imperfect information and cross autocorrelation among stock prices i develop a model to explain why stock returns are positively cross autocorrelated when market makers observe noisy signals about the value of their stocks but cannot instantaneously condition prices on the signals of other stocks which contain marketwide information the pricing error of one stock is correlated with the other signals as market makers adjust prices after observing true values or previous price changes of other stocks stock returns become positively crossautocorrelated if the signal quality differs among stocks the cross autocorrelation pattern is asymmetric i show that both own and cross autocorrelations are higher when market movements are larger

consumers in the green electricity market in finland abstract green electricity i e electricity produced from environmentally less harmful sources and marketed as such has been available to finnish households since 1998 but the demand for it has remained low in this paper we discuss the barriers identified by consumers to purchasing green electricity and contrast these with the interpretation energy sector actors give to consumer passivity the empirical material consists of thematic interviews energy policy actors often assume that consumers passivity signifies their lack of interest or low environmental consciousness this results partly from the failure to differentiate between the roles of consumer and citizen the interpretation the energy sector actors give to consumer passivity and the role they assign to consumers affect the direction of green electricity policy we argue that consumers need more information on both the environmental impact of different electricity products and in particular about the electricity supply and electricity contracts in a liberalised electricity market if they are to become active in the market

efficiency analysis for exogenously fixed inputs and outputs we evaluate by means of mathematical programming formulations the relative technical and scale efficiencies of decision making units dmus when some of the inputs or outputs are exogenously fixed and beyond the discretionary control of dmu managers this approach further develops the work on efficiency evaluation and on estimation of efficient production frontiers known as data envelopment analysis dea we also employ the model to provide efficient input and output targets for dmu managers in a way that specifically accounts for the fixed nature of some of the inputs or outputs we illustrate the approach using real data for a network of fast food restaurants

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

information quality and market efficiency the purpose of this paper is to analyze the optimal individual behavior in acquiring infor mation and to determine the amount of information incorporated in a stock at equilibrium in the presence of a cost schedule in acquiring information our paper shows that at equi librium the cost to acquire information that is not already incorporated in the price de pends only on the representative investor s risk preferences it follows that the marginal information costs are the same across all stocks at equilibrium even though the stock s information costs schedules may differ this suggests that the prices of small stocks may not incorporate all publicly available information this paper also provides empirical evi dence that newspapers publication of publicly available information can affect the stock prices

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 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

trading mechanisms and stock returns an empirical investigation this paper examines the effects of the mechanism by which securities are traded on their price behavior we compare the behavior of open to open and close to close returns on nyse stocks given the differences in execution methods applied in the opening and closing transactions opening returns are found to exhibit greater dispersion greater deviations from normality and a more negative and significant autocorrelation pattern than closing returns we study the effects of the bid ask spread and the price adjustment process on the estimated return variances and covariances and discuss the associated biases we conclude that the trading mechanism has a significant effect on stock price behavior

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

preferences for green electricity investment and regulatory incentives abstract this paper develops a theoretical model to investigate how consumers preferences for green electricity affect the incentives of a regulated firm to provide and invest in electricity from green sources optimal incentive regulation implies a trade off between providing an optimal match of consumers with green and brown electricity and efficient incentives to invest in cost reductions we show that a single price cap on green electricity is ineffective as it yields the same expected market outcome as with an unregulated firm price caps on both green and brown electricity are akin to a market share target policy which implements efficient investment but gives an inefficient ex post consumer allocation a single price cap on brown electricity weakly dominates these schemes and gives rise to three different optimal regulation regimes as a function of the underlying technology parameters

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

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

informed trading and portfolio returns we solve a multi period model of strategic trading with long lived information in multiple assets with correlated innovations in fundamental values market makers in each asset can only condition their price functions on trading in the that asset but not on trading in the other asset using daily non public data from the new york stock exchange we test the model s predictions on the lead lag relations of institutional order ows and returns within portfolios we flnd support for the model prediction of positive autocorrelations in portfolio returns as well as the predictions for how informed order ow positively predicts future returns and future informed order ow as the model predicts we flnd these relations strengthen for portfolios formed from assets with higher correlation of fundamental values

cross asset speculation in stock markets in practice heterogeneously informed speculators combine private information about multiple stocks with information in prices taking into account how their trades influence the inferences of other speculators via prices we show how this speculation causes prices to be more correlated than asset fundamentals raising price volatility the covariance structure of asset fundamentals drives that of prices while the covariance structure of liquidity trade drives that of order flows we characterize how speculator profits vary with the distributions of information and liquidity trade across assets and speculators and relate the cross asset factor structure of order flows to that of returns

norms and economic motivation in the swedish green electricity market abstract the purpose of this paper is to provide an econometric analysis of the most important determinants of swedish households choice to pay a price premium for green electricity we draw on recent developments in the literature on integrating norm motivated behavior into neoclassical consumer theory and assume that individuals have a preference for keeping a self image as a morally responsible person consumer behavior in the green market place will then be heavily determined by how purchases of different goods affect this self image the analysis is based on postal survey responses from 655 swedish households which are analyzed within a binary choice econometric framework the results indicate that the impact of choosing green on the household budget largely influences the choice between green and brown electricity as does the degree of perceived personal responsibility for the issue and the felt ability to affect the outcome in a positive way we find limited support for the notion that perceptions about others behavior in general affect individual moral norms and ultimately expressed behavior but this is also complemented by the influence of explicit social influence the difficulty in observing others purchases makes it however difficult to distinguish between social and moral norms in the case of green electricity

citizen versus consumer challenges in the uk green power market abstract this paper investigates the potential advantages and disadvantages of green power products as opposed to the traditional fossil fuel levy which was the uk s chosen tax regime as a means of developing renewable energy in the uk willingness to pay for electricity generated from renewables is investigated results indicate that willingness to pay varies with social status and income however results demonstrate that there is a significant minority in full support of some sort of fiscal initiative electricity generated from renewables is a concept supported by the majority however given the stated willingness to pay it is unlikely that any new renewable capacity will result from green tariff schemes in the near term it is concluded that the green citizen must continue to co exist with the green power purchaser if the uk is to make any significant improvement in the contribution of renewable energy to electricity demand the authors would like to acknowledge the support of irene lorenzoni and jane powell of the centre for social and economic research on the global environment university of east anglia leicester energy efficiency advice centre and leicester energy agency

estimating most productive scale size using data envelopment analysis abstract the relation between the most productive scale size mpss for paparticular input and output mixes and returns to scale for multiple inputs multiple outputs situations is explicitly developed this relation is then employed to extend the applications of data envelopment analysis dea introduced by charnes cooper and rhodes ccr to the estimation of most productive scale sizes for convex production possibility sets it is then shown that in addition to productive inefficiencies at the actual scale size the ccr efficiency measure also reflects any inefficiencies due to divergence from the most productive scale size two illustrations of the practical applications of these results to the estimation of most productive scale sizes and returns to scale for hospitals and stem electric generation plants are also provided emphasize the advantage of this method in examining specific segments of the efficient production surface

can renewable energy be financed with higher electricity prices evidence from a spanish region abstract in this paper we estimate the willingness to pay for mix of renewable sources of electric power by means of a discrete choice experiment survey conducted in spain in 2010 two main categories of power supply attributes are explored source of renewable power wind solar and biomass and the origin of such power the findings suggest that most consumers are not willing to pay a premium for increases in the shares of renewable in their electricity mix for two of the three renewable sources considered wind and biomass an increase of the renewable mix would require a discount instead we record positive willing to pay for increases in the share of both solar power and locally generated power however preferences for types of renewable solar and wind are found to be heterogeneous by classifying respondents in two groups according to the implied importance of the share of renewable sources in their power mix we identify a market segment consisting of 20 of respondents that could promote renewable energy in the absence of subsidies this is because such a segment shows willingness to pay higher than the current feed in tariffs

the informational role of stock and option volume this article analyzes the intraday interdependence of order flows and price movements for actively traded nyse stocks and their chicago board options exchange cboe traded options stock net trade volume buyer initiated volume minus seller initiated volume has strong predictive ability for stock and option quote revisions but option net trade volume has no incremental predictive ability this suggests that informed investors initiate trades in the stock market but not in the option market on the other hand both stock and option quote revisions have predictive ability for each other thus while information in the stock market is contained in both quote revisions and trades information in the option market is contained only in quote revisions copyright 2002 oxford university press

stock market structure and volatility the procedure for opening stocks on the nyse appears to affect price volatility an analytical framework for assessing the magnitude of the structurally induced volatility is presented the ratio of variance of open to open returns to closeto close returns is shown to be consistently greater than one for nyse common stocks during the period 1982 through 1986 tbe greater volatility at the open is not attributable to the way in which public information is released since both the opento open return and the close to close return span the same period of time instead the greater volatility appears to be attributable to private information revealed in trading and to temporaryprice deviations induced by specialist and other traders the implied cost of immediacy at the open is significantly higher than at the close other empirical evidence in this article documents the volume of trading at the open the time delays between the exchange opening and the first transaction in a stock the difference in daytime volatility versus overnight volatility and the extent to which volatility is related to trading volume

us consumers willingness to pay for green electricity abstract we analyze us consumers demand for environmental attributes of deregulated residential electricity services using results from a survey designed to elicit consumers willingness to pay for such attributes and using results from a hedonic analysis of actual price premiums charged for green electricity in several deregulated markets survey results suggest that many population segments are willing to pay for decreased air emissions even if there is no alteration in fuel source furthermore several groups are willing to pay significantly more when emissions reductions stem from increased reliance upon renewable fuels the hedonic analysis suggests that several product features not considered in the survey help explain real price premiums including fuel mix from newly created renewable generation capacity green e certification brand name and state of offer while survey and hedonic results are not easily compared due to limitations of the survey both point to similar values for key environmental attributes though the survey results are likely to overstate actual willingness to pay in sum the results suggest that consumer driven purchases can in part support the future of renewable generation capacity in the united states though reliance upon other policy alternatives may be needed if energy prices spike

information and index arbitrage a random cash futures basis is derived in a dynamic multimarket learning game with sequential information shocks and strategic arbitrageurs who trade to exploit gaps in the basis statistical properties of the authors theoretical basis are derived both with and without index arbitrage the authors find that basis volatility a measure of intermarket mispricing may initially increase even as individual prices become more precise and that arbitrage reduces basis volatility the model is also used to analyze regulatory issues such as the possible impact of circuit breakers on the quality of the trading process copyright 1994 by university of chicago press

nonparametric analysis of technical and allocative efficiencies in production in this paper we extend varian s 1984 nonparametric production analysis to situations when the set of observed output input and price data is not consistent with profit maximization for at least one firm in such cases varian s results imply that no production possibility set containing all observations can rationalize the observed data we identify each firm whose performance given the prices faced by it may be found consistent with profit maximization relative to some production possibility set containing all observed output input vectors we show that the set 4 of all such firms can itself be weaklv rationalized in the sense that there exists a closed convex and monotone production possibility set that contains all the observations and relative to which the performance of all the firms in the set 8o is consistent with profit maximization given their respective prices by definition firms not included in this largest set d of efficient observations unambiguously deviate from profit maximizing behavior for any production possibility set containing all observations we follow farrell 1957 and analyze these deviations into technical and allocative efficiency measures considering as admissible all closed convex and monotone production possibility sets relative to which the performance of each firm in the set g remains consistent with profit maximization we then describe nonparametric methods for determining the tightest upper and lower bounds on the technical allocative and aggregate efficiency measures evaluated relative to all such admissible production possibility sets it is seen that the tightest upper bound on the technical efficiency measure is the same as the value computed by the nonparametric efficiency evaluation technique known as data envelopment analysis thus establishing a link between this literature in management science operations research and the nonparametric production analysis in economics

market behavior in a clearing house one of the most fundamental market mechanisms is the clearing house where orders are accumulated over time and the market is cleared periodically the issue addressed in this study is the statistical behavior of the market under this neutral mechanism in the framework of a tractable stochastic model which captures the underlying uncertainties and indivisibilities in the demand and supply schedules applying renewal theory we derive closed form results for the behavior of prices and quantities and pursue the implications of the possibility of no trade and the multiplicity of market clearing prices

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

piecewise loglinear estimation of efficient production surfaces linear programming formulations for piecewise loglinear estimation of efficient production surfaces are derived from a set of basic properties postulated for the underlying production possibility sets unlike the piecewise linear model of banker charnes and cooper banker r d a charnes w w cooper 1984 models for the estimation of technical and scale inefficiencies in data envelopment analysis management sci 30 september 1078 1092 this approach permits the identification of increasing marginal products and estimation of the classical s shaped production functions methods are also provided for estimating technical inefficiencies and other production characteristics such as rates of substitution and transformation marginal products returns to scale and most productive scale sizes on the basis of observed production data the results of a simulation study are reported to illustrate the usefulness of this estimation method in empirical applications when there are a priori reasons to expect increasing marginal products in some regions of the production function a modified model is provided to extend this analysis to the situation of non competing outputs addressed by the bi extremal model of banker charnes cooper and schinnar banker r d a charnes w w cooper a schinnar 1981 a bi extremal principle for frontier estimation and efficiency evaluation management sci 27 december 1370 1382

whatever the customer wants the customer gets exploring the gap between consumer preferences and default electricity products in germany abstract in liberalized electricity markets residential customers can choose their preferred provider and select among a variety of different electricity products including green power options successful product design and marketing strategies for green electricity may provide electricity providers with a competitive advantage while at the same time contributing to energy policy objectives this requires however a thorough understanding of customer preferences we investigate the relative importance of different product attributes in creating customer value and find that price and electricity mix are the two most important attributes the german electricity customers we surveyed in 2009 expressed an implicit willingness to pay a premium of about 16 for electricity from renewable sources we conclude that consumers are willing to pay a significant price premium for an upgrade from the current default electricity mix in germany to a more environmentally friendly default electricity mix and discuss implications for marketing strategy and energy policy our findings are based on a dataset of 4968 experimental choices made by 414 german residential consumers collected in a stated preference survey

asymmetric information and stock return cross autocorrelations abstract using an asset pricing model under asymmetric information we show that asymmetric lead lag patterns in stock returns cannot be solely explained by information asymmetry additional frictions are necessary to produce asymmetry in return cross autocorrelations

a comparison of stock market mechanisms i analyze a multi asset market under two trading mechanisms in the first the unrestricted system traders demand for each asset depends on all equilibrium prices and prices reflect the information contained in all order flows in the second the restricted system traders demand depends on the traded asset price and prices reflect single order flow information i show that informed traders use of multidimensional private information depends on the number of prices they observe and on the price formation process i then give conditions rendering the restricted system more efficient than the unrestricted system

information aggregation in a noisy rational expectations economy abstract this paper analyzes a general equilibrium model of a competitive security market in which traders possess independent pieces of information about the return of a risky asset each trader conditions his estimate of the return both on his own private source of information and price which in equilibrium serves as a noisy aggregator of the total information observed by all traders a closed form characterization of the rational expectations equilibrium is presented a counter example to the existence of fully revealing equilibrium is developed