Retailers’ product location problem with consumer search

Quantitative Marketing and Economics - With few exceptions, today’s retailers sell products across multiple categories. One strategic consideration of such retailers is product location,...     

Estimation and model adequacy checking for multivariate seasonal autoregressive time series models with periodically varying parameters

We introduce a class of multivariate seasonal time series models with periodically varying parameters, abbreviated by the acronym SPVAR. The model is suitable for multivariate data, and combines a periodic autoregressive structure and a multiplicative seasonal time series model. The stationarity conditions (in the periodic sense) and the theoretical autocovariance functions of SPVAR stochastic processes are derived. Estimation and checking stages are considered. The asymptotic normal distribution of the least squares estimators of the model parameters is established, and the asymptotic distributions of the residual autocovariance and autocorrelation matrices in the class of SPVAR time series models are obtained. In order to check model adequacy, portmanteau test statistics are considered and their asymptotic distributions are studied. A simulation study is briefly discussed to investigate the finite-sample properties of the proposed test statistics. The methodology is illustrated with a bivariate quarterly data set on travelers entering in to Canada.     

The Asset Growth Effect and Investor Protection in Emerging Markets: The Role of the Global Financial Crisis

The previous evidence shows that firms experience lower returns after a period with higher growth in assets. Two alternative explanations have been raised to explain this effect: mispricing and optimal investment. This study examines this effect in 26 emerging markets over the period of 2005–2013 with a special attention to the recent global financial crisis. We find a stronger asset growth effect during the crisis years relative to other years. This effect is stronger in firms with small or medium stock turnover ratio and firms operating in industries with low R&D intensity. We also investigate the heterogeneity across countries and find that a stronger asset growth effect during the crisis years exists only for emerging markets with low protection of shareholders and creditors. We argue that this evidence is in line with the mispricing hypothesis.