Building With Bricks and Mortar: The Revenue Impact of Opening Physical Stores in a Multichannel Environment

A crucial decision firms face today is which channels they should make available to customers for transactions. We assess the revenue impact of adding bricks-and-mortar stores to a firm's already existing repertoire of catalog and Internet channels. We decompose the revenue impact into customer acquisition, frequency of orders, returns, and exchanges, and size of orders, returns, and exchanges. We use a multivariate baseline method to assess the impact of adding the physical store channel on these revenue components. As hypothesized, store introduction cannibalizes catalog sales and has much less impact on Internet sales. Also as hypothesized, returns and exchanges increase. Interestingly, transaction sizes of purchases, returns, and exchanges do not change. The “availability effect” produces a net increase in purchase frequency across channels. This more than compensates for increased returns, producing a net increase in revenues of 20% by adding the store channel. Our findings yield a deeper understanding of the revenue relation between channels, and of the dynamic cross-channel effects of marketing actions.     

Aggregate volatility expectations and threshold CAPM

We propose a volatility-based capital asset pricing model (V-CAPM) in which asset betas change discretely with respect to changes in investors’ expectations regarding near-term aggregate volatility. Using a novel measure to proxy uncertainty about expected changes in aggregate volatility, i.e. monthly range of the VIX index (RVIX), we find that portfolio betas change significantly when uncertainty about aggregate volatility expectations is beyond a certain threshold level. Due to changes in their market betas, small and value stocks are perceived as riskier than their big and growth counterparts in bad times, when uncertainty about aggregate volatility expectations is high. The proposed model yields a positive and significant market risk premium during periods when investors do not expect significant uncertainty in near-term aggregate volatility. Our findings support a volatility-based time-varying risk explanation.     

Informed Trading Around Earnings Announcements: Another Look

This study is an empirical test of the Easley, O'Hara, and Srinivas (1998) multimarket sequential trade model of stock and option markets. We employ two approaches to determine the information content of signed stock and option trades executed around quarterly earnings announcements. The first approach expands the vector autoregression (VAR) technique of Hasbrouck (1991a) to include signed option trade volumes and inter‐trade durations. Estimates from the VAR models provide insight into whether both equity and option trades are viewed as informative by the equity specialist. The second approach focuses on the information content of the earnings releases to determine whether signed equity and option trades executed prior to the announcements are informed. Results indicate that although informed traders prefer to transact in both markets around earnings announcements, option market transactions contain no incremental information.     

国外经济援助的有效性:基于代际利他视角的研究

消费者是否具有代际利他动机,直接影响消费者的消费和储蓄决策。在本文中,作者利用一个具有代际利他动机的交叠世代模型研究国外经济援助的有效性。作者发现,国外经济援助对于受援国资本积累的影响是非线性的,具有一定的临界值效果。这一发现从一个不同的侧面支持了当代跨国经济增长研究中的"临界值效果"观点,有助于解释关于国外经济援助有效性的经验研究文献中广泛存在的争议;同时,也为进一步的计量研究指出了一个新的模型设定方向。     

要素市场扭曲、区域差异与R&D投入

本文利用要素市场扭曲指数及中国高技术产业1997～2009年省际面板数据,考察了要素市场扭曲对R&D投入的影响及区域差异。结果表明,要素市场扭曲对R&D资本投入和R&D人力投入有着不同的影响,抑制了R&D资本投入增长,促进了R&D人力投入;而且其对两者的影响都存在着显著的区域差异。在此基础上,运用门槛检验方法对这种区域差异的影响因素进行了探讨,研究发现,在区域经济发展水平、人力资本水平、财政收入、产权结构和对外开放程度等因素的不同门槛值区间,要素市场扭曲对高技术产业R&D投入的影响程度和方向都存在着明显的差异。     

中国通货膨胀持续性的非对称特征研究--基于分位数自回归模型和分位数单位根的研究

基于1990－2013年中国月度CPI数据,本文通过运用分位数自回归模型和分位数单位根检验方法,研究了中国通货膨胀惯性的非对称特征,并分析了不同分位点上的通货膨胀惯性系数、单位根检验结果和半衰期。结果发现：中国的通货膨胀持续期存在明显的非对称特征,1998年之后通货膨胀持续性要显著低于1998年之前;相比于高通货膨胀水平,低通货膨胀水平上的通货膨胀持续性要显著降低。     

全球化与城市贫困:基于中部六省的实证分析

在经济全球化背景下,我国经济获得了长足的发展,与此同时,城市贫困问题也日趋严重。本文以我国中部6省为研究对象,从收入和消费两个维度,估计了一个包含贸易和外国直接投资(FDI)变量的贫困决定函数,实证分析了贸易和FDI对城市贫困的影响,着重检验了其中的非线性关系和“门槛效应”。研究表明,贸易和FDI对于贫困人口有着不同的影响;FDI流入与贫困变化之间存在着非线性关系,表明全球化只有达到一定水平后才会使穷人受益。     

Experimental evidence on the ‘insidious’ illiquidity risk

This paper introduces an experiment aiming to investigate the contribution of illiquidity risk to the total risk of a collective investment project. If implemented, the project succeeds with a known probability. Yet the project fails if the quota of investors is not reached in the first place. Hence strategic uncertainty compounds its effect with the “intrinsic risk” of the project. Results confirm the insidious nature of illiquidity: as long as a first collective default does not occur, investors accept high intrinsic risk projects. After a first default, they become extremely prudent and come back to market only gradually. After several defaults, private agents manage to coordinate on a relatively low intrinsic risk above which they refuse to participate in the project. Macroeconomic policy implications follow.     

Debt, growth and inflation in large European economies: a vector auto-regression analysis

This paper attempts to empirically test the hypothesis that whether debt matters in the EU. This has been performed by examining the potential adverse effects of debt in large European economies on investment, inflation and growth. Using the hybrid cointegration and vector autoregressive models, the findings, based on the period 1970–97, suggest that debt causes significant adverse effects on investment, but its impact on growth is not clear-cut. Moreover, debt appears to be inflationary in most cases in the long run, though produces no clear short run pattern on inflation.     

国防支出与经济增长的关系研究——基于中国、日本、韩国的实证分析

文章使用Enders-Siklos不对称门槛共整合模型,检定中国、日本及韩国的经济增长与国防支出之间不对称的长期均衡关系,并以门槛误差修正模型(T-ECM)探讨三国的经济增长与国防支出之间领先-落后的因果关系,以及长期均衡关系调整的不对称性。经研究发现:第一,采用Enders-Siklos不对称门槛共整合检定,发现中国、韩国的经济增长与国防支出之间存在不对称的共整合关系,日本的经济增长与国防支出之间具有对称的共整合关系;第二,由Granger因果关系检定,发现韩国、中国的经济增长与其国防支出之间存在有不对称的长期性领先-落后关系,日本的经济增长与国防支出不存在长期性因果关系;第三,由Granger因果关系检定,发现中国的经济增长与国防支出之间存在短期的双向因果互动关系,而日本、韩国则是经济增长单向领先其国防支出。