Bankruptcy spillover effects on strategic alliance partners

This paper examines whether a party to a strategic alliance or joint venture suffers from spillover effects when the other partner files for bankruptcy. We find that the non-bankrupt strategic alliance partners, on average, experience a negative stock price reaction around their partner firm's bankruptcy filing announcement. This negative effect is strongest for longer partnerships and those with higher returns at the announcement of the initial alliance formation. Furthermore, horizontal alliance firms in declining industries have lower returns, indicating that industry conditions can exacerbate expected problems for the non-bankrupt firm. Non-bankrupt partners also experience drops in profit margins and investment levels in the subsequent two years with the worst performance concentrated among the longer-term agreements. There is very little impact on the returns or performance for joint venture partners, which suggests that these agreements are more insulating for the partner firm.     

Local time and the pricing of time-dependent barrier options

A time-dependent double-barrier option is a derivative security that delivers the terminal value φ(S _T ) at expiry T if neither of the continuous time-dependent barriers b _±:[0,T]→ℝ₊ have been hit during the time interval [0,T]. Using a probabilistic approach, we obtain a decomposition of the barrier option price into the corresponding European option price minus the barrier premium for a wide class of payoff functions φ, barrier functions b _± and linear diffusions (S _t ) _t∈[0,T]. We show that the barrier premium can be expressed as a sum of integrals along the barriers b _± of the option’s deltas Δ _±:[0,T]→ℝ at the barriers and that the pair of functions (Δ ₊,Δ ₋) solves a system of Volterra integral equations of the first kind. We find a semi-analytic solution for this system in the case of constant double barriers and briefly discus a numerical algorithm for the time-dependent case.     

Restoring tourist flows and regenerating city's image: the case of Belgrade

The aim of this research is to examine the effects of the post-1990 transition on the relocation of tourism and changes in the structure of tourism over the last 20 years in Belgrade. Economic and social development altered spatial relations of tourist factors and elements. Apart from the old city core, new tourist zones and directions appeared. Tourist flows and economic challenges influenced the rationalisation of doing business and relocating the hotels outside the central city municipalities. Belgrade has been acknowledged as a low-cost destination of fun and nightlife and the city's new image has attracted more foreign tourists. Both the volume of foreign tourists and their countries of origin have changed significantly over the last several years. However, there have been negligible economic effects on the city's economy, despite this increase in the number of foreign tourists. In conclusion, we examine the implications of new directions in tourism development for the future position of Belgrade as a tourist destination in a competitive European market.     

Markov decision processes under model uncertainty

We introduce a general framework for Markov decision problems under model uncertainty in a discrete-time infinite horizon setting. By providing a dynamic programming principle, we obtain a local-to-global paradigm, namely solving a local, that is, a one time-step robust optimization problem leads to an optimizer of the global (i.e., infinite time-steps) robust stochastic optimal control problem, as well as to a corresponding worst-case measure. Moreover, we apply this framework to portfolio optimization involving data of the . We present two different types of ambiguity sets; one is fully data-driven given by a Wasserstein-ball around the empirical measure, the second one is described by a parametric set of multivariate normal distributions, where the corresponding uncertainty sets of the parameters are estimated from the data. It turns out that in scenarios where the market is volatile or bearish, the optimal portfolio strategies from the corresponding robust optimization problem outperforms the ones without model uncertainty, showcasing the importance of taking model uncertainty into account.     

Investigating the Impact of SERVQUAL Dimensions on Customer Satisfaction: The Lessons Learnt from Serbian Travel Agencies

Despite the rise of online travel booking services, it seems that traditional travel agencies remain an intractable part in the process of making travel arrangements for most travelers. Nevertheless, the question remains as to what triggers travelers' satisfaction with travel agencies. In order to explore this, we focused on Serbian travel agencies and researched the impact of the five individual SERVQUAL dimensions on travelers' satisfaction. Results revealed that four SERVQUAL dimensions (reliability, responsiveness, empathy and tangibility) had a significant influence on customer satisfaction. Copyright © 2011 John Wiley & Sons, Ltd.