A comparative analysis of security pricing using factor, macrovariable and arbitrage pricing models

This study compares and contrasts the single factor, three factor, macrovariable and APT models, using industry portfolios of all available firms on CRSP from 1980 to 1992. Comparatively, the APT is best, macrovariable second best and single factor model worse in pricing securities. Consistently, the market variable is cross sectionally priced in all models, and two of four APT factors capture the majority of variance in industry returns. In the latter case, factor three is ***DIRECT SUPPORT *** A00DH002 00002 consistently related to market returns, and factors two and three are also associated with risk premiums and exchange rates after 1987. Factor four is not related to any macrovariable, and term structure and production are never related to any risk factor.     

Output targeting and capacity utilization for a new-built airport: Analysis for the new airport in Istanbul

Output targeting and capacity utilization issues are crucial but troublesome tasks for the new airport projects. This study aims to identify the output targets for the new-built airport in Istanbul to be considered operationally efficient when compared to regional and global counterparts and to investigate the utilization rate of input resources. To do that, a novel two-stage approach was proposed. The first stage involves setting output targets using a modified DEA approach and multi-layered perceptron algorithm. Once the output targets are determined individually by these two methods, slack variable analysis of DEA was applied in the second stage to define the input slacks related to infrastructure. Analysis results revealed the passenger, cargo, and aircraft movement targets for each stage of the project. Input slacks were also identified, and possible avenues for input reduction were explored that would enhance capacity utilization.     

Entry,capacity, investment and oligopolistic pricing: A model of the U.S. fiberglass insulation industry

In this paper, a model is developed that suggests that entry into an industry selling a relatively homogeneous product can be deterred by investment decisions. The model characteristics are related to the institutional structure of the fiberglass insulation industry in the United States with the conclusion that the behavior of the industry closely emulates that behavior predicted by the analysis.     

公用事业产品定价的市场机制与政府规制

城市公用事业是典型的垄断性产业,通过城市公用事业地域与网络垄断性、外部性、公益与营利双重性分析,论证了政府价格规制之必要。其次分析了以新古典经济学和凯恩斯经济学作为逻辑理论基础的西方国家城市公用事业价格规制,及其逐步形成的公共利益理论、俘获理论、寻租理论以及放松规制乃至取消规制的演化过程。最后深入剖析我国城市公用事业存在的规制单一、价格倒逼、补偿缺位,监管虚设等问题,继而提出了强化市场定价、设计经济杠杆、完善社会监督、加强政府监管、构建价格体系等政策建议,以期实现政府规制与市场化融合,提升规制的公平、公正与效能。     

Homevoters vs. leasevoters: A spatial analysis of airport effects

We use a public referendum on a new aviation concept in Berlin, Germany, as a natural experiment to analyze how the interaction of tenure and capitalization effects influences the outcome of direct democracy processes. We distinguish between homevoters, i.e., voters who are homeowners, and leasevoters, i.e., voters who lease their homes. We expect that homevoters would be more likely to support initiatives that positively affect the amenity value of a neighborhood because some of the related benefits of leasevoters are neutralized by adjustments in market rents. Likewise, homevoters would be more likely to oppose initiatives that negatively affect the amenity value of a neighborhood. Our empirical results are consistent with these expectations, implying that public votes on local public goods do not necessarily reflect the spatial distribution of welfare effects in mixed-tenure environments.     

Implications of quality standard regulation for multiproduct monopoly pricing

An important concern of regulatory agencies is the quality and variety of products offered for sale. This paper considers the effects of introducing quality standards in a monopolized market where the monopoly sells a range of qualities of a product to consumers with varying taste for quality. The introduction of a minimum acceptable quality can alter the entire price and quality schedule offered by the monopolist. Both a uniform and a more general distribution of consumers are studied to examine these changes and their implications for general welfare.     

Hazardous waste disposal: A comparative analysis of regulation,taxes and subsidies

This paper contains a critique of existing legislation which deals with hazardous waste disposal and expands on the efforts made by the Office of Technology Assessment and other economists to develop a public policy which will deal effectively with the problems associated with hazardous waste generation and disposal. A new policy is set forth here which encourages both waste reduction and safe disposal while providing revenue to pay for cleanups at Superfund sites.     

A Bayesian analysis of payday loans and their regulation

Payday loans are small short-term loans that a borrower must repay or renew on his/her next payday. In states where payday lending is legal, many terms of these loans are regulated, ostensibly to protect the consumer from excessively burdensome lending practices.     

Econometric analysis of residential time-of-use electricity pricing experiments

This paper adapts the two-stage neo-classical model of consumer behavior to the analysis of time-of-use pricing of electricity. Emphasis is placed upon the relationship between partial elasticities, which can be accurately estimated from the first stage, and total elasticities, which can be estimated only by using less reliable information to estimate the second stage. Three functional forms are implemented with data from the Wisconsin Pricing Experiment. Results indicate that (1) the CES and generalized Leontief functional forms are preferred, (2) price elasticities vary substantially with price, and (3) peak and off-peak electricity are partial substitutes but total complements.     

Technical change,inflation and pricing decisions

The paper discusses long-term managerial cost pricing, thus taking into account both operating and capital costs of new plant. This approach is relevant to the public industries, oligopoly and can also be the basis for competitive pricing. The model integrates pricing and investment decisions, and incorporates, among other factors, expected future technical change and inflation. The treatment is illustrated in relation to a range of industries with very different rates of technical advance. It also discusses the reasons for the frequent failure for full potential gains from such advances to be realized and hence for sluggish economic growth.     

Strategic pricing of differentiated consumer durables in a dynamic duopoly: A numerical analysis

Under different modes of competitive pricing behavior, profit-maximizing price trajectories are derived for durable products in a dynamic duopoly. Open-loop co-operative and non-cooperative pricing behavior is analyzed within a comprehensive model where sales of differentiated products are described by interlocked diffusion processes with realistic demand characteristics. Because of analytic complexity, the optimal trajectories implied by the control and differential-game problems are derived numerically across an extensive set of plausible market scenarios. Manipulation of initial market conditions enables derivation of optimal competitive pricing as a function of timing of entry.     

城市的层次执行力与城市发展

层次执行力是城市规划和城市战略目标得以顺利实施的重要保证;在城市治理的实践中,因城市的层次执行力问题而导致城市规划目标偏离和公共事务管理低效率的实例比比皆是.认为层次执行力问题已经成为制约城市和谐发展的瓶颈,研究和解决层次执行力问题成为城市最高决策层必须关注的重要课题.     

Environmental regulation and optimal investment behavior: A micro-economic analysis

This paper develops a simple optimal control model of the firm's investment decisions in the presence of environmental restrictions. The firm is assumed to jointly decide the optimal levels of gross investment, scrappage of capital, and maintenance expenditures. The results of the model indicate that all investment decisions, including both abatement equipment and productive capital, are affected by the manner in which environmental regulations are designed. Moreover, these impacts can be further altered if other unrelated regulations, such as rate base regulation, are concurrently imposed on the firm.     

Bounded rationality,anchoring-and-adjustment sentiment,and asset pricing

This paper presents a framework that incorporates an investor’s limited attention and anchoring and adjustment sentiment and their joint effects on asset pricing, with endogenous cost of neglecting part of the dividends and the asymmetric rationality levels of investors. We find that the combined effect of the two bounded rationality factors is often embodied in the “loss”, and the retail investors are insensitive to market sentiment and forced to pay more cognitive loss. A higher level of investor rationality and bullish market sentiment will jointly increase demand and then prices, while the effects of different bounded rationality factors are asymmetric.     

Sustainability reporting,materiality, and accountability assessment in the airport industry

Air travel is, nowadays, recognized as being one of the most popular modes of transport. Air transport is among the most significant contributors to the world gross domestic product and is accountable for a great environmental and social impact. Driven by the well‐established sustainability discourse and the vital role businesses can play in disseminating the sustainable development concept, this paper attempted to map airport industry's most material operational aspects and assess airport operators' accountability level on disclosing corporate information regarding airports' economic, environmental, and social performance. In this context, 33 reports and 903 material issues representing 193 international airports were reviewed and assessed, and a methodology for benchmarking the accountability level of best reporting airport operators was developed, showcasing materiality assessment as a useful management tool for strengthening airport operators' business strategy and enhancing their corporate performance. The paper indicated that (a) customer focus (i.e., health, safety and satisfaction), economic viability, and business continuity and preparedness are operational aspects of high materiality and (b) the disclosure level, especially concerning specific performance indicators, is still moderate. In conclusion, this study has shown that materiality assessment gains ground as a management tool among airports' management teams and the completeness of Sustainability reports is positively correlated with the “level” of adherence as described by the Global Reporting Initiative.     

A political economy model of road pricing

In this paper, we use a simple majority voting model to study the introduction of urban congestion tolls. The model allows for different types of uncertainty and considers different uses of the toll revenues. The following results are obtained. First, we show that individual uncertainty with respect to modal substitution costs may imply that a majority votes against road pricing ex ante, although a majority would have been in favor after its introduction ex post. Moreover, if a majority is against road pricing ex ante, there will also be no majority for organizing an experiment that would take away the individual uncertainty. Second, political uncertainty with respect to the use of the revenues corroborates the finding that ex ante more voters will be against the introduction of tolls. Third, both types of uncertainty suggest that fewer voters are against road pricing when toll revenues are used to subsidize public transport than when they are redistributed to all voters. Importantly, the results of this paper are consistent with a number of recent empirical observations on efforts to introduce road pricing, including the systematic rejection of road pricing in referenda, the more favorable attitudes towards road pricing after than before its introduction, and tying the toll revenues to support public transport.     

Volatility and volatility-linked derivatives: estimation,modeling, and pricing

Decisions in Economics and Finance -     

A model for IPO pricing and contract choice decision

This paper attempts to reconcile the average underpricing phenomenon with the expected wealth maximizing behaviors of market participants. Under the usual informational asymmetry, the optimal offer price for best efforts IPOs is derived as a function of the uncertainty about market’s valuation, the expected return on proposed projects and the size of offerings relative to the firm’s market value. According to these firm-specific characteristics, best efforts IPOs can be underpriced, fairly priced, or overpriced. Employing the investment banker as an outside information producer, the basic pricing model is extended to provide empirical implication for underwriting contract choice decision as well as for the pricing. Consistent with the existing empirical evidences, the model predicts that the issuers with greater uncertainty about market’s valuation choose best efforts contract over firm commitment contract and that the dispersion of initial returns would be greater for best efforts IPOs than for firm commitment IPOs.