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Sherrick, Bruce John. "Option based assessments of expected price distributions /." The Ohio State University, 1989. http://rave.ohiolink.edu/etdc/view?acc_num=osu1487672631597961.
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Lowe, Benjamin, and n/a. "Pricing Strategy and the Formation and Evolution of Reference Price Perceptions in New Product Categories." Griffith University. Griffith Business School, 2006. http://www4.gu.edu.au:8080/adt-root/public/adt-QGU20070221.155102.
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This study examines how pioneer and follower pricing strategies affect the formation and evolution of reference price perceptions in new product categories. It contributes to our understanding of pricing new products by integrating two important research streams in the field of marketing - reference price theory and the theory of pioneer brand advantage. This is the first research to address reference price effects for radically new product categories. Prior research has focused solely on products in existing categories, typically in fast moving consumer goods categories. Using three experiments to causally establish the consequences of pioneer and follower pricing strategies on consumer perceptions, three critical research issues are addressed for the first time, consistent with calls for research in the literature: 1. Which reference price do consumers utilise in new product categories? 2. What is the role of consumer confidence in reference price for new product categories? 3. How do reference price perceptions form and evolve as a result of pioneer and follower pricing strategy? In the literature, a frequently cited issue is the fragmented operationalisation of reference price perceptions. With little theory to guide researchers in terms of which measures should be used, experiment 1 provides new theory, finding as hypothesised, that fair price perceptions as opposed to expected price perceptions are more likely to be evoked by consumers for new product categories. Experiment 1 also finds that using consumers' confidence in their reference price beliefs as an additional explanatory variable, does not improve over current reference price models. Overconfidence, a robust consumer behavioural phenomenon (Alba and Hutchinson 2000), might explain this result. Prior research has made several contributions to understanding reference price perceptions in established product categories. However, not much is known about how these reference price perceptions initially form and evolve. Experiments 2 and 3 address this gap by simulating an emerging market and examining the role of pioneership in shaping reference price perceptions. Experiment 2 found the pioneer, due to its perceptual prominence, is able to define the reference price and subsequently define perceptions of value. That is, the value consumers place on a product and their intentions to purchase the product are about the same whether the pioneer follows a penetration (initial low price) or skimming (initial high price) strategy. Experiment 3 extends experiment 2 by examining what happens in the emerging market when a follower brand enters. The follower enters at a large or small discount to the pioneer, and the pioneer completes its penetration or skimming strategy, converging to a 'regular' price. As predicted, the pioneer's initial price frames subsequent price and value perceptions, signifying the importance of the pioneer as a referent brand. Lower initial prices erode value perceptions, whereas higher initial prices substantiate value perceptions. The follower's pricing strategy does not have as much influence as the pioneer's pricing strategy. Other findings from experiment 3 related to reference price theory in general. Specifically, there was strong evidence of an averaging process when forming reference prices. This adds theory to the measurement debate about operationalising reference price as some past price such as last price paid or some average of past prices. Experiment 3 also provides a further measurement contribution by supporting the use of brand specific measures of reference price, rather than category based measures. More generally, because of the causal research design, this thesis provides strong evidence of the use of reference prices in consumer decision making: a key concern emphasised by one of the area's seminal articles (i.e., Kalyanaram and Winer 1995), which stresses the need to provide evidence that consumers actually use reference prices, and not just act as if they do.
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Lowe, Benjamin. "Pricing Strategy and the Formation and Evolution of Reference Price Perceptions in New Product Categories." Thesis, Griffith University, 2006. http://hdl.handle.net/10072/365671.
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This study examines how pioneer and follower pricing strategies affect the formation and evolution of reference price perceptions in new product categories. It contributes to our understanding of pricing new products by integrating two important research streams in the field of marketing - reference price theory and the theory of pioneer brand advantage. This is the first research to address reference price effects for radically new product categories. Prior research has focused solely on products in existing categories, typically in fast moving consumer goods categories. Using three experiments to causally establish the consequences of pioneer and follower pricing strategies on consumer perceptions, three critical research issues are addressed for the first time, consistent with calls for research in the literature: 1. Which reference price do consumers utilise in new product categories? 2. What is the role of consumer confidence in reference price for new product categories? 3. How do reference price perceptions form and evolve as a result of pioneer and follower pricing strategy? In the literature, a frequently cited issue is the fragmented operationalisation of reference price perceptions. With little theory to guide researchers in terms of which measures should be used, experiment 1 provides new theory, finding as hypothesised, that fair price perceptions as opposed to expected price perceptions are more likely to be evoked by consumers for new product categories. Experiment 1 also finds that using consumers' confidence in their reference price beliefs as an additional explanatory variable, does not improve over current reference price models. Overconfidence, a robust consumer behavioural phenomenon (Alba and Hutchinson 2000), might explain this result. Prior research has made several contributions to understanding reference price perceptions in established product categories. However, not much is known about how these reference price perceptions initially form and evolve. Experiments 2 and 3 address this gap by simulating an emerging market and examining the role of pioneership in shaping reference price perceptions. Experiment 2 found the pioneer, due to its perceptual prominence, is able to define the reference price and subsequently define perceptions of value. That is, the value consumers place on a product and their intentions to purchase the product are about the same whether the pioneer follows a penetration (initial low price) or skimming (initial high price) strategy. Experiment 3 extends experiment 2 by examining what happens in the emerging market when a follower brand enters. The follower enters at a large or small discount to the pioneer, and the pioneer completes its penetration or skimming strategy, converging to a 'regular' price. As predicted, the pioneer's initial price frames subsequent price and value perceptions, signifying the importance of the pioneer as a referent brand. Lower initial prices erode value perceptions, whereas higher initial prices substantiate value perceptions. The follower's pricing strategy does not have as much influence as the pioneer's pricing strategy. Other findings from experiment 3 related to reference price theory in general. Specifically, there was strong evidence of an averaging process when forming reference prices. This adds theory to the measurement debate about operationalising reference price as some past price such as last price paid or some average of past prices. Experiment 3 also provides a further measurement contribution by supporting the use of brand specific measures of reference price, rather than category based measures. More generally, because of the causal research design, this thesis provides strong evidence of the use of reference prices in consumer decision making: a key concern emphasised by one of the area's seminal articles (i.e., Kalyanaram and Winer 1995), which stresses the need to provide evidence that consumers actually use reference prices, and not just act as if they do.Thesis (PhD Doctorate)
Doctor of Philosophy (PhD)
Griffith Business School
Griffith Business School
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Kristensson, Lars. "Estimation of Expected Lowest Fare in Flight Meta Search." Thesis, Linköpings universitet, Institutionen för datavetenskap, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-108475.
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This thesis explores the possibility of estimating the outcome of a flight ticket fare comparison search, also called flight meta search, before it has been performed, as being able to do thiscould be highly useful in improving the flight meta search technology used today. The algorithm explored in this thesis is a distance weighted k-nearest neighbour, where the distance metric is a linear equation with sixteen features of first degree extracted from the input of the search. It is found that while the approach may have potential, the distance metric used in this thesis isnot sufficient to capture the similarities needed, and the end algorithm performs only slightly better than random. At the end of this thesis a series of possible further improvements are presented, that could potentially help improve the performance of the algorithm to a level that would be more useful.
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Salevid, Karin. "Market Requirements for Pumped Storage Profitability : Expected Costs and Modelled Price Arbitrage Revenues, Including a Case Study of Juktan." Thesis, Uppsala universitet, Elektricitetslära, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-210136.
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The rapid integration of intermittent renewable energy sources (IRES) has caused a growing demand for power system flexibility on energy markets all over Europe. Being the only commercially proven large scale energy storage technology, pumped storage hydro power (PSHP) has by several studies been suggested as an efficient solution to mitigate the impact of IRES. However, despite the perceived technical demand profitability remains as a major obstacle for PSHP development. In this study, a market requirement for PSHP profitability, defined in terms of price volatility, is presented. Considering capital and operational expenditures as well as modelled potential price arbitrage revenues for a greenfield PSHP plant, it may be used as a tool for initial assessments of PSHP profitability in relation to market outlooks or modelled future prices. The results have further been used in a case study, where the price volatility required to motivate a restoration of the now decommissioned Swedish PSHP plant Juktan has been determined. The results show that the high capital expenditures characterising PSHP development do comprise in a high risk for developers; while feasibility depends on the sustainment of a highly volatile price climate during several decades, energy markets are often extremely uncertain.
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Carleson, Marcus. "Why stocks with the worst expected future price development are the best investment: A psychological study of financial analysts´ reports." Thesis, Stockholms universitet, Psykologiska institutionen, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-55315.
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Financial analysts produce investment reports containing two outputs: one recommendation and one target price. This study compared and contrasted the investment value of the two by employing recognised decision making theories. For this purpose 89.814 analyst reports, or 4.956 consensus reports, based on US data (S&P 500) was employed to form recommendation and target price portfolios with a holding period of 1, 3, 6, 12 and 24 months. The findings indicated a negative relationship between the two variables. Seeking to make profits, it therefore seems as if an investor should buy stocks with the most favourable recommendations but, surprisingly, also stocks with the least optimistic target prices. The explanation for the anomaly was primarily sought in the compatibility principle, preference reversals, configural weight theory or temporal distance theory and possibly in the analysts’ evasion of regret and protection of their reputation and employment.
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Choy, Lai-no Lina, and 蔡麗娜. "The impact of expected improvement in public transportation on the housing price gradient: a study of the Ma OnShan Rail in Hong Kong." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2004. http://hub.hku.hk/bib/B31319403.
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Choy, Lai-no Lina. "The impact of expected improvement in public transportation on the housing price gradient a study of the Ma On Shan Rail in Hong Kong /." Click to view the E-thesis via HKUTO, 2004. http://sunzi.lib.hku.hk/hkuto/record/B31319403.
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Volosenkina, Viktorija. "Credit Default Swaps as Hedging Instruments Against Banks' Stock Price Fluctuations Before and During Financial Crisis." Master's thesis, Lithuanian Academic Libraries Network (LABT), 2010. http://vddb.laba.lt/obj/LT-eLABa-0001:E.02~2010~D_20100623_094310-03759.
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In this paper dependence between credit default swap (CDS) values and stock price movements of the largest European banking groups is examined and effectiveness of the usage of CDS contracts as a tool to hedge exposure to the price movements of the underlying stock during the pre-crisis and crisis periods is assessed. The effectiveness is evaluated by comparing estimated Value-at-Risk (VaR) and Expected Shortfall (ES) risk measures of portfolios consisting of stocks and CDS vis-à-vis portfolios consisting of only stocks. CDS are valued using mark-to-market approach. Marginal distributions of CDS value changes and stock returns are estimated using Kernel density estimate from historical time-series data of daily stock returns and CDS value changes. Dependence between marginal distributions is estimated using Gaussian, Gumbel and Student‟s t copulas. Random portfolio values are simulated using Monte Carlo Simulation from estimated copulas parameters and marginal distributions for daily, quarterly and yearly time horizons. VaR and ES with 90%, 95% and 99% confidence level are estimated from the simulated portfolio return distribution. The results show that there is a significant negative dependence between CDS values and stock prices during financial crisis while dependence is weak in the pre-crisis period. The main finding of the paper is that CDS added into the portfolio of stocks significantly reduces VaR and ES of a portfolio during the period of financial crisis while they... [to full text]Šiame darbe tikrinama didţiausių Europos bankų grupių kredito rizikos apsikeitimo sandorių (CDS) ir akcijų kainų priklausomybė bei vertinamas CDS efektyvumas, jei jais draudţiamasi nuo akcijų kainų svyravimų prieš kriziniu ir kriziniu laikotarpiu. Efektyvumas yra įvertinamas lyginant apskaičiuotas rizikos vertes (VaR) ir tikėtinus vertės trūkumus (ES) dviejų portfelių: akcijų portfelio bei akcijų ir CDS portfelio. CDS vertinti yra naudojamas pagal rinką vertinimo būdas (mark-to-market approach). CDS verčių pasikeitimo ir akcijų grąţos ribiniai pasiskirstymai yra įvertinami, naudojant Kernel įvertinimą (Kernel Estimator) iš istorinių akcijų grąţų ir CDS verčių pokyčių duomenų. Priklausomybė tarp ribinių pasiskirstymų yra įvertinama naudojant Gauso, Gumbelio ir Studento t kopulas (copulas). Atsitiktinės portfelių vertės yra susimuliuojamos naudojant Monte Carlo simuliaciją, pritaikant kopulų parametrus bei kintamųjų ribinius pasiskirstymus vienos dienos, ketvirčio bei metų periodams. VaR ir ES su 90%, 95% ir 99% pasitikėjimo intervalais yra skaičiuojami iš susimuliuotų portfelio grąţų pasiskirstymo. Gauti rezultatai rodo, kad tarp akcijų kainų ir CDS verčių yra stipri priklausomybė krizės laikotarpiu, tuo tarpu prieš kriziniu laikotarpiu priklausomybė yra silpna. Pagrindinė darbo išvada yra ta, jog CDS įtraukti į akcijų portfelį reikšmingai sumaţina portfelio VaR ir ES kriziniu laikotarpiu, tačiau nesumaţina prieš kriziniu laikotarpiu. Portfelio rizika gali būti sumaţinta, jei... [toliau žr. visą tekstą]
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Židková, Michaela. "Zadávání veřejných zakázek z pohledu zadavatele." Master's thesis, Vysoké učení technické v Brně. Fakulta stavební, 2016. http://www.nusl.cz/ntk/nusl-240301.
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The aim of this master thesis is primarily to develop a methodological framework for a contracting authority receiving an abnormally low bid. The theoretical part of the thesis outlines the basic terms and definitions, analyzes a public tender from the perspective of a contracting authority and defines an extremely low bid price. The practical part of the thesis applies the methodological framework for dealing with an extremely low bid price on the case study, where on the set of selected areas of mechanical items indicates possible views above the limit costs of individual items costing unit prices of construction work.
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Zhang, Jie. "Two essays on empirical asset pricing : 1. Forecasted earnings per share and the cross section of expected returns and 2. The limits to arbitrage and the fundamental value-to-price trading strategies /." View abstract or full-text, 2006. http://library.ust.hk/cgi/db/thesis.pl?FINA%202006%20ZHANG.
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Sömskar, Alexandra, and Zlata Zapolskaia. "Short term effects of Covid-19 on stock market performance - a comparison of the fashion and the food industry : A study on how volatility and the expected return affect the share price." Thesis, Högskolan Dalarna, Nationalekonomi, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:du-34376.
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The aim of the study is to investigate how the share prices of food and fashion companies listed on the Stockholm Stock Exchange OMX have changed from when Covid-19 started until end of April 2020, by studying how stock price, volatility and expected return have affected the development of the stock. Using the financial theories of CAPM model and volatility, we investigate how the stock market has developed during the pre-Covid-19 period in comparison to the period when Covid19 is ongoing. Our results show that the volatility increased a lot after the virus burst out and that the expected return changed to higher and more frequent fluctuations. We also compare the two industries showing that the food industry changed less during the post-Covid-19 compared to the fashion industry.
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Keyser, Johannes de Kock. "The relationship between futures prices and expected future spot prices : some South African evidence." Thesis, Stellenbosch : Stellenbosch University, 2002. http://hdl.handle.net/10019.1/53155.
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Thesis (MBA)--Stellenbosch University, 2002.ENGLISH ABSTRACT: A unique data set consisting of economists' expectations on key economic indicators was examined within the context of the controversial normal backwardation theory of Keynes. The economists' expectations were regarded as the expected future spot price and the relationship between them and the corresponding futures contracts was analysed. The respective economic indicators were: i) the yield from aparastatal Bond, ii) the yield from Government Bonds, iii) the rate of the 90 day Banker's Acceptance (BA) Deposit Rate and iv) the Rand/Dollar (R/$) Exchange Rate for the past seven years, i.e. 1995 to 2001. The accuracy of the economists' predictions was tested both on a visual basis and the relationship between the expected values and the futures prices was plotted in a graphical format. A nonparametric statistical procedure was used to determine whether the economists' expectations were of any value. To put it differently, the question being posed is: do these economists, as a group, possess some superior forecasting skills? Two different conclusions were reached from the analysis: First conclusion: by accepting the normal backwardation theory, it implies that the contango theory also holds. Therefore, when analysing the data set visually - depending on which theory it supports - the futures price must trade consistently below or above the expected future spot price. For this particular analysis the yield of the bond, and not its price, was the important factor. In most cases the plotted relationships between the expected values and the futures prices were found to support the contango theory and, to a lesser extent, the normal backwardation theory. Hence, speculators were, in order to make profits, predominately sellers of futures contracts. Second conclusion: the strongest conclusion, however, follows from the statistical tests conducted on the expected values. It was found that economists do possess some superior forecasting skills and if they had used their predictions and had taken the corresponding market positions, they would have been consistent winners in the futures market. Their reward would be mainly for their ability to forecast eventual spot prices and, to a lesser extent, for their risk bearing. It was impossible to link the two conclusions to confirm the normal backwardation theory, for the particular South African data set. The evidence is thus consistent with the hypothesis that the futures price is an unbiased estimate of the expected future spot price.
AFRIKAANSE OPSOMMING: 'n Unieke datastel, bestaande uit ekonome se vooruitsigte van kern ekonomiese aanwysers, is ondersoek binne die konteks van die omstrede normale terugwaardasie-teorie (d.i. "normal backwardation theory") van Keynes. Die ekonome se vooruitsigte is aanvaar as die verwagte toekomstige kontantprys en die verhouding hiertussen en die ooreenstemmende termynpryse is ontleed. Die onderskeie ekonomiese aanwysers was: i) die opbrengs op 'n Semi-Staatseffek, ii) die opbrengs op Staatseffekte, iii) die koers van die negentig-dae-Bankaksepte (BA) Depositokoers en iv) die Rand/Dollar (R/$) Wisselkoers oor die afgelope sewe jaar, d.w.s. 1995 tot 2001. Die akkuraatheid van die ekonome se vooruitskattings is op 'n visuele basis vergelyk, en die verhouding tussen die verwagte prys en die termynpryse is in grafiese formaat gekarteer. 'n Nie-parametriese statistiese prosedure is gebruik om vas te stel of hierdie ekonome se vooruitsigte van enige waarde was. Anders gestel, die vraag is: beskik hierdie ekonome as 'n groep oor sekere superieure vooruitskattingsvaardighede? Die volgende twee afsonderlike gevolgtrekkings is geformuleer: Eerste gevolgtrekking: deur die normale terugwaardasie-teorie te aanvaar, impliseer dit dat die contango-teorie (d.i, "contango theory") ook geldig is. Dus, wanneer die datastel visueel getoets word - afhangende van watter teorie dit ondersteun - moet die termynprys konsekwent bo of onder die verwagte toekomstige kontantprys verhandel. Vir hierdie bepaalde analise was die opbrengs van die staatseffek die belangrike faktor en nié die prys daarvan nie. In die meeste gevalle het die gekarteerde verhouding tussen die verwagte prys en die termynprys getoon dat dit die contango-teorie ondersteun het en, in 'n mindere mate, die normale terugwaardasie-teorie. Derhalwe was spekulante, ten einde wins te maak, oorwegend die verkopers van termynkontrakte. Tweede gevolgtrekking: die belangrikste gevolgtrekking volg egter uit die statistiese toetse wat uitgevoer is op die verwagte pryse. Daar is bevind dat ekonome wel oor superieure vooruitskattingsvaardighede beskik en dat, indien hulle hul vooruitskattings gebruik en die ooreenstemmende markposisies ingeneem het, hulle konsekwent wenners in die termynmark sou gewees het. Hulle vergoedings sou hoofsaaklik gewees het vir hulle vermoë om uiteindelike kontantpryse te voorspel en, in 'n mindere mate, vir hulle risiko-blootstelling. Dit was onmoontlik om hierdie twee vergelykings met mekaar te verbind om sodoende die normale terugwaardasie-teorie te onderskryf vir die betrokke Suid-Afrikaanse datastel. Die bewyslewering is dus konsekwent met die hipotese dat die termynprys 'n onsydige skatting van die verwagte toekomstige kontantprys is.
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Louro, Rui Alexandre Narciso Miguens. "Evaluation of volatility models for forecasting value at risk in stock prices." Master's thesis, Instituto Superior de Economia e Gestão, 2016. http://hdl.handle.net/10400.5/12888.
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Mestrado em Econometria Aplicada e PrevisãoO trabalho descrito nesta Tese é referente ao cálculo de Value at Risk e Expected Shortfall que presentemente são as medidas de risco de mercado com maior relevância. Para tal efeito são utilizados vários modelos GARCH em conjunção com a distribuição Normal, a t de Student e a distribuição Normal Generalizada assim como as suas equivalentes enviesadas. É levado a cabo um plano de ensaios fatorial através do uso de uma abordagem de janela deslizante, onde três tamanhos diferentes de janela deslizante, assim como três horizontes de previsão e dois valores de probabilidade de perda são considerados. O objeto do estudo são os retornos das companhias incluídas no índice PSI20 assim como o próprio índice. Os dados provenientes dos vários modelos foram sujeitos a testes estatísticos destinados a aferir se os dados têm um comportamento aceitável, como cobertura incondicional, ausência de agrupamentos e cálculo adequado do Expected Shortfall. Os resultados obtidos reforçam a dificuldade associada à obtenção de um modelo que consiga fornecer valores aceitáveis de Value at Risk e Expected Shortfall. Também é evidenciado que os parâmetros dos modelos que fornecem os melhores resultados dependem do horizonte de previsão e da probabilidade de perda pretendidos. Adicionalmente, constata-se que as distribuições enviesadas não apresentam uma performance diferente das distribuições base.
The work depicted in this Thesis pertains to the calculation of Value at Risk and Expected Shortfall, presently the most relevant risk measurements for market risk. To that effect a number of GARCH models are used in conjunction with the Normal, Student-t and Generalized Error Distribution as well as their skewed counterparts. A factorial test plan is carried out through the use of a Rolling Window scheme where three different Rolling window sizes, three forecast horizons and two values of probability of loss are considered. The object of the study was the returns of the firms included the PSI20 stock index, as well as the index itself. The model data was then backtested to ensure that the data have an acceptable behavior, such as unconditional coverage, absence of clustering and proper calculation of the Expected Shortfall. The results underline the difficulty in obtaining a model that can provide acceptable Value at Risk and Expected Shortfall values. They also show that the model parameters that provide the best results depend on the intended probability of loss and the forecast horizon. Also, skewed distributions generally do not perform any better than their non skewed counterparts.
N/A
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Ali, Mohamed Khadar. "Applying Value at Risk (VaR) analysis to Brent Blend Oil prices." Thesis, Högskolan i Gävle, Avdelningen för ekonomi, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:hig:diva-10798.
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The purpose with this study is to compare four different models to VaR in terms of accuracy, namely Historical Simulation (HS), Simple Moving Average (SMA), Exponentially Weighted Moving Average (EWMA) and Exponentially Weighted Historical Simulation (EWHS). These VaR models will be applied to one underlying asset which is the Brent Blend Oil using these confidence levels 95 %, 99 % and 99, 9 %. Concerning the return of the asset the models under two different assumptions namely student t-distribution and normal distribution will be studied
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Syed, Murtaza. "Share prices, expected future profits and company investment : an econometric study using US and UK panel data." Thesis, University of Oxford, 2004. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.399464.
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Efendic, Emir. "L'impact des réactions affectives multiples sur la prise de décision : combinaison de l'affect et les mécanismes médiateurs de l’influence affective." Thesis, Bordeaux, 2017. http://www.theses.fr/2017BORD0620/document.
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Alors qu'il existe de nombreuses études qui démontrent la manière dont une seule réaction affective impacte une décision, il n'y a pratiquement aucune recherche qui s'est intéressée à l'impact des réactions affectives multiples. De plus, les mécanismes médiateurs de cet impact sont encore débattus, et de nombreux modèles de médiation sont proposés, mais ceux-ci n'ont jamais été testés et comparés conjointement. Dans cette thèse, huit études ont été conduites qui s'intéressent de plus près à ces deux enjeux. Les résultats montrent que les réactions affectives multiples se combinent afin d'impacter la prise de décision et que dans cette combinaison les sentiments sont moyennés. Cependant, la combinaison n'a lieu que lorsque les réactions affectives sont liées à la même source de décision (p. ex. deux réactions associées à une potentielle récompense). Quand, d'autre part, les réactions affectives sont associées à deux sources de décision indépendantes (p. ex. l'une des réactions associées à une tâche et l'autre à une récompense potentielle), il n'y a pas de combinaison, et les personnes s'appuient uniquement sur l'affectivité associée à la source conséquentielle (c.-à-d. les récompenses). Enfin, le modèle de médiation, le plus systématiquement obtenu, était celui dans lequel seules les réactions affectives immédiates étaient médiatrices entre la source de l'affect et la décision. Les résultats élargissent la littérature en démontrant le phénomène de combinaison affective ainsi que les conditions aux limites qui gouvernent son impact sur la décision, ils offrent un nouvel aperçu sur ce qui agit comme médiateur de cet impact, et ils fournissent une base solide pour de futurs travaux visant à étudier l'impact des réactions affectives multiples sur les décisionsWhile there is plenty of research showing how a single affective reaction impacts a decision, there is practically no research which looked at the impact of multiple affective reactions. Moreover, the mediating mechanisms of this impact are still debated, with several mediation models proposed, but never tested and compared at the same time. In this thesis, eight studies were conducted that took a closer look at these two issues. The results show that multiple affective reactions combine in order to impact the decision and that in this combination, feelings are averaged. However, the combination only happens when the affective reactions are related to the same decision source (e.g. two reactions associated with a potential reward). When, on the other hand, the affective reactions are associated with two independent decision sources (e.g. one reaction associated with a task and the other with the potential reward), there is no combination and people only rely on the affectivity associated with the consequential source (i.e. the rewards). Finally, the most consistently obtained mediation model was where only immediate affective reactions mediated between the affective source and the decision. The results extend the literature by demonstrating the phenomenon of affective combination along with the boundary conditions that govern its impact on the decision, they offer new insights into what mediates this impact, and they provide solid ground for future work aimed at looking at multiple affective reactions’ impact on decisions
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Nunes, Maurício Simiano. "Preços dos ativos e política monetária : um estudo para os países emergentes no período 1990-2006." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2008. http://hdl.handle.net/10183/24936.
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Nesta tese analisamos a influência dos preços dos ativos na condução da política monetária nos países emergentes no período de 1990 a 2006. Primeiramente, investigamos a presença de bolhas racionais nos preços das ações dos países emergentes através de testes de cointegração linear e não linear. Os resultados indicam a presença de bolhas racionais em pelo menos um dos testes realizados para cada um dos países estudados. Todavia, nossos resultados permitem concluir que as bolhas tendem a ser provocadas por fatores extrínsecos e não pela relação não linear intrínseca entre os preços das ações e os dividendos. Estudamos também a relação entre os retornos de mercado, inflação esperada e crescimento/hiato do produto, através de testes individuais e em conjunto utilizando modelos em painel linear e não linear. Em ambos verificamos que as variáveis financeiras carregam informações úteis, tanto direta como indireta, a respeito da inflação e do crescimento do produto, dentro ou fora da amostra. Por fim, investigamos se os preços dos ativos devem exercer um papel central nas decisões de política monetária, através de modelos GMM (individuais e em painel) e de otimização dinâmica. Os resultados indicam que a razão dividendo-preço e a taxa de câmbio real são bons instrumentos na função de reação dos bancos centrais dos países emergentes, porém não podemos concluir que estas variáveis devam ser utilizadas como argumentos nestas funções de reação. Os resultados também indicam que, nos países que optaram pelo regime de metas de inflação estrita, a melhor opção seria não considerar explicitamente os retornos das ações em suas funções de reação. Para bancos centrais atuando em regimes de metas de inflação com política monetária acomodatícia ou outro tipo de regime, a melhor opção seria considerar os preços das ações em suas funções de reação.We examine the relationship (if any) between stock prices and monetary policy in 22 emerging countries over the period 1990-2006. First, we investigate whether rational stock price bubbles are present in such countries using linear and nonlinear cointegration. Bubbles were found in at least one out of the six tests considered. These were likely to be caused by extrinsic factors, rather than by the intrinsic nonlinear relation between the stock prices and dividends. Secondly, we evaluate the link between market returns, expected inflation and output gap and growth by employing both individual and joint tests of linear and nonlinear panel models. We find that the stock prices convey useful information about inflation and output growth in-sample and out-of-the-sample Finally, we ask whether the stock prices are to be given a central role in monetary policy decisions using both (individual and panel) GMM models and dynamic optimization. We find that though the dividend-price ratio and the real exchange rate can provide useful information for monetary policy decisions, we should not jump to the conclusion that they have to be considered as arguments of the central banks' reaction functions. For the central banks with explicit inflation targeting, the best choice is not to consider the stock returns in their reaction functions. However, for the other regimes the best choice is to consider the stock returns in the reaction functions.
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Ramatlo, Tshegofatso. "Monetary policy and the stock market in South Africa: how do South African equity prices respond to expected and unexpected changes in the repo rate?" Master's thesis, Faculty of Commerce, 2019. http://hdl.handle.net/11427/30975.
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This analyses the impact of unexpected changes in monetary policy on the South African equity market over the period 2005 -2018. In an attempt to understand this relationship, two main views have emerged. The wealth effect suggests that monetary policy changes have an indirect effect on the stock market, via changes in the value of private portfolios. On the other hand, it has been argued that the stock market is an independent source of macroeconomic volatility to which policy makers may wish to consider. This paper applies an event study approach to examine the stock market reaction to monetary policy. Furthermore, to understand the economic sources underpinning that reaction a Vector autoregressive model is estimated. The results suggest that on average, a surprise rate hike of 100 basis points causes short term JSE All Share index total returns to decline by 2.71%. We also find that the stock market reacts positively (negatively) to expansionary (contractionary) unexpected monetary policy actions due to revised market expectations about future dividends, excess premiums and the discount rate. The findings are crucial for central bank policy makers and JSE stock market investors.
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Sanchez, Benito. "Two essays on the predictability of asset prices: "Benchmarking problems and long horizon abnormal returns" and, "Low R square in the cross section of expected returns"." ScholarWorks@UNO, 2007. http://scholarworks.uno.edu/td/1080.
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This dissertation consists of two essays on predictability of asset prices. "Benchmarking problems and long horizon abnormal returns" and, "Low R-square in the cross section of expected returns". Long run abnormal returns following Initial Public Offerings (IPOs), Seasoned Equity Offers (SEO) and other firm level events are well documented in the finance literature. These findings are difficult to reconcile in an efficient markets world. I examine the seriousness of potential benchmarking errors on the measurement of abnormal returns. I find that the simpler, more parsimonious models perform better in practice and finds that excess performance is not predictable regardless of the APM. Thus, the long run underperformance following SEOs found in the literature is consistent with market efficiency because excess performance itself is not predictable. In the other essay, "Low R-square in the cross section of expected returns", I examine the “low R-square†phenomenon observed in the literature. CAPM predicts exact linear relationship between return and betas (SML). This means that estimated time series betas for firms should be related with firms' future returns. However, the estimated betas have almost no relationship with future returns. The cross-sectional R2 are surprising low (3% average) while time series R2 are higher (around 30 % average). He develops a simple asset pricing model that explains this phenomenon. Even in a perfect world where there are no errors in the benchmark measurement or estimation of the price of market risk the difference in R-squares can be quite large due to the difference in variance between the "market" and average returns. I document that market variance exceeds the variance of average returns, with few exceptions, for the last 74 years.
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Ekici, Tufan. "An investigation of credit card debt." Columbus, Ohio : Ohio State University, 2006. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1141228519.
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Thesis (Ph. D.)--Ohio State University, 2006.An investigation of credit card debt: the effect of price and income expectations and the impact on consumption. Includes bibliographical references (p. 108-111).
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Krohn, Lisa, and Julia Henriksson. "Anbudsstrategi vid offentlig upphandling : Beslutsmodell vid analys av anbud och prissättning hos Permobil AB." Thesis, Mittuniversitetet, Avdelningen för informations- och kommunikationssystem, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:miun:diva-25515.
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Syftet med studien har varit att undersöka om det är möjligt att tillämpa en beslutsmodell för att lösa ett problem avseende anbudsstrategi vid offentlig upphandling. När ett företag har en kund som omfattas av lagen om offentlig upphandling gäller särskilda regler vid upphandlingar. För ett företag är det viktigt att känna till dessa regler vid inlämning av anbud. Detta är dock oftast inte tillräckligt för att vinna en upphandling, eftersom det då också gäller att deras produkts jämförelsepris är lägre än konkurrenternas. En beslutsmodell, baserad på data från tidigare upphandlingar, har tagits fram för att kunna underbygga ett verktyg gällande anbudsstrategi. Beslutsmodellen är uppbyggd av diverse teorier som beslutsmatris, beslutsträd, lognormal fördelning och förväntat monetärt värde. Tillvägagångssättet har bestått av insamling av information och data via intervjuer, samt andra källor såsom litteratur, artiklar, uppsatser och upphandlingar, där metoden design science har använts. Utifrån en generell beslutsmatris och ett beslutsträd samt beräkningar har beslutsmodellen kunnat tas fram. Beslutsmodellen är i första hand avsedd för att underbygga ett verktyg för företag som är leverantör av eldrivna rullstolar men skulle även kunna appliceras i andra typer av upphandlingar. Beslutsmodellen kan ge stöd till ett verktyg som i sin tur skulle kunna användas av beslutsfattare. Beslutsfattarna får dock inte endast utgå från dess information, som är baserad på tidigare upphandlingar, utan bör också analysera konkurrenternas nutidssituation. Nyckelord: Beslutsmodell, offentlig upphandling, anbudspris, jämförelsepris, beslutsfattare, beslutsmatris, beslutsträd, lognormal fördelning, förväntat monetärt värdeThe aim of the study has been to investigate if it is possible to apply a decision model when solving a problem with bidding strategies in public procurement. When a company has costumers comprehended by the laws in public procurement, there are certain rules involved. For a company it is important to be aware about these rules, when setting their bids. Though this is often not enough for a winning procurement, because of the fact that the products comparison prices need to be lower than the competitors'. A decision model, based on data from earlier procurements, has been developed to reinforce a tool with bidding strategies. The decision model is composed by various theories, like decision matrix, decision tree, lognormal distribution and expected monetary value. The procedure through the study has contained data and information acquisition via interviews and other references like literature, articles, thesis and procurements. Based on a general decision matrix and a decision tree, as with calculations, the decision model has been generated. The decision model is mainly designed to reinforce a tool for companies supplying electric wheelchairs to costumers but could also be applicable in other types of procurements. The decision model could be a support when constructing a tool, which consequently could be used by decision makers. The decision makers can however not only adopt the ideas based on earlier procurements. They also need to analyse the competitors’ situations in present time. Keywords: Decision model, public procurement, bidding prices, comparison prices, decision maker, decision matrix, decision tree, lognormal distribution, expected monetary value
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Nebout, Antoine. "Decision making under compound uncertainty : experimental study of ambiguity attitudes and sequential choice behavior." Thesis, Montpellier 1, 2011. http://www.theses.fr/2011MON10051.
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Cette thèse appartient au domaine de la théorie de la décision en situation d'incertitude. Elle vise à comprendre, décrire, et représenter les choix individuels dans différents contextes de décision. Notre travail se concentre sur le fait que le comportement économique est souvent influencé par la structure et le déroulement de la résolution de l'incertitude. Dans une première expérience nous avons confronté nos sujets à différents types d'incertitude – à savoir du risque (probabilités connues), de l'incertain (probabilités inconnues), du risque composé et de l'incertain composé – en utilisant des mécanismes aléatoires particuliers. Le chapitre 1 analyse l'hétérogénéité des attitudes individuelles face à l'ambiguïté, au risque composé et à l'incertain composé alors que dans le chapitre 2, le modèle d'espérance d'utilité à dépendance du rang est utilisé comme outil de mesure afin d'étudier en détails ces attitudes au niveau individuel. Le chapitre 3 confronte à l'expérience l'interprétation de l'ambiguïté en terme de croyances de second ordre et propose une méthode d'élicitation de la fonction qui caractérise l'attitude face à l'ambiguïté dans les modèles « récursifs » de décision face à l'incertain. La seconde partie de la thèse s'intéresse aux comportements de décision individuelle dans un contexte dynamique et est composée de deux études expérimentales indépendantes. Néanmoins, elles reposent toutes deux sur la décomposition de l'axiome d'indépendance en trois axiomes dynamiques: conséquentialisme, cohérence dynamique et réduction des loteries composées. Le chapitre 4 rapporte les résultats d'une expérience de décision individuelle sur les facteurs de violations de chacun de ces axiomes. Le chapitre 5 présente une catégorisation conceptuelle des comportements individuels dans des problèmes de décision séquentiels face au risque. Le cas des agents ne se conformant pas à l'axiome d'indépendance y est étudié de façon systématique et les résultats d'une expérience spécialement conçue pour tester cette catégorisation sont présentésThis thesis belongs to the domain of decision theory under uncertainty and aims to understand, describe and represent individual choices in various decision contexts. Our work focuses on the fact that economic behavior is often influenced by the structure and the timing of resolution of uncertainty. In a first experimental part, we confronted subjects with different types of uncertainty, namely risk (known probabilities), uncertainty (unknown probabilities), compound risk and compound uncertainty, which were generated using special random devices. In chapter 1 we analyze the heterogeneity of attitudes towards ambiguity, compound risk and compound uncertainty whereas in chapter 2, we use rank dependent expected utility as a measuring tool in order to individually investigate these attitudes. Chapter 3 confronts the interpretation of ambiguity in term of second order beliefs with the experimental data and proposes a method for eliciting the function that encapsulates attitudes toward ambiguity in the “recursive” or multistage models of decision under uncertainty. The second part of the thesis deals with individual decision making under risk in a dynamic context and is composed of two independent experimental studies. Both of them rely on the decomposition of the independence axiom into three dynamic axioms: consequentialism, dynamic consistency and reduction of compound lotteries. Chapter 4 reports experimental data about violations of each of the three axioms. Chapter 5 presents a conceptual categorization of individual behavior in sequential decision problems under risk, especially those which do not conform to the independence axiom. We propose an experiment specially designed to test the predictions of this categorization
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Hamdi, Faiza. "Optimisation et planification de l'approvisionnement en présence du risque de rupture des fournisseurs." Thesis, Ecole nationale des Mines d'Albi-Carmaux, 2017. http://www.theses.fr/2017EMAC0002/document.
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La libéralisation des échanges, le développement des moyens de transport de marchandises à faible coût et l’essor économique des pays émergents font de la globalisation (mondialisation) des chaînes logistiques un phénomène irréversible. Si ces chaines globalisées permettent de réduire les coûts, en contrepartie, elles multiplient les risques de rupture depuis la phase d’approvisionnement jusqu’à la phase finale de distribution. Dans cette thèse, nous nous focalisons sur la phase amont. Nous traitons plus spécifiquement le cas d’une centrale d’achat devant sélectionner des fournisseurs et allouer les commandes aux fournisseurs retenus. Chacun des fournisseurs risque de ne pas livrer ses commandes pour des raisons qui lui sont propres (problèmes internes, mauvaise qualité) ou externes (catastrophe naturelle, problèmes de transport). Selon que les fournisseurs sélectionnés livrent ou non leurs commandes, l’opération dégagera un profit ou sera déficitaire. L’objectif de cette thèse, est de fournir des outils d’aide à la décision à un décideur confronté à ce problème tout en prenant en compte le comportement du dit décideur face au risque. Des programmes stochastiques en nombre entiers mixtes ont été proposés pour modéliser ce problème. La première partie du travail porte sur l’élaboration d’un outil visuel d’aide à la décision permettant à un décideur de trouver une solution maximisant le profit espéré pour un risque de perte fixé. La deuxième partie applique les techniques d’estimation et de quantification du risque VAR et CVaR à ce problème. L’objectif est d’aider un décideur qui vise à minimiser la valeur de l’espérance du coût (utilisation de VaR) ou à minimiser la valeur de l’espérance du coût dans le pire des cas (utilisation de VAR et CVaR). Selon nos résultats, il apparaît que le décideur doit prendre en compte les différents scénarios possibles quelque soit leurs probabilités de réalisation, pour que la décision soit efficaceTrade liberalization, the development of mean of transport and the development economic of emerging countries which lead to globalization of supply chain is irreversible phenomen. They can reduce costs, in return, they multiply the risk of disruption from upstream stage to downstream stage. In this thesis, we focus on the inbound supply chain stage. We treat more specifically the case of a purchasing central to select suppliers and allocate the orders. Each of the suppliers cannot deliver its orders due to internal reasons (poor quality problems) or external reasons (natural disasters, transport problems). According to the selected suppliers deliver their orders or not, the transaction operation will generate a profit or loss. The objective of this thesis is to provide decision support tools to a decision maker faced with this problem by taking into account the behavior of decision maker toward risk. We proposed stochastic mixed integer linear programs to model this problem. In the first part, we focuses on the development of a decision support visual tool that allows a decision maker to find a compromise between maximizing the expected profit and minimize the risk of loss. In the second part, we integrated the techniques of estimation of risk VaR and CVaR in this problem. The objective is to help decision maker to minimize the expected cost and minimize the conditional value at risk simultanously via calculating of VaR. Result shows that the decision maker must tack into account the different scenarios of disruption regardless their probability of realisation
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Piton, Nicolas. "Optimisation de la prise en charge diagnostique, pronostique et théranostique des carcinomes broncho-pulmonaires humains : des techniques d’imagerie in vivo à la biologie moléculaire. Ligation -dependent RT-PCR : a new specific and low-cost technique to detect ALK, ROS and RET rearrangements in lung adenocarcinoma A new assay for detection of theranostic gene translocations and MET exon 14 skipping in thoracic oncology. One-year perspective routine LD-RT-PCR in 413 newly diagnosed lung tumors STK11 mutations are associated with lower PDL1 expression in lung adenocarcinoma BRAF V600E mutation is not always present as expected ! A case report of lung and thyroid carcinomas A novel method for in vivo imaging of solitary lung nodules using navigational bronchoscopy and confocal laser microendoscopy." Thesis, Normandie, 2019. http://www.theses.fr/2019NORMR119.
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Le carcinome pulmonaire est une affection grave et fréquente dont la prise en charge a été bouleversée ces dernières années, tant sur le plan diagnostique que pronostique ou « théranostique » avec l’avènement des « thérapies ciblées ». Ces dernières permettent une nette amélioration de la survie et du confort des patients éligibles, mais ne sont pas sans compliquer le travail médical, depuis le diagnostic de la maladie jusqu’au suivi régulier du patient, sans oublier le choix des traitements ou les problèmes techniques posés par la multiplication arborescente des altérations moléculaires à rechercher à partir d’un tissu tumoral souvent peu abondant dans ce contexte particulier de l’oncologie thoracique. Ce travail de thèse collige 5 travaux de recherche selon deux angles d’approche : les marqueurs moléculaires pronostiques et « théranostiques » du cancer pulmonaire, et les procédures de diagnostic in vivo de cette pathologie. Le premier axe comporte 4 articles. Les deux premiers concernent l’évaluation d’une nouvelle technique moléculaire, la LD-RT-PCR, dans la détection des translocation géniques du cancer pulmonaire : la première étude est une étude de faisabilité, la deuxième est un travail de validation. Le troisième article explore l’association entre la présence d’une mutation STK11 dans les carcinomes pulmonaires et l’expression de PDL1. Enfin, le quatrième article est une étude de cas illustrant l’importance de l’approche morphologique du cancer pulmonaire. Le second axe est représenté par un travail comparant une technique d’imagerie in vivo par voie endoscopique utilisant la micro-endoscopie confocale par laser avec l’approche microscopique conventionnelleLung cancer is a serious and frequent condition for which the management strategies have been dramatically modified in recent years, from a diagnostic, prognostic and “theranostic” perspective, most notably with the introduction of “targeted therapies”. The latter have demonstrated dramatic improvement in both quality of life and survival rates of eligible patients, yet consequently highlight new complications in diagnosis, treatment options or technical considerations which can be attributed to the growing number of molecular alterations to be detected from limited tissue samples frequently encountered in thoracic oncology. This work combines 5 different research papers from 2 different angles: prognostic and “theranostic” molecular markers of lung cancer, as well as in vivo diagnostic procedures of lung cancer. The first angle encompasses 4 articles. The first two evaluate a new molecular technique, LD-RT-PCR, to detect gene translocation in lung cancer. The third article explores the association between STK11 mutations in lung cancer and the expression of PDL1. Finally, the fourth article is a case report illustrating the importance of a morphological approach to lung cancer. The second angle compares in vivo imaging techniques by endoscopy using confocal laser microendoscopy alongside a conventional microscopic approach
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Huang, Hsin Chin, and 黃幸琴. "The Effect of Belief and Price on Expected Quality of Lucky Charms." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/70022920077213656628.
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碩士長庚大學
商管專業學院碩士學位學程在職專班經營管理組
103
Lucky Charms are the products which many consumers often buy or wear when facing unstable environments. Lucky Charms are expectedto help them to ward off disasters or bring good lucks to them. However, whether this expectation is affected by personal beliefs or price has not been completely discussed. Accordingly, there are three purposes in this study: (1) to investigate the relationship between the personal belief and expected quality of lucky charms, (2) to investigatethe relationship between consumer perceived price and expected quality of lucky charms, (3) to test the moderator effect of personal belief on the relationship between consumer perceived price and expected quality of lucky charms. In terms of convenience sampling and quantitative questionnaires, online surveys were conducted with 150 consumers who have ever used lucky charms. After the tests of scale reliability and validity, hypotheses were tested by regression analysis. The results of the present study show that belief does have positive influences on expected quality of lucky charms. In contrast,the correlation between consumer perceived price and expected quality of lucky charms is negative. Based on the results, the suggestion of this studyis that the marketers of lucky charm (1) should choose those people who have strong beliefs in it as their target, (2) and should use the expertise of salespersons to enhance the consumer beliefs in lucky charms, (3) butshould not use overpricing to affectthe expected quality of lucky charms.
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Lai, Wei-Ren, and 賴韋任. "Value at risk and expected shortfall on risk assessment of the crude oil price." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/10817587898541652393.
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碩士長榮大學
經營管理研究所
99
Recently, studies find that most financial Return of Asset have the leptokurtosis and the fat-tails phenomenon, because normal distribution can not capture the fat-tails. Therefore, this study compares the skewed distribution and the traditional symmetric distribution. The empirical research finds that value at risk (VaR) estimate using the skewed distribution is more accurate than that using the traditional symmetric distribution. Using the volatility model, the performance of confidence level at 95% and 90% is better under the GARCH model; the performance of confidence level at 99.5% and 99% is better under the EWMA model. In addition, value at risk can not capture the tail risk, so this study also included the expected shortfall (ES), which offered more complete extreme loss events and tail risk information. When predicting ES, using the normal distribution is better. Among the volatility models, the GARCH model predicts better ES.
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Cheng, Chenghsiao, and 鄭丞孝. "The Stability of Expected Price and Exchange Rate Overshooting— An Asymmetric Two-Country Model Analysis." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/z93wvz.
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碩士國立暨南國際大學
經濟學系
100
Expectation influences the decision of short-run variables, yet, we do not know its effect on the stability of long-run equilibrium. This paper constructs an asymmetric two-country model to study the interaction of short-term and long-term equilibrium of price and exchange rate. We first calculate MSVREE and use E-stability principal to examine the E-stability of long-run equilibrium. Second, we observe the policy stability of exchange rate by checking the result of short-run and long-run outcome. The finding are: (i) In the consumer-oriented country, price and exchange rate are E-stable in some specific situations. (ii) In the producer-oriented country, price and exchange rate are E-unstable. (iii) In the view of policy stability, undershooting occurs in consumer- oriented country; however, (iv) the short-run exchange rate will perfectly match the long-run exchange rate in producer-oriented country.
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Chen, Jun-Wen, and 陳俊文. "An application of fuzzy sets theory to the inventory model with an expected price increase." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/04233364884374665442.
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碩士國立高雄海洋科技大學
航運管理研究所
94
For the procurements of importers and exporter, expected price increase is one of the important problems in their inventory policies. Most of the literatures assumed the announced price increase as a crisp. However, this may not be practical in real world. In practice, the expected price increase may be fuzzy, which is more suitable to be treated as a fuzzy number. The purpose of this study is to discuss the inventory policies with a fuzzy expected price. For wide applications, the fuzziness of demands and imperfect rate are also investigated in the models. The Yager’s ranking method is employed to solve the models with ranking the fuzzy cost functions. Finally, several numerical examples of triangular fuzzy number are provided to explain the applications and the characteristics of the models. The results are practical to provide useful information for inventory management, especially the importer and exporter.
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Liu, Jen-Hau, and 劉人豪. "Dynamic Price Jump and the Expected Shortfall of Minimum Variance Hedging Portfolio : The Case of WTI Crude Oil and Futures Prices." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/31349809169302870041.
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碩士淡江大學
管理科學學系碩士班
100
The fluctuations of the crude oil prices were severely influenced by the international political and economic influence. For the crude oil price volatility, risk management has become the main topics of the investors. For some rare events, the crude oil spot and futures prices are likely to maintain the phenomenon of price jump. In this study, the change of the price jump and the covariance relations of the spot and futures returns are captured by the bivariate ARJI-GARCH model proposed by Chan and Young (2006). The main research object is the spot and futures price of U.S. West Texas Intermediate crude oil in 2010-2011. Using the rolling-window method estimates the out-of-sample expected shortfall. The conditional expected shortfall of the minimum variance hedge portfolio is estimated by three models, unhedge model(GARCH model), bivariate GARCH model and bivariate ARJI-GARCH model. By comparing the estimating results, this study found that the bivariate ARJI-GARCH model estimates the conditional expected shortfall of the minimum variance hedge portfolio owns a better performance, because the bivariate ARJI-GARCH model can capture the dynamic volatility, dynamic jump process and the jump relation between the assets. Therefore, if considering only the dynamic volatility of asset prices, investors will be likely to bear the loss more than expected. This results can be a reference for investors to hedge.
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LIU, HONG-MING, and 劉弘明. "The Effects of Fake Product Information on Consumer Choice and Expected Price: A Perspective of Heuristic." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/32530206043698149252.
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碩士明志科技大學
經營管理系碩士班
105
For profit maximization, consumers tend to collect product information in every way they can before the purchase of merchandises. However, restricted by their personal capabilities, motives, and preferences, consumers can only follow the principle of least effort, relying on their accumulated experiences and the significance of a representative event for the criteria for judgment. Such a phenomenon of making decisions through quick access to information is called heuristics. Hence, this study explores the impact of fictional product information on the purchase of processed foods and the expected prices of products through the perspective of heuristics. This paper includes two studies. In the first study, the survey method is employed to obtain an understanding of consumers’ attitudes towards processed food and consumption behavior, such as their key considerations, brand preferences for processed foods, the degree of reassurance of food certification labels, the degree of acceptability of food ingredients and additives, the perceived risks of product categories, and the awareness of food safety news. The results have shown that among the consideration factors for processed foods, the top two are food certification labels and food ingredients. Health food labels are regarded as the most reassuring certification labels, and fatty glyceride the most acceptable ingredient. In addition, Kuang Chuan Dairy Co., Ltd. is considered the most reliable brand. Ingredients for hot pots are of the highest perceived risk, while nutritional supplements of the lowest. The gutter oil scandal is looked upon as the most impressive of all the news about food safety. In addition, the six fictional food labels specifically designed for this study received a medium degree of acceptability from the respondents. Even the least known ingredients received a low degree of acceptability. According to the above results, it has been verified that fictional labels and ingredients are an illustration of representativeness heuristics. On the other hand, the fact that altered and fabricated news about food safety received a medium degree of awareness signifies that consumers are inclined to take altered or fabricated news about food safety for truthful facts due to their fragmented memories. The way consumers evaluate the degree of truthfulness and credibility in food safety news is an illustration of availability heuristics. Study 2 conducts an experiment (mixed between-within subjects) with 3 × 2 treatments in which the presence and authenticity of the certification labels and the ingredients of products in processed food leaflets, as well as the subjects’ degree of perceived risks of products, are deliberately manipulated to measure consumers' purchase intention and expected product prices. The results show that fictional certification labels and the ingredients of products in direct mail can effectively enhance the respondents' purchase intention and the expected prices. The effect of heuristics that fictional product information may have on consumers' purchase intention and expected product prices becomes increasingly significant when consumers perceive a higher level of risk. Based on the results above, this study suggests that in addition to widely promoting the purchase of foods with safety certification labels, the government should also educate consumers on how to identify the genuineness of certification labels so as to avoid purchasing food of poor quality with false labels and ingredients fabricated by unscrupulous manufacturers. Hence, the sales of the food with genuine certification labels can be greatly improved; in the meantime, good manufacturers can make bigger profits as well.
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Tsuo, Cheng-Wen, and 左正玟. "Scarcity Product, Perceived Risk and Expected Product Price Impact on Purchase Intention－Social Identification Needs and Conspicuous Consumption as the Moderator." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/prj475.
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碩士國立中山大學
行銷傳播管理研究所
106
Regarding to the hunger marketing is increasingly appearing in the market, the effect of scarcity product has become increasingly important for both consumers and businesses. Therefore, this study will explore the scarcity of two products (scarcity due to supply and scarcity due to demand) whether it will affect the consumer’s purchase intention through expected product prices and product perceived risks separately, and under this framework whether the degree of consumer’s social identity and degree of conspicuous consumption will moderate the effects between two scarcity product and the two mediation variables, and will discuss how the scarcity product impact consumer’s product perception in detail. The main purpose is to discuss (1) The influence of the expected product price and perceived risk to the consumer purchase intentions, product attitudes, and electronic word-of-mouth communicated intentions in two scarcity phenomenon (scarcity due to supply and scarcity due to demand); (2) Whether different scarcity conditions would strengthen the effect of scarcity product on expected product price and perceived risk, and further impact the consumer purchase intentions, product attitudes and electronic word-of-mouth communicated intentions in different social identity degree by consumer; (3) Whether conspicuous consumption will moderate the effect of excepted product price and perceived risk in different scarcity conditions when consumers engage in purchasing behavior, and further impact the consumer purchase intentions, product attitudes and electronic word-of-mouth communicated intentions. This study conducted a quantitative research by One-factor experiment. The results confirmed the effectiveness of the S-E-D model in product scarcity again. Scarcity product due to supply has a positive and significant effect on product attitudes through the expected product price. Scarcity product due to demand has a negative and significant effect on electronic word-of-mouth communicated intentions through perceived social risk. The moderation effect part, it is found that consumer’s degree of social identity needs and the degree of conspicuous consumption will not affect between scarcity product and two mediation variables. Based on the results of the survey, this study further provides future research and practical advices.
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楊博宇. "Why is Taipei housing expected appreciation rising fast? -Using price rent ratio to discuss the differences between consumption value and investment value." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/33jfhb.
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碩士國立政治大學
地政學系
106
In recent years, housing prices in Taipei have been rising sharply without significant increase in rents. Gross rent multiplier (price/rent, i.e., GRM) is an important indicator of real estate market. Prices can be regarded as the sum of the consumption value and the investment value. In contrast, rents show only consumption value. Therefore, a rise in the gross rent multiplier means that buyers think the investment value is increasing. However, there are many factors that affect housing prices and rent, and cannot be analyzed using only average price or rent. To clarify the individual differences in housing, this paper measures the GRM for each house and calculates the impact of housing features, location and time on the gross rent multiplier to discuss the interaction between investment and consumption. This study uses housing sale and rental data in Taipei City from January 2013 to December 2016. The rental model is formed by using hedonic price theory to calculate the GRM. Then the GLS model and quantile regression is used to analyze the GRM. The result shows that location and time are the main contributors for the change of investment value. The GRM in Taipei city average about 50. They are higher for large properties located in downtown and bought at market’s peak. The highest quantile result indicates that the GRM in downtown area are higher than others quantile, thus the capital gain in downtown makes investment value increase. The empirical result can clarify the phenomenon in Taipei City, and contributes to future policy making.
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PAN, CHUN-HO, and 潘俊和. "A Study of Expected Housing Price on the Impact of Economic Benefits of Participation in Urban Renewal - Case Study of New Taipei City." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/wpt7h6.
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博士國立彰化師範大學
財務金融技術學系
107
During economically active periods, urban population density increases in response to the development of commercial activities. At the same time, urban buildings gradually become old and damaged. Therefore, urban renewal is a plan that must be taken seriously in commercial development to improve the public safety of urban buildings and enhance the public interest of the city as a whole. At present, the government encourages the urban renewal policy. If the urban renewal participant resides in a lower-price area, the amount of the reward may be difficult to compensate for the opportunity cost of urban renewal. On the other hand, landlords and implementers have problems with information asymmetry, which cannot be solved through the Floor Area Incentive system. Furthermore, the Floor Area Incentive system has a high amount of wealth transfer for urban renewal participants, which may have external uneconomic effects for other social groups. This study attempts to discuss the economic system's efficiency through the bottom-up concept, and from the perspective of urban renewal participants, it conducts relevant research on urban renewal implementers, landowners, and overall economic benefits. Given the expected price of the urban renewal location, the market price mechanism arguments discuss the economic benefits of the urban renewal participants to examine the key factors of the urban renewal case. The results of this study can be summarized into four points: First, the price mechanism of the value of the case can effectively improve the economic benefits of urban renewal participants. Second, the use of the construction space has a positive impact on the economic benefits of urban renewal participants. Third, the impact of public facilities on the economic benefits of urban renewal is different between implementers and landlords. Fourth, the public safety facilities in this research case have no impact on the implementers and landlords.
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Yen-Wen, Ting, and 丁彥文. "The Research of The Impact of Market Share,Selling Price and Corporate Image on expected Service Quality and Purchase Intention-Network Externality as Moderating Variable." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/33977078310218518576.
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碩士實踐大學
企業管理研究所
93
ABSTRACT When the consumer has a cognition of the service in the process, sometimes is not easy to collect the product or the service information, therefore must have to rely on some us to be able to see the external clue, and so on judges its quality like the market share or the price. According to Hellofs & Jacobson (1999), between the market share and the consumer expected service quality, is affected by the network externality . When the consumer has the positive network externality, the market share and the consumer expected service quality is positive; Otherwise is negative. This research thought the consumers usually judge the important external clue of the quality in the high service industry is market share, price and corporate image. The purpose of this research discusses the consumers who want to apply for the credit cards, compare with the market share , the price and the corporate image in expected service quality and purchase intention . Then take the positive and negative network externality as the disturbance variable which tests to the consumer whether can create its difference of the expected service quality, finally discusses the relation between the expected service quality and the purchase intention. This research used 2x2x2x2 between-subjects experimental design to test hypotheses. The result of this research pointed out the different ways about framing and will obtain the result to confirm hypothesis of the research. This research main result is detectable: (1) The expected service quality and purchase intention that are produced by the consumers will be better notably than the consumers who have low market share. (2) When the situation of the positive network externality, the expected service quality and purchase intention which has the high market share and good corporate image will be better notably than the others with low market share. (3) When the situation of negative network externality, the expected service quality and purchase intention which has the low market share and good corporate image will be better notably than the others with high market share but bad corporate image. (4) When the situation of the positive and negative network externality, the price does not achieve the salient of the Statistics, but presents the high price produces the expected service quality and purchase intention is better than the low price.
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Hsiang-ChingWang and 王湘晴. "The Expected Effect of Historic Districts on Local Housing Prices in Tainan." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/6wa2bj.
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碩士國立成功大學
都市計劃學系
106
While historic preservation is thought to have the economic value, and historic designation has become an important tool to preserve neighborhood, efforts have been made to investigate if historic districts have positive spillovers or restriction on property values in surrounding neighborhoods. Tainan city government formulated historic district related land use control and urban design guidelines in 2018. The purpose of this study is to examine the expected impact of historic district on regulated neighborhood and non-regulated neighborhood. This study employs hedonic price models to estimate local housing prices from 2013 to 2017 in Fucheng historic district. Results suggest that, to properties in the adjacent area of historic resources, that is, regulated area, the expecting costs is not more than benefits in every case. These findings indicate that to each historic resources, preservation could have negative or positive impact on local housing prices. Thus, the results have demonstrated that historic districts have both positive spillovers and restriction on property values in surrounding neighborhoods. In conclusion, the findings support the claim that historic preservation have the economic value, and this study has indicated that historic designation might have restriction on property values in surrounding neighborhoods.
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Mazumdar, Chandra Sen. "Seat Allocation And Pricing in a Duopoly in The Airline Industry." Thesis, 2016. http://etd.iisc.ernet.in/handle/2005/2721.
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Revenue Management (RM) is the practice of managing perishable assets by control-ling their availability and/or prices with an objective to maximize the total revenue. Seat inventory allocation falls in the purview of quantity-based RM. The liberalization of the aviation sector and the subsequent entrance of the low-cost carriers saw an ever-increasing customer base for the airline industry. Given the large number of buyers, firms were free to decide the price at which they would sell tickets. The low-cost carriers started to follow a third degree price discrimination and segmentation of the market, charging a higher price to the market with a relatively inelastic demand.
Although a lot of work has been done in the area of seat inventory allocation under a monopolistic market scenario, we realized that not a lot of work had been done in a competitive market scenario. This thesis considers the problem of seat inventory allocation and pricing in a duopoly where each of the competing airlines have two fare-classes. We consider the possibility that the same fare-class may be priced differently by the two competing airlines and allow for the over flow of passengers between the airlines in the same fare-class. In the first part of our work, we develop a non-linear mathematical model for setting the booking limits for one of the two competing air-lines such that the revenue earned is maximized. We consider over flow of passengers from one airline to another in the same fare-class in response to a price differential and compare the results obtained from our model with the standard Expected Marginal Seat Revenue (EMSR) model under a monopolistic scenario. The results show that our model gives higher revenues than that obtained from the EMSR model.
In the second part of our work, we consider a non-cooperative game between two competing airlines with price cutting as the strategy to increase their demand. Through numerical computations, we identify the pure strategy Nash equilibrium. From the results, we conclude that Nash equilibrium is achieved only when both the airlines follow the same pricing strategy indicating that individual price cutting will not be beneficial. This also indicates that unless the competitors enter into a cooperative coalition with each other, they would not benefit from deep discount offers.
In the third and final part, we prove theoretically the existence of pure strategy Nash equilibrium in a two airline, two fare-class problem with price sensitive over flow of customers in the same fare-class that was computationally analysed earlier. The strategy / strategies at which Nash equilibrium is achieved are identified. We show that Nash equilibrium is only achieved when both the airlines price identically. Hence, our thesis concludes that differential pricing does not hold any significance for the competing airlines from an operational perspective.
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Ching, Yu-Ting, and 荊鈺婷. "Influence of Expected and Unexpected Events on Abnormal Returns of Stock Prices : An Example of Biotech Stocks in Taiwan." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/56140591693155866555.
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碩士東吳大學
經濟學系
93
This study applies the ‘event study’ method to analyze the abnormal returns and cumulative abnormal returns of the stock prices in Taiwan’s biotechnology industry. The chosen events are the expected 2002 ‘Two Trillion Double Star’ government policy and unexpected 2003 ‘SARS-Sealed He Ping Hospital’ event. Stock price data of thirty-three TSE and OTC biotech companies in Taiwan are then collected and analyzed. These sample firms are divided into traditional and new biotech types. They can also be categorized into medical instrument, medicines, and food firms. Our major findings are as follows: 1.The expected and unexpected events both have significant effects on abnormal returns. The unexpected event of SARS significantly evokes the investment into biotech industry. 2.Investors prefer the traditional biotech stocks after the expected event occurs. However, this unexpected event increases the abnormal returns (especially for new biotech firms) up to an even larger amount. 3.Stocks of medicine firms have the highest cumulative abnormal returns in the expected event. Especially, medical instrument stock prices have the highest cumulative abnormal returns. 4.Taiwan’s biotech stocks market is ‘semi-strong efficient’.
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Cheng, Haorun. "Event study - the impact of merger announcement on the company´s stock prices." Master's thesis, 2021. http://hdl.handle.net/10362/132602.
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In 2019, U.S. Mergers & Acquisitions Value accounted for 9.31% of the U.S. GDP. To understand whether firms benefit or not from practicing M&A transactions, it is investigated in this paper the effect of merger announcement on both the acquirer’s and the target’s stock. Different methodologies for expected return are presented and discussed, afterwards, based on the abnormal returns calculated, the assumption of market efficiency is tested along with a cross-sectional comparison between different industries and time period.
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Von, Siebenthal Zorina. "Le rôle de l’insula dans la prise de décision risquée : apports de l’évaluation clinique suite à une résection focale unilatérale et de la neuroimagerie fonctionnelle." Thesis, 2019. http://hdl.handle.net/1866/24664.
Full textAbstract:
L'insula a longtemps été considérée essentiellement comme une partie du « cerveau viscéral » du fait de son rôle dans le traitement des réponses physiologiques et viscérales. Or, depuis l’avènement de l’imagerie cérébrale fonctionnelle, son implication dans divers aspects du fonctionnement neuropsychologique est devenue bien établie. De plus en plus d’études suggèrent que le cortex insulaire joue un rôle clé dans les circuits responsables de la prise de décision risquée. L’hypothèse des marqueurs somatiques suggère que les émotions influencent nos décisions aux moyens de changements physiologiques internes et viscéraux. Il a été proposé que l'insula participe à la prise de décision risquée en représentant les états somatiques de la situation chargée émotionnellement et en projetant ces informations au cortex préfrontal ventro-médian, constituant ainsi une structure clé dans les circuits responsables de la prise de décision. Les théories actuelles avancent que l’insula serait davantage impliquée dans la prise de risque lorsque l’individu fait face à une perte potentielle plutôt qu'à un gain. Toutefois, bien que plusieurs études supportent un rôle dans le processus décisionnel, la contribution spécifique du cortex insulaire demeure énigmatique. Les études qui composent cette thèse visent à mieux comprendre la façon dont l'insula participe à la prise de risque aux moyens de tâches neuropsychologiques de gambling qui permettent de simuler des situations de prise de décision de la vie quotidienne.
La première étude neurocomportementale examine les conséquences d’une résection au cortex insulaire sur la capacité à prendre des décisions face à un risque potentiel, chez des patients épileptiques réfractaires à la médication qui ont subi une résection unilatérale de cette région. Leurs performances à deux tâches de gambling sont comparées à celles d’un groupe de patients ayant subi une chirurgie de l'épilepsie du lobe temporal (épargnant l’insula) et d’un groupe d’individus contrôles en santé. Les résultats mettent en évidence une altération du patron de prise de risque chez les patients avec résection insulaire, qui se traduit par une difficulté à ajuster leur choix en fonction de la valeur attendue (EV) (c’est-à-dire le ratio entre la magnitude et les probabilités des résultats possibles) de l’option risquée en condition de perte. Cette étude appuie l’idée selon laquelle la prise de décision risquée implique différents processus neuronaux selon si le risque implique un gain ou une perte potentielle.
La seconde visée de cette thèse porte sur l’évaluation spécifique de la valence, de l’ampleur, de la probabilité et de l’EV de l’option risquée à l’activité insulaire au cours d’une prise de décision. Au moyen de l’imagerie par résonnance magnétique fonctionnelle, l’activité cérébrale d’individus en santé a été enregistrée, alors qu’ils complétaient une tâche de jeu de hasard. Les résultats de l’étude suggèrent un rôle prédominant de l’insula dans l’ajustement des décisions risquées en fonction de l’EV. De plus, l’activité de l’insula pendant la prise de décision était influencée par la sensibilité à la punition des participants.
En somme, les données de cette thèse contribuent à une meilleure compréhension du rôle spécifique de l’insula à la prise de décision risquée et conduisent à une réflexion sur l’évaluation neuropsychologique des atteintes insulaires.The insula has long been considered primarily as part of the « visceral brain » because of its role in the treatment of physiological and visceral responses. However, since the advent of functional brain imaging, its involvement in various aspects of neuropsychological functioning has become well established. More and more studies suggest that the insular cortex plays a key role in the circuits responsible for risky decision-making. The somatic marker hypothesis suggests that emotions influence our decisions by means of internal and visceral physiological changes. It has been proposed that the insula participates in risky decision-making by representing the somatic states of the emotionally charged situation and projecting this information to the ventromedian prefrontal cortex, thus constituting a key structure in the circuits responsible for decision. Current theories argue that the insula would be more involved in risk taking when the individual faces a potential loss rather than a gain. However, although several studies support a role in the decision-making process, the specific contribution of the insular cortex remains enigmatic. The studies that make up this thesis aim to better understand how the insula participates in risk taking with neuropsychological tasks of gambling that can simulate decision-making situations of everyday life. The first neurobehavioral study examines the consequences of insular cortex resections on the ability to make decisions about potential risk in drug-refractory epileptic patients who have undergone unilateral resection of this region. Their performance in two gambling tasks is compared to a group of patients who had surgery for temporal lobe epilepsy (sparing the insula) and a group of healthy control. The results highlight an alteration of risk taking in patients with insular resection, which results in difficulty in adjusting their choice according to the expected value (EV) (i.e. the ratio between the magnitude and probabilities of possible outcomes) of the risky option in the loss condition. This study supports the idea that risky decision making involves different neural processes depending on whether the risk involves a potential gain or loss. The second aim of this thesis deals with the specific assessment of the valence, magnitude, probability and EV of the risky option to insula activity during a decision-making process. Using functional magnetic resonance imaging, the brain activity of healthy individuals was recorded as they completed a gambling task. The results of the study suggest a predominant role of the insula in adjusting risky decisions based on EV. In addition, the activity of the insular cortex during decision-making was influenced by the participants' sensitivity to punishment. In sum, the data from this thesis contribute to a better understanding of the specific role of the insula in risky decision-making and lead to a reflection on the neuropsychological evaluation of insular lesions.