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1
Heny Sidanti und Annisa Istikhomah. „The Effect Of Stock Price, Share Return, Share Trading Volume, And Return Variant On Bid-Ask Spread On Textile And Garment Companies Listed On The Indonesia Stock Exchange, 2019-2020“. International Journal of Science, Technology & Management 2, Nr. 4 (23.07.2021): 1357–66. http://dx.doi.org/10.46729/ijstm.v2i4.269.
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This study aims to obtain empirical evidence of the effect of Stock Price, Stock Return, Stock Trading Volume, and Return Variant on the Bid-Ask Spread of Stocks in Textile and Garment Companies Listed in Indonesia Stock Exchange in 2019-2020. The stock price used is the stock price recorded at the end of each closing period (closing price), stock returns are measured using the difference between returns on the research day and before the study divided by returns on the day before the study, stock trading volume is measured by the number of shares traded at the time of the study. t is divided by the number of shares outstanding at the time of the study, the variance of stock returns is measured using the standard deviation, and the bid-ask spread is measured by the difference between the selling price and the purchase price divided by the difference between the selling price and the purchase price divided by two. The population in this study is 17 textile and garment companies listed on the IDX. Based on the purposive sampling method, a sample of 16 companies was obtained with 309 data. This research data is obtained from the company's monthly data from 2019 to 2020. The results of the analysis show that stock prices and stock trading volumes affect the bid-ask spread, while stock returns and return variances do not affect the bid-ask spread. Meanwhile, simultaneously, stock prices, stock returns, stock trading volume, and return variance affect the bid-ask spread. This research data is obtained from the company's monthly data from 2019 to 2020. The results of the analysis show that stock prices and stock trading volume affect the bid-ask spread, while stock returns and return variances do not affect the bid-ask spread. Meanwhile, simultaneously, stock prices, stock returns, stock trading volume, and return variance affect the bid-ask spread. This research data is obtained from the company's monthly data from 2019 to 2020. The results of the analysis show that stock prices and stock trading volumes affect the bid-ask spread, while stock returns and return variances do not affect the bid-ask spread. Meanwhile, simultaneously, stock prices, stock returns, stock trading volume, and return variance affect the bid-ask spread.
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Duchin, Ran, und Moshe Levy. „Disagreement, Portfolio Optimization, and Excess Volatility“. Journal of Financial and Quantitative Analysis 45, Nr. 3 (31.03.2010): 623–40. http://dx.doi.org/10.1017/s0022109010000189.
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AbstractDisagreement, a key factor inducing trading, has been receiving ever increasing attention in recent years. Most research has focused on disagreement about the expected returns. Several authors have shown that if the average belief coincides with the true expected return, in the portfolio context prices are unaffected by disagreement. In this paper we study the pricing effects of disagreement about return variances. We show that i) disagreement about variances has systematic and significant pricing effects—more disagreement leads to higher prices, and ii) prices are very sensitive to the degree of disagreement: Even if the average belief about the variance is constant, tiny fluctuations in the disagreement about the variance lead to substantial price fluctuations. This second result may offer an explanation for the excess volatility puzzle: When small changes in the degree of disagreement occur, they induce relatively large price changes. Yet, the changes in disagreement may be hard to directly detect empirically, leading to apparent “excess volatility.”
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Rahgozar, Reza, und Mary Tichich. „Changes in Financial Variables and Altman’s Z Score on Stock Price: Consideration of Firm Size and Market Risk“. Journal of Finance Issues 14, Nr. 1 (30.06.2015): 37–50. http://dx.doi.org/10.58886/jfi.v14i1.2288.
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The valuation of common stock can be approached in several ways. Some models, known as dividend valuation models, rely solely on expected dividends and other models rely on longrun historical relationships between stock prices, financial variables, and market risk factors. This study, through correlation and regression analyses, identifies the most relevant variables affecting stock price changes of the Standard & Poor’s 500 Index firms. Moreover, by applyingthe Altman financial stress model, the significance of changes in financial stress measures on stock prices is tested. In addition, the study investigates whether the effects of financial factors on stock prices depend on company size. Also, through mean and variance analysis, the equality of means and variances of larger and smaller firms exposed to market risks are examined. Among all financial variables considered, the changes in operating income and the financialstress measure are the most relevant factors affecting stock price variations. The results showed no strong positive relationship between changes in stock prices and dividends. The tests of equality of means and variances failed to support the notion that correlations between changes in stock prices and operating income, financial leverage, and total assets for small and large size firms differ. However, it rejected the hypothesis that variances of market risk of smalarge firms are equal.
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Białek, Jacek. „Basic Statistics of Jevons and Carli Indices under the GBM Price Model“. Journal of Official Statistics 36, Nr. 4 (01.12.2020): 737–61. http://dx.doi.org/10.2478/jos-2020-0037.
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AbstractMost countries use either the Jevons or Carli index for the calculation of their Consumer Price Index (CPI) at the lowest (elementary) level of aggregation. The choice of the elementary formula for inflation measurement does matter and the effect of the change of the index formula was estimated by the Bureau of Labor Statistics (2001). It has been shown in the literature that the difference between the Carli index and the Jevons index is bounded from below by the variance of the price relatives. In this article, we extend this result, comparing expected values and variances of these sample indices under the assumption that prices are described by a geometric Brownian motion (GBM). We provide formulas for their biases, variances and mean-squared errors.
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CHEN, Jieh-Haur, Chuan Fan ONG, Linzi ZHENG und Shu-Chien HSU. „FORECASTING SPATIAL DYNAMICS OF THE HOUSING MARKET USING SUPPORT VECTOR MACHINE“. International Journal of Strategic Property Management 21, Nr. 3 (11.07.2017): 273–83. http://dx.doi.org/10.3846/1648715x.2016.1259190.
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This paper adopts a novel approach of Support Vector Machine (SVM) to forecast residential housing prices. as one type of machine learning algorithm, the proposed SVM encompasses a larger set of variables that are recognized as price-influencing and meanwhile enables recognizing the geographical pattern of housing price dynamics. The analytical framework consists of two steps. The first step is to identify the supporting vectors (SVs) to price variances using the stepwise multi-regression approach; and then it is to forecast the housing price variances by employing the SVs identified by the first step as well as other variables postulated by the hedonic price theory, where the housing prices in Taipei City are empirically examined to verify the designed framework. Results computed by nonparametric estimation confirm that the prediction power of using SVM in housing price forecasting is of high accuracy. Further studies are suggested to extract the geographical weights using kernel density estimates to reflect price responses to local quantiles of hedonic attributes.
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Funke, Michael, Petar Mihaylovski und Adrian Wende. „Out of Sync Subnational Housing Markets and Macroprudential Policies in the UK“. De Economist 169, Nr. 4 (09.10.2021): 445–67. http://dx.doi.org/10.1007/s10645-021-09394-1.
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AbstractWe examine whether regionally differentiated macroprudential policies can address financial stability concerns and moderate house price differences in the UK. We disaggregate both the household sector and the housing stock in a two-region DSGE model with out of sync subnational housing markets and compare four policy types: standard monetary policy, leaning against the wind monetary policy, national macroprudential policy or one that targets region-specific LTV ratios. In terms of reducing variances of house prices, regionally differentiated macroprudential policy performs best, provided the policy authorities are concerned with stabilising output and house prices rather than simply minimising the variance of inflation.
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Core, John E., Wayne R. Guay und Robert E. Verrecchia. „Price versus Non-Price Performance Measures in Optimal CEO Compensation Contracts“. Accounting Review 78, Nr. 4 (01.10.2003): 957–81. http://dx.doi.org/10.2308/accr.2003.78.4.957.
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We empirically examine standard agency predictions about how performance measures are optimally weighted to provide CEO incentives. Consistent with prior empirical research, we document that the relative weight on price and non-price performance measures in CEO cash pay is a decreasing function of the relative variances. Agency theory speaks to the weights in total compensation (annual total pay and changes in the CEO's equity portfolio value), however, and we document that very little of CEOs' total incentives come from cash pay. We also document that variation in the relative weight on price and non-price performance measures in CEO total compensation is an increasing function of the relative variances. The conflicting results using total compensation indicate that existing findings on cash pay cannot be interpreted as evidence supporting standard agency predictions. Based on our results, we suggest approaches for future research on performance measure use in CEO total compensation.
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Rahman, Sajjadur, und Apostolos Serletis. „THE ASYMMETRIC EFFECTS OF OIL PRICE SHOCKS“. Macroeconomic Dynamics 15, S3 (November 2011): 437–71. http://dx.doi.org/10.1017/s1365100511000204.
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In this paper we investigate the effects of oil price uncertainty and its asymmetry on real economic activity in the United States, in the context of a bivariate vector autoregression with GARCH-in-mean errors. The model allows for the possibilities of spillovers and asymmetries in the variance–covariance structure for real output growth and the change in the real price of oil. Our measure of oil price uncertainty is the conditional variance of the oil price–change forecast error. We isolate the effects of volatility in the change in the price of oil and its asymmetry on output growth and employ simulation methods to calculate generalized impulse response functions and volatility impulse response functions to trace the effects of independent shocks on the conditional means and the conditional variances, respectively, of the variables. We find that oil price uncertainty has a negative effect on output, and that shocks to the price of oil and its uncertainty have asymmetric effects on output.
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Ekara, Kingsley E., und Anthony Usoro. „Fitting Alternative Autoregressive and Moving Average Models to Nigeria Crude Oil Prices“. International Journal of Mathematics and Statistics Studies 12, Nr. 1 (15.01.2024): 1–13. http://dx.doi.org/10.37745/ijmss.13/vol12n1113.
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The need to compare the efficiency between the Autoregressive Integrated moving average (ARIMA (p,d,q)) models when modelling Crude oil price is the motivation behind this research. The research focuses on different orders of Autoregressive Integrated moving average models. The trend Analysis of the original series were plotted and was observed that crude oil prices were not stationary. The data were transformed by taking a natural log and the series becomes stationary after first differenced. The ACF and PACF of the stationary time series were also plotted which were the basis for the suggested ARIMA models. Error variances for the suggested ARIMA (p,d,q) models were derived and estimated as the basis for model performance comparison. Empirically, Crude Oil Price data spanning from January 2006 to July 2023 were used for the analysis. Findings from the study has revealed that, ARIMA (2,1,1) with the least error variance outperformed the other suggested models. The study further stated the estimated models for forecast of the future value of the crude oil price. The study recommends the use of error variance as a criterion for best model suggestion and ARIMA (2,1,1) was selected as the best model for modelling Nigeria Crude oil price.
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Wang, Xingchun, Zhiwei Su und Guangli Xu. „THE VALUATION OF EXECUTIVE STOCK OPTIONS UNDER GARCH MODELS“. Probability in the Engineering and Informational Sciences 32, Nr. 3 (11.08.2017): 409–33. http://dx.doi.org/10.1017/s0269964817000316.
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In this paper, we investigate executive stock options with endogenous departure and time-varying variances. We use a “Generalized Autoregressive Conditional Heteroskedasticity” process to capture the variance process of the log stock price. In addition, we take into consideration the departure risk of the executive and assume that the probability of remaining employed has a power form of stock price ratios. After deriving the closed-form pricing formulae of executive stock options, we illustrate the effects of the departure risk on the values of executive stock options.
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Feunou, Bruno, und Cédric Okou. „Good Volatility, Bad Volatility, and Option Pricing“. Journal of Financial and Quantitative Analysis 54, Nr. 2 (13.09.2018): 695–727. http://dx.doi.org/10.1017/s0022109018000777.
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Advances in variance analysis permit the splitting of the total quadratic variation of a jump-diffusion process into upside and downside components. Recent studies establish that this decomposition enhances volatility predictions and highlight the upside/downside variance spread as a driver of the asymmetry in stock price distributions. To appraise the economic gain of this decomposition, we design a new and flexible option pricing model in which the underlying asset price exhibits distinct upside and downside semivariance dynamics driven by the model-free proxies of the variances. The new model outperforms common benchmarks, especially the alternative that splits the quadratic variation into diffusive and jump components.
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A. Alkahtani, Yaser Mueeth, Zoltán László Szabó und Gan Quan. „The economics the correlation issues in EU-28“. Review on Agriculture and Rural Development 5, Nr. 1-2 (01.01.2016): 77–82. http://dx.doi.org/10.14232/rard.2016.1-2.77-82.
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In this case study the analyses focus on the some correlation compares among EU-28 member states. Also the analyses focus on the wide side overview for the EU-28 member states using eight variances of three principal components for EU-28. The economic growing rate of EU-28 member states concerning some economic issues as GDP growing rate, employment, unemployment accompanying with social protection and government debt, price fluctuating, purchase power parity of consumers and also probably lifelong learning. The eight numbers according to each variance give the average value of KMO, which shows in the first line of T able T. KMO and Bartlett's Test, namely 0.628. In this case all of other variances expect RisPov2014 have strong correlations with themselves. The LLeam2014 has the strongest correlations by value of 0.767 (76%), also the GovDebt2014 has strong one, by 0.744 (74%), HICPan2014 has 0.731 (73%), the GDPcap2014 has value of 0.706 (70.6%). This SPSS statistical program can help to make clear overview for the correlations and differences among EU-28 member states from different issues and approaches, as variances. Also it is important, when the researchers choose these variances; they should know that the correlations among variances based on the principle components. These last one can select variances into different components, which mostly can explain the role and importance of each variance.
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WONG, HOCK TSEN. „REAL EXCHANGE RATE RETURNS AND REAL STOCK PRICE RETURNS IN THE STOCK MARKET OF MALAYSIA“. Singapore Economic Review 64, Nr. 05 (12.12.2016): 1319–49. http://dx.doi.org/10.1142/s0217590816500387.
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This study examines the relationships between real exchange rate returns and real stock price returns in the stock market of Malaysia. The Kwiatkowski, Phillips, Schmidt and Shin (KPSS) and Dickey and Fuller (DF) unit root test statistics show that all the variables examined are found to be stationary in the first differences. The constant conditional correlation (CCC)-multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) model shows that real exchange rate return of Malaysian ringgit against the United States dollar (RM/USD) and real stock price return of Kuala Lumpur Composite Index (KLCI) are found to be negative and significantly correlated. However, there is insignificant correlation between real exchange rate return of Malaysian ringgit against Japanese Yen (RM/¥) and real stock price return of KLCI. Moreover, the CCC-MGARCH models show that real exchange rate returns and real stock price returns of some stocks are found to be significantly correlated. The KPSS unit root test statistics show that the time invariant conditional variances of real exchange rate returns and real stock price returns are mostly found to be stationary in the levels. There is no evidence of Granger causality between the time invariant conditional variances of real exchange rate returns and real stock price return of KLCI but some evidence of Granger causality between the time invariant conditional variances of real exchange rate returns and real stock price returns. There is a link between the exchange rate market and the stock market in Malaysia but not every real stock price return is significantly linked with real exchange rate return.
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Adamiec, Larissa J., und Deborah Cernauskas. „Contrasting GARCH Daily Variance Predictions Between Foreign Exchange Returns and Carry Trade Strategy Returns“. Journal of Business and Economics 10, Nr. 11 (22.11.2019): 1027–44. http://dx.doi.org/10.15341/jbe(2155-7950)/11.10.2019/001.
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GARCH does a better job predicting carry trade strategy returns than the foreign exchange returns. Using two time periods from 1998-2010 and then from 2010-2018 we find the daily variance to have dropped between period 1 and period 2 for both daily foreign exchange spot prices and daily carry trade strategy returns. Comparing daily spot price returns to daily carry trade strategy returns in each time period we find differences in the sample variances. Daily variance in the foreign exchange market has changed within the last twenty years. As one of the most liquid markets, the FX market has seen significant losses in both spot price returns and carry trade strategy returns. The current market place has historic low levels of volatility. Since the 2008 financial crash asset prices have steadily risen in levels reducing downside risk. In addition, foreign exchange rates have been stable. Given a decade’s worth of slow and steady growth coupled with stabilization has reduced the variance in returns. Popular predictive volatility model GARCH has a long-run variance component. The inclusion of such a parameter allows for the model to remember past financial crisis or “normal” times. Returns in the carry trade are marked by periods of severe downward risk and losses. The carry trade will often have long-term trends of small positive returns only to give back all of the returns in one downward move.
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Erceg, Christopher J., Dale W. Henderson und Andrew T. Levin. „Optimal Monetary Policy with Staggered Wage and Price Contracts“. Credit and Capital Markets – Kredit und Kapital: Volume 52, Issue 4 52, Nr. 4 (01.10.2019): 537–72. http://dx.doi.org/10.3790/ccm.52.4.537.
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Abstract We formulate an optimizing-agent model in which both labor and product markets exhibit monopolistic competition and staggered nominal contracts. The unconditional expectation of average household utility can be expressed in terms of the unconditional variances of the output gap, price inflation, and wage inflation. Monetary policy cannot achieve the Pareto-optimal equilibrium that would occur under completely flexible wages and prices; that is, the model exhibits a tradeoff in stabilizing the output gap, price inflation, and wage inflation. We characterize the optimal policy rule for reasonable calibrations of the model. We also find that strict price inflation targeting generates relatively large welfare losses, whereas several other simple policy rules perform nearly as well as the optimal rule. JEL Classification: E31; E32; E52
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Bahramgiri, Mohsen, Shahabeddin Gharaati und Iman Dolatabadi. „Modeling jumps in organization of petroleum exporting countries basket price using generalized autoregressive heteroscedasticity and conditional jump“. Investment Management and Financial Innovations 13, Nr. 4 (29.12.2016): 196–202. http://dx.doi.org/10.21511/imfi.13(4-1).2016.05.
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This paper uses autoregressive jump intensity (ARJI) model to show that the oil price has both GARCH and conditional jump component. In fact, the distribution of oil prices is not normal, and oil price returns have conditional heteroskedasticity. Here the authors compare constant jump intensity with the dynamic jump intensity and evidences demonstrate that oil price returns have dynamic jump intensity. Therefore, there is strong evidence of time varying jump intensity Generalized Autoregressive Heteroscedasticity (GARCH) behavior in the oil price returns. The findings have several implications: first, it shows that oil price is highly sensitive to news, and it does settle around a trend in long-run. Second, the model separates variances of high volatilities from smooth volatilities. Third, the model rejects an optimal path for extracting oil and technology transmission. In fact, the lack of a long-term pattern can cause excessive oil extracting which can result in heavy climatic effects. Keywords: generalized autoregressive heteroscedasticity (GARCH), jumps, basket, oil price, Organization of Petroleum Exporting Countries (OPEC), Autoregre-ssive jump intensity (ARJI). JEL Classification: C32, C52, F31
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Fan, Mao. „The Impact of U.S. Monetary Policy on Metal Futures Prices: An Arch Model Analysis“. Advances in Economics, Management and Political Sciences 21, Nr. 1 (13.09.2023): 170–79. http://dx.doi.org/10.54254/2754-1169/21/20230250.
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The article empirically examines the impact of U.S. monetary policy on futures prices of non-ferrous metals (including copper, alum, zinc, lead, tin, nickel, and overall non-ferrous metal price index), using the data since the 1980s. The regression analysis with the arch model indicates that the rise of federal funds rates has some extent explaining power on the decrease of metal futures prices, as shown by the significant negative relationship between them. Intuitively, an increase in interest rates reduces currency liquidity and suppresses the demand for commodities such as non-ferrous metals, thus the decrease of their prices. Besides, this research also identifies a significant correlation between futures prices and M2, with a positive correlation between the means of their variables and a negative correlation between the variances of the variables. The metal spot price reasonably predicts its corresponding future prices, as those two prices are found significantly positively correlated with coefficients around 0.9-1.1.
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Urak, Faruk, Abdulbaki Bilgic, Gürkan Bozma, Wojciech J. Florkowski und Erkan Efekan. „Volatility in Live Calf, Live Sheep, and Feed Wheat Return Markets: A Threat to Food Price Stability in Turkey“. Agriculture 12, Nr. 4 (16.04.2022): 566. http://dx.doi.org/10.3390/agriculture12040566.
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The volatility of meat prices affects the accessibility and even food security of some consumers in Turkey. This study analyses the prices of selected livestock and a major feed component, wheat, as well as the exchange rate of the domestic currency in Turkey because imports augmented the domestic live calf and sheep supply. The analysis applies 470 price observations from January 2005 to October 2019 for each of the following price series: live calf, live sheep, feed wheat, and exchange rate of Turkish lira to US dollar. The series are analyzed by using the VAR-Asymmetric BEKK-GARCH technique. The results show that the elicited conditional variances of the return series were significantly affected by both short-term shocks and shocks across the return series. The uncertainties in the live calf, live sheep, and feed wheat markets were affected by both long-term volatilities and long-term swings in their own and the other markets, but their own market-induced effects were stronger. Similarly, the conditional variances of the returns of live calves, live sheep, and feed wheat were significantly affected by the rapid price ascent in the exchange rate and the periods of livestock imports as compared to the periods when imports were absent. The unfavorable news exerted particularly negative effects on persistent volatility in markets. Additionally, the live sheep market faced greater risks than the live calf or wheat markets and was greatly affected by the limited domestic sheep supply. Results provide knowledge useful in augmenting policy, assuring sustained accessibility to animal protein in Turkey and eliminating food insecurity.
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Ollikainen, Markku. „A mean-variance approach to short-term timber selling and forest taxation under multiple sources of uncertainty“. Canadian Journal of Forest Research 23, Nr. 4 (01.04.1993): 573–81. http://dx.doi.org/10.1139/x93-076.
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The effects of forest taxation on timber supply under the double uncertainty of real interest rate and future timber price are analyzed in a mean-variance framework. If future timber price and interest rate are independent random variables, there exists an asymmetry between lenders and borrowers, as there is in the single interest rate uncertainty case. Borrowers cut more and lenders cut less as a response to double uncertainty relative to single price uncertainty. If timber price and interest rate are correlated, the sign of the covariance is crucial for the interpretation of the optimality conditions and for the comparative static analysis results. If covariance is negative, borrowers still tend to increase their cutting, but the behaviour of lenders depends on the relative magnitudes of risks associated with interest rate and timber price, which is indicated by variances and covariance. Finnish data are used to evaluate the size of various risks and the sign of covariance. The evidence suggests that a statistically insignificant negative correlation exists and that the covariance is zero.
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Crawford, Dean, und Eleanor G. Henry. „Budgeting and Performance Evaluation at the Berkshire Toy Company“. Issues in Accounting Education 15, Nr. 2 (01.05.2000): 283–309. http://dx.doi.org/10.2308/iace.2000.15.2.283.
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This case provides an opportunity to study budgets, budget variances, and performance evaluation at several levels. As a purely mechanical problem, the case asks for calculations of various price, efficiency, spending, and volume variances from a set of budgets and actual results. The case is also an interpretive exercise. After the variances have been computed, the next step is to develop plausible conjectures about their likely causes. Finally, it is a case about performance evaluation and responsibility accounting. The company has an incentive plan, based on the budget variances, that needs to be analyzed and critiqued.
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Zhang, Wenjun, und Jin E. Zhang. „GARCH Option Pricing Models and the Variance Risk Premium“. Journal of Risk and Financial Management 13, Nr. 3 (09.03.2020): 51. http://dx.doi.org/10.3390/jrfm13030051.
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In this paper, we modify Duan’s (1995) local risk-neutral valuation relationship (mLRNVR) for the GARCH option-pricing models. In our mLRNVR, the conditional variances under two measures are designed to be different and the variance process is more persistent in the risk-neutral measure than in the physical one, so that one is able to capture the variance risk premium. Empirical estimation exercises show that the GARCH option-pricing models under our mLRNVR are able to price the SPX one-month variance swap rate, i.e., the CBOE Volatility Index (VIX) accurately. Our research suggests that one should use our mLRNVR when pricing options with GARCH models.
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Mei, Bin, Michael Clutter und Thomas Harris. „Modeling and forecasting pine sawtimber stumpage prices in the US South by various time series models“. Canadian Journal of Forest Research 40, Nr. 8 (August 2010): 1506–16. http://dx.doi.org/10.1139/x10-087.
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Among the three timberland return drivers (biological growth, timber price, and land price), timber price remains the most unpredictable. It affects not only periodic dividends from timber sales but also timber production strategies embedded in timberland management. Using various time series techniques, this study aimed to model and forecast real pine sawtimber stumpage prices in 12 southern timber regions in the United States. Under the discrete-time framework, the univariate autoregressive integrated moving average model was established as a benchmark, whereas other multivariate time series methods were applied in comparison. Under the continuous-time framework, both the geometric Brownian motion and the Ornstein–Uhlenbeck process were fitted. The results revealed that (i) the vector autoregressive model forecasted more accurately in the 1-year period by the mean absolute percentage error criterion, (ii) seven out of the 12 southern timber regions played dominant roles in the long-run equilibrium, and (iii) conditional variances and covariances from the bivariate generalized autoregressive conditional heteroscedasticity model well captured market risks.
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Nagvekar, Anuragh, Raghavendra Kamath, Teja Simha, Yash Hegde und Aruna Prabhu. „Effects of Inflation, Ten-Year Bond Yield Rate, and VIX Index on the Stock Prices of Banks Across All Three Market Capitalizations in India“. Journal of Computers, Mechanical and Management 3, Nr. 1 (29.02.2024): 08–14. http://dx.doi.org/10.57159/gadl.jcmm.3.1.240103.
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This study investigates the impact of critical economic factors—namely, inflation, the 10-year bond yield rate, and the VIX index—on the stock prices of banks operating across different market capitalization segments in India. Through a comprehensive regression analysis framework, this research quantifies the relationships between these economic factors and bank stock prices while accounting for potential variances across large-cap, mid-cap, and small-cap banks. Utilizing data from the past five years, this analysis not only provides a nuanced understanding of how these macroeconomic indicators influence bank stock prices but also explores the specific effects on banks of varying market capitalizations. The findings reveal that small-cap companies are predominantly influenced by internal management decisions and capital allocation, whereas the consumer price index significantly predicts and reflects stock price behavior. Conversely, the bond yield rate and VIX index show minimal impact on stock prices. This study offers valuable insights for investors, policymakers, and financial institutions, aiding in the development of informed investment strategies and risk management practices.
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Harris, Lawrence. „Estimation of Stock Price Variances and Serial Covariances from Discrete Observations“. Journal of Financial and Quantitative Analysis 25, Nr. 3 (September 1990): 291. http://dx.doi.org/10.2307/2330697.
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Haight, Robert G., und William D. Smith. „Harvesting Loblolly Pine Plantations with Hardwood Competition and Stochastic Prices“. Forest Science 37, Nr. 5 (01.11.1991): 1266–82. http://dx.doi.org/10.1093/forestscience/37.5.1266.
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Abstract This paper presents numerical results of the effects of stochastic stumpage prices on economic optimal thinnings and rotation ages for loblolly pine (Pinus taeda L.) plantations in the Piedmont region of North Carolina. The numerical results are obtained with a dynamic programming model that provides optimal harvest levels as a function of price, stand density, and age. For numerical tractability the network is relatively coarse with a 5-year decision cycle and 50 trees/ac intervals for the harvest control variable. Sawtimber and pulpwood stumpage price probabilities are assumed to be independent and stationary and are based on the means and variances of past price observations. Optimal full-rotation management strategies for both pure and mixed-species plantations show that sawtimber and pulpwood price variation do not affect the timing and intensity of early commercial thinning. Stumpage price variation does affect the timing of dearcutting. Gains in present value are made by timing the clearcut to a period with high sawtimber stumpage price. Results on the effects of hardwood competition show that the opportunity cost of hardwood competition that persists through one rotation is higher than the cost of eliminating the hardwoods early on. The effects of restrictions in the size of the dynamic programming network and the stationarity assumptions in the stochastic price processes are discussed. For. Sci. 37(5):1266-1282.
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Carlsson, Mikael, und Oskar Nordström Skans. „Evaluating Microfoundations for Aggregate Price Rigidities: Evidence from Matched Firm-Level Data on Product Prices and Unit Labor Cost“. American Economic Review 102, Nr. 4 (01.06.2012): 1571–95. http://dx.doi.org/10.1257/aer.102.4.1571.
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Using matched data on product-level prices and the producing firm's unit labor cost, we find a moderate pass-through of current idiosyncratic marginal-cost changes. Also, the response does not vary across firms facing very different idiosyncratic shock variances, but identical aggregate conditions. These results do not fit the predictions of Mackowiak and Wiederholt (2009). Neither do firms react strongly to predictable marginal-cost changes, as expected from Mankiw and Reis (2002). We find that firms consider both current and expected future marginal cost when setting prices. This points toward impediments to continuous price adjustments as a key driver of monetary non-neutrality.
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LAVÍN, FELIPE VÁSQUEZ, JORGE DRESDNER und RENATO AGUILAR. „The value of air quality and crime in Chile: a hedonic wage approach“. Environment and Development Economics 16, Nr. 3 (04.02.2011): 329–55. http://dx.doi.org/10.1017/s1355770x10000483.
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ABSTRACTWe estimate the implicit prices of the crime rate and airborne pollution in Chile, using spatially compensating price differentials in the housing and labor markets. We evaluate empirically the impact of different estimation strategies for the wage and rent equations, on the economic value of these two amenities. The results show that increments in the crime rate or in air pollution have a negative impact on welfare and that the estimated welfare measures and their variances are sensitive to selection bias, endogenous amenities and clustering effects. In contrast, the welfare measures do not seem to be very sensitive to the simultaneity bias.
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Dolde, Walter, und Dogan Tirtiroglu. „Temporal and Spatial Information Diffusion in Real Estate Price Changes and Variances“. Real Estate Economics 25, Nr. 4 (Dezember 1997): 539–65. http://dx.doi.org/10.1111/1540-6229.00727.
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Strawser, William R., und Jeffrey W. Strawser. „Discussing Variance Analysis with the Performance of a Basketball Team“. Issues in Accounting Education 29, Nr. 3 (01.12.2013): 481–95. http://dx.doi.org/10.2308/iace-50671.
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ABSTRACT While current cost and managerial accounting texts devote extensive coverage to comparisons of actual and expected costs, relatively scant attention is devoted to analyzing comparable differences in revenues. Methods commonly used to identify differences between actual and expected revenues include the calculation of variances such as the sales price (SPV), sales quantity (SQV), and the sales mix (SMV) variances. We decided to approach the discussion of these variances in an innovative setting by presenting the SQV and SMV in the context of analyzing the performance of a basketball team, providing a setting that is both appropriate and interesting for illustrating revenue variances. Also, there are trade-offs in the choice between two of these “revenue” sources, for example, should the shooter attempt a two- or a three-point shot? Other relevant questions propel the decomposition of the SQV into the market size (MSV) and market share (MShV) variances. Was the game an offensive showdown, tallying numerous shots, or a defensive lock-down with relatively few shots? How effective was the team in controlling the ball and scoring a dominant proportion of shots? Feedback from students indicates that this illustration provides an interesting and comprehensive discussion of revenue variances. Using this and similar settings, a better understanding of quantity and mix variances, and the impact of these variances on improving performance, may be obtained.
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Kapelianis, Dimitri, und Sandra Strachan. „The price premium of an environmentally friendly product“. South African Journal of Business Management 27, Nr. 4 (31.12.1996): 89–95. http://dx.doi.org/10.4102/sajbm.v27i4.813.
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The relationship between marketing and the environment has recently received considerable attention. Much of the literature in this field deals with the premia that consumers are willing to pay for environmentally friendly products as well as the characteristics that describe these consumers. The methods used for estimating these premia are, however, methodolog1cally flawed. This article presents a model for calculating premia on the basis of part-worth utilities derived from conjoint analysis. The authors find that racial and educational differences exist in willingness to pay a premium. These differences persist even when variances in other variables (for example, income) are controlled.
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Li, Zhicheng, und Haipeng Xing. „High-Frequency Quote Volatility Measurement Using a Change-Point Intensity Model“. Mathematics 10, Nr. 4 (18.02.2022): 634. http://dx.doi.org/10.3390/math10040634.
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Quote volatility is important in determining the cost of demand in a high frequency (HF) order market. This paper proposes a new model to measure quote volatility based on the point process and price-change duration. Specifically, we built a change-point intensity (CPI) model to describe the dynamics of price-change events for a given level of threshold. The instantaneous volatility of quote price can be calculated at any time according to price-change intensities. Based on this, we can quantify the cost of demanding liquidity for traders with different trading latency by using integrated variances. Furthermore, we use the autoregressive conditional intensity (ACI) model proposed by Russell (1999) as a benchmark comparison. The results suggest that our model has better performance of both in-sample fitness and out-of-sample prediction.
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Xie, Pin Jie, Chen Chen Huang und Xian You Pan. „Characteristic Analysis of the Electricity Price Fluctuation: An Empirical Analysis Based on California’s Day-Ahead Market“. Advanced Materials Research 1070-1072 (Dezember 2014): 1534–40. http://dx.doi.org/10.4028/www.scientific.net/amr.1070-1072.1534.
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The paper deals with the Day-ahead Market of California between Apr. 1st, 1998 and Jan. 31, 2001 and divided each day to high-load period and low-load period, described the characteristics of electricity price fluctuation by ARCH models. The results showed that ARCH models under t-distribution matched the volatility of the sample series quite well, captured the series’ heteroscedasticity and the obvious peak and fat tail effectively; the total risk of the day-ahead market in the sample was high, the impacts from external information on the conditional variances was permanent and sustainable, the impacts could not disappear in a short time once the price were fluctuated; the daily mean price fluctuation and low-load period price fluctuation were not asymmetric; while high-load period were significantly asymmetrical.
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Zhang, Yu, und Xinyi Deng. „Booms and Busts in Chinese Agricultural Markets: An Agent-Based Model“. Complexity 2022 (11.10.2022): 1–10. http://dx.doi.org/10.1155/2022/4869762.
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This paper uses agent-based modelling to study the frequent booms and busts in Chinese agricultural markets. First, an artificial agricultural commodity market consisting of heterogeneous agents, such as producers, consumers, and speculators, is built. A numerical simulation suggests that speculation can cause large price fluctuations via nonlinear price dynamics. Then, parameters are estimated by the simulated method of moments using garlic and ginger price data in China from 2006Q2 to 2018Q3. The estimation yields a statistically significant speculative behavior parameter, supporting speculators’ existence. Based on the well-estimated model, a low-cost policy experiment aiming at market stabilization is carried out. The essence of this policy is to release the theoretical steady state of the estimated model as the government-guided price to producers. The guided price, even partially followed by producers, can reduce simulated price variances and weaken speculators’ negative impact on market stability. Robustness tests show that the effect of policy experiment is robust under a 20% change in any parameter value or a 5% change in the guided price.
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Charlebois, Sylvain, Maggie McCormick und Lianne Foti. „Produce Retail Price Volatility and Perceptions in the Canadian Market: Nutrition Security Variances“. Journal of International Food & Agribusiness Marketing 29, Nr. 2 (03.04.2017): 178–96. http://dx.doi.org/10.1080/08974438.2017.1303656.
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Bouazizi, Tarek, Fatma Mrad, Arafet Hamida und Sawsen Nafti. „Effects of Conditional Oil Volatility on Exchange Rate and Stock Markets Returns“. International Journal of Energy Economics and Policy 12, Nr. 2 (20.03.2022): 53–71. http://dx.doi.org/10.32479/ijeep.12826.
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The underlying volatility at a given time is called conditional volatility at this particular time and is modeled by various ARMA-GARCH conditional variance equations (GARCH, EGARCH, GJR, APARCH, IGARCH). How important are oil price fluctuations and oil price volatility in foreign exchange markets and stock markets? What is the nature of the relationship between these three markets? What are the political implications if volatility, using appropriate models to determine, turns out to be important? We evaluate these questions empirically, using the specification of Narayan and Narayan (2010). This specification, in our paper, deals with the determination of volatility appropriate models, based on information criteria, of the ARMA-ARCH family conditional volatility of oil returns using daily data for each country independently (i), and revolve around an analysis of the effect of the volatility of black gold price on the returns of the other two markets in Oil Importing Developed Countries category (ii). The selection of appropriate models of oil returns according to the period of the chosen data gives the ARMA(2,2)- GJR(1,2) model for the Germany and the ARMA(2,2)-GJR(2,2) model for the Japan and the USA. The results that the conditional variances of oil returns, foreign exchange market returns and stock market returns are contested and they have a long-term relationship in different countries. In addition, the results of the granger causality tests and the study of impulse response functions have shown that it has a sending effect of the volatility of oil prices on most foreign exchange markets and stock markets, highlighting the strong explanatory power of market volatility, but bidirectional causality is not always present. Our empirical results involved in the prevention of shocks are important for policymakers, for portfolio managers seeking optimal portfolio allocation, for monetary authorities who are studying changes in the exchange rate of the national currency against currencies, for oil-importing countries seeking to minimize their spending on crude oil, and for oil-exporting countries seeking the sound management of oil reserves. They also show that the volatility of crude oil prices on the world market is generally more significant for foreign exchange and stock markets than the volatility of oil price in the local market. This main conclusion gives political implications to policymakers.
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Jinesh Desai, Dr. Sumeet Khurana und Dr. N.K. Totala. „Competitive Challenge of Suppliers with Vendors in B2B“. Journal of Global Economy 18, Nr. 4 (26.12.2022): 251–60. http://dx.doi.org/10.1956/jge.v18i4.666.
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Abstract:
Purpose: To study the hidden factors of suppliers’ and vendors’ relationship in Business to the Business sector in Madhya Pradesh.
Design/methodology/approach: For this paper, 10 questions were asked to 856 suppliers of B2B of various products in various cities of Madhya Pradesh. The Relative Importance Index was calculated to rank the variables. The data was later subjected to factor analysis and hidden factors were observed
Findings: Suppliers expect Committed Relationship from their vendors. Suppliers trust their vendors/customers. They are proud to have their customers and in return their buyers trust them. However they face big competition in supplying the goods. Despite their customers (vendors) don't mind minor price changes. We find our customers loyal to us. Customers who are more price-sensitive are less loyal. Payment in time is an issue but not relatively important. The issues like payment in time and skipping orders in between are not important. There is competitive environment, as they are not the only supplier. The important factors are committed relationship and competitive environment. Factor analysis shows that committed relationship explain approximately 36% variances are explained while approximately 14% variances explained by competitive environment.
Key Words: B2B, Suppliers, Vendors, Competitive Environment, Important relationship in B2B
Paper type: Empirical Research
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Oboh, Victor. U., Vanni, Eguolo. M., Bikefe, Grace. G., Okoronkwo, Chinecherem. D., Joshua, Adams. N. und Yusuf, Danjuma. S. „OIL PRICE SHOCKS AND STOCK MARKET VOLATILITIES: EVIDENCE FROM SELECTED SUB-SAHARAN AFRICAN COUNTRIES“. International Journal of Business & Economics (IJBE) 8, Nr. 2 (05.09.2023): 52–78. http://dx.doi.org/10.58885/ijbe.v08i2.052.ov.
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The paper examined the relationship between oil price shocks and stock market volatilities in Nigeria, Egypt, South Africa, Kenya, Ivory Coast, and Ghana using a structural Vector Autoregressive model. The data used for the study spanned from January 2000 to December 2019. Findings from the study showed homogeneity in the response of stock market volatility to oil shocks for both oil importing and oil exporting countries, with slight variances in the timing of pass-through and speed of adjustment. Supply shocks had no significant impact on stock market volatility in all countries considered. In making stock market-related decisions, investors and even policy makers should consider the source and pass-through mechanism of oil price shock in their specific countries.
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Yan, Haibin, Ping-An Zhong, Juan Chen, Bin Xu, Yenan Wu und Feilin Zhu. „An Optimal Model for Water Resources Risk Hedging Based on Water Option Trading“. Water 10, Nr. 8 (03.08.2018): 1026. http://dx.doi.org/10.3390/w10081026.
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The uncertainty of forecasted runoffs brings risks of water shortages to water users in the intake area of long-distance water transfer projects, and the uncertainty of spot market prices may cause them to buy water at high prices. In order to hedge these risks, this paper proposes a risk hedging model for decision-making in water option trading from the viewpoint of water users. With the objective of maximizing the expected revenue of water users, the proposed model was solved by an analytical method and an optimal water option strategy was obtained for the users. The proposed model is applied to an intake area of an inter-basin water transfer project in China. The results show that the proposed water option trading model can provide water users with an optimal option strategy. The optimal options trading strategy can effectively reduce the risk caused by the uncertainties of forecasted runoffs and water prices. We also explored the influence of the uncertainty degree of the forecasted runoffs and water price on the option trading strategy. The results show that the expected revenue of water users increases as the variances of the errors of forecasted runoffs and water prices increase.
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Fałat, Kamila. „The Differences Between a Standard Costing and Normal Costing Method of Manufacturing Operating Income Calculation Caused by the Implementation of a New Integrated Information System“. Folia Oeconomica Stetinensia 20, Nr. 2 (01.12.2020): 95–113. http://dx.doi.org/10.2478/foli-2020-0038.
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Abstract Research background: When a company changes a few separated information systems into one integrated information system there can appear the obligation of costing method change. It happens especially when the company is a part of an international manufacturing corporation. Purpose: The main goal of the paper is to compare two methods of manufacturing operating income calculation and data presentation when a company changes a costing method from normal costing to standard costing. Research methodology: In the paper for this research comparative analysis was used between two methods of manufacturing operating income calculation. In the first method manufacturing operating income is the difference between revenues from manufacturing operations and the costs of goods manufactured. In the second one manufacturing operating income is calculated as a sum of production variances, purchase price variances, currency variances and inventory adjustments. Pearson’s correlation coefficients for pairs of variables were calculated in both of the costing methods. A comparative analysis was done on the basis of a case study executed in a big international wholesaler. The company is a member of an international manufacturing corporation. Results: The same manufacturing operating incomes were obtained in both methods. The absolute values of Pearson’s correlation coefficients were similar in normal and standard costing, but they differ in directions. Novelty: In standard costing manufacturing operating income is calculated as a sum of various types of variances. They are calculated as deviations from standard costs. It enables the easier identification of impacting a company’s results factors.
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Lamberton, Barbara A. „Baier Building Products, Inc.: Performance Incentives and Variance Analysis in Sales Distribution“. Issues in Accounting Education 23, Nr. 2 (01.05.2008): 281–90. http://dx.doi.org/10.2308/iace.2008.23.2.281.
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Faced with price volatility and changes in key personnel responsibilities, a small privately held distributor of commodity building products with limited resources needs to re-evaluate its performance incentives. The company's owners and controller need your help in assessing the extent to which the current compensation scheme has encouraged opportunistic behavior, resulting in large commissions without significant movement toward the company's strategic objectives. By completing this case successfully, you will learn how to develop a balanced scorecard suitable for a small sales distribution business and learn how to compute and interpret marketing variances.
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den Besten, Nadja I., Saket Pande und Hubert H. G. Savenije. „A socio-hydrological comparative assessment explaining regional variances in suicide rate amongst farmers in Maharashtra, India“. Proceedings of the International Association of Hydrological Sciences 373 (12.05.2016): 115–18. http://dx.doi.org/10.5194/piahs-373-115-2016.
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Abstract. Maharashtra is one of the states in India that has witnessed one of the highest rates of farmer suicides as proportion of total number of suicides. Most of the farmer suicides in Maharashtra are from semi-arid divisions such as Marathwada where cotton has been historically grown. Other dominant crops produced include cereals, pulses, oilseeds and sugarcane. Cotton (fibers), oilseeds and sugarcane providing highest value addition per unit cultivated area and cereals and pulses the least. Hence it is not surprising that smallholders take risks growing high value crops without “visualising” the risks it entails such as those corresponding to price and weather shocks.We deploy recently developed smallholder socio-hydrology modelling framework to understand the underlying dynamics of the crisis. It couples the dynamics of six main variables that are most relevant at the scale of a smallholder: water storage capacity (root zone storage and other ways of water storage), capital, livestock, soil fertility and fodder biomass. The hydroclimatic variability is accounted for at sub-annual scale and influences the socio-hydrology at annual scale. The model incorporates rule-based adaptation mechanisms (e.g., adjusting expenditures on food and fertilizers, selling livestocks) of smallholders when they face adverse conditions, such as high variability in rainfall or in agricultural prices. The model is applied to two adjoining divisions of Maharashtra: Marathwada and Desh. The former is the division with relatively higher farmer suicide rates than the latter. Diverse spatial data sets of precipitation, potential evaporation, soil, agricultural census based farm inputs, cropping pattern and prices are used to understand the dynamics of small farmers in these divisions, and to attribute farmer distress rates to soil types, hydroclimatic variability and crops grown.Comparative socio-hydrologic assessment across the two regions confirms existing narratives: low (soil) water storage capacities, no irrigation and poor access to alternative sources of incomes are to blame for the crisis, suggesting that smart indigenous solutions such as rain-water harvesting and better integration of smallholder systems to efficient agricultural supply chains are needed to tackle this development challenge.
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DA FONSECA, JOSÉ, MARTINO GRASSELLI und FLORIAN IELPO. „HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS“. International Journal of Theoretical and Applied Finance 14, Nr. 06 (September 2011): 899–943. http://dx.doi.org/10.1142/s0219024911006784.
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In this paper, we quantify the impact on the representative agent's welfare of the presence of derivative products spanning covariance risk. In an asset allocation framework with stochastic (co)variances, we allow the agent to invest not only in the stocks but also in the associated variance swaps. We solve this optimal portfolio allocation program using the Wishart Affine Stochastic Correlation framework, as introduced in Da Fonseca, Grasselli and Tebaldi (2007): it shares the analytical tractability of the single-asset counterpart represented by the [36] model and it seems to be the natural framework for studying multivariate problems when volatilities as well as correlations are stochastic. What is more, this framework shows how variance swaps can implicitly span the covariance risk. We provide the explicit solution to the portfolio optimization problem and we discuss the structure of the portfolio loadings with respect to model parameters. Using real data on major indexes, we find that the impact of covariance risk on the optimal strategy is huge. It first leads to a portfolio that is mostly driven by the market price of volatility-covolatility risks. It is then strongly leveraged through variance swaps, thus leading to a much higher utility, when compared to the case when investing in such derivatives is not possible.
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Hong, Insu, und Changsok Yoo. „Analyzing Spatial Variance of Airbnb Pricing Determinants Using Multiscale GWR Approach“. Sustainability 12, Nr. 11 (09.06.2020): 4710. http://dx.doi.org/10.3390/su12114710.
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A sharing economy accommodation service like Airbnb, which provides trust between strangers to connect them for profiting from underutilized assets, was born and has thrived thanks to the innovations in the platform technology. Due to the unique structure of Airbnb, the pricing strategies of hosts are very different from the conventional hospitality industry. However, existing Airbnb pricing studies have limitations considering the varying scale of operation among hosts, spatial variances in pricing strategies, and crucial geographic information for estimating the influence of the pricing variables, as well as ignoring inter-city variances. In this research, we explored the spatially heterogeneous relationship between price and pricing variables using an innovative spatial approach, Multiscale Geographically Weighted Regression (MGWR). Analysis results for Airbnb listing in Log Angeles and New York in the US showed the effectiveness of MGWR regarding estimating the influence of pricing variables spatially. By revealing spatially heterogeneous and dependent relationships, this research fills gaps in Airbnb pricing research and deepens the understanding of the pricing strategies of the hosts.
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Chi, Ting, und Yini Chen. „A study of lifestyle fashion retailing in China“. Marketing Intelligence & Planning 38, Nr. 1 (03.07.2019): 46–60. http://dx.doi.org/10.1108/mip-01-2019-0025.
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Purpose The purpose of this paper to examine how Chinese consumers’ perceived functional and symbolic values of lifestyle fashion stores (i.e. merchandise quality, price, convenience, emotional value, aesthetic value and social value) affect their shopping behaviors (i.e. repurchase intention (RI), impulse buying (IB) and time spent (TS)). Design/methodology/approach In total, 223 eligible responses were collected via an online questionnaire survey. The psychometric properties of the proposed CPV-shopping behavior research model were examined, and the multiple regression method was applied to test the hypotheses. Findings The findings show that Chinese consumers’ RIs toward and TS in lifestyle fashion stores are determined by their perceived merchandise quality value, price value, emotional value and aesthetic value of lifestyle fashion stores. In contrast, Chinese consumers’ perceived price value and emotional value trigger their IB in the lifestyle fashion stores. The perceived values show satisfactory explanatory power for the variances of Chinese consumers’ shopping behaviors (R2=55, 50 and 49 percent for RI, IB and TS, respectively). Originality/value A better understanding of the Chinese consumers’ shopping behaviors toward emerging lifestyle fashion stores may assist retailers in targeting China as the soon-to-be largest consumer market.
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Inouye, Stephanie, Ting Chi und Linda Bradley. „Consumer perceived values of Hawaiian attire: the effects of socio-demographic factors“. Journal of Fashion Marketing and Management 18, Nr. 4 (02.09.2014): 507–24. http://dx.doi.org/10.1108/jfmm-05-2013-0067.
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Purpose – The purpose of this paper is to propose and examine a consumer-perceived value (CPV) formation model in the context of Hawaiian attire (aloha attire). The effects of key socio-demographic factors on perceived values of aloha attire were empirically determined. Design/methodology/approach – CPV is conceptualized as a multi-dimensional construct including emotional value, social value, quality value, and price value. The investigated socio-demographic factors included residential status, age, gender, ethnicity, education level, income level, and type of retailers from which consumers usually purchase aloha attire. The primary data were gathered by a questionnaire survey of US consumers. Using 330 survey returns, factor analysis and multiple regression analysis were utilized for data analysis and hypothesis testing. Findings – The proposed model was proven valid and the four value constructs cumulatively accounted for 68.6 percent of the variance in CPV of aloha attire. Majority of variances of perceived values (social value at 74 percent, emotional value at 70 percent, price value at 67 percent, and quality value at 65 percent, respectively) can be accounted for by investigated socio-demographic factors. Gender and ethnicity significantly affected perceived social and emotional values. Income level and education level significantly affected all perceived values. Residential status only affected perceived price and emotional values, while retailer type significantly affected perceived social, emotional, and quality values. Practical implications – Incorporation of gender, ethnicity, income level, education level, residential status, and retailer type information in developing marketing strategies and promotional programs can help companies more effectively convey desired values of aloha attire to target consumers. Originality/value – This empirical study responded to the need for better understanding of consumer desired values for aloha attire to support more effective product development and marketing. The knowledge gained from this study provides valuable insights for both academicians and industrial practitioners.
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Sun, Bing, Hongyu Liu und Siqi Zheng. „A COMPARATIVE STUDY ON THE INVESTMENT VALUE OF RESIDENTIAL PROPERTY AND STOCKS“. International Journal of Strategic Property Management 8, Nr. 2 (30.06.2004): 63–72. http://dx.doi.org/10.3846/1648715x.2004.9637508.
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As real estate, residential property comprises not only the value of utilization, but also the value of investment, which is somewhat different from that of securities such as stocks and bonds. In this paper, the investment value of newly‐built residences and stocks are compared and analyzed theoretically and empirically. Firstly, the paper summarizes the diversity of costs, risks, and benefits of these two investments. Secondly, by quoting the quarterly price/rent indices on the housing market and that at the stock exchange in Shanghai, the paper explores the variances of these two investments with respect to their risk‐return characteristics from 1993 to 2003. Thirdly, the paper discusses the correlations between residential property price/rent index, property/general stock price index, and Consumer Price Index (CPI). Finally, by utilizing the Capital Asset Pricing Model (CAPM), the systematic and the unsystematic risks of these investments are segregated and compared with each other, based on a series of assumptions. The result suggests, on a quarterly basis, that residential property investment produces a higher risk‐adjusted return than that of general stock and property stock investment. Because of a weak/negative correlation between residential property and stock returns, residential property is an ideal candidate to be included into the stock investment portfolio. Moreover, residential property and property stock can be used as effective hedges against inflation.
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Ali, Anis. „Governance of public spending avenues by oil prices, oil revenues, and GDP in Saudi Arabia: proportionate sensitivity and trend analysis“. Investment Management and Financial Innovations 17, Nr. 4 (30.11.2020): 152–64. http://dx.doi.org/10.21511/imfi.17(4).2020.15.
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Saudi Arabia is a petroleum resource-rich country, and half of the GDP of Saudi Arabia is based on the Oil Sector Revenue (OSR). The OSR is governed by the Oil Prices (OP), while GDP is also affected by the OSR in petroleum exporting companies. The volatility of OP governs the OSR and GDP positively and perfectly as the oil sector contributes approximately half of the GDP of Saudi Arabia. The study analyzes the governance of the Public Spending Avenues (PSA) by the OP, OSR, and GDP in the long and short run and based on the secondary data taken from the website of the Saudi Arabian Monetary Authority (SAMA). Coefficient of Variations (CV), Chain-based Index (CBI) numbers, Fixed-based Index (FBI) numbers, and Analysis of Variances (ANOVA) of OP and other dependent variables calculated to get the normality, sensitivity, trend, and significance difference among the sensitivity and trend of variables, while Pearson’s correlations establish the cause-effect relationship among the variables. The study reveals that oil price volatility does not affect the OSR, GDP, and ultimately public spending in the long run. However, there is governance of volatility of OP that can be seen on OSR, GDP, and ultimately on PSA in the short run. Saudi Arabian government enhances its spending on PSA and especially on education while lowering the OP. There is a need to diversify the income resources to minimize the reliability of oil prices and budget deficit and consider the sensitivity of oil prices on the economy by the policymakers to formulate the policies to minimize the impact of volatility of OP on the economy. AcknowledgmentThe author would like to thank the Deanship of Scientific Research, Prince Sattam Bin Abdulaziz University, Saudi Arabia.  
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Toros, Seçil. „Deceptive Tactics Used in Online Shopping“. Transnational Marketing Journal 9, Nr. 2 (13.09.2021): 407–24. http://dx.doi.org/10.33182/tmj.v9i2.1255.
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The debate on deceptive advertising is getting more critical alongside the proliferation of the Internet and global e-commerce. This study aims to portray the nature and variances of deceptive tactics employed in online shopping sites by utilising an original database and a content analysis. Findings verified that the use of online deceptive advertising practices is common among Turkish online-shopping sites. First and foremost, the study displayed the high propensity of advertisers to omit or obscure information within the online ad content. The findings also provided empirical evidence on the correlational nature of involvement level and price with the deception levels.
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Krylov, Sergey. „Company Dividend Policy Models: Neutral Approach“. New Challenges in Accounting and Finance 3 (August 2020): 40–52. http://dx.doi.org/10.32038/ncaf.2020.03.04.
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The article treats a concept of the formalized modeling of the dividend policy scores and company marketing performance scores derived (stock market position) within neutral dividend policy implementation approach conditions as an instrument of the scores analysis and forecasting. The methodology of the research consists of the Dividend Irrelevance theory, Dividend Policy Significance theory and sustainable company development concept. It has been stated that a formalized approach of the dividend policy implementation presumes a construction of the basic relevant scores models characterizing the company dividend policy and its marketing performance as Dividend Payout, Dividend Cover, expected Share Price, Dividend Yield, Price / Earnings Ratio (common stock price/earnings ratio). The formalized models of the scores mentioned are applicable for a forecast-analytical scores evaluation and their variances as well by estimating an impact of the models defining factors exercised by the appropriate factoring analysis method within the neutral dividend policy implementation approach conditions. The conclusion is drawn, that the formalized models of the dividend policy scores and company marketing performance scores derived, having been developed, are an effective instrument for their forecasting and analysis so that proactive decisions to manage the company dividend policy implementation within neutral approach conditions are ensured.
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Krylov, Sergey. „Company Dividend Policy Modeling: Neutral Approach“. International Journal of Financial Research 12, Nr. 1 (25.12.2020): 50. http://dx.doi.org/10.5430/ijfr.v12n1p50.
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The article treats a concept of the formalized modeling of the dividend policy scores and company marketing performance scores derived (stock market position) within neutral dividend policy implementation approach conditions as an instrument of the scores analysis and forecasting. The methodology of the research consists of the Dividend Irrelevance theory, Dividend Policy Significance theory and sustainable company development concept. It has been stated that a formalized approach of the dividend policy implementation presumes a construction of the basic relevent scores models characterizing the company dividend policy and its marketing performance as Dividend Payout, Dividend Cover, expected Share Price, Dividend Yield, Price / Earnings Ratio (common stock price/earnings ratio). The formalized models of the scores mentioned are applicable for a forecast-analytical scores evaluation and their variances as well by estimating an impact of the models defining factors exercised by the appropriate factoring analysis method within the neutral dividend policy implementation approach conditions. The conclusion is drawn, that the formalized models of the dividend policy scores and company marketing performance scores derived, having been developed, are an effective instrument for their forecasting and analysis so that proactive decisions to manage the company dividend policy implementation within neutral approach conditions are ensured.