Search results for " discount."
showing 10 items of 36 documents
Product and service bundling decisions and their effects on purchase intention
1997
Examines the effects of four factors (the bundle: pure or mixed, the price discount, the functional complementarity of bundle components, and the number of bundle components) on consumers’ intentions to purchase product and service bundles. The findings were relatively consistent across product (automobile) and service (automotive service) contexts, and illustrate that pure bundles are preferred to mixed bundles, and a greater price discount is preferred to a lesser one. The results also indicate that five component bundles generate greater purchase intention than either three or seven component bundles, and that “very related” bundle components result in greater purchase intention than eit…
Identifying Portfolio-Based Risk Factors in Foreign Exchange Markets
2018
This paper shows that a link between the conditional mean and conditional volatility of any factor-mimicking portfolio in the foreign exchange (FX) market must exist if the proposed portfolio-based currency factor is priced and the pricing kernel has a linear factor structure. Thereby, this paper tests whether the carry risk factor and currency momentum are priced risk factors. Surprisingly, the carry risk factor does not meet the necessary conditions consistent with being a priced risk factor, whereas currency momentum indeed meets those criteria. The findings also indicate that the relation between the conditional mean and conditional risk is moreover economically reasonable for the curre…
Aggregation of preferences for skewed asset returns
2014
This paper characterizes the equilibrium demand and risk premiums in the presence of skewness risk. We extend the classical mean-variance two-fund separation theorem to a three-fund separation theorem. The additional fund is the skewness portfolio, i.e. a portfolio that gives the optimal hedge of the squared market return; it contributes to the skewness risk premium through co-variation with the squared market return and supports a stochastic discount factor that is quadratic in the market return. When the skewness portfolio does not replicate the squared market return, a tracking error appears; this tracking error contributes to risk premiums through kurtosis and pentosis risk if and only …
Assessing the economic profitability of Paulownia as a biomass crop in Southern Mediterranean area
2022
The increase of renewable energy production worldwide, occurred in the last years, is also attributable to some agroforestry species cultivated according to the short rotation coppice technique. Although these species are able of enhancing abandoned or marginal land leading to numerous environmental benefits, an increasing number of farmers are introducing them in place of agricultural crops. Therefore, since for a farmer economic sustainability is one of the main factors to introduce a biomass crop, the study aimed at evaluating the profitability of Paulownia, a species that has been spreading in recent years. In particular, an economic analysis has been carried out in a Southern Italian f…
Giant reedasenergycropforSouthernItaly: An economicfeasibilitystudy
2016
Among renewablesourcesgiantreedhasattractedagrowinginterestasenergycropespeciallyin Southern Europe,thankstoitslowagronomicinputrequirements.Thispaperaimedatevaluatingthe economic feasibilityofintroductionofgiantreedplantationasenergycropintheSouthernItaly.In particular,aneconomicand financial analysiswasperformedbycomparinggiantreed(bothfor woodchip andchoppedforageproduction)withtraditionalcrops(pluriannualandannual)thatare currentlycultivatedinthesamearea,suchaswinegrape,melonandtomato.Resultsshowedthehighest profitability ofgiantreedrespecttoothercropswithcurrentmarketprices.Inparticular,giantreed destined towoodchipproductiondenotedthehighestannualgrossmarginwithavalueof647.10 € ha1, f…
Why Moving Averages?
2017
This chapter presents a brief motivation for using moving averages for trend detection, how moving averages are computed, and their two key properties: the average lag (delay) time and smoothness. The most important thing to understand right from the start is that there is a direct relationship between the average lag time and smoothness of a moving average.
Growth in Average Firm Size of U.S. Industrial Portfolios and the Cross-Section of Expected Returns
2018
This paper shows that growth in average firm size in U.S. industrial portfolios predicts future growth in average firm size. Moreover, the payoffs of industrial portfolios sorted by growth in average firm size in the previous period increase linearly as we move from lowest to highest growth in average firm size. The spread between highest and lowest growth in average firm size is economically large and cannot be explained by exposures to standard risk factors or the asset growth effect (Cooper, Gulen, and Schill, 2008). Principal component analysis reveals that this growth in average firm size effect is linked to the first principal component. Moreover, stochastic discount factor model anal…
A Top-Down Method for Long-Term Investing
2021
This paper bases long-term investing on a tradeable stochastic discount factor (SDF), relates it to the growth optimal portfolio and argues for a top-down method, where modeling efforts are directed at capturing its long-run dynamics in a generalized setting. This differs from the common, cumbersome bottom-up method of modeling many risky securities in the marketplace. Various optimal portfolio strategies can be implemented efficiently using fractional expectations of the SDF. This paper illustrates empirically for the US stock market that the proposed method leads to higher wealth, higher returns on investment and higher long-term utility levels.
Proportional Small Sample Bias in Pricing Kernel Estimations
2014
Numerous empirical studies find pricing kernels that are not-monotonically decreasing; the findings are at odds with the pricing kernel being marginal utility of a risk-averse, so-called representative agent. We study in detail the common procedure which estimates the pricing kernel as the ratio of two separate density estimations. In a first step, we analyze theoretically the functional dependence for the ratio of a density to its estimated density; this cautions the reader of potential computational issues coupled with statistical techniques. In a second step, we study this quantitatively; we show that small sample biases shape the estimated pricing kernel, and that estimated pricing kern…