LIQUIDITY AND ASSET PRICING UNDER THE THREE‐MOMENT CAPM PARADIGM

We examine whether the use of the three‐moment capital asset pricing model can account for liquidity risk. We also make a comparative analysis of a four‐factor model based on Fama–French and Pástor–Stambaugh factors versus a model based solely on stock characteristics. Our findings suggest that neither of the models captures the liquidity premium nor do stock characteristics serve as proxies for liquidity. We also find that sensitivities of stock return to fluctuations in market liquidity do not subsume the effect of characteristic liquidity. Furthermore, our empirical findings are robust to differences in market microstructure or trading protocols between NYSE/AMEX and NASDAQ.     

Application of a multi-channel system for continuous monitoring and an early warning system.

A multi-channel continuous toxicity monitoring system developed in our laboratory, based on two-stage mini-bioreactors, was successfully implemented in the form of computer-based data acquisition. The multi-channel system consists of a series of a two-stage minibioreactor systems connected by a fiber optic probe to a luminometer, and uses genetically engineered bioluminescent bacteria for the detection of the potential toxicity from the soluble chemicals. This system can be stably and continuously operated due to the separation of the culture reactor from the test reactor and accomplish easy and long-term monitoring without system shut down by abrupt inflows of severe polluting chemicals. Four different recombinant bioluminescent bacteria were used in different channels so that the modes of the samples toxicities can be reasonably identified and evaluated based upon the response signature of each channel. The bioluminescent signatures were delivered from four channels by switching one at once, while the data is automatically logged to an IBM compatible computer. We also achieved the enhancement of the system through the manipulation of the dilution rate and the use of thermo-lux fusion strains. Finally, this system is now being implemented to a drinking water reservoir and river for remote sensing as an early warning system.     

Monitoring of human enteric viruses and coliform bacteria in waters after urban flood in Jakarta, Indonesia.

Floodwaters in Kampung Melayu village, Jakarta, Indonesia, as well as river water and consumable water (including groundwater and tap water) samples in flooded and non-flooded areas, were quantitatively analysed to assess occurrence of viruses and total coliforms and E. coli as bacterial indicators after flooding event. High numbers of enterovirus, hepatitis A virus, norovirus (G1, G2) and adenovirus were detected at high concentration in floodwaters and waters sampled from Ciliwung River which runs across metropolitan Jakarta and is used widely for agriculture and domestic purposes by poor residents. One out of three groundwater wells in the flooded area was contaminated with all viruses tested while no viruses were found in groundwater samples in non-flooded areas and tap water samples. The results revealed that human enteric viruses, especially hepatitis A virus and adenovirus, were prevalent in Jakarta, Indonesia. This study suggested that flooding posed a higher risk of viral infection to the people through contamination of drinking water sources or direct contact with floodwaters.     

Boosting nitrification by membrane-attached biofilm.

Nitrification is a key step for reliable biological nitrogen removal. In order to enhance nitrification in the activated sludge (AS) process, membrane-attached biofilm (MAB) was incorporated in a conventional activated sludge tank. Simultaneous organic carbon removal and nitrification of the MAB incorporated activated sludge (AS + MAB) process was investigated with continuous wastewater treatment. The effluent TOC concentration of AS and the AS + MAB processes were about 6.3 mg/L and 7.9 mg/L, respectively. The TOC removal efficiency of both AS and AS + MAB were above 95% during the wastewater treatment, indicating excellent organic carbon removal performance in both processes. Little nitrification occurred in the AS process. On the contrary, successful nitrification was obtained with the AS + MAB process with nitrification efficiency of about 90%. The volumetric and surface nitrification rates were about 0.14 g/Ld and 6.5 g/m2d, respectively. The results clearly demonstrated that nitrification in the conventional AS process was boosted by MAB. Furthermore, the microfaunal population in the AS + MAB process was different from that in the AS process. The high concentration of rotifers in the AS + MAB process was expected to decrease the generation of excess sludge in the process.     

Evaluating the application of a decision support system in identifying adequate wastewater treatment for small communities. A case study: the Fluvia River Basin.

The identification of adequate wastewater treatment for small communities is a complex problem since it demands a combination of data from different sources, such as aspects of the community and landscape, the receiving environment and the available wastewater treatment technologies. The Catalan Water Agency (Agència Catalana de l'Aigua) considered using an EDSS (Environmental Decision Support System) as a tool to help water managers select the most adequate treatment for the urban wastewater of nearly 3,500 small communities in Catalonia (Spain). From that moment, EDSS was applied to all the river basins in Catalonia. In this paper the authors present the results obtained for the 76 small communities located in one of these river basins: the Fluvia River Basin. The characteristics of the community used in the reasoning process of the EDSS, the list of selected wastewater treatment alternatives, the technical environmental justification for the selected treatments and the reasons for discarding, favouring or disadvantaging them are presented. Finally, some results for the Fluvia River Basin are compared with those obtained in other Catalan river basins with different characteristics in order to evaluate which are the significant features in identifying adequate wastewater treatments.     

Hydrologic regionalisation impacts on wet-weather control selection.

Continuous simulation is performed using the US Environmental Protection Agency (USEPA) Storm Water Management Model (SWMM) to evaluate regional differences around the United States in hydrologic and water quality performance of wet-weather controls. Controls are characterised as being limited by peak inflow rate (i.e. any device with little or no storage, such as screens, filters and some proprietary devices) or by storage capacity (e.g., ponds, tanks). For flow-limited devices, results are presented in the form of percentage of annual runoff volume captured (passing through the device) for a given inflow capacity. For storage-limited devices, results are presented in two forms: percentage of annual runoff volume captured as a function of unit basin size and drawdown (drain) time, and as a percentage of total suspended solids captured, for the same two variables. Regional differences are apparent, driven mainly by variations in rainfall patterns around the country.     

An integrated system to remote monitor and control anaerobic wastewater treatment plants through the internet.

The TELEMAC project brings new methodologies from the Information and Science Technologies field to the world of water treatment. TELEMAC offers an advanced remote management system which adapts to most of the anaerobic wastewater treatment plants that do not benefit from a local expert in wastewater treatment. The TELEMAC system takes advantage of new sensors to better monitor the process dynamics and to run automatic controllers that stabilise the treatment plant, meet the depollution requirements and provide a biogas quality suitable for cogeneration. If the automatic system detects a failure which cannot be solved automatically or locally by a technician, then an expert from the TELEMAC Control Centre is contacted via the internet and manages the problem.