Betting against sentiment? Seemingly unrelated anomalies and the low-risk effect

The negative CAPM alphas of high-beta and high-variance stocks are attributable to an unaccounted factor in the CAPM. We use eight seemingly unrelated anomalies to construct a composite factor in the spirit of the optimal orthogonal portfolio (FOP). Accounting for FOP re-establishes a positive relation between beta and average returns in time series regressions as well as cross-sectional and explains the negative alphas of high-beta and high-variance stocks. To analyze economic drivers behind FOP, we perform a horse race between leverage constraints, investor sentiment, and disagreement. Our results highlight investor sentiment as the most promising explanation for the low-risk effect.     

On the Edge of Buying: A Targeting Approach for Indecisive Buyers Based on Willingness-to-Pay Ranges

Targeting the “right” consumers is a core part of marketing. Whereas existing techniques to identify these consumers use demographic or psychographic variables or behaviors such as response probabilities, a proposed new targeting approach builds on consumers’ incremental responses to identify them by their willingness-to-pay (WTP) ranges. These WTP ranges reveal a consumer as a definite buyer, a definite non-buyer, or an indecisive buyer. The proposed theoretical framework indicates that indecisive buyers offer the highest incremental responses to targeted marketing mix activities and thus should be the most preferred targeting group. A sequence of three laboratory experimental studies validates the proposed approach for targeted price discounts and non-price tactics. In addition, a large-scale field experiment involving a consumer engagement campaign that includes observed purchase behavior demonstrates the high external validity and applicability of this approach.     

The service quality-satisfaction link revisited: exploring asymmetries and dynamics

This study provides deeper insight in the link between service quality and customer satisfaction. The traditional assumption of a linear relationship is challenged by exploring asymmetries and dynamics. The simultaneous influence of service quality and customer experience on satisfaction is examined by means of nonlinear structural equation modeling. Results show that functional-utilitarian quality attributes (availability, efficiency, fulfillment, and privacy) lose their capability to delight customers as the customer relationship matures. In contrast, hedonic quality attributes (design, enjoyment, and image) only exhibit an increasing effect on satisfaction for more experienced customers. These insights are vital for service managers as they help to improve the efficiency of quality investments.     

Limit-order submission strategies under asymmetric information

This paper provides evidence that informed traders dominate the response of limit-order submissions to shocks in a pure limit-order market. In the market we study, informed traders are highly sensitive to spreads, volatility, momentum and depth. By contrast, uninformed traders are relatively insensitive to all these market conditions. The dominance of the informed over limit-order submissions is magnified by contrasts between them and the uninformed in the use of aggressively-priced limit orders.     

Comparative analysis of government forecasts for the Lisbon Airport

The study examines the official forecasts for airline passenger numbers for the Lisbon metropolitan area. Auto-regressive and exponential smoothing models are used to develop independent forecasts for passenger numbers. The forecasts show that the government forecasts are at the top end of estimates and should be considered overly optimistic.     

Messung der Werbeeffizienz — Ein zweistufiger DEA-Ansatz

Zusammenfassung  Marketingmanager stehen zunehmend unter Druck, millionenschwere Werbeinvestitionen zu legitimieren. Die Data Envelopment Analysis (DEA) hilft Werbeeffizienz messbar zu machen. Das Verfahren erlaubt es, den mehrstufigen Transformationsprozess ausgehend von Werbeinvestitionen über psychografische Wirkungen bis zum ?konomischen Werbeerfolg ganzheitlich abzubilden. Auf diese Weise wird der Wirkungsprozess der Werbung nicht mehr als Blackbox betrachtet, sondern in der Effizienzbewertung berücksichtigt. Dr. Maik Hammerschmidt Wissenschaftlicher Assistent und Habilitand am Lehrstuhl für ABWL und Marketing II an der Universit?t Mannheim Prof. Dr. Hans H. Bauer Professor für Marketing an der Universit?t Mannheim sowie Wissenschaftlicher Direktor des Instituts für Marktorientierte Unternehmensführung der Universit?t Mannheim     

Interest Rate Linkages Between the US and the UK During the Classical Gold Standard

One of the most critical and debated issues about the functioning of the classical gold standard is the issue of asymmetries in balance of payments adjustment. London is believed to be by several authors the 'conductor of the international orchestra' (Keynes, 1913, p.  19). This view implies a highly asymmetrically working system which tended to shift the burden of adjustment from the UK onto other countries. The alternative view is that the classical gold standard was a 'decentralised multipolar system', at least with reference to the balance of payments adjustment among industrial countries. In this paper we analyse causal relationships, impulse response functions and coherence between weekly US and UK 6-month interest rates using data from the National Monetary Commission (1910) covering the period 1890–1907. The main conclusion is that London was more vulnerable particularly in the medium run to changes in US interest rates than vice versa, contradicting the 'conductor of the orchestra view'. Comparing the result of the present study with those of Tullio and Wolters (1996), it seems that London was even more vulnerable to interest rate changes in New York than to changes in Paris and Berlin.