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1.
Kasper?LarsenEmail author Oleksii?Mostovyi Gordan??itkovi? 《Finance and Stochastics》2018,22(2):297-326
In the framework of an incomplete financial market where the stock price dynamics are modeled by a continuous semimartingale (not necessarily Markovian), an explicit second-order expansion formula for the power investor’s value function—seen as a function of the underlying market price of risk process—is provided. This allows us to provide first-order approximations of the optimal primal and dual controls. Two specific calibrated numerical examples illustrating the accuracy of the method are also given. 相似文献
2.
Key service innovation drivers in the tourism sector: empirical evidence and managerial implications 总被引:2,自引:2,他引:0
Ana Isabel Jim??nez-Zarco Mar??a Pilar Mart??nez-Ruiz Alicia Izquierdo-Yusta 《Service Business》2011,5(4):339-360
This study highlights the importance of market orientation and the use of information and communication technologies (ICT) as determinants of service innovation activity for companies in the tourism sector. In doing so, the study provides a means to classify companies as innovative or not. Using a sample of 100 Spanish firms from different branches of the tourism sector, we confirm and extend prior research. In particular, market orientation??especially a customer orientation??is critical for developing new services that lead to competitive advantages. In addition, ICT have a dual, direct, and indirect influence on service innovation. 相似文献
3.
Liquidity risk and arbitrage pricing theory 总被引:2,自引:0,他引:2
Classical theories of financial markets assume an infinitely liquid market and that all traders act as price takers. This theory is a good approximation for highly liquid stocks, although even there it does not apply well for large traders or for modelling transaction costs. We extend the classical approach by formulating a new model that takes into account illiquidities. Our approach hypothesizes a stochastic supply curve for a securitys price as a function of trade size. This leads to a new definition of a self-financing trading strategy, additional restrictions on hedging strategies, and some interesting mathematical issues.Received: 1 November 2003, Mathematics Subject Classification:
60G44, 60H05, 90A09JEL Classification:
G11, G12, G13Umut Çetin: This work was performed while Dr. Çetin was at the Center for Applied Mathematics, Cornell UniversityPhilip Protter: Supported in part by NSF grant DMS-0202958 and NSA grant MDA-904-03-1-0092 The authors wish to thank M. Warachka and Kiseop Lee for helpful comments, as well as the anonymous referee and Associate Editor for numerous helpful suggestions, which have made this a much improved paper. 相似文献
4.
Consider the following puzzle: If earnings management is harmful to shareholders, why don’t they design contracts that induce managers to reveal the truth? To answer this question, we model the shareholders–manager relationship as a principal–agent game in which the agent (the manager) alone observes the economic outcome. We show that the limited liability (LL) of the agent, defined as the agent’s feasible minimum payment, might explain the demand for earnings management by the principal. Specifically, when the LL level is high (low), a contract that induces earnings management may be less (more) costly than a truth-revealing contract. This finding offers a new explanation of the demand for earnings management. 相似文献
5.
The financial crisis of 2008 was significantly influenced by housing, mortgage markets and mortgage-backed securities (MBS).
The Federal Reserve (Fed) conducts temporary open market operations on a daily basis and frequently uses repos on MBS. With
this daily interaction with MBS, we examine whether any signal about the impending financial crisis could have been seen in
the Fed’s temporary open market operations. We identify four anomalous events in MBS temporary open market operations and
examine those events for signals of the financial crisis. We find nothing in the four events that would have provided signals
of the financial crisis. Instead, the common feature of the four events is an unusually large supply of MBS made available
to the Fed for those day’s temporary open market operations. 相似文献
6.
Hsuan-Chi?Chen Robert??Fok Chiuling?Lu 《The Journal of Real Estate Finance and Economics》2011,43(3):359-384
We analyze how the unique characteristics of real estate investment trusts (REITs) affect IPO lockup agreements from 1980
to 2006. The findings show that, unlike industrial IPOs, lockup periods for REIT IPOs do not cluster at 180 days, tend to
cover longer periods, and vary over time. Our results support the commitment device hypothesis instead of the signaling hypothesis.
That is, REIT managers tend to use lockup agreements to alleviate moral hazard problems and protect post-IPO investors rather
than to send signals to investors. Finally, contrary to previous studies, we find no significant negative abnormal returns
around the unlock date for the whole sample. The lack of aggressive sales by insiders and the fact that REITs are not backed
by venture capitalists can explain our finding. 相似文献
7.
Haibin?Yang Sunny?Li?Sun Zhiang??Lin Mike?W.?Peng 《Asia Pacific Journal of Management》2011,28(2):239-255
Few scholars would dispute the argument that mergers and acquisitions (M&As) are different in China and the United States,
but we know little about how they differ. This article reports one of the first studies that systematically compares and contrasts
how M&As differ in these two countries. While prior research on M&As tends to emphasize economic and financial explanations
while treating firms as atomistic actors severed from their institutional and network relations, we develop a new theoretical
framework based on relational, behavioral, and institutional perspectives. We not only consider firms as learning actors embedded
in network relations, but also compare and contrast their M&A patterns between China and the United States, two distinctive
institutional contexts. We find that both a firm’s structural hole position and its learning orientation (exploration/exploitation)
in alliances have direct and joint impacts on subsequent M&As. Further, such impacts differ across the two countries, due
to their institutional disparities. 相似文献
8.
The analysis of poverty measures has been receiving increased attention in recent years. This paper contributes to the literature by developing percentile ratio estimators based on the pseudo empirical likelihood method. In practice, variances of poverty measures could be not expressible by simple formulae and consequently other techniques should be used in the variance estimation stage. Assuming percentile ratios, resampling techniques are investigated in this paper. A numerical example based on data from the Spanish Household Panel Survey is taken up to illustrate how suggested procedures can perform better than existing ones. The effect of a model-misspecification on the proposed estimators is also evaluated by using simulated populations. 相似文献
9.
Maria?Da?Concei??o?Sampaio?De?SousaEmail author Borko?Sto?i? 《Journal of Productivity Analysis》2005,24(2):157-181
In this paper we estimate the DEA technical efficiency for 4796 Brazilian municipalities, by applying a recently proposed
“Jackstrap” method, which combines Bootstrap and Jackknife resampling techniques, to reduce the effect of outliers and possible
errors in the data set. We perform calculations to identify and eliminate high leverage municipalities, using different variants
of Data Envelopment Analysis (DEA), as well as Free Disposal Hull (FDH). Corroborating previous results, efficiency results
for the Brazilian municipalities show a clear relationship between the size of the municipality and its efficiency scores.
Indeed, under both DEA variants, smaller cities tend to be less efficient than larger ones hence indicating that the quality
of the frontier adjustment improves significantly as the size of the municipality increases. We present arguments that may
explain to some extent these findings, such as economies of scale and the excess spending due to revenue from royalties. However,
such effects require further, more careful examination. 相似文献
10.
Die Einführung von IT-Systemen in Gesundheitseinrichtungen ist vor allem getriggert durch betriebswirtschaftliche, den Erl?s
sichernde Faktoren. Eine echte Unterstützung der pflegerischen Leistungsprozesse steckt allerdings bei vielen IT-L?sungen
noch in den Kinderschuhen. 相似文献