The Anatomy of Public and Private Real Estate Return Premia

Market-wide, stock market specific, and real estate market specific risk – what kind of risk and to which extent drives the returns of listed real estate? Based on a structural asset pricing model calibrated to the empirical data in the U.S., we show that at least two thirds of the risk premium of listed real estate are driven by the same factors as direct real estate. Our results shed new light on the risk-characteristics of listed real estate returns and are of high interest for academics, regulators, and portfolio managers alike.     

Risk-adjusted option-implied moments

This paper provides a new way of converting risk-neutral moments into the corresponding physical moments, which are required for many applications. The main theoretical result is a new analytical representation of the expected payoffs of put and call options under the physical measure in terms of current option prices and a representative investor’s preferences. This representation is then used to derive analytical expressions for a variety of ex-ante physical return moments, showing explicitly how moment premiums depend on current option prices and preferences. As an empirical application of our theoretical results, we provide option-implied estimates of the representative stock market investor’s disappointment aversion using S&P 500 index option prices. We find that disappointment aversion has a procyclical pattern. It is high in times of high index levels and declines when the index falls. We confirm the view that investors with high risk aversion and disappointment aversion leave the stock market during times of turbulence and reenter it after a period of high returns.     

A new bivariate generalized Poisson distribution

In this paper, a new bivariate generalized Poisson distribution (GPD) that allows any type of correlation is defined and studied. The marginal distributions of the bivariate model are the univariate GPDs. The parameters of the bivariate distribution are estimated by using the moment and maximum likelihood methods. Some test statistics are discussed and one numerical data set is used to illustrate the applications of the bivariate model.     

An experimental study of commitment in Stackelberg games with observation costs

We report on experiments examining the value of commitment in Stackelberg games where the follower chooses whether to pay some cost to perfectly observe the leader's action. Várdy [Games Econ. Behav. (2004)] shows that in the unique pure-strategy subgame perfect equilibrium of this game, the value of commitment is lost completely; however, there exists a mixed-strategy subgame perfect equilibrium where the value of commitment is fully preserved. In the data, the value of commitment is largely preserved when the cost of looking is small, while it is lost when the cost is large. Nevertheless, for small observation costs, equilibrium behavior is clearly rejected. Instead, subjects persistently play non-equilibrium strategies in which the probability of the follower choosing to observe the leader's action is a decreasing function of the observation cost.     

Bivariate exponentiated‐exponential geometric regression model

A bivariate exponentiated‐exponential geometric regression model that allows negative, zero, or positive correlation is defined and studied. The model can accommodate under‐ or over‐dispersed count data. The regression model is based on the univariate exponentiated‐exponential geometric distribution, and the marginal means of the bivariate model are functions of the explanatory variables. The parameters of the bivariate regression model are estimated by using the maximum likelihood method. Some test statistics including goodness of fit are discussed. A simulation study is conducted to compare the model with the bivariate generalized Poisson regression model. One numerical data set is used to illustrate the application of the regression model.     

Interorganisationales Kostenmanagement – Erfolgspotenzial oder Kooperationsrisiko?

Zusammenfassung Interorganisationales Kostenmanagement (IOCM) stellt einen Ansatz dar, um in der Wertsch?pfungskette Kostenoptimierungen über Unternehmensgrenzen hinweg zu erschlie?en. Zahlreiche Fallstudien zeigen, dass IOCM eine partnerschaftliche Zusammenarbeit der beteiligten Unternehmen erfordert und erfolgssteigernd wirken kann. Der Beitrag untersucht im Rahmen einer gro?zahligen Befragung anhand eines Strukturgleichungsmodells, inwieweit der Beziehungskontext ausschlaggebend für den Erfolg des IOCM ist. Basierend auf Aussagen der Transaktionskosten-, Konflikt- und Austauschtheorie wird gezeigt, dass IOCM nur unter bestimmten Voraussetzungen erfolgssteigernd wirkt. Die Daten basieren auf einer Erhebung bei 164 Automobilzulieferern aus Deutschland.      

Understanding culinary tourist motivation,experience, satisfaction,and loyalty using a structural approach

Research on culinary tourism lacks an empirical examination of the relationship between motivation, experience, satisfaction, and loyalty. Drawing on the extant literature, this paper examines the relationships between antecedents and outcomes of culinary tourist participation in cooking classes using a structural equation modelling approach. Based on a convenience sample of 300 international tourists at cooking schools in Chiang Mai, Thailand, the structural model confirmed direct and indirect interrelationships among four main constructs of the study. It was found that culinary tourists’ motivation positively influences both the culinary experience and satisfaction; and that the culinary tourist experience is positively associated with both culinary tourist satisfaction and loyalty, suggesting that the more tourists are motivated to participate in cooking classes, the more experiential value and satisfaction are perceived. Moreover, the more experiences encountered at the cooking class, the more satisfied and loyal the tourists become. Understanding the key motivators and elements of satisfaction in cooking classes can contribute to the achieving of sustainable destination loyalty. The findings are relevant to Destination Management Organisations (DMOs) as part of developing sustainable strategies that are in line with specific culinary needs and experiences of cooking class participants.     

Einkommensentwicklung und Bevölkerungsbewegung

Ohne ZusammenfassungMit 3 Textabbildungen     

Duplik zur vorstehenden „Erwiderung“ F. Mertschs

Ohne Zusammenfassung