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11.
We describe the quantitative modeling techniques that are used in horizontal merger review for the evaluation of unilateral effects, and discuss how the 2010 Horizontal Merger Guidelines helped legitimize these methods and motivate scholarly research. We cover markets that feature differentiated products pricing, auctions and negotiations, and homogeneous products, in turn. We also develop connections between quantitative modeling and market concentration screens that are based on the Herfindahl-Hirschman Index (HHI).
相似文献12.
A number of prior studies have developed a variety of multivariate volatility models to describe the joint distribution of spot and futures, and have applied the results to form the optimal futures hedge. In this study, the authors propose a new class of multivariate volatility models encompassing realized volatility (RV) estimates to estimate the risk‐minimizing hedge ratio, and compare the hedging performance of the proposed models with those generated by return‐based models. In an out‐of‐sample context with a daily rebalancing approach, based on an extensive set of statistical and economic performance measures, the empirical results show that improvement can be substantial when switching from daily to intraday. This essentially comes from the advantage that the intraday‐based RV potentially can provide more accurate daily covariance matrix estimates than RV utilizing daily prices. Finally, this study also analyzes the effect of hedge horizon on hedge ratio and hedging effectiveness for both the in‐sample and the out‐of‐sample data. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:874–896, 2010 相似文献
13.
Chia-Chi Lu Weifeng Hung Jyh-Jian Sheu Pai-Ta Shih 《Review of Quantitative Finance and Accounting》2011,36(4):555-564
The purpose of this paper is to develop a real option model with a stochastic network size to simultaneously consider firm’s
investment and household’s consumption behaviors in an equilibrium framework. First, the consumer’s waiting-to-buy effect
is crucial in determining trigger network size of firm’s investment. Second, increasing network externality has an ambiguous
effect on trigger network size of firm’s investment. Third, using NPV rule not only underestimates trigger network size but,
also possibly results in the misleading relationship between network externality and trigger network size. 相似文献
14.
Mark Pagell Chen‐Lung Yang Dennis W. Krumwiede Chwen Sheu 《Journal of Supply Chain Management》2004,40(2):30-39
Supply chain managers confront numerous threats and opportunities in today's competitive environment. Firms simultaneously face increased pressure to lower costs and to be innovative. In addition, most firms are also under increased pressure to improve their environmental (ecological) performance. These rival demands from the competitive environment make it difficult for supply chain managers to determine how a specific investment will influence performance. Thus, inevitable tradeoffs among investments must be assessed and implemented. This research examines the efficacy of investments in environmental management in different competitive environments, and provides guidelines for supply chain managers in determining when and how they should respond to simultaneous pressures to improve economic and ecological performance. 相似文献
15.
Huimin Chung Her-Jiun Sheu Shufang Hsu 《International Review of Economics & Finance》2010,19(4):742-754
This study examines the pricing efficiency of E-mini and floor-traded index futures under electronic versus open-outcry trading platforms. By using OLS and quantile regressions to control for changes in market characteristics, we find that pricing errors are smaller in the E-mini markets than the floor-traded markets, thereby confirming that electronic trading has special attractions for arbitrageurs and informed traders. However, during periods of higher volatility, the advantages of speedier execution, anonymity and information efficiency may be offset by arbitrage risks; as a result, larger pricing errors are observed in the E-mini markets. We provide new evidence confirming the important roles in pricing efficiency played by both traditional open-outcry systems and electronic trading systems. 相似文献
16.
Ming-Yuan Leon Li Her-Jiun Sheu Lin Lin Yu-Chi Tang 《Journal of Chinese Economic and Business Studies》2013,11(1):51-64
Four new determinants of initial/long-run IPO (initial public offering) returns from the perspectives of market conditions are proposed in this paper. The associated effects are examined by using the samples of Taiwan's high-tech IPO companies. Our empirical findings are consistent with the following notions. First, the four new determinants proposed perform remarkable effects on the IPO returns. Second, the length for IPO and IPO clustering phenomena has notable impacts on the long-run returns of IPO. In contrast, the performances of public stock markets show significant effects on the initial returns of IPO. 相似文献
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18.
Based upon an empirical investigation, the study draws upon the responses of 1623 tourists in Kinmen to explore the notion of destination competitiveness and how it is related to customer satisfaction with tourists’ perceptions, service performance and destination competitiveness. It also considers the question of destination competitiveness and sustainable tourism development. Variables such as tourists’ pre-visit perceptions, post-visit satisfaction toward destination attractions and resources, willingness to recommend and revisit, and competitiveness with foreign destinations are tested. The results of the study suggest that there is no correlation between tourists’ overall satisfaction and destination competitiveness. Implications of the study outcome illustrate that a destination's unique tourism characteristics can be the most important variables for destination competitiveness. In Kinmen's case, battlefields, historic relics, beautiful scenery and travel security gave it a competitive edge, despite high prices. In addition, developing the destination's brand image was found to be critical for tourism marketers and authorities in the context of increasingly global tourism competition. 相似文献
19.
Tung-Lai Hu Author Vitae Jiuh-Biing Sheu Author Vitae 《Industrial Marketing Management》2005,34(5):447-461
The management of channel relations has a significant impact on a firm's operational competitiveness; however, there is a lack of published research to better understand the linkages between channel relationships and channel power, noncoercive influence strategies, as well as channel climate and channel solidarity. This paper develops a model showing the linkages among these dimensions of channel relationships. Using linear structural relations (LISREL), a model of the Taiwanese personal digital assistant industry is developed to illustrate these interactions. The corresponding empirical test results indicate that channel climate has a significant impact on channel solidarity; however, this impact may be mitigated by both channel power and the use of noncoercive influence strategies. In addition, both mutual trust among channel members and continuity of the relationship have a positive influence on channel solidarity. Channel members with relatively more power appear able to determine the degree of channel solidarity through the use of effective noncoercive influence strategies. 相似文献
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Most of the existing Markov regime switching GARCH‐hedging models assume a common switching dynamic for spot and futures returns. In this study, we release this assumption and suggest a multichain Markov regime switching GARCH (MCSG) model for estimating state‐dependent time‐varying minimum variance hedge ratios. Empirical results from commodity futures hedging show that MCSG creates hedging gains, compared with single‐state‐variable regime‐switching GARCH models. Moreover, we find an average of 24% cross‐regime probability, indicating the importance of modeling cross‐regime dynamic in developing optimal futures hedging strategies. © 2012 Wiley Periodicals, Inc. Jrl Fut Mark 34:173–202, 2014 相似文献