The importance of consumer multihoming (joint purchases) for market performance: Mergers and entry in media markets

Consumer “multihoming” (watching two TV channels, or buying two news magazines) has surprisingly important effects on market equilibrium and performance in (two‐sided) media markets. We show this by introducing consumer multihoming and advertising finance into the classic circle model of product differentiation. When consumers multihome (attend more than one platform), media platforms can charge only incremental value prices to advertisers. Entry or merger leaves consumer prices unchanged under consumer multihoming, but leaves advertiser prices unchanged under single‐homing: Multihoming flips the side of the market on which platforms compete. In contrast to standard circle results, equilibrium product variety can be insufficient under multihoming.     

Effect of Price Change Alert on Perceptions of Hotel Attribute-based Room Pricing (ABP) versus Traditional Room Pricing (TRP)

Aside from marketing information on traditional room rates, hotels and online travel agents (OTAs) are trying a new pricing technique based on the attributes of guestrooms. This research investigates how attribute-based room pricing (ABP) differs from traditional room pricing (TRP) in influencing consumer reactions when consumers receive a price change alert before (vs. after) sales. Through a series of experiments, we found that TRP and ABP result in similar alert attitude, brand attitude, and visit intention for presale price change alert. However, ABP leads to more favorable results for postsale price change alert. We examined the underlying mechanism and found that perceived fairness mediates the effect of pricing strategy on brand attitude, price alert attitude, and visit intention for postsale alert only. This research provides hotel managers and OTA marketers with guidance on when to send either type of price change message to consumers.     

The structure of information release and the factor structure of returns

We model how firms releasing information on different dates causes the CAPM to fail, requiring an additional factor based on the information structure to price assets. We exemplify this mechanism’s empirical relevance using quarterly earnings announcements, which cluster across months along size and book-to-market. Seventy percent of the alpha reduction from including SMB and HML occurs in the four main earnings announcement months. The information structure factor accounts for all of SMB and HML’s seasonal alpha reduction and one third of their overall alpha reduction. Controlling for size and book-to-market, exposures to SMB and HML vary with firms’ earnings announcement month.     

Forecasting the UK economy with a medium-scale Bayesian VAR

We estimate a Bayesian VAR (BVAR) for the UK economy and assess its performance in forecasting GDP growth and CPI inflation in real time relative to forecasts from COMPASS, the Bank of England’s DSGE model, and other benchmarks. We find that the BVAR outperformed COMPASS when forecasting both GDP and its expenditure components. In contrast, their performances when forecasting CPI were similar. We also find that the BVAR density forecasts outperformed those of COMPASS, despite under-predicting inflation at most forecast horizons. Both models over-predicted GDP growth at all forecast horizons, but the issue was less pronounced in the BVAR. The BVAR’s point and density forecast performances are also comparable to those of a Bank of England in-house statistical suite for both GDP and CPI inflation, as well as to the official Inflation Report projections. Our results are broadly consistent with the findings of similar studies for other advanced economies.     

Market impact: a systematic study of the high frequency options market

This paper deals with a fundamental subject that has seldom been addressed in recent years, that of market impact in the options market. Our analysis is based on a proprietary database of metaorders—large orders that are split into smaller pieces before being sent to the market—on one of the main Asian markets. In line with our previous work on the equity market [Said, E., Bel Hadj Ayed, A., Husson, A. and Abergel, F., Market impact: A systematic study of limit orders. Mark. Microstruct. Liq., 2018, 3(3&4), 1850008.], we propose an algorithmic approach to identify metaorders, based on some implied volatility parameters, the at the money forward volatility and at the money forward skew. In both cases, we obtain results similar to the now well-understood equity market: Square-Root Law, Fair Pricing Condition and Market Impact Dynamics.     

Change within purchasing and supply management organisations – Assessing the claims from maturity models

It is a wide-held assumption that professional development and change within purchasing and supply management (PSM) organisations can be explained and guided by a maturity model. In this paper the guidance which the maturity model concept offers to understand a PSM organisation's performance is assessed. The methodology is based on the outcomes of a literature review of PSM maturity models, development of an organisational change framework and the learning from three qualitative case studies. An alternative understanding of the development of the PSM organisation is offered through an organisational change framework, composing 1) movement transitions, 2) scalability of change, 3) acceptability of change, and 4) the substantive element of change. The research found that extant PSM maturity models are too rigid for PSM managers to apply, and although maturity models are commonly accepted in PSM literature, in practice, they may produce the opposite effect of what is promised. The PSM maturity models suggest that their application will lead to increased status and influence of PSM within the organisation; expectations that may not be met. PSM organisations’ change processes are subjected to a range of situational and contextual power relations which must be considered in order to advance the specific PSM organisation roles and responsibilities.     

Non-linear Gaussian sovereign CDS pricing models

Prior literature indicates that quadratic models and the Black–Karasinski model are very promising for CDS pricing. This paper extends these models and the Black [J. Finance 1995, 50, 1371–1376] model for pricing sovereign CDS’s. For all 10 sovereigns in the sample quadratic models best fit CDS spreads in-sample, and a four factor quadratic model can account for the joint effects on CDS spreads of default risk, default loss risk and liquidity risk with no restriction to factors correlation. Liquidity risk appears to affect sovereign CDS spreads. However, quadratic models tend to over-fit some CDS maturities at the expense of other maturities, while the BK model is particularly immune from this tendency. The Black model seems preferable because its out-of-sample performance in the time series dimension is the best.     

Hedonic pricing and the role of stud fees in the market for thoroughbred yearlings in Australia

Using data from one of Australia's largest thoroughbred auction houses, we investigate the price determinants of thoroughbred yearlings sold at auction. We include novel key variables to construct hedonic pricing models and examine the relative role of stud fees compared to the wide range of attributes in the pricing of yearlings. We find that the price effect of stud fees is influenced by the value buyers place on both the characteristics of sires and the characteristics of sire side siblings. The findings imply that the quality of dams a sire has been matched within the breeding market has consequential effects on yearling prices through the sire's stud fee and progeny.     

Some issues in blockchain for accounting and the supply chain,with an application of distributed databases to virtual organizations

This paper reviews some recent blockchain‐based applications for information capture, distribution and preservation. As part of that review, this paper examines two key concerns with current blockchain designs for accounting and supply chain transactions: data independence and multiple semantic models for the same information distribution problem. Blockchain applications typically integrate database, application and presentation tiers all in the same ledger. This results in a general inability to query information in the ledger and other concerns. Further, since most applications appear to be private blockchain applications, there is a concern of agents needing to accommodate multiple blockchains depending on who their trading partners are and what they request. Finally, this paper uses a distributed database to design a ‘blockchain‐like’ system for virtual organizations.