Implied volatilities,stochastic interest rates,and currency futures options valuation: an empirical investigation

Different models of pricing currency call and put options on futures are empirically tested. Option prices are determined using different models and compared to actual market prices. Option prices are determined using historical as well as implied volatility. The different models tested include both constant and stochastic interest rate models. To determine if the model prices are different from the market prices, regression analysis and paired t-tests are performed. To see which model misprices the least, root mean square errors are determined. It is found that better results are obtained when implied volatility is used. Stochastic interest rate models perform better than constant interest rate models.     

Are stocks dumped or neglected by analysts' inferior investments to covered stocks?

We compare the long-term stock price and operating performance of firms that are followed by analysts to those that are not over the period of 1994-2005. While analysts are skillful in identifying quality firms for coverage, the market is efficient in pricing both covered and neglected stocks such that risk-adjusted stock returns are compatible between the two groups. However, dumped stocks consistently outperform covered stocks with significant risk-adjusted returns across different market conditions and regulatory environments. Hence, investors might earn better returns by investing in dumped stocks, but the higher returns may represent compensation for greater search costs and information risk associated with investing in these stocks.     

Hybrid value creation: a systematic review of?an?evolving research area

This systematic review analyses literature on the work of hybrid value creation, i.e. the process of generating additional value by innovatively combining products (tangible component) and services (intangible component). A state of the art report on hybrid value creation is delivered by first systematically identifying and then analyzing 169 publications focusing on hybrid value creation. The identified publications are clustered into eight categories based on their links and interactions and thus a mapping of this evolving field is suggested. A discussion and reflection of the findings with respect to the pervasiveness of literature and the research methodologies used is provided. The paper concludes by identifying some dominant strategic gaps in the overall research landscape and provides directions for future research.     

Regulating bidder participation in auctions

Regulating bidder participation in auctions can potentially increase efficiency compared to standard auction formats with free entry. We show that the relative performance of two such mechanisms, a standard first‐price auction with free entry and an entry rights auction, depends nonmonotonically on the precision of information that bidders have about their costs prior to deciding whether to participate in a mechanism. As an empirical application, we estimate parameters from first‐price auctions with free entry for bridge‐building contracts in Oklahoma and Texas and predict that an entry rights auction increases efficiency and reduces procurement costs significantly.     

The impact of elasticity on disposition effect driven momentum,substitutability, size,and January seasonality

Review of Quantitative Finance and Accounting - We find that momentum caused by disposition effect is mainly driven by stocks with unrealized capital gains and it is greater when price elasticity...     

An effective framework for finding similar cases of dengue from audio and text data using domain thesaurus and case base reasoning

Dengue, also known as break-bone fever, is a tropical disease transmitted by mosquitoes. If the similarity between dengue infected users can be identified, it can help government’s health agencies to manage the outbreak more effectively. To find similarity between cases affected by Dengue, user’s personal and health information are the two fundamental requirements. Identification of similar symptoms, causes, effects, predictions and treatment procedures, is important. In this paper, an effective framework is proposed which finds similar patients suffering from dengue using keyword aware domain thesaurus and case base reasoning method. This paper focuses on the use of ontology dependent domain thesaurus technique to extract relevant keywords and then build cases with the help of case base reasoning method. Similar cases can be shared with users, nearby hospitals and health organizations to manage the problem more adequately. Two million case bases were generated to test the proposed similarity method. Experimental evaluations of proposed framework resulted in high accuracy and low error rate for finding similar cases of dengue as compared to UPCC and IPCC algorithms. The framework developed in this paper is for dengue but can easily be extended to other domains also.     

The investment value of the frequency of analyst recommendation changes for the ordinary investor

We find that analysts who frequently revise their stock recommendations outperform those who do not. This result holds for portfolios formed on the basis of favorable changes in recommendations as well as unfavorable changes. The frequency of revision captures information incremental to factors known to identify superior recommendations. Although much of the frequently revising analysts' advantage follows events proxied by abnormally high returns or trading volume, it does not appear to derive from more public events such as earnings announcements. Further, these analysts outperform their counterparts even over the short-run, suggesting that this is not simply a “quantity over quality” phenomenon. In summary, our results imply that the superior profitability of frequently revising analysts emanates at least partly from their ability to generate private information using their superior skill. Overall, the ordinary investor is better off following the advice of analysts who revise their recommendations more frequently.     

Outdoor advertising for business markets

A review of the history and current prevalence of outdoor advertising suggests that although the medium is very effective it is not widely used in business-to-business markets. A case for using outdoor advertising is deductively made based on the unique characteristics of business markets such as: geographic concentration of buyers, need to target buying center members, advantages of having integrated communication, possibility of creating derived demand, and targeting trade shows. This paper offers recommendations on when and how to use outdoor advertising based on unique business market characteristics, industrial promotional objectives and business product classification. Research propositions and directions for future research are offered.     

The Phenomenon of Brand Love: A Systematic Literature Review

Abstract

Brand love is a phenomenon that is experienced by a group of satisfied consumers. The construct brand love is of great importance to academics and practitioners because a group of satisfied customers become loyal customers, thereby reduce several costs and also enhance several marketing activities. Since the research paper of it can be observed that there has been a surge in the number of research publications pertinent to brand love literature. Through this systematic literature review, we comprehensively review seventy six articles pertinent to brand love literature, published in various scientific journals there by presenting the key emergent themes, extensively used methodologies and analysis approaches, key variables observed, dominant theoretical underpinnings and a strategic conceptual framework.