Sentiment-scaled CAPM and market mispricing

This study explores the conditional version of the capital asset pricing model on sentiment to provide a behavioural intuition behind the value premium and market mispricing. We find betas (β) and the market risk premium to vary over time across different sentiment indices and portfolios. More importantly, the state β derived from this sentiment-scaled model provides a behavioural explanation of the value premium and a set of anomalies driven by mispricing. Different from the static β–return relation that gives a flat security market line, we document upward security market lines when plotting portfolio returns against their state βs and portfolios with higher state βs earn higher returns.     

Evaluating discounts as a dimension of customer behavior analysis

Today, increased competition between organizations has led them to seek a better understanding of customer behavior through identifying valuable customers. Customers’ expectations about the price and quality of products and services play an important role in their selection process. In online businesses, competition and price differences between suppliers is high, so discounts will attract different customers. As a result, discounts and the frequency and amount of purchases can lead to better understanding of customer behavior. Customer segmentation and analysis is essential for identifying groups of customers. Hence, this study uses a model based on RFM called RdFdMd, in which d is the level of discount used to analyze customer purchase behavior and the importance of discounts on customers’ purchasing behavior and organizational profitability. The CRISP-DM and k-mean algorithm were used for clustering. The results indicate that using the R_dF_dM_d model achieves better customer clustering and valuation, and discounts were identified as an important criterion for customer purchases.     

计及外部性的储能系统价值测算及经济性评估

以应用在电力系统中的电储能系统为研究对象,以外部性理论为基础,构建了计及外部性的储能系统经济性测算模型,并以储能系统接入光伏电站为例,采用贴现现金流分析方法,预估储能投资成本和收益,分别从投资者角度和社会整体效益角度,来研究储能系统应用在可再生能源发电侧的经济性,并进行了盈亏平衡分析。通过盈亏平衡曲线分析了储能盈亏平衡情景,经济性分析结果显示储能系统的外部性收益占年收益比例较大。     

The effect of specific discount pattern in terms of price promotions on perceived price attractiveness and purchase intention: An experimental research

This study aims to investigate consumer perceptions and reactions in terms of specific discount patterns (fixed price, 40% discount, discount from 500 TL to 300 TL and 20% + 25% discount) in price promotion. According to the results, specific discount patterns in price promotion have a significant effect on perceived price attractiveness and purchase intention. When the specific discount patterns in price promotion and gender interaction were analyzed in terms of perceived price attractiveness, the scenario of the “discount from TL 500 to TL 300” significantly differentiated from both the control scenario (fixed price) and experimental scenarios for female. For males, no significant difference was found between the control and experimental scenarios. In terms of purchase intention, a significant difference was found between the fixed price scenario and the discount scenario from 500 TL to 300 TL and between the fixed price and 20% + 25% discount scenario. The theoretical managerial implications of the study were discussed, and future research suggestions were presented.     

A novel model to manage air cargo disruptions caused by global catastrophes such as Covid-19

The outbreak of the COVID-19 pandemic has drastically disrupted the air cargo industry. This disruption has taken many directions, one of which is the demand imbalance which occurs due to the sudden change in the cargo capacity, as well as demand. Therefore, the random change leads to excessive demand in some routes (hot-selling routes), while some other routes suffer from a big shortage of demand (underutilized routes). Routes are substitutable when there are several adjacent airports in the Origin & Destination (O&D) market. In this market, demand imbalance between substitutable routes occurs because of the above reasons. To tackle the demand imbalance problem, a novel model is introduced to estimate the quantity combinations which maintains the balance between underutilized and hot-selling routes. This model is a variant of the classic Cournot model which captures different quantity scenarios in the form of the best response for each route compared to the other. We then cultivate the model by integrating the Puppet Cournot game with the quantity discount policy. The quantity discount policy is an incentive which motivates the freight forwarders to increase their orders in the underutilized routes. After conducting numerical experiments, the results reveal that the profit can increase up to 25% by using the quantity discount. However, the quantity discount model is only applicable when the profit increase in the hot-selling route is greater than the profit decrease in the underutilized route.     

Economic Effect of Zoning Regulations on Korea's Small and Medium‐Sized Retailers*

In this paper, we investigated the economic effects of zoning regulations on the retail industry in Korea. We estimated the changes in the number of sales for retail stores using a panel regression analysis for stores in traditional markets. This analysis was conducted to examine the benefit of zoning regulations on retail stores. Our results show that the zoning regulations (called Traditional Commercial Activity Protection Zones) have contributed to an improvement in the actual business performance of small independent retailers. We found that the amount of sales for each store clearly increased on average in the areas designated as Traditional Commercial Activity Protection Zones where there was no market entry of mega supermarket chains (called SSM in Korea). We also present evidence that the effects of this policy differ geographically: the effects were stronger for small and medium cities than for large metropolitan cities. These results suggest that zoning regulations enacted by the government to protect traditional markets and small retailers should also consider regional differences when assessing policy effectiveness.     

European quanto option pricing in presence of liquidity risk

In this paper, we study the pricing problems of the European quanto options in which the underlying foreign asset is in imperfectly liquid markets. First, we assume that the dynamics of the underlying foreign asset price are affected by market liquidity and propose a liquidity-adjusted quanto model. This allows for the effects of market liquidity on European quanto option pricing. And then we derive the analytical pricing formulas for four different types of European quanto options. Finally, we empirically investigate the pricing performance of our proposed model with a European quanto construction involving the SSE 50 ETF, as the underlying asset, and the CNY/HKD exchange rate. Empirical results demonstrate that the pricing accuracy of the proposed model is markedly superior to that of the Black-Scholes quanto model. In other words, allowing for liquidity risk in the framework of European quanto option pricing can make markedly improvements in fitting the real market data. Particularly, the improvement rate is high for medium-term and out-of-the-money options. Moreover, these results are robust for different liquidity measures.     

Choice-Based Conjoint Analysis of the Local Coupon Preferences of Millennials

This article explores the local coupon preferences of the 18–29-year old market. Choice-based conjoint analysis was used to determine Millennials’ local coupon needs and preferences. From this data, three need-based segments were identified and discussed. The findings indicate that while overall, millennials are resistant to receiving coupons for local businesses through their cell phones, there is one segment that is receptive to this method of coupon delivery method.     

Hedging costs and joint determinants of premiums and spreads in structured financial products

Evaluating more than 317,000 discount certificates in the German secondary market, we find that premiums and spreads are endogenous and negatively related but depend on different key determinants. The fundamental determinants of the premiums are mainly profit-related, that is, dividends of the underlying, issuers’ credit risk, lifecycle effect, and competition, whereas hedging costs are less important. However, initial hedging costs (IHC) are priced into the premium in the case of large inventory changes. The spread is mostly determined by hedging costs and risk components, such as IHCs, rebalancing costs, volatility, scalper risk, and overnight gap risk—but also by dividends.