common asset pricing factors in volatilities and returns in futures markets abstract factor based asset pricing models have been used to explain the common predictable variation in excess asset returns this paper combines means with volatilities of returns in several futures markets to explain their common predictable variation using a latent variables methodology tests do not reject a single factor model with a common time varying factor loading the single common factor accounts for up to 53 of the predictable variation in the volatilities and up to 14 of the predictable variation in the means s p500 futures volatility predicted by the factor model is highly correlated with volatility implied in s p500 futures options but both the factor and implied volatilities are significant in predicting future volatility in derivatives pricing both implied volatility from options and factors extracted from asset pricing models should be employed

residential energy demand in oecd countries and the role of irreversible efficiency improvements abstract after undergoing substantial changes during a period of high energy prices household energy demand did not rebound in times of declining energy prices as might have been expected hence other factors such as irreversible improvements in technical efficiency must be understood in order to describe both past and future household energy demand in this paper we consider irreversible efficiency improvements as a major reason for the moderate growth in energy demand after the plummeting of the oil price in 1985 we test different econometric models to take into account efficiency indicators the major conclusions of our investigation are i price elasticities are different for rising and falling prices for the latter they are close to zero implying a low rebound effect in the residential sector ii technical efficiency is an important parameter for describing and forecasting energy demand and iii income elasticities turn out to be higher once we incorporate indicators of technological efficiency in the process of estimating energy demand

the demand for residential electricity in south africa abstract this paper examines the residential demand for electricity in south africa as a function of real gross domestic product per capita and the price of electricity during the period 1978 2005 we make use of the bounds testing approach to cointegration within an autoregressive distributed framework suggested by pesaran et al 2001 bounds testing approaches to the analysis of level relationships journal of applied econometrics 16 3 289 326 following the literature we use a linear double logarithmic form using income and price as independent variables in the empirical analysis in the long run we find that income is the main determinant of electricity demand while electricity price is insignificant

structural changes in residential electricity demand abstract the purposes of this study are to investigate the structural changes in residential electricity demand parameters and explain the causes for such changes a dynamic model is specified and estimated using pooled time series and cross section state level data for the usa changes in demand parameters over time are examined by using successive over lapping ten year sample periods for data from 1955 78 for parameter estimation the results show that there have been significant structural changes in demand elasticities for several independent variables these changes can be best explained by changes in household stocks of major electric appliances as new technologies have been developed improved and ingrained in consumer lifestyles and preference functions over time further inquiry shows no strong evidence of structural changes associated with either the reversal of the declining trend of electricity prices or the 1973 oil embargo however more data after the oil embargo may be needed to validate the existence of price asymmetries in electricity demand

return autocorrelation and institutional investors abstract we propose and test the hypothesis that trading by institutional investors contributes to serial correlation in daily returns our results demonstrate that nyse particles and individual security daily return autocorrelationsare an increasing function of the level of institutional ownership moreover the results are consistent with the hypothesis that institutional trading reflects information and increases the speed of price adjustment the relation between autocorrelation and institutional holdings does not however apparent to be driven by market frictions or rational time varying required rates of return we conclude that institutional investors correlated trading patterns contribute to axial correlation in daily returns

portfolio return autocorrelation abstract this paper investigates whether portfolio return autocorrelation can be explained by time varying expected returns nontrading state limit orders market maker inventory policy or transaction costs evidence is consistent with the hypothesis that transaction costs cause portfolio autocorrelation by slowing price adjustment i develop a transaction cost model which predicts that prices adjust faster when changes in valuation are large in relation to the bid ask spread cross sectional tests support this prediction but time series tests do not

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

measuring the effects of regulation with stock price data this article examines the usefulness of stock returns in measuring the effects of regulation when the dates on which market expectations change are not known and standard sources e g the wall street journal are used to choose announcement dates twenty major changes in regulatory constraint since 1887 are considered tests using either monthly or daily data are found to have surprisingly little ability to detect the effects of regulation the evidence shows that formal regulatory announcements are generally anticipated in cases where it is unclear when expectations change

the effects of inflation news on high frequency stock returns previous research using daily returns finds conflicting evidence about the relationship between unanticipated inflation news and stock returns we explore the relationship by looking at the response in minutes and trades of size based stock portfolios to unexpected changes in the regularly scheduled producer price index and consumer price index announcements in particular we answer the following three questions 1 do stocks respond to inflation news 2 what is the speed and path of that response 3 is the response stable or does it vary with the economy the direction of the news or time

effects of the 1970 bank holding company act evidence from capital markets this study measures the effects of the 1970 amendment to the bank holding company bhc act on the profitability and risk of bhcs using capital market data differences in abnormal returns and risk among three portfolios of bank shares which differ in their regulatory status are examined in various periods preceding and following the enactment no significant differences in performance and no change in the relative risk of any pair of portfolios were observed thus the null hypothesis that the nonbank expansion provisions of the 1970 amendment had no effect on bhcs risk and profitability cannot be rejected the growth of bank holding companies and their expansion into nonbank activities following the 1970 amendment to the bank holding company bhc act of 1956 produced striking structural changes in the banking industry the nonbank expansion provisions of the statute triggered a continuing debate about the costs and benefits of these provisions black miller and posner 2 consider the amendment to be an important innovation that can increase the efficiency and hence the profitability of financial intermediaries other writers however suggest that nonbank activities of bank holding companies may increase the risk of bank failure thereby increasing the regulatory involvement silverberg 14 orgler and wolkowitz 13 and mayne 10 2 this study analyzes the effects of the 1970 amendment to the bank holding company act on the profitability and riskiness of bank holding companies capital market data are used to measure risk and return fama 6

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

the dynamics of electricity demand in pakistan a panel cointegration analysis abstract this paper examines the dynamics of electricity demand in pakistan at the aggregate and sectoral levels over the period 1978 2012 panel cointegration test and fully modified ordinary least squares method is employed to determine the long run relationship between electricity consumption real income real price of electricity and domestic price of non energy products the results reveal that electricity demand is more responsive to changes in income than changes in prices at the aggregate and disaggregate levels short run and long run income elasticities are positive and statistically significant supporting the conservation hypothesis it appears from the results that long run price elasticities are negative and significant at the aggregate level and for the agriculture commercial residential sectors and public utilities the short run price elasticities are significant but low in magnitude which implies that changes in electricity price exert minimal effect on the electricity consumption in pakistan the domestic price of non energy products is positive and significant for aggregate sample in the short run the domestic price of non energy products exert significant negative positive impact on electricity demand in the agriculture industrial sectors the results thus provide important information to the agents operating in the electricity market regarding the income and pricing policies and helps in planning the future strategy of electricity demand management

liquidity dynamics and cross autocorrelations this paper examines the relation between information transmission and cross autocorrelations we present a simple model where informed trading is transmitted from large to small stocks with a lag in equilibrium large stock illiquidity induced by informed trading portends stronger cross autocorrelations empirically we find that the lead lag relation increases with lagged large stock illiquidity further the lead from large stock order flows to small stock returns is stronger when large stock spreads are higher in addition this lead lag relation is stronger before macro announcements when information based trading is more likely and weaker afterward when information asymmetries are lower

valuation and optimal exercise of the wild card option in the treasury bond futures market the chicago board of trade treasury bond futures contract allows the short position several delivery options as to when and with which bond the contract will be settled the timing option allows the short position to choose any business day in the delivery month to make delivery in addition the contract settlement price is locked in at 2 00 p m when the futures market closes despite the facts that the short position need not declare an intent to settle the contract until 8 00 p m and that trading in treasury bonds can occur all day in dealer markets if bond prices change significantly between 2 00 and 8 00 p m the short has the option of settling the contract at a favorable 2 00 p m price this phenomenon which recurs on every trading day of the delivery month creates a sequence of 6 hour put options for the short position which has been dubbed the wild card option this paper presents a valuation model for the wild card option and computes estimates of the value of that option as well as rules for its optimal exercise the treasury bond futures contract on the chicago board of trade gives several delivery options to the short position the quality option which allows the short to deliver any of several eligible delivery bonds has already been studied fairly extensively because many bonds are eligible to be delivered against the futures contract and the conversion factors used to adjust for the bond actually delivered do not perfectly reflect relative price differences the short side trader will choose to deliver the cheapest eligible bond kilcollin 71 presents a discussion and analysis of conversion factors and their effects on the optimal delivery bond gay and manaster 4 present a theoretical valuation model for the quality option when two classes of commodities with uncertain end of period spot prices may be delivered garbade and silber 3 provide a similar analysis and estimate parameters of the valuation formula for a variety of agricultural commodity futures kane and marcus 6 have used monte carlo simulations to value the quality option in the treasury bond futures market in contrast the various timing options embedded in the delivery process have received comparatively little attention one of the most important of these is the so called wild card option the wild card option arises because the futures market closes each trading day at 2 p m central standard time which locks in the futures settlement price for the rest of the day while the short trader has until 8 p m of each trading day in the delivery month to declare an intent to deliver

one bank holding company formation and the 1970 bank holding company act amendment an empirical examination allowing for industry group effects abstract the current study attempts to resolve the apparent empirical inconsistencies concerning the combined effect of the passage of the bank holding company act amendment of 1970 and the formation of one bank holding companies obhcs found by billingsley and lamy 1984 on one hand and martin and keown 1981 aharony and swary 1981 and eisenbeis harris and lakonishok 1984 on the other hand in the present study we demonstrate that the findings of billingsley and lamy of a major impact on obhcs resulting from the 1970 amendment reflect an industry specific factor induced into their findings by calendar date clustering of the obhc formation dates when a banking industry group effect is allowed the results of billingsley and lamy simply disappear thus the results of this paper suggest that the latter group of authors was correct in suggesting that neither obhc formation nor the 1970 amendments have prompted a change in the risk return characteristics of the affected banks

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

trading volume and autocorrelation empirical evidence from the stockholm stock exchange abstract in accordance with studies for other markets swedish index returns exhibit high autocorrelation a after days of above average performance of the stock market b after low absolute returns c when trading volume is low and d following fridays contrary to the non synchronous trading and the transaction cost hypotheses all results extend to individual stock returns it is concluded that autocorrelation patterns are related to the trading patterns of individual investors and not the cross security information processing of the market in particular the observed autocorrelation structure corresponds to feedback trading

electricity demand for south korean residential sector abstract this study estimates the electricity demand function for the residential sector of south korea with the aim of examining the effects of improved energy efficiency structural factors and household lifestyles on electricity consumption in the study time series data for the period from 1973 to 2007 is used in a structural time series model to estimate the long term price and income elasticities and annual growth of underlying energy demand trend uedt at the end of the estimation period the result shows a long term income elasticity of 1 33 and a long term price elasticity of 0 27 with 0 93 as the percentage growth of uedt at the end of the estimation period this result suggests that in order to encourage energy efficiency in the residential sector the government should complement the market based pricing policies with non market policies such as minimum energy efficiency standards and public enlightenment

share price and mortality an empirical evaluation of newly listed nasdaq stocks abstract we examine a sample of 5896 stocks listed on nasdaq between 1974 and 1988 to see whether the price per share has significant statistical power in forecasting subsequent returns and attrition rates consistent with anecdotal evidence we document a higher mortality rate for lower priced stocks than for higher priced issues surprisingly mortality is not related to market capitalization our results also hold for subsamples partitioned by industry and issue year on average investors are not adequately compensated for this additional mortality risk earning lower risk adjusted rates of return on portfolios of lower priced shares than on portfolios of higher priced shares

an empirical examination of information differences of opinion and trading activity abstract we investigate the relations between trading volumes and our proxies for information flows and divergences in opinions we view s p 500 index futures open interest as a useful proxy for divergences of traders opinions and find that volumes are higher on days when open interest increases than on days with declines volume in individual equities is more closely related to firm specific information flows while equity basket volume is more closely associated with market information this differential impact is greatest for small capitalization stocks where market wide news has no explanatory power

trading volume and cross autocorrelations in stock returns this paper finds that trading volume is a significant determinant of the lead lag patterns observed in stock returns daily and weekly returns on high volume portfolios lead returns on low volume portfolios controlling for firm size nonsynchronous trading or low volume portfolio autocorrelations cannot explain these findings these patterns arise because returns on low volume portfolios respond more slowly to information in market returns the speed of adjustment of individual stocks confirms these findings overall the results indicate that differential speed of adjustment to information is a significant source of the cross autocorrelation patterns in short horizon stock returns both academics and practitioners have long been interested in the role played by trading volume in predicting future stock returns 1 in this paper we examine the interaction between trading volume and the predictability of short horizon stock returns specifically that due to lead lag cross autocorrelations in stock returns our investigation indicates that trading volume is a significant determinant of the cross autocorrelation patterns in stock returns 2 we find that daily or weekly returns of stocks with high trading volume lead daily or weekly returns of stocks with low trading volume additional tests indicate that this effect is related to the tendency of high volume stocks to respond rapidly and low volume stocks to respond slowly to marketwide information

residential electricity demand dynamics in turkey abstract this article provides fresh empirical evidences for the income and price elasticies of the residential energy demand both in the short run and long run for turkey over the period 1968 2005 using the bounds testing procedure to cointegration the computed elasticities of income and price are consistent with the previous studies and as expected the long run elasticities are greater than the short run elasticities an augmented form of granger causality analysis is implemented among residential electricity income price and urbanization in the long run causality runs interactively through the error correction term from income price and urbanization to residential energy but the short run causality tests are inconclusive the parameter stability of the short run as well as long run coefficients in the residential energy demand function are tested the results of these tests display a stable pattern

the market valuation effects of the financial institutions reform recovery and enforcement act of 1989 abstract this paper evaluates the stock market effects of events leading to the passage of the financial institutions reforms recovery and enforcement act of 1989 the evidence suggests that the signing of the act by president bush produced positive abnormal returns for both banks and s ls and that the addition of tougher capital standards produced positive returns for s ls in addition the act increased the risk of both banks and s ls

market expectations of the effects of the tax reform act of 1986 on banking organizations abstract this study investigates market expectations regarding the effect of the tax reform act of 1986 on the banking industry the evidence shows that overall the tax reform did not adversely affect the stocks of banking institutions the findings suggest that overall banking organizations were expected to largely mitigate any negative effects of the tax reform on their cash flow by rebalancing and or repricing their portfolios of assets and liabilities the most significant provision of the new act was the limitation on foreign tax credits interestingly the markets did not expect any adverse valuation effects from the recapture of loan loss reserves or the elimination of the interest deductibility for carrying tax exempt securities

the effects of tax reform on real estate some empirical results this paper uses data on publicly traded real estate firms to examine the effects of two major tax reforms specifically we analyze the effects of the 1976 and 1986 tax reform acts tras on the risks and returns of real estate investment trusts reits and other real estate firms using intervention analysis since reits have been a dominant force in the real estate equity markets and since they are treated differently for tax purposes than corporations investing in real estate we examine the two groups of firms separately while there exists much popular press literature which discusses the impact of tax reform on real estate little empirical work has directly examined the market s response to these changes 2 most previous work undertaken to examine the potential impact of tax changes has used simulation modeling to estimate the effects on real estate firms values e g fisher and lentz 1986 hendershott follain and ling 1986 a review of the simulation literature is presented in follain and brueckner 1986 turning away from the simulation technique nourse 1987 uses appraisal data to empirically estimate how the 1976 and 1981 tax laws affect capitalization rates i e net income divided by value for real estate in contrast with the existing literature we use market data to evaluate the empirical effects of the 1976 and 1986 law changes the empirical results provide insights into the interaction between tax laws and the market for real estate assets in the next section of the paper we discuss the historical background of the 1976

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

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

elasticities of electricity demand in urban indian households abstract in the past several electricity demand studies have been published for india based on aggregate macro data at the country or sub national state level since the underlying theory of consumer demand is based on the behaviour of individual agents the use of micro data which reflects individual and household behaviour more closely can shed greater light on the nature of consumer responses in this paper seasonal price and income elasticities of electricity demand in the residential sector of all urban areas of india are estimated for the first time using disaggregate level survey data for about 30 000 households three electricity demand functions have been econometrically estimated using monthly data for the winter monsoon and summer season in order to understand the extent to which factors like income prices household size and other household specific characteristics influence variations observed in individual households electricity demand the results show electricity demand is income and price inelastic in all three seasons and that household demographic and geographical variables are significant in determining electricity demand

estimation of residential electricity demand in hong kong under electricity charge subsidies abstract over the past decade the hong kong hk government provided electricity charges subsidies for residential accounts to alleviate the burden of inflation and later the burden of economic downturn in this study we estimate an econometric model of residential electricity demand and test the existence of a stable long run relationship for the period 1980 2016 while accounting for the relief measures set out by the hk government since 2008 empirical results suggest that there exists a long run relationship among residential electricity consumption electricity price income per capita and weather variables temperature or cooling degree days in the absence of electricity charge subsidies the demand is found to be both price and income inelastic on the other hand hk s residential electricity consumers are unresponsive to price and income changes when electricity subsidies are in place following its new carbon reduction plan hk is gradually phasing out coal for electricity generation to replace it mainly with natural gas our results suggest that new residential electricity charge subsidies can lessen the effectiveness of6 climate policies aimed at reducing electricity consumption through increases in the electricity price

stock return cross autocorrelations and market conditions in japan we show that changes in market conditions significantly affect cross autocorrelations and speed of adjustment in weekly stock returns we find significant positive cross autocorrelations between weekly returns on a portfolio of small firms and lagged large firm portfolio returns only when the lagged aggregate market has experienced a decline in value these positive return cross autocorrelations are also associated with lower abnormal portfolio trading volume and greater delays in the adjustment of individual stock prices to negative market wide information particularly for small firms the effect of lagged market states cannot be explained by market microstructure biases such as nonsynchronous trading or thin trading

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

payoff complementarities and financial fragility evidence from mutual fund outflows the paper provides empirical evidence that strategic complementarities among investors generate fragility in financial markets analyzing mutual fund data we find that consistent with a theoretical model funds with illiquid assets where complementarities are stronger exhibit stronger sensitivity of outflows to bad past performance than funds with liquid assets we also find that this pattern disappears in funds where the shareholder base is composed mostly of large investors we present further evidence that these results are not attributable to alternative explanations based on the informativeness of past performance or on clientele effects we analyze the implications for funds performance and policies

liquidity investment style and the relation between fund size and fund performance using stock transactions data along with detailed stockholdings for a comprehensive sample of u s actively managed equity mutual funds from 1993 to 2002 this paper empirically examines the effect of liquidity and investment style on the relation between fund size and fund performance consistent with chen hong huang and kubik 2004 i find a significant inverse relation between fund size and fund performance further this inverse relation is stronger among funds that hold less liquid portfolios the inverse relation between fund size and fund performance is also more pronounced among growth and high turnover funds that tend to have high demands for immediacy overall this paper s findings suggest that liquidity is an important reason why fund size erodes performance

modelling electricity demand in ghana revisited the role of policy regime changes as policy regime changes demand elasticities are unlikely to be constant since individuals change how they form their expectations and this will change the estimated decision rules in this paper the time varying nature of electricity demand elasticities prior to and post the economic reform period in ghana is analysed using the fm ols three different sample periods pre reform post reform and full period was used in the analysis the result from the full sample period revealed that in the long run electricity demand is significantly affected by industry efficiency industry value added and real per capita gdp urbanization rate however has no significant effect the pre reform estimate showed lower income output and urbanization elasticities but higher industry energy efficiency elasticity relative to the post reform period this suggests that technological change in the pre reform period has been energy saving whilst technological change in the post reform period has been energy consuming the result further showed evidence of changing structure of the economy from the more energy intensive sector to the less energy intensive sector after the reform government should renew her effort in promoting energy saving technologies in the industrial sector and adjust the industrial structure to encourage the expansion of low energy intensive industries or high technology efficient industries

regional reciprocal interstate banking the supreme court and the resolution of uncertainty abstract in 1985 the supreme court affirmed the ability of the states to enter into regional reciprocal compacts in northeast bancorp inc et al v board of governors of the federal reserve system the current study tests the hypotheses that the court s decision exerted a material influence on the wealth of shareholders in bank holding companies bhcs operating within regional banking compacts and that shareholder reactions were affected by the size of their bhc as a proxy for the likelihood that a bhc would be an acquiror vs a target in the new legislative climate the analysis uses a sample of 52 bhcs that were members of regional interstate banking compacts and a control sample of 107 bhcs based in states that had not passed such enabling legislation as of the event date both portfolios of bhcs exhibited a statistically significant average positive reaction to the supreme court decision further there is evidence that the average bhc in each group reacted significantly differently to that event the reactions of bhcs in regional compacts were associated negatively with their relative size within their respective regional compact but related positively to their absolute size interestingly the reactions of bhcs in the control sample were also negatively associated with their relative size within their home office s state but also positively related to their absolute size all in all shareholders viewed the interstate banking opportunities brought by the supreme court decision to be consistent with their interests

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

asymmetric predictability of conditional variances we show that there is an asymmetry in the predictability of the volatilities of large versus small firms using both univariate and multivariate arma garch m parameterizations we find that volatility surprises to large market value firms are important to the future dynamics of their own returns as well as the returns of smaller firms conversely however shocks to smaller firms have no impact on the behavior of either the mean or the variance of the returns of larger capitalization companies article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

estimation of residential electricity demand function in seoul by correction for sample selection bias abstract this paper attempts to estimate the residential electricity demand function in seoul to this end we collected the data from a survey of households in seoul and employed the bivariate model to rectify the undesirable impacts of non response data the results show that the size of family the size of house dummy for having a plasma display panel television dummy for having an air conditioner and the household s income have positive relationships with the residential electricity demand on the other hand electricity price contributes negatively to the residential electricity demand in addition the price and income elasticities were estimated as 0 2463 and 0 0593 respectively implying that residential electricity demand in seoul is price and income inelastic such useful information is expected to help policy makers regulate the residential electricity supply and predict the effect of the price on the residential electricity demand in the future

crossborder dividend taxation and the preferences of taxable and nontaxable investors evidence from canada abstract we consider how fund managers respond to the conflicting preferences of their investors we focus on the conflict between the taxable and retirement accounts of international funds which face different tradeoffs between dividends and capital gains in principle managers could resolve this conflict through dividend arbitrage but a proprietary database of dividend arbitrage transactions shows that in practice they cannot thus managers must resolve it through their investment policies we find robust evidence that managers with more retirement money favor the preferences of retirement investors and further evidence for this view in the difference between u s and canadian funds portfolio weights

trading structure and overnight information a natural experiment from the tel aviv stock exchange abstract a unique data set from the tel aviv stock exchange tase is used to study the effect of trading mechanisms on stock return volatility the tase represents a natural experiment which allows separation of the overnight information effect from the trading mechanism effect the data span a time period in which the order of the trading mechanisms a sequential continuous mechanism and a call auction was switched since overnight information should impact opening prices equally across periods this affords an unparalleled opportunity to examine the trading mechanism effect without the confounding effect of the non trading period this paper finds that the null that opening variances equal closing variances cannot be rejected for either period further the tests cannot reject null that the ratio of opening to closing return variances is equal across periods this suggests that the trading mechanisms on the tase do not differ in their effect upon return volatility

elasticities of electricity demand in india abstract the paper examines econometric relationship between electricity consumption and variables like income price of electricity and diesel used in for captive power generation to meet the shortages and reliability of power supply from utilities in five major consumer categories in india these categories are residential commercial agriculture small and medium industries and large industries income and price elasticities of electricity consumption are estimated at the national level for these consumers by pooling data across 19 states spread over 9 years 1985 86 1993 94 the results show that electricity consumption in commercial and large industrial sectors are income elastic 1 while residential agricultural and small and medium industries are income inelastic

nonsynchronous security trading and market index autocorrelation the theoretical portfolio autocorrelation due solely to nonsynchronous trading is estimated from a derived model this estimated level is found to be substantially less than that observed empirically the theoretical and empirical relationship between portfolio size and autocorrelation also is investigated the results of this study suggest that other price adjustment delay factors in addition to nonsynchronous trading cause the high autocorrelations present in daily returns on stock index portfolios

inefficiencies in the pricing of exchange traded funds the prices of exchange traded funds etfs can deviate significantly from their net asset values navs in spite of the arbitrage mechanism that allows authorized participants to create and redeem shares for the underlying portfolios the deviations typically within a band of about 200 bps are larger in funds holding international or illiquid securities to control for stale pricing of the underlying assets i introduce a novel approach that uses the cross section of prices on a group of similar etfs the average pricing band remains economically significant at about 100 bps with even larger mispricings in some asset classes active trading strategies exploiting such inefficiencies produce substantial abnormal returns before transaction costs providing further proof of short term mean reversion in etf prices

price elasticities of residential electricity demand estimates from household panel data in bangladesh abstract we collect a household level panel dataset to estimate the price elasticities of electricity demand for different types of urban households in bangladesh we use an instrumental variable estimation strategy which exploits exogenous variation in average electricity prices induced by a value added tax shock the results indicate significant heterogeneity in price elasticities by electricity consumption levels we conduct a number of simulations under alternative policy scenarios to illustrate how incorporating the heterogeneous nature of price elasticities into pricing policy can help decrease electricity demand supply mismatch and inequality in electricity consumption the results have important policy implications for developing countries aiming to address major energy issues by implementing tariff reforms

stale prices and strategies for trading mutual funds we demonstrate that an institutional feature of numerous mutual funds funds managing billions in assets generates fund net asset values that reflect stale prices because investors can trade at these navs with limited transaction costs in many cases obvious trading opportunities exist these opportunities are especially prevalent in funds that buy japanese or european equities simple feasible strategies generate sharpe ratios excess return divided by standard deviation that are many times greater than the sharpe ratio of the underlying fund we illustrate the potential of the strategy for three vanguard group mutual funds a particular issue to keep in mind is that when the strategies are implemented the gains from these strategies are matched by offsetting losses incurred by buy and hold investors in these funds

an analysis of bank risk and deposit rate ceilings abstract the effect of deposit rate regulation on bank solvency is an important and unresolved issue that has received only limited attention in this paper capital market data is used to assess changes in both systematic and non systematic risk of a portfolio of bank stocks at the time of deposit rate deregulation the evidence indicates that neither measure of capital market risk is significantly affected leading to the conclusion that bank solvency risk will not be increased by the deregulation of interest rates on deposits

household consumption of electricity in brazil between 1985 and 2013 abstract this article describes the electricity consumption in brazilian residences between 1985 and 2013 through linear regressions the explanatory variables considered were the number of households effective consumption of families as a proxy for family income and electricity tariff for households to deal with the power generation crisis of 2001 we have introduced a dummy variable in the form of a step function with such explanatory variables we were able to account for the reduction of household electricity consumption caused by the policies conducted in 2001 and their permanent consequences the regression presented coefficient of determination of 0 9892 and the several statistic tests conducted assured the existence of long term relation between the electricity consumption in residences and the explanatory variables the obtained elasticities for the household consumption of electricity with respect to number of residences family income and residential tariff of electricity were 1 534 0 095 0 189 0 049 and 0 230 0 060 respectively these results allowed understanding the evolution over time of the household consumption of electricity in brazil they suggest that the electric sector in brazil should pursue an active policy to manage demand of residential electricity using tariffs as a means to control it

the long run price sensitivity dynamics of industrial and residential electricity demand the impact of deregulating electricity prices abstract this study examines the demand side of ghana s electricity sector we test two important related hypotheses 1 deregulation of electricity price does not promote energy conservation and 2 demand price relationship is not an inverted u shaped the stock and watson dynamic ols is used to address the so called second order bias the result showed that deregulation of electricity price in ghana has induced behaviours that are more consistent with energy conservation improvements the demand price relationship is an inverted u which suggests that there is a price range that end users can tolerate further price rise and still increase their consumption of electricity however the degree of price tolerability is higher for residential consumers than industrial consumers the simulation results showed that further economic growth is likely to compromise energy conservation but more in the industrial sector than the residential sector on the other hand future crude oil price is likely to deteriorate energy conservation in the initial years after 2016 but this trend is likely to reverse after the year 2020 pricing mechanisms are potent to induce energy conservation but inadequate the results suggest that they should be complemented with other stringent policies such as a mandatory energy reduction policy investment in renewables and personalization of energy efficiency programs

demand customer base line and demand response in the electricity market a survey the increasing use of demand side management as a tool to reliably meet electricity demands at peak time has stimulated interest among researchers consumers and producer organiza tions managers regulators and policymakers this research reviews the growing literature on models which are used to study demand customer base line cbl and demand response in the electricity market after characterizing the general demand models the cbl based on which the demand response models are studied is reviewed given the experience gained from the review and existing conditions the study combines an appropriate model for each case for a possible application to the electricity market moreover it discusses the implications of the results in the literature these aspects are studied independently the main contribution of this survey is attributed to the treatment of the three issues as sequentially interdependent the review is expected to enhance the understanding of the demand cbl and demand response in the electricity market and their relationships the objective is conducted through a combination of demand and supply side managements in order to reduce demand through different demand response programs during peak times this enables electricity suppliers to save costly electricity generation and at the same time reduce energy vulnerability

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

price adjustment delays and arbitrage costs evidence from the behavior of convertible preferred prices price adjustment delays occur between in the money convertible preferred stock prices and common stock prices convertible preferred prices systematically deviate from the prices predicted from their conversion relations with common stocks the price predictability stems from price changes in the underlying common stocks leading the price changes in the convertible preferred stocks by up to nine hours cross sectionally about 70 percent of the variation in the unsigned size of the price deviations is explained by proxies for costs of arbitrage

valuation effects of the international banking act on foreign banks operating in the united states note this study empirically evaluates the daily stock price behavior of thirty one major foreign banks operating in the united states at the time of the passage of the international banking act of 1978 statistically insignificant abnormal returns are observed during the months of debate over this legislation however negative and statistically significant abnormal returns are found after the bill was signed by president carter the empirical results of this analysis taken together with those of previous research suggest that the international banking act was perceived at the time as having reduced the regulatory inequities between u s banks and foreign banks operating in the united states copyright 1991 by ohio state university press

the effects of the international banking act on domestic bank profitability and risk the passage of the international banking act of 1978 was the first major step towards imposing consistent and uniform federal regulations on the growing number of foreign banks entering the united states prior to this date foreign banks had been subject to a patchwork of state laws of varying degrees of stringency covering their entry expansion and portfolio behavior see white 1982 and walker 1983 the net result of this patchwork of state regulation was that by 1978 foreign banks had developed certain competitive advantages over domestic banks these advantages emanated from the fact that foreign bank branches and agencies i were not required to meet federal reserve determined reserve requirements on liabilities such as large cds and ii they were not subject to federal laws governing interstate banking the 1927 mcfadden act and activity diversification the 1933 glass steagall act and the 1956 bank holding company act including its 1970 amendments however foreign banks were also subject to certain disadvantages compared to domestic banks in particular they were inhibited from entering into retail banking markets by being ineligible for fdic insurance and being denied access to fed services such as check collection and the discount window to eliminate these discrepancies in relative regulation the international banking act iba was introduced in the house of representatives in february 1978 re

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 dynamics of short term mutual fund flows and returns a time series and cross sectional investigation abstract this study analyzes the dynamics of daily mutual fund flows a vector auto regression var of flows and returns shows that the behavior of fund investors is more consistent with contrarian rather than momentum characteristics past fund flows have a positive impact on future fund returns with the long term information effect dominating the transient price pressure effect seasonality in daily flows such as day of week and day of month patterns are present and daily flows are generally mean reverting probit regressions indicate that fund investment objective marketing policy and level of active management explain cross sectional variation in the behavioral patterns displayed in daily flows our results are robust to the different methods of calculating daily flows based on whether or not the day end tna figures include the current day s flow throughout the analysis we contrast the dynamics of daily flows with established results for monthly fund flows and find important differences between the two

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

on the perils of financial intermediaries setting security prices the mutual fund wild card option economic distortions can arise when financial claims trade at prices set by an intermediary rather than direct negotiation between principals we demonstrate the problem in a specific context the exchange of open end mutual fund shares mutual funds typically set fund share price nav using an algorithm that fails to account for nonsynchronous trading in the fund s underlying securities this results in predictable changes in nav which lead to exploitable trading opportunities a modification to the pricing algorithm that corrects for nonsynchronous trading eliminates much of the predictability however there are many other potential sources of distortion when intermediaries set prices copyright the american finance association 2001

an empirical analysis of the dynamic relationship between mutual fund flow and market return volatility abstract we study the dynamic relation between aggregate mutual fund flow and market wide volatility using daily flow data and a var approach we find that market volatility is negatively related to concurrent and lagged flow a structural var impulse response analysis suggests that shock in flow has a negative impact on market volatility an inflow outflow shock predicts a decline an increase in volatility from the perspective of volatility flow relation we find evidence of volatility timing for recent period of 1998 2003 finally we document a differential impact of daily inflow versus outflow on intraday volatility the relation between intraday volatility and inflow outflow becomes weaker stronger from morning to afternoon

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

the impact of the 1980 depository institutions deregulation and monetary control act on market value and risk evidence from the capital markets the depository institutions deregulation and monetary control act of 1980 brought about major changes in the banking industry this study employs capital market data to examine the act s impact on the relative competitive positions of distinct classes of firms within the industry the evidence supports the hypothesis that federal reserve system banks profited from the regulatory change at the expense of nonmember banks and savings and loans copyright 1988 by ohio state university press

a tale of three schools insights on autocorrelations of short horizon stock returns this article reexamines the autocorrelation patterns of short horizon stock returns we document empirical results which imply that these autocorrelations have been overstated in the existing literature based on several new insights we provide support for a market efficiency based explanation of the evidence our analysis suggests that institutional factors are the most likely source of the autocorrelation patterns

partial adjustment or stale prices implications from stock index and futures return autocorrelations we investigate the relation between returns on stock indices and their corresponding futures contracts to evaluate potential explanations for the pervasive yet anomalous evidence of positive short horizon portfolio autocorrelations using a simple theoretical framework we generate empirical implications for both microstructure and partial adjustment models the major findings are i return autocorrelations of indices are generally positive even though futures contracts have autocorrelations close to zero and ii these autocorrelation differences are maintained under conditions favorable for spot futures arbitrage and are most prevalent during low volume periods these results point toward microstructure based explanations and away from explanations based on behavioral models

components of short horizon individual security returns abstract in this paper we present a simple model which relates security returns to three components an expected return a bid ask error and white noise the relative importance of the various components is empirically assessed and the model s ability to explain the various time series properties of individual security and portfolio returns is tested time varying expected returns and bid ask errors are found to explain substantial proportions up to 24 of the variance of security returns we also reconcile the typically negative autocorrelation in security returns with the strong positive autocorrelation in portfolio returns

industry information diffusion and the lead lag effect in stock returns i argue that the slow diffusion of industry information is a leading cause of the lead lag effect in stock returns i find that the lead lag effect between big firms and small firms is predominantly an intra industry phenomenon moreover this effect is driven by sluggish adjustment to negative information and is robust to alternative determinants of the lead lag effect small less competitive and neglected industries experience a more pronounced lead lag effect the lead lag effect is related to the post announcement drift of small firms following the earnings releases of big firms within the industry

how widespread was late trading in mutual funds this paper uses daily fund flow data to examine the extent of late trading in the u s mutual fund industry trading decisions that are required by law to have been made before 4 pm eastern time are correlated with market movements from 4 to 9 pm that evening the cross sectional variation in this correlation is consistent with late trading being its primary cause and inconsistent with alternative explanations for example apparent late trading ceases in september 2003 after the announcement of the investigation into mutual fund trading practices it is three times greater in fund families that have been cited by regulators for allowing late trading and it is greater in funds and asset classes that are also receiving heavy stale price arbitrage flows in my sample which includes 75 percent of non specialized equity mutual funds and 48 percent of assets late trading led to average annual shareholder dilution from 1998 to 2003 of 3 8 and 0 9 basis points in international and u s equity funds respectively if these dilution rates prevailed industry wide they would imply shareholder losses of about 400 million per year furthermore there is statistically significant evidence of late trading in the funds of 39 of 66 fund families

the demand for electricity in israel quarterly data for israel are used to compare and contrast three dynamic econometric methodologies for estimating the demand for electricity by households and industrial companies these are the dynamic regression model and two approaches to cointegration ols and maximum likelihood since we find evidence of seasonal unit roots in the data we also test for seasonal cointegration we find that the scale elasticities are similar in all three approaches but the ols price elasticities are considerably lower moreover ols suggests non cointegration the paper concludes by stochastically simulating the drms to calculate upside risk in electricity demand

the impact of singapore s residential electricity conservation efforts and the way forward insights from the bounds testing approach abstract this article provides fresh empirical evidence of residential electricity demand in singapore over the period of 1980 2014 using the bounds testing procedure to cointegration the residential electricity demand comprises of income price temperature rainy days old age dependency and the impact of energy efficiency policies our results are consistent with previous studies where income and price elasticities are inelastic hence from a policy perspective subsidies will not be effective in reducing electricity demand we also found that old age dependency is an important determinant that reduces electricity consumption at least in the short run suggesting that policies that target the younger population may bring more savings the model findings suggest that in general energy efficiency interventions introduced after 2007 which comprises of both informational strategies and efficiency standards were effective in reducing household electricity consumption however in order to realise greater electricity reduction potential policy efforts have to intensify into the future with the main objectives being to permanently change energy habits and consider the role of hassle costs when rolling out energy saving measures

does the buck stop here a comparison of withdrawals from money market mutual funds with floating and constant share prices recent reform proposals call for an elimination of the constant net asset value nav or buck in money market mutual funds to reduce the occurrence of runs outside the united states there are several countries that have money market mutual funds with and without constant navs using daily data on individual fund flows from these countries this paper evaluates whether the reliance on a constant nav is associated with higher fund redemptions the data suggest that funds with a constant nav experienced more negative net flows during the period of the run on the reserve primary fund even after controlling for measures of fund risk and risk aversion however i do not find convincing support for the hypothesis that the effect of sponsor strength on fund flows was stronger for constant nav money market funds

the effects of didmca on bank stockholders returns and risk abstract in this paper we examine the effects of the 1980 didmca on bank stockholders returns and risk while at the time of the announcement both commercial banks and thrifts appeared to benefit measured by abnormal returns over a longer period of time surrounding the announcement week it is evident that thrift stockholders were the primary beneficiaries of the acts passage when the effects of didmca on risk was analysed it was found that after the act s passage the total return risk of both money center and regional banks increased while that for thrifts decreased however some of the beneficial effects of the act appear to have been mitigated by an increase in the absolute size of unexpected interest rate risk in the post enactment period