Size and book to market effects and the Fama French three factor asset pricing model: Evidence from the Australian stockmarket

The present study adds to the sparse published Australian literature on the size effect, the book to market (BM) effect and the ability of the Fama French three factor model to account for these effects and to improve on the asset pricing ability of the Capital Asset Pricing Model (CAPM). The present study extends the 1981–1991 period examined by Halliwell, Heaney and Sawicki (1999) a further 10 years to 2000 and addresses several limitations and findings of that research. In contrast to Halliwell, Heaney and Sawicki the current study finds the three factor model provides significantly improved explanatory power over the CAPM, and evidence that the BM factor plays a role in asset pricing.

The traditional rationale of the arm's length approach to transfer pricing - should the separate accounting model be maintained for modern multinational entities?

This article examines the current transfer pricing regime to consider whether it is a sound model to be applied to modern multinational entities. The arm's length price methodology is examined to enable a discussion of the arguments in favour of such a regime. The article then refutes these arguments concluding that, contrary to the very reason multinational entities exist, applying arm's length rules involves a legal fiction of imagining transactions between unrelated parties. Multinational entities exist to operate in a way that independent entities would not, which the arm's length rules fail to take into account. As such, there is clearly an air of artificiality in applying the arm's length standard. To demonstrate this artificiality with respect to modern multinational entities, multinational banks are used as an example. The article concluded that the separate entity paradigm adopted by the traditional transfer pricing regime is incongruous with the economic theory of modern multinational enterprises.

The large scale distribution of galaxies in the Shapley Supercluster

We present new results of our wide-field redshift survey of galaxies in a 182 square degree region of the Shapley Supercluster (SSC) based on observations with the FLAIR-II spectrograph on the UK Schmidt Telescope (UKST). In this paper we present new measurements to give a total sample of redshifts for 710 bright (R less than or equal to 16.6) galaxies, of which 464 are members of the SSC (8000 < υ < 18 000 km s(-1)). Our data reveal that the main plane of the SSC (upsilon approximate to 14 500 km s(-1)) extends further than previously realised, filling the whole extent of our survey region of 10 degrees by 20 degrees on the sky (35 Mpc by 70 Mpc, for H-0 = 75 km s(-1) Mpc(-1)). There is also a significant structure associated with the slightly nearer Abell 3571 cluster complex (upsilon approximate to 12 000 km s(-1)) with a caustic structure evident out to a radius of 6 Mpc. These galaxies seem to link two previously identified sheets of galaxies and establish a connection with a third one at (V) over bar = 15 000 km s(-1) near RA = 13(h). They also tend to fill the gap of galaxies between the foreground Hydra-Centaurus region and the more distant SSC. We calculate galaxy overdensities of 5.0+/-0.1 over the 182 square degree region surveyed and 3.3+.-0.1 in a 159 square degree region excluding rich clusters. Over the large region of our survey the inter-cluster galaxies make up 46 per cent of all galaxies in the SSC region and may contribute a similar amount of mass to the cluster galaxies.

Power flow based monetary flow method for electricity transmission and wheeling pricing

This paper proposes a transmission and wheeling pricing method based on the monetary flow tracing along power flow paths: the monetary flow-monetary path method. Active and reactive power flows are converted into monetary flows by using nodal prices. The method introduces a uniform measurement for transmission service usages by active and reactive powers. Because monetary flows are related to the nodal prices, the impacts of generators and loads on operation constraints and the interactive impacts between active and reactive powers can be considered. Total transmission service cost is separated into more practical line-related costs and system-wide cost, and can be flexibly distributed between generators and loads. The method is able to reconcile transmission service cost fairly and to optimize transmission system operation and development. The case study on the IEEE 30 bus test system shows that the proposed pricing method is effective in creating economic signals towards the efficient use and operation of the transmission system. (c) 2005 Elsevier B.V. All rights reserved.

Structure and dynamics of the Shapley Supercluster - Velocity catalogue, general morphology and mass

We present results of our wide-field redshift survey of galaxies in a 285 square degree region of the Shapley Supercluster (SSC), based on a set of 10 529 velocity measurements (including 1201 new ones) on 8632 galaxies obtained from various telescopes and from the literature. Our data reveal that the main plane of the SSC (v approximate to 14 500 km s(-1)) extends further than previous estimates, filling the whole extent of our survey region of 12 degrees by 30 degrees on the sky (30 x 75 h(-1) Mpc). There is also a connecting structure associated with the slightly nearer Abell 3571 cluster complex (v approximate to 12 000 km s(-1)). These galaxies seem to link two previously identified sheets of galaxies and establish a connection with a third one at v = 15 000 km s(-1) near RA = 13(h). They also tend to fill the gap of galaxies between the foreground Hydra-Centaurus region and the more distant SSC. In the velocity range of the Shapley Supercluster (9000 km s(-1) < cz < 18 000 km s(-1)), we found redshift-space overdensities with b(j) < 17.5 of similar or equal to 5.4 over the 225 square degree central region and similar or equal to 3.8 in a 192 square degree region excluding rich clusters. Over the large region of our survey, we find that the intercluster galaxies make up 48 per cent of the observed galaxies in the SSC region and, accounting for the different completeness, may contribute nearly twice as much mass as the cluster galaxies. In this paper, we discuss the completeness of the velocity catalogue, the morphology of the supercluster, the global overdensity, and some properties of the individual galaxy clusters in the Supercluster.

Energy derivative market and derivative pricing via simulation

The deregulation of power industry worldwide has delivered the efficiency gains to the society; meanwhile, the intensity of competition has increased uncertainty and risks to market participants. Consequently, market participants are keen to hedge the market risks and maintain a competitive edge in the market; and this is a good explanation to the flourish of electricity derivative market. In this paper, the authors gave a comprehensive review of derivative contract pricing methods and proposed a new framework for energy derivative pricing to suit the needs of a deregulated electricity market