Efficient Pricing Research Articles

Carbon-neutral light olefins production for energy decarbonization: Process development and techno-econo-environmental analysis

Low-carbon olefins, as important platform molecules, are generally produced by limited fossil energy, resulting in massive carbon emissions and intensive energy consumption inevitably. Therefore, it is necessary to develop clean and sustainable alternatives. With this in mind, three low-carbon olefin production processes using waste CO2 and green H2 were proposed, including the methanol-mediated (Option A) and Fischer-Tropsch synthesis (FTS)-based CO2-to-olefin (CTO) processes. Herein, the FTS-based CTO processes are classified into the direct (Option B) and indirect routes (Option C) without/with the reverse water–gas-shift unit. Meanwhile, rigorous process models were established, and detailed mass and energy balances of three processes were obtained with the aid of the process simulator. Moreover, in order to evaluate the feasibility and compare the differences in process performances of three proposed processes quantitatively, comprehensive techno-econo-environmental assessments of three processes were conducted at the system level. The results indicate that, firstly, from a technical perspective, the FTS-based processes are more competitive than the methanol-mediated process due to their higher energy efficiency (67.93%) and carbon utilization efficiency (84.22%). Secondly, from an economic perspective, the methanol-mediated process has a better economic prospect in the minimum olefin selling price (2527.08 $/tonne C2–C4 olefins). Lastly, from an environmental perspective, the methanol-mediated process is more environmentally friendly owing to its lower CO2-eq emissions (61.13 kg CO2-eq/tonne C2–C4). Moreover, for two FTS-based processes, the direct route is favorable in energy efficiency and minimum olefin selling price, whereas the indirect route is preferable in the carbon utilization efficiency and environmental impacts. Overall, the study provides novel approaches for the production of low-carbon olefins, and is of significant importance for reducing carbon footprint and achieving carbon neutrality.

Sovereign Credit Default Swaps and the Currency Forward Bias

We study the links between sovereign credit risk and the currency forward bias. In a setting of defaultable sovereign bonds, we show that the forward bias can be negatively linked to sovereign credit risk. We confirm empirically that the forward bias is negatively associated to sovereign CDS spreads and systematically across both developed and emerging countries but the effect is more pronounced for emerging countries. Furthermore, we show that the forward bias decreases after the inception of the sovereign CDS market. Overall, our results underscore the distinct role of the sovereign CDS market in enhancing price efficiency in currency forward and spot markets.

Insider trading, future earnings, and post-earnings announcement drift

This paper examines the association between insider trading prior to quarterly earnings announcements and the magnitude of the post-earnings announcement drift (PEAD). We conjecture and find that insider trades reflect insiders’ private information about the persistence of earnings news. Thus, insider trades can help investors better understand and incorporate the time-series properties of quarterly earnings into stock prices in a timely and unbiased manner, thereby mitigating PEAD. As predicted, PEAD is significantly lower when earnings announcements are preceded by insider trading. The reduction in PEAD is driven by contradictory insider trades (i.e., net buys before large negative earnings news or net sells before large positive earnings news) and is more pronounced in the presence of more sophisticated market participants. Consistent with investors extracting and trading on insiders’ private information, pre-announcement insider trading is associated with smaller market reactions to future earnings news in each of the four subsequent quarters. Overall, our findings indicate insider trading contributes to stock price efficiency by conveying insiders’ private information about future earnings and especially the persistence of earnings news.

The role of social capital in price efficiency: International evidence

This study finds that firms with higher social capital and trust, as measured by firm environmental and social (E&S) performance, demonstrate better stock price efficiency. The result in a sample of 45 countries remains robust to alternative approaches addressing the endogeneity concerns. This relation is mainly derived from a firm's E&S engagements related to third parties and the whole of society, which regulate the firm's information environment after accounting for other influences. The positive role of E&S performance is further shaped by the firm's associated macro-level trust and social capital, as proxied by the market's cultural and institutional factors.

Analysis on the shadow price of carbon emissions from China's forestry fruit industry-taking peaches as an example.

The shadow price of carbon emissions can measure the marginal output effect under the carbon emission regulation and is also one of the key indicators to construct a low-carbon development path for production units. Currently, international research on shadow price is focused on the industrial and energy sectors. However, in the context of carbon peaking and carbon neutrality targets in China, the use of shadow price to study the cost of reducing emissions from agricultural production, especially forestry fruit industries, is significant. In this paper, we use a parametric approach to construct the quadratic ambient directional distance function. Using the input-output data of peach, we then calculate the environmental technical efficiency and shadow price of carbon emissions from peach production in Guangxi, Jiangsu, Shandong, and Sichuan provinces, and further estimate the values of green output in each province. The results show that (i) the environmental technology efficiency of peach production in Jiangsu province, located in the coastal plain area of eastern China, is the highest among the four provinces, while that in Guangxi province, located in the hilly area of southeast China, is the lowest. (ii) Guangxi province has the smallest carbon shadow price of peach production among the four provinces, while Sichuan province, located in the mountainous area of southwest China, has the largest. (iii) The green output value of the peach production in Jiangsu province is the highest among the four provinces, and that in Guangxi province is the lowest. In order to effectively reduce carbon emissions in peach production without affecting economic benefits, the paper puts forward the following suggestions: for peach-producing areas in the southeast hills of China, it is necessary to increase the application of green environmental technology while reducing the input of production factors in peach production. For peach-producing areas in the northern plains of China, the input of production factors should be reduced. It is not easy for peach-producing areas in the southwest mountains of China to reduce the input of production factors while increasing the application of green technologies. Finally, for peach-producing areas in China's eastern coastal plain, the implementation of environmental regulations for peach production should be gradual.

A COMPARISON OF THE WEAK-FORM EFFICIENCY OF THE ASEAN STOCK MARKETS BEFORE AND DURING THE COVID-19 PANDEMIC

This paper aims to examine the weak-form efficient market hypothesis (EMH) for the ASEAN stock markets before and during the outbreak of the COVID-19 pandemic. The pandemic is a tremendous threat to the health condition and mortality of the world population. An important prevention step undertaken was to have social distancing at different levels of strictness. The ongoing pandemic has caused some negative consequences, including businesses enduring a period of hardship and stock market declines. It seems to be expected that a recession is coming ahead and therefore some people are unwilling to invest in the stock market. On the other hand, some people are optimistic about the economy of ASEAN countries and may think that the declines in stock markets are opportunities to invest. They believe in mean reversion that the falls in stock prices are only temporary and the prices will rebound after some time. If this is true, the market is inefficient and stock prices can be predicted. Conversely, if stock price movements are random walks, shocks to prices will be permanent and prices will reach new equilibrium aftershocks. Hence the market is efficient and stock prices are unpredictable. This study analyses the movements of ASEAN stock markets’ composite indices before and during the outbreak of the COVID-19 pandemic to find out whether the markets are efficient and thus cannot be predicted. We found that some ASEAN stock markets were efficient in both periods, while some others were showing decreased or increased efficiency from the period before the pandemic to the period during the pandemic.

Adaptive Testing for Alphas in High-Dimensional Factor Pricing Models

This article proposes a new procedure to validate the multi-factor pricing theory by testing the presence of alpha in linear factor pricing models with a large number of assets. Because the market’s inefficient pricing is likely to occur to a small fraction of exceptional assets, we develop a testing procedure that is particularly powerful against sparse signals. Based on the high-dimensional Gaussian approximation theory, we propose a simulation-based approach to approximate the limiting null distribution of the test. Our numerical studies show that the new procedure can deliver a reasonable size and achieve substantial power improvement compared to the existing tests under sparse alternatives, and especially for weak signals.

Information acquisition and market liquidity: Evidence from EDGAR search activity

We find that information acquisition is associated with an improvement in market liquidity. An empirical analysis of search activity using EDGAR as a proxy for information acquisition shows a theoretical gap in market microstructure models. We also find that EDGAR search is associated with nonsynchronicity, more efficient pricing, and negatively associated with the PIN measure. These results demonstrate that the main finding can be explained through improved incorporation of information into prices and use of sophisticated trading strategies by informed traders.

How does external reference pricing work in developing countries: evidence from Iran.

Introduction: Governments apply different pricing policies to ensure public accessibility, availability, and affordability of medicines. In this way, external reference pricing (ERP) because of its easy implementation is used widely across countries. However, ERP is completely path dependent, and it would both bring pros and cons, related to its implementing strategy which makes understanding of its impact in different countries challenging. In this study, we examine the performance of the ERP approach in Iran as a pricing tool. Method: We conducted a cross-sectional descriptive study. Although Iran officially uses a reference country basket for ERP, in this study, we use different reference countries based on socioeconomic comparability, access to their price data, medicine pricing approaches, and pharmaceutical expenditure to examine the effect of reference countries as well as the method performance. Then, an empirical study was applied to a list of selected samples of medicines in the Iranian market to compare their price with our new reference countries. Then, we discuss the performance of ERP process based on the real prices in the Iranian pharmaceutical market. Result: The prices of 57 medicines, which contain about 69.2% of the imported Iran pharma market in value, were compared with their prices in selected reference countries. It was found that 49.1% of prices were more expensive in at least one of the reference countries, and in 21% of products, the average price in Iran was higher than the average price in reference countries. Conclusion: Achieving efficient and fair pricing of pharmaceuticals between and within countries is still a complex conceptual and policy problem that ERP in short term can handle. ERP cannot be considered a perfect tool for pricing alone, although its effectiveness is acceptable. It is expected that using other pricing methods alongside the ERP will improve patients' access to medicines. In Iran, we use value base pricing as the main pricing method for every new molecule. Then, we use other methods such as ERP as a complementary method.

Generalized central slice theorem perspective on Fourier-transform spectral imaging at a sub-Nyquist sampling rate.

Fourier-transform spectral imaging captures frequency-resolved images with high spectral resolution, broad spectral range, high photon flux, and low stray light. In this technique, spectral information is resolved by taking Fourier transformation of the interference signals of two copies of the incident light at different time delays. The time delay should be scanned at a high sampling rate beyond the Nyquist limit to avoid aliasing, at the price of low measurement efficiency and stringent requirements on motion control for time delay scan. Here we propose, what we believe to be, a new perspective on Fourier-transform spectral imaging based on a generalized central slice theorem analogous to computerized tomography, using an angularly dispersive optics decouples measurements of the spectral envelope and the central frequency. Thus, as the central frequency is directly determined by the angular dispersion, the smooth spectral-spatial intensity envelope is reconstructed from interferograms measured at a sub-Nyquist time delay sampling rate. This perspective enables high-efficiency hyperspectral imaging and even spatiotemporal optical field characterization of femtosecond laser pulses without a loss of spectral and spatial resolutions.

Stock liquidity and investment efficiency: Evidence from the split-share structure reform in China

Using China’s split-share structure reform, we examined the effect of stock liquidity on investment efficiency. We found that enhanced stock liquidity results in more efficient investments and the effect is much more pronounced for under-investing firms than for over-investing firms. Additionally, we found that an increase in institutional ownership and price efficiency generated by a change in stock liquidity is positively associated with a reduction in under-investment. Thus, these findings suggest that under-investing firms with liquid stocks have more informed investors and face greater pressure to select an optimal investment level in the post-reform period.

Construction of Co-doped Sn3O4/g-C3N4 heterojunction with enhanced interface transmission capatibility for improving hydrogen production

In order to alleviate the increasingly serious energy problems, the researches and developments of photocatalysts with efficient solar energy utilization, low price and cost, and long-term stability are the critical problem to expand the application technology of photocatalysis. In this work, Co doped Sn3O4 and g-C3N4 were constructed into an S-scheme Co–Sn3O4/g-C3N4 heterojunction photocatalytic system by simple and feasible solvothermal method for photocatalytic H2 evolution. And different loading amounts of Co–Sn3O4/CN-X were obtained by mean of changing the dosage of Co–Sn3O4. The synthesized photocatalysts represented exceptional H2 evolution performance under visible light irradiation (λ>420 nm), among which Co–Sn3O4/g-C3N4-3 showed the best performance, and the H2 yield reached 1793.88 μmol h−1 g−1. This value was significantly higher than that of single catalysts Sn3O4 (294.82 μmol h−1 g−1) and g-C3N4 (1111.28 μmol h−1 g−1). Moreover, the H2 yield of reused Co–Sn3O4/g-C3N4-3 sample kept above 1737.67 μmol h−1 g−1 during cyclic test. XPS, UV–vis DRS and a series of photoelectrochemical analysis ascertained the establishment of internal electric field and bending of the energy band between the interface of Co–Sn3O4 and g-C3N4, which provided the possibility for Co–Sn3O4 and CN to construct Co–Sn3O4/g-C3N4 S-scheme heterostructure. What's more, the mechanism of producing H2 on the surface of Co–Sn3O4/g-C3N4 by oxidizing H2O was proposed. This work demonstrated the application prospect of reasonably designing g-C3N4 based photocatalysts with exceptional stability, sterling functionality and prominent efficiency for H2 evolution, and provided availed guidance for the research and development of g-C3N4 based photocatalysts.

Role of OTC options in stock price efficiency: Evidence from the Chinese market

AbstractWe examine the effect of Chinese OTC equity options on the underlying stock information efficiency by using the standardisation of the OTC options market as an exogenous event. The results show that, due to the tight short‐sale constraints, the introduction of OTC stock options can widen the divergence of opinion about the stock price, and thus reduce the price efficiency. The significantly lower margin‐debt ratio exhibited by optioned stocks supports the argument that OTC stock options act as a substitute for margin trading. Further analysis reveals that optioned stocks are more speculative, but there is no significant change in liquidity.

Ray Tracer Simulation of Si-Based Solar Cells using Al2O3/ITO as Double Layers Anti Reflective Coating

The solar cell has become one of the options for a greener world. Various studies have been done to achieve a solar cell with high efficiency and reasonable price. This study’s objective is to investigate how the thickness and base angle of the front layer affect the optical and electrical characteristics of Si-Based Solar cells. To accomplish this study, heterojunction solar cells using Al2O3/ITO as the double layer anti-reflection coating are analyzed using the Wafer Ray Tracer simulation by the PV Lighthouse. Al2O3 and ITO layers are used as a double anti-reflection coating (DLARC) in the light trapping strategy to support the reflection, absorption, and transmission (R, A and T) of the silicon solar cell. It acts to minimize reflectance and improves the overall efficiency of the solar cell. DLARC variation focuses on increasing absorption while decreasing reflection and transmission. The high refractive index of the hydrogenated a-Si (a-Si: H) emitter layer generates excessive reflection losses in SHJ solar cells making the silicon wafer have a low absorption efficiency. The DLARC thickness and base angle are varied as part of the simulation using the Wafer Ray Tracer by PV Lighthouse. The surface morphology of upright pyramid texture, height is 3.536 µm, texture base angle 54.74 °, and width 5 µm are used for reference scheme. Four schemes will be analyzed throughout this study along with the reference scheme. The result of this study is that Scheme 3 gives the optimum result with 99 % absorption, 21 % reflection and 67 % transmission. The goal of this study is to evaluate the impact of ARC thickness on optical and electrical characteristics. The best outcome is produced by varying the thickness and base angle of Scheme 3. The highest Jmax value, 0.3842 mA/cm2, is found in Scheme 3. HIGHLIGHTS The high refractive index of the hydrogenated a-Si (a-Si: H) emitter layer causes significant reflection losses in SHJ solar cells, resulting in a low absorption efficiency for the silicon wafer The double anti-reflection coating (DLARC) thickness and base angle are modified as part of the simulation using PV Lighthouse's Wafer Ray Tracer The best results are obtained by adjusting the thickness and base angle of Scheme 3. Scheme 3 has the highest Jmax value of 0.3842 mA/cm2 GRAPHICAL ABSTRACT

Search Frictions and Efficiency in Decentralized Transport Markets

Abstract We explore efficiency and optimal policy in decentralized transport markets, such as taxis, trucks, and bulk shipping. We show that in these markets, search frictions distort the transportation network and the dynamic allocation of carriers over space. We derive explicit and intuitive conditions for efficiency and show how they translate into efficient pricing rules, or optimal taxes and subsidies for the planner who cannot set prices directly. The results imply that destination-based pricing is essential to attain efficiency. Then, using data from dry bulk shipping, we demonstrate that search frictions lead to a sizable social loss and substantial misallocation of ships over space. Optimal policy can eliminate about half of the welfare loss. Can a centralizing platform, often arising as a market-based solution to search frictions, do better? Interestingly, the answer is no; although the platform eradicates frictions, it exerts market power, thus eroding the welfare gains. Finally, we use two recent interventions in the industry (China’s Belt and Road Initiative and the environmental initiative IMO 2020) to demonstrate that taking into account the efficiency properties of transport markets is germane to any proposed policy.

Testing for jumps with robust spot volatility estimators

AbstractJumps in the paths of efficient asset prices have important economic implications. Motivated by the issue of testing for jumps based on noisy high‐frequency data, we develop a novel spot volatility estimator, which is obtained by minimizing the sum of some Huber loss functions, and use it as an ingredient for jump detection. This type of estimators is uniformly consistent in estimating the spot volatilities of the efficient price at numerous time points. We further demonstrate the consistency of the proposed jump test based on the property of the novel spot volatility estimator. We show that in finite samples, the proposed volatility estimator and the test perform favorably compared to some competitors through Monte Carlo simulations. We also illustrate our methodology with the stock prices of Apple and Microsoft.

The Effect of the Capital Structure on the Efficiency of Stock Pricing - Analytical Research

The research aims to know the effect of investment risks measured by the beta coefficient on the efficiency of stock pricing measured by the pricing error. The research was applied in the banks listed in the Iraq market for the period (2017-2020). That affects the value of the shares of the companies listed in it and the risks associated with it, as the capital structure is a dynamic process that changes over time depending on the variables that affect the general development of the economy, so these fluctuations should be taken into account when choosing the capital structure and companies seek to determine their financing structure Whether debt financing or equity financing is a critical decision for financial management, not only because of the need to maximize returns, but also because of the impact of risks and what is reflected in stock prices in the Iraqi stock markets. Through them, the following question was asked: Does debt financing and property rights contribute to affecting the efficiency of pricing? In light of this, the importance of the research and its objectives were determined, and the research methodology relies on the analytical method as it is more appropriate to the nature and scope of the research, in order to reach the results that the research aims at.

The Effect of Investment Risks on the Efficiency of Stock Pricing - Analytical Research

The research aims to know the effect of investment risks measured by the beta coefficient on the efficiency of stock pricing measured by the pricing error. The research was applied in the banks listed in the Iraq market for the period (2017-2020). That affects the value of the shares of the companies listed in it and the risks associated with it, as the risks are a dynamic process that changes over time depending on the variables that affect the general development of the economy, so these fluctuations should be taken into account to achieve maximizing returns and reducing risks and what is reflected in stock prices in the Iraqi markets Securities, through which the following question was asked: How does investment risk affect the efficiency of stock pricing in the Iraq Stock Exchange? In light of this, the importance of the research and its objectives were determined, and the research methodology relies on the analytical method as it is more appropriate to the nature and scope of the research, in order to reach the results that the research aims at.

Registration system and IPO pricing efficiency: Evidence from China

ABSTRACT This article documents the partial shift from the government-based approval system to the market-based registration system and uses a stochastic frontier model with inefficiency heterogeneity (SFMH) to separate the component of IPO initial returns into premarket underpricing and aftermarket mispricing, then examines the effect of the implementation of registration system on premarket and aftermarket pricing efficiency, respectively. The results show that the premarket underpricing is lower but the aftermarket mispricing is higher under the registration system than under the approval system. Overall, this article indicates that the implementation of registration system has improved the IPO pricing efficiency of the premarket but reduced that of the aftermarket.

The impact of competition, trust and capital on renewable energy auction outcomes in sub-Saharan Africa: Analysing auctions in South Africa, Zambia and Namibia

Africa is short of power, despite having abundant renewable energy resources. Over the past decade, renewable energy auctions have emerged as an effective mechanism to competitively procure utility-scale private power projects. This paper identifies the elements contributing to efficient price and effective project realisation outcomes through comparative case studies in South Africa, Zambia and Namibia. The analysis combined existing literature and theory on those elements that contribute to success in Independent Power Projects (IPPs), with that on renewable energy auction design and implementation. The application of an integrated analytical framework shows that the introduction of renewable energy auctions in Africa provides an essential programmatic element which connects existing country and project level factors and is crucial in achieving superior project realisation and price outcomes, compared to projects procured through direct negotiation or feed-in tariffs.Auction price outcomes are mainly determined by factors that act as auction signals, barriers and incentives primarily geared towards increasing competition in the procurement process and lowering projects' cost of capital. The case studies also show that project realisation is determined by bidder quality, project preparation levels, investor commitment, constraints (revenue stream and political economy) and post-award support. These are influenced by factors from all three levels – country, project and programme – that act as auction signals, barriers, incentives and support measures. Factors influencing bidders’ trust in the auctioning authority and auction process are particularly important signals influencing both project prices and realisation rates.