VARIANCE BOUND TESTS OF BOND MARKET EFFICIENCY

In this paper we examine variance bound tests of the joint hypothesis that (1) bond markets are efficient and (2) the term structure is determined by the expectations hypothesis. Both the Singleton and Shiller tests are shown to be seriously biased toward rejecting the joint hypothesis in finite samples. Flavin's test is unbiased but has a very high variance leading to many false rejections of the joint hypothesis. When corrected as suggested by Flavin, Shiller's test is unbiased and has a relatively low variance. Unfortunately, it is also sensitive to measurement error.     

THE EFFECTS OF THE INSIDER TRADING SANCTIONS ACT OF 1984: THE CASE OF SEASONED EQUITY OFFERINGS

Previous empirical research indicates that corporate insiders tend to increase (decrease) their shareholdings before events that increase (decrease) firm value. More recent evidence suggests, however, that passage of the Insider Trading Sanctions Act of 1984 (ITSA) may have deterred this behavior. Our results indicate that before passage of the ITSA, insiders exploited their access to nonpublic information by selling shares before the announcement of equity issues. However, after passage of the ITSA insiders no longer displayed this behavior. We conclude the ITSA has a deterrent effect, which is more heavily concentrated on insiders at the highest level of the firm who are most visible to regulators and other market participants.     

Quantification and genotyping of Cryptosporidium spp. in river water by quenching probe PCR and denaturing gradient gel electrophoresis.

A new detection method was developed for the simultaneous quantification and genotyping of Cryptosporidium spp. in river water. Several modifications made to the US EPA Method 1623 enabled high and stable recovery of Cryptosporidium from 40 L of river water (geometric mean = 35%, standard deviation = 8.7%). Quenching probe PCR (QProbe PCR) was used to quantify the 18S rRNA gene of Cryptosporidium spp. This method could successfully detect single oocysts in a sample, and the lower quantitation limit was as low as 2.5 oocysts/sample. In addition, denaturing gradient gel electrophoresis (DGGE) followed by DNA sequencing was used to identify the genotypes. These methods were applied to detect Cryptosporidium spp. in the Koyama River, Japan. The positive ratio was 69% (11/16) with the maximum concentration of 59 oocysts/100 L. Seven genotypes including two novel ones were identified. These results showed that this detection method could provide valuable information on Cryptosporidium in river water, both in the concentration and in the genotypes, which is essential for the precise assessment of waterborne risk to human health.     

Floc size distribution in a stirred suspension.

This paper focuses on the distribution of alumino-humic flocs found in a stirred suspension. Distributions were scaled using the transformation u = d/dL in which d is floc diameter and dL its arithmetic mean value and fitted by a gamma distribution. Flocs were treated as monofractal with solids mass concentration specified by C = A'rhos (d/do)D-3 in which A' is a packing coefficient, rhos the density of the floc solids, D the fractal dimension and do a reference size. It was shown that the overall solids concentration (M) complies with the dependence M proportional to NA'dDL-S(D) in which N is the number of flocs per unit volume and S(D) a distribution moment. Initial estimates of A' and D were obtained from analysis of floc sedimentation behaviour. From knowledge of the base parameters, the calculated value of M did not match the measured M and varied with shear. This was attributed to a kinematic influence on C over and beyond changes associated with the response of dL to shear. Issues of self-similarity were examined and it was concluded that distributions did not display strict self-similarity. Data are provided on the size distribution found in the flocculators of a treatment works at full scale.     

Characteristics of particle-associated PAHs in a first flush of a highway runoff.

Runoff monitoring of six rainfall events was carried out in a highway, Winterthur, Switzerland focusing on first flush (runoff volume up to 2.88 mm). Six runoff events were used to investigate the characteristics of particle-associated PAHs in first flush. The fine fraction (< 45 microm) had a relatively higher contribution than the coarse fraction. A significant contribution of the coarse fraction was observed at some periods when the runoff flow rapidly increased. Fluctuation of PAH content during a runoff event was significant in the coarse fraction and, in contrast, the PAH content in the fine fraction was less fluctuating. The weighted average PAH content in each event ranged from 17 to 62 microg/g in total SS, from 23 to 54 microg/g in the fine fraction and from 16 to 84 microg/g in the coarse fraction. The loading of particle-associated PAHs from the first flush of highway runoff ranged from 0.06 to 0.22 g/ha in a total of 12 PAH species.     

Sustaining Collusion in Growing Markets

The impact of demand growth on the collusion possibilities is investigated in a Cournot supergame where market growth may trigger future entry and the collusive agreement is enforced by the most profitable ‘grim trigger strategies’ available. It is shown that even in situations where perfect collusion can be sustained after entry, coping with a potential entrant in a market which is growing over time may completely undermine any pre‐entry collusive plans of the incumbent firms. This is because, before entry, a deviation and the following punishment phase may become more attractive thanks to their additional effect in terms of delaying entry.     

Cross-Listings and Home Market Trading Volume: The Case of Malaysia and Singapore

Cross‐listings of equities internationally are becoming more common. Using data for Europe and North America, previous studies reject the order flow diversion hypothesis, which states that international cross‐listings reduce home‐country trading volume. We test this hypothesis using data for equities cross‐listed in Singapore and Malaysia. We find that trading volume in Malaysia fell 42.9% when Singapore markets were closed for holidays. Furthermore, we show that trading volume in Malaysia did not increase following the implementation of regulations that ended the trading of Malaysian equities in Singapore in 1998. Hence, we reject the order flow diversion hypothesis.     

Biofilm adaptation to sulfate reduction in anaerobic immobilized biomass reactors sujected to different COD/sulfate ratios.

Various aspects of biofilm adaptation to sulfate reduction in horizontal-flow anaerobic immobilized biomass (HAIB) reactors subjected to increasing sulfate concentrations and different COD/sulfate ratios are presented and discussed. Four bench-scale HAIB reactors filled with vegetal carbon (R1 and R2) and polyurethane foam matrices (R3 and R4) were utilized. Influent sulfate concentrations ranging from 500 to 3000 mg/L were applied at COD/sulfate ratios ranging from 5.0 to 1.7. Reactors R1 and R4 were operated with higher sulfate loads than those applied to R2 and R3. For the same COD/sulfate ratio, the highest sulfate reduction efficiency (approximately 80%) was displayed by the vegetal carbon reactor (R2) subjected to low sulfate loads. According to the results of our molecular biology analyses, the different support materials provided different biomass colonization conditions. The lowest diversity of sulfate-reducing bacteria was found in the HAIB filled with polyurethane foam matrices operating with high sulfate loads.     

The effect of the scale of horizontal subsurface flow constructed wetlands on flow and transport parameters.

Horizontal subsurface flow constructed wetlands have proven their efficiency in treating wastewater and removing the pollutants of concern. Treatment efficiency depends on the wastewater residence time, which is a function of the hydraulic loading and the physical conditions of the constructed filter system, which can be described with effective parameters such as: hydraulic conductivity, porosity, dispersivity etc. Because spatial variability is often scale dependent, these effective parameters may be affected by the scale of the system being studied. In this paper the results of tracer experiments in constructed filters using saturated horizontal flow at three scales (small and medium lab scales and full-scale system) using the same filter media is reported. Light-weight aggregate (filter media termed Filtralite-P) was used at all scales. Increasing the scale was associated with increasing dispersivity, meanwhile hydraulic conductivity experienced dramatic reduction and variation by increasing the examined scale. Observed changes in the hydraulic parameters indicate that heterogeneity at different scales should be taken into account when the performance of LWA filters are evaluated from small-scale experiments.     

Nonlinear dynamics and competing behavioral interpretations: Evidence from intra‐day FTSE‐100 index and futures data

Extant empirical research has reported nonlinear behavior within arbitrage relationships. In this article, the authors consider potential nonlinear dynamics within FTSE‐100 index and index‐futures. Such nonlinearity can be rationalized by the existence of transactions costs or through the interaction between informed and noise traders. They consider several empirical models designed to capture these alternative dynamics. Their empirical results provide evidence of a stationary basis term, and thus cointegration between index and index‐futures, and the presence of nonlinear dynamics within that relationship. The results further suggest that noise traders typically engage in momentum trading and are more prone to this behavior type when the underlying market is rising. Fundamental, or arbitrage, traders are characterized by heterogeneity, such that there is slow movement between regimes of behavior. In particular, fundamental traders act more quickly in response to small deviations from equilibrium, but are reluctant to act quickly in response to larger mispricings that are exposed to greater noise trader price risk. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:343–368, 2006