MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT

This article develops a general methodology that uses the observed prices of a derivative contract to compute maximum likelihood parameter estimates for an unobserved asset value process. the use of this estimation methodology is demonstrated in two applications: Vasicek's term structure model and deposit insurance pricing. This methodology can also be useful in the empirical analysis of complex financial contracts involving embedded options.     

Latent class metric conjoint analysis

A latent class methodology for conjoint analysis is proposed, which simultaneously estimates market segment membership and part-worth utilities for each derived market segment using mixtures of multivariate conditional normal distributions. An E-M algorithm to estimate the parameters of these mixtures is briefly discussed. Finally, an application of the methodology to a commercial study (pretest) examining the design of a remote automobile entry device is presented.     

Modeling discontinuous periodic conditional volatility: Evidence from the commodity futures market

This paper examines a wide variety of models that allow for complex and discontinuous periodic variation in conditional volatility. The value of these models (including augmented versions of existing models) is demonstrated with an application to high frequency commodity futures return data. Their use is necessary, in this context, because commodity futures returns exhibit discontinuous intraday and interday periodicities in conditional volatility. The former of these effects is well documented for various asset returns; however, the latter is unique amongst commodity futures returns, where contract delivery and climate are driving forces. Using six years of high‐frequency cocoa futures data, the results show that these characteristics of conditional return volatility are most adequately captured by a spline‐version of the periodic generalized autoregressive conditional heteroscedastic (PGARCH) model. This model also provides superior forecasts of future return volatility that are robust to variation in the loss function assumed by the user, and are shown to be beneficial to users of Value‐at‐Risk (VaR) models. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:805–834, 2004     

Segmenting and Profiling the Chocolate Consumer: An Emerging Market Perspective

Psychographic segmentation has found higher merit among marketing scholars and practicing managers in designing effective marketing strategies to target and deliver better—especially for indulgence food such as chocolates. Hence, adopting a mixed method approach, 17 attitudinal statements were generated through focus group discussions and were used to segment a sample of 301 urban chocolate consumers. The survey data was subjected to a K-means cluster analysis, and it revealed the existence of three distinct clusters: the innovative national; the conservative patriot; and the global seeker. Chi-square analysis was conducted to profile the three groups. Though the study was exploratory in nature, the clusters exhibited such distinct buying patterns that the results hold tremendous value not only from an academic perspective but also for chocolate manufacturers and retailers. All three groups were buying chocolates for gifting purpose, while the young innovators liked to buy for self-gifts as well. Point of sales display had maximum impact on their purchase decision. The global seeker was buying more foreign brands versus the other two, who bought chocolate brands of national origin.     

The determinants of households’ repayment difficulties on mortgage loans: evidence from Italian microdata

This article investigates the main determinants of households’ repayment difficulties on mortgage loans in Italy. We contribute to the empirical literature on household financial vulnerability by assessing the joint impact of socio‐demographic factors, loan characteristics and institutional variables on the likelihood of mortgage insolvency and on the intensity of arrears. Using data from the Italian component of the 2008 European Union‐Statistics on Income and Living Conditions (EU‐SILC) survey, we firstly identify which types of households are more vulnerable to unexpected adverse events that may trigger repayment difficulties. Specifically, households whose head is young, unemployed or immigrant show a higher probability of arrears and emerge as those suffering more from the adverse economic conditions connected to the crisis. Moreover, household repayment behaviour is affected by mortgage characteristics and, in particular, having modified contract terms significantly increases current arrears probability. Finally, regional institutional and credit market factors mainly impact on the conditional intensity of arrears. This evidence suggests that, although repayment difficulties mainly arise from a genuine inability to repay, households are less likely to pay on time when institutions are less effective at punishing default, confirming the existence of some strategic behaviour.     

A NOTE ON APPROXIMATION OF FULL INFORMATION MAXIMUM LIKELIHOOD ESTIMATES

The method of scoring introduced by R. A. Fisher and C. R. Rao is useful to find solutions from complicated maximum likelihood equations. The purpose of this note is to indicate the implications of this technique in econometrics. For example the linearized maximum likelihood LML estimates of Rothenberg and Leenders (¹) are only special values of Rao's estimates.     

Just looking? Choice and constraint in practices of visual consumption at magazine newsstands

This article takes as its subject practices of looking that occur in London's newsstands (magazine retail displays). Taking an ethnographic approach inspired by the flâneur and emphasising the symbolic properties of consumption activities that take place in public retail space, it reports on an extensive participant observation of newsstands. A three-fold typology of visual consumption is put forward: “drifting,” “speed-shopping” and “free-reading.” These practices of looking are then critically analysed in the light of theoretical perspectives on visual consumption, in particular, the tension between arguments prioritising the pleasures and, conversely, the constraints that it entails. The analysis culminates in the argument that the most fruitful position is a dialectical one that acknowledges the conditional freedom of visual consumption.     

The morality of software piracy: A cross-cultural analysis

Software piracy is a damaging and important moral issue, which is widely believed to be unchecked in particular areas of the globe. This cross-cultural study examines differences in morality and behavior toward software piracy in Singapore versus the United States, and reviews the cultural histories of Asia versus the United States to explore why these differences occur. The paper is based upon pilot data collected in the U.S. and Singapore, using a tradeoff analysis methodology and analysis. The data reveal some fascinating interactions between the level of ethical transgression and the rewards or consequences which they produce.William R. Swinyard is a Professor of Business Management and holder of the Fred G. Meyer Chair of Retailing at Brigham Young University. Professor Swinyard publishes widely in many top marketing journals, and his work has appeared previously in this journal. Heikki Rinne is an Associate Professor of Business Management at Brigham Young University. He has published in numerous academic journals including the Journal of Marketing Research, the Journal of Retailing, the European Journal of Operational Research, the Journal of Retailing, etc. Ah Keng KAU is an Associate Professor with the Department of Marketing, National University of Singapore, and was previously Director of the School of Postgraduate Management Studies and Head of the Department of Marketing there. Dr. Kau has published papers in many western and international journals.     

Markov chains under nonlinear expectation

In this paper, we consider continuous‐time Markov chains with a finite state space under nonlinear expectations. We define so‐called Q‐operators as an extension of Q‐matrices or rate matrices to a nonlinear setup, where the nonlinearity is due to model uncertainty. The main result gives a full characterization of convex Q‐operators in terms of a positive maximum principle, a dual representation by means of Q‐matrices, time‐homogeneous Markov chains under convex expectations, and a class of nonlinear ordinary differential equations. This extends a classical characterization of generators of Markov chains to the case of model uncertainty in the generator. We further derive an explicit primal and dual representation of convex semigroups arising from Markov chains under convex expectations via the Fenchel–Legendre transformation of the generator. We illustrate the results with several numerical examples, where we compute price bounds for European contingent claims under model uncertainty in terms of the rate matrix.     

A Strategic Approach to Segmentation in University Foodservice

Abstract

This paper first presents a methodology for understanding the dining needs and wants of a university population. This paper presents the results of two market segmentation studies undertaken at two major universities: one on the east coast and one on the west coast. The cluster analysis results suggest that the campus population is not a homogeneous group in terms of their wants and needs when selecting a place to get a meal or a snack. The analysis also reveals that the campus community cannot be just divided by student and non-student. To do so would miss multiple opportunities to satisfy the wants and needs of the total campus community.     

Exploring the dimensionality of the need for cognition scale

Based on evidence presented for the Need for Cognition Scale in its original and abbreviated versions, users of the instrument assume its unidimensionality. In three exploratory studies, maximum‐likelihood factor analysis reveals the presence of multiple dimensions in both forms of the scale. Four dimensions—enjoyment of cognitive stimulation, preference for complexity, commitment of cognitive effort, and desire for understanding —emerged with some consistency across samples and were found to be fairly resistant to changes in the polarity of scale items and to explain differentially consumer response to advertisements. © 2006 Wiley Periodicals, Inc.     

Estimation and hedging effectiveness of time‐varying hedge ratio: Flexible bivariate garch approaches

Bollerslev's ( 1990 , Review of Economics and Statistics, 52, 5–59) constant conditional correlation and Engle's (2002, Journal of Business & Economic Statistics, 20, 339–350) dynamic conditional correlation (DCC) bivariate generalized autoregressive conditional heteroskedasticity (BGARCH) models are usually used to estimate time‐varying hedge ratios. In this study, we extend the above model to more flexible ones to analyze the behavior of the optimal conditional hedge ratio based on two (BGARCH) models: (i) adopting more flexible bivariate density functions such as a bivariate skewed‐t density function; (ii) considering asymmetric individual conditional variance equations; and (iii) incorporating asymmetry in the conditional correlation equation for the DCC‐based model. Hedging performance in terms of variance reduction and also value at risk and expected shortfall of the hedged portfolio are also conducted. Using daily data of the spot and futures returns of corn and soybeans we find asymmetric and flexible density specifications help increase the goodness‐of‐fit of the estimated models, but do not guarantee higher hedging performance. We also find that there is an inverse relationship between the variance of hedge ratios and hedging effectiveness. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:71–99, 2010     

An Empirical Taxonomy of Supply Chain Management Practices

We develop an empirical taxonomy of supply chain management (SCM) practices grounded in the capability‐based view. Three groups—transactional SCM, translational SCM, and relational SCM—were identified using cluster analysis of data collected from over 200 U.S. manufacturing firms. We explain the differences among these groups and their relationship to improvements in supplier and buyer performance. Finally, we discuss implications for research and practice in SCM.     

Information Sensitivity Typology: Mapping the Degree and Type of Risk Consumers Perceive in Personal Data Sharing

Surveys show significant public concern regarding information privacy. To better understand how consumer concerns vary by type of personal data, the authors created a typology of information types based on perceived associated risks. In a national consumer survey, 52 information types were analyzed along four perceived risk categories (physical, psychological, monetary, and social), consumers' overall sensitivity regarding the information, and their willingness to provide it. This resulted in six highly distinctive clusters—Basic Demographics, Personal Preferences, Contact Information, Community Interaction, Financial Information, and Secure Identifiers—organized around similarities in perceived risk profile. Additionally, consumer segmentation analysis shows rank order of cluster risk perceptions to be stable, even when perceived magnitude and overall risk propensities change by segment. This research advances the conversation from an outdated PII/non‐PII framework to a more meaningful, consumer‐based understanding of the perceived risks associated with different types of personal information.     

Consumer biases in the perception of organizational greed

This article extends current models of how consumers judge or perceive organizations as greedy using the theoretical framework of motivated moral reasoning. We show that inherent features of an organization (size and ‘black sheep’ status) and its behaviour (relative frequency) bias consumer perceptions of organizational greed. We use an experimental methodology, present subjects with vignettes describing different scenarios, validate our questionnaire using confirmatory factor analysis, and test our hypotheses using a general linear model with covariates. Our findings suggest that consumer perceptions of organizational greed are subject to three effects: the underdog effect (Study 1, n = 496), the black sheep effect (Study 2, n = 229) and the ‘common is moral’ heuristic (Study 3, n = 249). This is the first study to investigate greed under a motivated reasoning paradigm and to show that perceptions of organizational greed are subject to socio-psychological biases. This study also provides advice on branding and positioning strategies that appeal to the underdog status of an organization or its local origins.     

Effects of Unemployment on New Firm Formation: Micro-Level Panel Data Evidence from Finland

This paper aims to provide a comprehensive insight into the role that unemployment plays in influencing new firm formation. Panel data models and micro-level data are used to help achieve this objective. We endeavour to identify simultaneously the separate effects of personal, regional and national unemployment on new firm formation in Finland for the period 1987–1995. The results indicate considerable evidence for a positive and non-linear effect of personal unemployment on the likelihood of an individual to become an entrepreneur. The findings also indicate that the economic situation has an effect on firm formation: times of low unemployment and business prosperity favour entrepreneurship. On the other hand, the analysis gives no clear evidence of the regional unemployment situation affecting the likelihood of founding a business.     

Leverage and Corporate Performance: Does Institutional Environment Matter?

This paper aims to provide new empirical evidence on a major corporate governance issue: the relationship between leverage and corporate performance. We propose two major findings to this literature by applying frontier efficiency techniques to measure performance of medium-sized firms from seven European countries. A maximum likelihood procedure is used to estimate a stochastic cost frontier and the parameters of an equation relating cost inefficiency to leverage simultaneously. We find that the relationship between leverage and corporate performance varies across countries, which tends to support the influence of institutional factors on this link. We then suggest the influence of the efficiency of the legal system and in a lesser degree of the access to bank credit on the relationship between leverage and corporate performance.      

Are Sustainable Consumers Health Conscious? A Segmentation Study of Wine Consumers

As a result of consumers’ increasing concerns with ethical, environmental, and health issues, sustainable consumption and production have become a popular topic of recent academic research and industry practices. The current study sought to provide in-depth insights into consumers’ views on sustainability by simultaneously examining their environmental and social awareness and behavior, health-conscious lifestyles, and diets; as well as the perceived importance of social and nutrition information on wine labels. Based on empirical data obtained through a web-based survey distributed to consumer panels in three markets – the US, the UK, and Germany – this research segmented wine consumers into four categories: Apathetic Consumers; Health-Conscious Diners; Holistic Perfectionists; and Ethical Advocates. The findings indicate that in general wine consumers are mindful about the environmental problems, social responsibility of companies, ethically produced and sustainably sourced products. The majority adhere to healthy lifestyles and watch their diets. Nevertheless, with the exception of only one cluster (Holistic Perfectionists), wine consumers do not actively seek social, environmental, or nutritional information on wine labels. This study shows that, at least currently, the preferences for the social factors are unlikely to outweigh dominating traditional wine purchase drivers, such as price, brand, country of origin, and grape variety. Industry implications for tailored marketing strategies are discussed.     

On the “Invisible Inventory Conundrum” in RFID‐Equipped Supply Chains: A Data Science Approach to Assessing Tag Performance

Recent trade reports suggest that RFID implementation continues to lag lofty projections. A primary concern is that, despite the high cost of implementing RFID systems, realized read‐rates fall short of expectations. This results in the invisible inventory conundrum whereby tagged merchandise may still not be accurately represented in inventory records. Drawing from data science to address this issue, we ask: How can directed data mining models be used to identify laboratory test performance criteria for RFID tags that operate reliably across the idiosyncratic facilities (i.e., unique DCs, warehouses, and stores) that comprise apparel retailers’ supply chains? We investigate this question by advancing a methodology that integrates laboratory test performance data, field tests of RFID tags fixed to apparel items and scanned under normal operating conditions, and the application of five directed data mining models to the integrated data set of laboratory and field test results. Our analyses of 45,416 observations show that two directed data mining models may identify—with near‐100% accuracy—laboratory test criteria that discriminate tags having 99% or greater read‐rates in the field. Accordingly, our study validates a generalizable methodology for identifying technical performance standards for tags that operate reliably within apparel retailers’ supply chains.     

The economic impact of a household product: the use of nitrilotriacetic acid

Purchase,¹ in her review of laundry practices, concluded that there was significant increased cost due to the banning of phosphate detergents. The cost calculation was, in all likelihood, significantly inflated. A review of her methodology and assumptions, and those of related studies, provides significant adjustments to her conclusions. This issue is important to home economists and environmentalists. The recalculation demonstrates that these interests are less in conflict than Purchase's data would indicate.