experimental bubble literature jel g12 g13 o16 p34

the economic value of realized volatility using high frequency returns for option valuation many studies have documented that daily realized volatility estimates based on intraday returns provide volatility forecasts that are superior to forecasts constructed from daily returns only we investigate whether these forecasting improvements translate into economic value added

divergence of cash flow and voting rights opacity and stock price crash risk international evidence this study investigates whether and how the deviation of cash flow rights ownership from voting rights control or simply the ownership control wedge influences the likelihood that extreme negative outliers occur in stock return distributions which we refer to as stock price crash risk we do so using a comprehensive panel data set of firms with a dual class share structure from 20 countries around the world for the period of 1995 2007 we predict and find that opaque firms with a large wedge are more crash prone than opaque firms with a small wedge in addition we predict and find that the positive relation between the wedge and crash risk is less pronounced for firms with more effective external monitoring and for firms with greater growth opportunities the results of this study are broadly consistent with jin and myers s theory that agency costs combined with opacity exacerbate stock price crash risk

exponential garch modeling with realized measures of volatility we introduce the realized exponential garch model that can use multiple realized volatility measures for the modeling of a return series the model specifies the dynamic properties of both returns and realized measures and is characterized by a flexible modeling of the dependence between returns and volatility we apply the model to 27 stocks and an exchange traded fund that tracks the s p 500 index and find specifications with multiple realized measures that dominate those that rely on a single realized measure the empirical analysis suggests some convenient simplifications and highlights the advantages of the new specification

realized garch a joint model for returns and realized measures of volatility summary we introduce a new framework realized garch for the joint modeling of returns and realized measures of volatility a key feature is a measurement equation that relates the realized measure to the conditional variance of returns the measurement equation facilitates a simple modeling of the dependence between returns and future volatility realized garch models with a linear or log linear specification have many attractive features they are parsimonious simple to estimate and imply an arma structure for the conditional variance and the realized measure an empirical application with dow jones industrial average stocks and an exchange traded index fund shows that a simple realized garch structure leads to substantial improvements in the empirical fit over standard garch models that only use daily returns copyright 2011 john wiley sons ltd

opaque financial reports r2 and crash risk abstract we investigate the relation between the transparency of financial statements and the distribution of stock returns using earnings management as a measure of opacity we find that opacity is associated with higher r2s indicating less revelation of firm specific information moreover opaque firms are more prone to stock price crashes consistent with the prediction of the jin and myers 2006 r2 around the world new theory and new tests journal of financial economics 79 257 292 model however these relations seem to have dissipated since the passage of the sarbanes oxley act suggesting that earnings management has decreased or that firms can hide less information in the new regulatory environment

a closed form garch option valuation model this paper develops a closed form option valuation formula for a spot asset whose variance follows a garch p q process that can be correlated with the returns of the spot asset it provides the first readily computed option formula for a random volatility model that can be estimated and implemented solely on the basis of observables the single lag version of this model contains heston s 1993 stochastic volatility model as a continuous time limit empirical analysis on s p500 index options shows that the out of sample valuation errors from the single lag version of the garch model are substantially lower than the ad hoc black scholes model of dumas fleming and whaley 1998 that uses a separate implied volatility for each option to fit to the smirk smile in implied volatilities the garch model remains superior even though the parameters of the garch model are held constant and volatility is filtered from the history of asset prices while the ad hoc black scholes model is updated every period the improvement is largely due to the ability of the garch model to simultaneously capture the correlation of volatility with spot returns and the path dependence in volatility article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

disentangling the incentive and entrenchment effects of large shareholdings this article disentangles the incentive and entrenchment effects of large ownership using data for 1 301 publicly traded corporations in eight east asian economies we find that firm value increases with the cash flow ownership of the largest shareholder consistent with a positive incentive effect but firm value falls when the control rights of the largest shareholder exceed its cash flow ownership consistent with an entrenchment effect given that concentrated corporate ownership is predominant in most countries these findings have relevance for corporate governance across the world

managerial ownership of voting rights abstract managers of firms with dual classes of common stock can choose different quantities of votes for a given cash flow interest by choosing different quantities of the two securities we study managerial stock holdings in 45 dual class firms and find that vote ownership per se is an important motivation for these holdings in that corporate officers and their families hold a median 56 9 of the votes and 24 0 of the common stock cash flows we also find significant family involvement in many sample firms and document four case studies in which explicit acquisition premiums were paid for superior voting shares

investor protection and corporate governance recent research has documented large differences among countries in ownership concentration in publicly traded firms in the breadth and depth of capital markets in dividend policies and in the access of firms to external finance a common element to the explanations of these differences is how well investors both shareholders and creditors are protected by law from expropriation by the managers and controlling shareholders of firms we describe the differences in laws and the effectiveness of their enforcement across countries discuss the possible origins of these differences summarize their consequences and assess potential strategies of corporate governance reform we argue that the legal approach is a more fruitful way to understand corporate governance and its reform than the conventional distinction between bank centered and market centered financial systems

ultimate ownership income management and legal and extra legal institutions this study provides evidence of the role of both legal and extra legal institutions in limiting the income management induced by the detachment of control rights from the cash flow rights of ultimate owners the tests use a unique comprehensive data set for firm level control and ownership structures from 9 east asian and 13 western european countries univariate regressions show that income management that is induced by the wedge between control rights and cash flow rights is significantly limited in countries with high statutory protection of minority rights proxied by legal tradition minority rights protection the efficiency of the judicial system or disclosure standards and effective extra legal institutions proxied by the effectiveness of competition laws diffusion of the press and tax compliance furthermore multiple regression results show that a common law tradition and an efficient judicial system subsume the effects of the other legal institutions and that a high rate of tax compliance subsumes the effects of the other extra legal institutions in curbing insider income management it is surprising that a high rate of tax compliance ultimately has a greater effect than legal tradition and the efficiency of the judicial system although this finding is unexpected given prior evidence on the dominant roles of legal institutions in macroeconomic issues and corporate policies it is consistent with the recent argument that effective tax enforcement is like a public good in that it can reduce insiders private control benefits an implication of this finding is that closer attention to extra legal institutions has the potential to enhance our understanding of the institutional reforms needed to limit insider private control benefits

the value of the voting right a study of the milan stock exchange experience i study the large premium 82 percent attributed to voting shares on the milan stock exchange the premium varies according to the ownership structare and the concentration of the voting rights and it can be rationalized in the presence of enormous private benefits of control a case study seems to indicate that in italy private benefits of control can easily be worth more than 60 percent of the value of nonvoting equity a tentative explanation for these findings is provided traditional finance theory disregards the value of voting rights in pricing common stock in most cases this omission does not seem harmful many studies of differential voting stocks in different countries have indicated that voting rights are generally worth between 10 percent and 20 percent of the value of common stock the italian evidence i present differs sharply from this view in italy voting shares that have inferior dividend rights trade at an average premium

carbon emission reduction potentials under different polices in chinese cities a scenario based analysis abstract city is the core for carbon emission reduction this paper examines co 2 emission efficiency and productivity in 286 chinese cities under different production scenarios using a non radial directional distance function approach the examination is conducted via three scenarios namely co 2 emission reduction er emission reduction and energy conservation erec and emission reduction energy conservation and economic growth ereceg the results show substantial differences in total factor emission efficiency and productivity across the three scenarios we also found that total factor emission efficiency varies considerably across regional and different sized city groups however the distribution dynamics analysis provides strong evidence for the convergence of total factor emission efficiency across chinese cities in the long run efficiency change contributes of the majority of cross city variation in productivity growth for the sample period however low average total factor emission efficiency and large disparity in emission efficiency indicate great potential for future co 2 reduction regional development programs tend to drive economic activities into low co 2 emission performance regions our empirical findings provide valuable policy implications for achieving the joint targets of economic growth and co 2 emission reduction

the impact of the economic crisis and policy actions on ghg emissions from road transport in spain abstract road traffic is the greatest contributor to the carbon footprint of the transport sector and reducing it has become one of the main targets of sustainable transport policies an analysis of the main factors influencing greenhouse gas ghg emissions is essential for designing new energy and environmentally efficient strategies for the road transport this paper addresses this need by i identifying factors which influence the carbon footprint including traffic activity fuel economy and socioeconomic development and ii proposing a methodological framework which uses modified laspeyres index decomposition to analyze the effect of important drivers on the changes in emissions of road transport in spain during the period from 1990 to 2010 the results demonstrate that the country s economic growth has been closely linked to the rise in ghg emissions the innovative contribution of this paper is the special analysis of the changes in mobility patterns and ghg emissions during the economic crisis when for the first time spanish road traffic emissions decreased the reduction of road transport and improved energy efficiency has been powerful contributors to this decrease demonstrating the effectiveness of energy saving measures on the basis of this analysis several tailored policy recommendations have been suggested for future implementation

what determines the value of corporate votes this paper studies the determinants of the value of voting rights in u s corporations results support the hypothesis that the price of a vote is determined by the expected additional payment vote holders will receive for their votes in case of a control contest the size of this differential payment is a function of the probability that a vote is pivotal in a control contest and the magnitude of the private benefits obtainable by controlling the company simple proxies for these two factors explain up to 30 percent of the variation of the voting premium across companies and through time my findings also suggest that the value of managerial perquisites are at least partially reflected in the price of votes

trends in road freight transportation carbon dioxide emissions and policies in china we adopted the simple average divisia index approach to explore the impacts of factors on the carbon dioxide co2 emissions from road freight transportation in china from 1985 to 2007 co2 emissions were investigated using the following as influencing factors the emission coefficient vehicle fuel intensity working vehicle stock per freight transport operator market concentration level freight transportation distance market share of road freight transportation ton kilometer per value added of industry industrialization level and economic growth building on the results we suggest that economic growth is the most important factor in increasing co2 emissions whereas the ton kilometer per value added of industry and the market concentration level contribute significantly to decreasing co2 emissions we also discussed some recent important policies concerning factors contained in the decomposition model

decomposition of aggregate carbon intensity for freight trends from 10 oecd countries for the period 1971 1993 abstract historical patterns of aggregate carbon intensity from freight are different than those from other sectors while aggregate carbon intensity declined for all other sectors aggregate carbon intensity for freight increased the adaptive weighted divisia rolling base year index specification is applied to carbon emissions from the freight sector of 10 oecd countries for the period 1970 1993 increases in aggregate carbon intensity for nine of the countries range from less than 20 to over 150 and may be primarily attributed to shifts in modal structure toward more carbon intensive modes these increases in aggregate carbon intensity are driven primarily by an increase in activity which parallels the growth in gdp furthermore changes in fuel price and vehicle purchase taxes do not appear to be effective instruments for reducing energy consumption for this end use alternative policy options including less carbon intensive fuels and technologies and reduced congestion appear to be better choices