portfolio serial correlation and nonsynchronous trading common stock portfolios of large heavily traded firms exhibit daily first order serial correlation in excess of what would be expected given the individual security coefficients further this correlation rises as the number of securities in the portfolio increases the direct implication of this finding is that nonsynchronous trading is not the only cause of correlation in daily market indices related implications are also discussed

a transactions data analysis of nonsynchronous trading weekly returns of stock portfolios exhibit substantial autocorrelation analytical studies suggest that nonsynchronous trading is capable of explaining from 5 to 65 of the autocorrelation the varying importance of nonsynchronous trading in these studies arises primarily from differing assumptions regarding nontrading periods of stocks we simulate the effects of nonsynchronous trading by sampling stock returns from a return generating process using transactions data to obtain the precise time of each stock s last trade we find that simulated weekly portfolio returns exhibit autocorrelations that are roughly 25 that of their observed crsp weekly returns article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

analysis of rural residential energy consumption and corresponding carbon emissions in china the analysis of rural residential energy consumption in china from 2001 to 2008 and corresponding impacts on climate change is presented in the paper it is found that rural residential energy consumption has shown obvious transition from non commercial energy to commercial energy the percentage of biomass energy consumption dropped from 81 5 in 2001 to 70 9 in 2008 while the percentage of commercial energy increased from 17 1 to 25 1 besides other renewable energy increased very fast with annual growth rate of 19 8 correspondingly total co2 emissions from rural residential energy consumption had significant increase from 152 2 million tons in 2001 to 283 6 million tons in 2008 the annual growth rate of per capita co2 emissions was nearly 2 times faster than that of urban area the major driving force for the consumption of commercial energy was the income of rural farmers while strong rural energy policies supported the development of renewable energy to satisfy the goals of energy supply and co2 emissions reduction in rural areas it is advised to change the energy structure and improve the energy efficiency such as to generate electricity using renewable technologies and to replace coal with modern biomass energy for cooking and heating

friction in the trading process and the estimation of systematic risk abstract this paper considers how estimates of the market model beta parameter can be biased by friction in the trading process information decision and transaction costs that a leads to a distinction between observed and true returns b causes observed returns to be generated asynchronously for a set of interdependent securities and c thereby introduces serial cross correlation into security returns several propositions are derived from which consistent estimators of beta are obtained and the effect of differencing interval length on beta estimates is specified the formulation is contrasted with the related analyses of scholes williams 1977 and dimson 1979

energy consumption practices of rural households in north china basic characteristics and potential for low carbon development reducing the climate impact of rural household energy consumption in china is complicated since it is bound up with deeply routinized daily practices and dependent from existing infrastructural systems of energy supply to assess the potential for low carbon development we first estimate the overall co2 emissions of rural households followed by a more in depth description and characterization of the different energy use practices within the households space heating turns out to be the largest emission source among domestic energy practices in north china we present lifestyle and context related factors that help to explain existing differences in domestic energy use practices of households the potential for low carbon development is discussed both at the demand side and the supply side at the demand side the use of more efficient technologies and cleaner energy sources for space heating seems to be a high potential measure for achieving low carbon households at the supply side the reduction of rural domestic co2 emissions could be effectively supported by making available to householders renewable and cleaner energy sources and technologies in order to be effective such low carbon energy options should take into account the income characteristics and lifestyles of rural householders

an econometric model of serial correlation and illiquidity in hedge fund returns the returns to hedge funds and other alternative investments are often highly serially correlated in sharp contrast to the returns of more traditional investment vehicles such as long only equity portfolios and mutual funds in this paper we explore several sources of such serial correlation and show that the most likely explanation is illiquidity exposure i e investments in securities that are not actively traded and for which market prices are not always readily available for portfolios of illiquid securities reported returns will tend to be smoother than true economic returns which will understate volatility and increase risk adjusted performance measures such as the sharpe ratio we propose an econometric model of illiquidity exposure and develop estimators for the smoothing prole as well as a smoothing adjusted sharpe ratio for a sample of 908 hedge funds drawn from the tass database we show that our estimated smoothing coecien ts vary considerably across hedge fund style categories and may be a useful proxy for quantifying illiquidity exposure

estimating and adjusting for the intervalling effect bias in beta the concept of beta as the measure of systematic risk has been widely accepted in the academic and financial community increasingly betas are being used to estimate the cost of capital for corporations despite this however biases are generally present in ordinary least squares ols estimates of beta in particular empirical estimates of beta are affected by friction in the trading process which delays the adjustment of a security s price to informational change and hence leads to an intervalling effect bias in this paper we present and empirically test two procedures for correcting this bias the first is to estimate the asymptotic value that ols beta approaches as the differencing interval is lengthened without bound the second procedure is to infer the value of beta by adjusting ols beta for cross sectional differences in the intervalling effect as a function of the depth of the market for a security as measured by its value of shares outstanding our results suggest that a substantial correction is needed to get true beta estimates from short differencing interval data

biofuels adoption in nigeria attaining a balance in the food fuel feed and fibre objectives abstract the drive towards economic development in nigeria brings about the pursuit of many competing objectives whose attainments depend on limited resources biofuels adoption has been set as an important path among other options for pursuing economic growth and development for the country the federal government of nigeria fgn is currently promoting the production processing and utilization of biofuels in the transport and energy sectors the article examines biofuels adoption in nigeria vis a vis the attainment of a balance in the food fuel feed and fibre objectives crops already profiled as preferred sources of feedstock for the primary biofuels production are also crucial for food feed and fibre the resources needed for producing these crops are limited hence the need for a balance this paper derived data from secondary sources including the food and agriculture organization fao the paper explores some aspects of biofuels sustainability and present recommendations for attaining a balance in the multiple objectives for attaining socioeconomic development

statistical discrimination with peer effects can integration eliminate negative stereotypes we introduce peer effects in the costs of human capital acquisition into a model of statistical dis crimination in labour markets this creates a link between the level of segregation in social networks and racial disparities in job assignment and wages we show that this relationship is characterized by disconti nuities there is a threshold level of segregation below which negative stereotypes become unsustainable and steady state skill levels can change dramatically this change can work in either direction skill levels may either rise or fall in both groups vvtiich of these outcomes arises depends on the population share of the disadvantaged group and on the distribution of the costs of human capital investments we also examine the effects of affirmative action policies in the presence of peer effects and provide conditions under which such policies eliminate negative stereotypes

the intervalling effect bias in beta a note abstract based on a comprehensive sample of domestic securities traded on the brussels stock exchange this paper points out the intervalling effect in the estimated betas and examines the speed of convergence of these the results reveal that the estimated betas seem to converge to their asymptotic values and that their value depends on what day the differencing interval starts it also appears that the magnitude of the intervalling effect is inversely related to the market value of the firms

identifying a sustained pathway to multidimensional poverty reduction evidence from two chinese provinces poor rural households in developing countries often endure many faceted burdens including monetary poverty nutrition deficiency and energy shortage due to reliance on limited local natural resourc

on the impact of infrequent trading on the apt systematic risk components evidence from a thin security market abstract the purpose of this note is to analyze the effects of infrequent trading on the apt systematic risk components using finnish data infrequent trading is reported to influence especially the first systematic risk component produced by factor analysis on stock returns

rural household energy consumption with the economic development in china stages and characteristic indices abstract this paper discusses history variance and general features on rural household energy consumption with the economic development in china energy shortage has been a long standing problem in rural areas of china the average effective energy consumption was 0 46 0 54 kgce per day per household in the 1960s and 1970s the reason for this is that the rural household energy supply mainly relies on the available amounts of local natural energy resources the problem of cooking fuel shortage was basically solved in the early 1980s since more straw and stalks were produced due to the rapid development of agriculture the process of energy commercialization also started from the early 1980s due to the availability of coal fuel oil and other energy sources in the market and the reconstruction of rural power supply network energy consumption was 369 8 kgce per capita with 30 of commercial energy consumption and the effective heat per capita per day was 0 64 kgce in 1995 a closer relationship was found between household energy consumption level structure and family income along with the economic development this paper analyzed the rural household energy consumption of three typical regions i e out of poverty well off and rich regions in terms of effective heat per capita per day percentage of commercial energy consumption in total effective heat electricity consumption per capita and room temperature of northern areas in winter

household demand for electricity the role of market distortions and prices in competition policy abstract this paper examines residential demand for electricity in sri lanka using survey data collected over a five year period between 2011 and 2015 the study finds that the major determinants of demand for residential electricity are the result of price or market distortions i e subsidies socioeconomic variables and energy saving technology the effects of these variables are particularly relevant to competition policy estimated elasticities with respect to average price subsidies under marginal cost pricing subsidies under average cost pricing and income are found to be 0 015 0 021 0 036 and 0 046 respectively we find that demand for electricity is inelastic and is categorised as a normal good however elasticities with respect to subsidy variables are found to be higher than the price variable this implies that under an increasing block rate system any price change used as a policy measure to control electricity consumption will not be effective this is because price changes could alter the subsidy received by the consumer and therefore reverse the objective of the price change further results of this study find that price and elasticities with respect to subsidy variables are relatively higher for low income groups while income elasticity is relatively larger for high income groups

residential electricity demand in taiwan this paper examines the residential demand for electricity in taiwan as a function of household disposable income population growth the price of electricity and the degree of urbanization short and long term effects are separated through the use of an error correction model in the long run the income elasticity is unit elastic the own price effect is negative and inelastic in an error correction framework the short run income and price effects are small and less than the long run effects cooling degree day effects have a positive impact on short run consumption we have used a proxy variable urbanization to capture economic development characteristics and changes in electricity using capital stocks not explained by income the variable provides significant explanatory power to the model both in the short and long run we interpret it as controlling for economic development factors not captured by the pure income effect and we think it holds promise for explaining residential electricity consumption in other developing countries

the analytic relationship between intervaling and nontrading effects in continuous time empirical studies in finance generally use data defined over the shortest re turn period available originally data bases such as crsp tended to have data collected over monthly periods and most analyses tended to use monthly data rather than data compounded over periods greater than a month with the implicit argument that the more data the better since the development of data bases with data collected over shorter differencing intervals there has been a growing tendency in finance to use returns data defined over increasingly shorter differ encing intervals 1 this development is desirable but is not without problems the problem with using data defined over shorter differencing intervals is that although greater estimating efficiency will be achieved 2 nontrading effects could be introduced into the analysis these will lead to biased beta estimators and biases in tests of capital market efficiency the purpose of this paper is to investi gate analytically the interrelation of the intervaling and nontrading effects both in estimating beta factors and in testing capital market efficiency levhari and levy 9 demonstrated theoretically and empirically that beta will be dependent upon the return interval length when returns are measured in discrete time in continuous time this dependency will be removed due to the additivity of the return variables in this domain however several studies carried out on u s 15 french 1 and u k data 7 16 have demonstrated that beta factors estimated in continuous time increase with the differencing interval seemingly contradicting this invariance property this paper will demonstrate analytically how this phenomenon can arise in the presence of nontrading ef fects and how this intervaling effect relates to the estimators developed by scholes and williams 14 and dimson 7 for handling the nontrading problems manchester university england the author is grateful to two anonymous referees for their

the october 1987 s p 500 stock futures basis five minute changes in the s p 500 index and futures contract are examined over a ten day period surrounding the october 1987 stock market crash since nonsynchronous trading problems are severe in these data new index estimators are derived and used the estimators use the complete transaction history of all 500 stocks nonsynchronous trading explains part of the large absolute futures cash basis observed during the crash the remainder may be due to disintegration of the two markets even after adjustment for nonsynchronous trading the index displays more autocorrelation than does the futures and the futures leads the index

beta changes around stock splits revisited recent papers by lamoureux and poon 1987 and brennan and copeland 1988 document a significant permanent increase in average beta subsequent to stock split ex dates this paper demonstrates that the shift in estimated beta following ex dates decays as the measurement interval is lengthened there is no statistically significant difference between pre and post split betas using the scholes williams 1977 estimator and weekly return data or using monthly returns we conclude that lamoureux and poon s and brennan and copeland s results can be attributed to a bias created by using too short a return measurement interval to estimate beta

a closing call s impact on market quality at euronext paris abstract the paris bourse currently euronext paris refined its trading system to include electronic call auctions at market closings in 1996 for its less liquid continuous b stocks and in 1998 for its more actively traded continuous a stocks this paper analyzes the effects of the innovation on market quality our empirical analysis of price behavior for two samples of firms 50 b stocks and 50 a stocks for two different calendar dates 1996 and 1998 indicates that introduction of the closing calls has lowered execution costs for individual participants and sharpened price discovery for the broad market we further observe that market quality is improved at market openings albeit to a lesser extent we suggest that a positive spillover effect explains the closing call s more pervasive impact

the impact of the return interval on common factors in stock returns evidence from a thin security market abstract the purpose of this paper is to analyze the effect of the return interval on common factors estimated in finnish stock returns firstly common factors are identified by factor analysis using daily weekly and monthly return intervals the similarity of these factors is then studied applying transformation analysis it is discovered that the factors produced by alternative return intervals significantly differ from each other an exception is the first factor representing the market index of securities

estimating short and long term residential demand for electricity new evidence from sri lanka this study investigates the short run dynamics and long run equilibrium relationship between residential electricity demand and factors influencing demand per capita income price of electricity price of kerosene oil and price of liquefied petroleum gas using annual data for sri lanka for the period 1960 2007 the study uses unit root cointegration and error correction models the long run demand elasticities of income own price and price of kerosene oil substitute were estimated to be 0 78 0 62 and 0 14 respectively the short run elasticities for the same variables were estimated to be 032 0 16 and 0 10 respectively liquefied petroleum lp gas is a substitute for electricity only in the short run with an elasticity 0 09 the main findings of the paper support the following 1 increasing the price of electricity is not the most effective tool to reduce electricity consumption 2 existing subsidies on electricity consumption can be removed without reducing government revenue 3 the long run income elasticity of demand shows that any future increase in household incomes is likely to significantly increase the demand for electricity and 4 any power generation plans which consider only current per capita consumption and population growth should be revised taking into account the potential future income increases in order to avoid power shortages ill the country

rural household energy use and its determinants in china how important are influences of payment for ecosystem services vs other factors abstract fuelwood is an essential environmental good for livelihood in rural china heavy reliance on fuelwood is associated with numerous negative externalities due to decades of rapid economic growth in china we hypothesize that the increase in rural household income would reduce reliance on fuelwood using data from a survey of 481 households conducted in 2014 we examined the effects of two payments for ecosystem services programs the conversion of cropland to forest program ccfp and the ecological welfare forest program ewfp on energy use along with other factors we found that the ccfp did not significantly affect fuel choice nor the quantity of fuelwood used but households with more forestland in ewfp were less likely to adopt modern fuels and likely to use more fuelwood household per capita annual income was the main factor promoting adoption of modern fuels while household size was the most important factor determining the quantity of fuelwood used per capita overall the gradually increasing adoption of modern fuels has thus far not resulted in any significant abandonment of fuelwood fuelwood remains the dominant fuel across all income groups suggesting that households in the study area are in the early stages of the energy transition