Equity duration and convexity when firms can fail or stagnate

Previous analysis of equity duration and convexity has either ignored the risk that firms can fail or stop growing, or else has incorporated the risk of failure in an ad hoc way. This paper derives equity duration and convexity rigorously corrected for the risk of failure or stagnation. We show that the correction is large enough to be important in standard applications. Further, equity duration is unaffected by any liquidation payout at the time of failure.     

A note on myopic loss aversion and the equity premium puzzle

In 1995, Benartzi and Thaler introduced the concept myopic loss aversion to explain the equity premium puzzle. They provided empirical evidence to support their arguments. Recently, Durand et al. criticized this empirical analysis. They propose an approach which not only rejects the significance of the earlier findings but also suggests a reversal of the original findings. In contrast to their approach, we implement a bootstrap approach and find results in line with the results of Benartzi and Thaler. We further show that the significance of the effect strongly depends on somewhat arbitrary assumptions about the length of data history.     

美国贸易政策不确定性与新兴经济体跨境股票资本流动北大核心CSSCI

本文使用1996年2月-2020年1月35个新兴经济体的跨境股票型基金微观数据,实证考察美国贸易政策不确定性对新兴经济体跨境股票资本流动的影响。结果表明:美国贸易政策不确定性上升会导致新兴经济体跨境股票型基金净资本流入下降,这一影响在2008年全球金融危机后更为显著。受国别因素影响,美国贸易政策不确定性的影响存在异质性。一国外汇风险暴露水平更高、国际金融一体化风险更大、与美国直接贸易联系更紧密,受到的美国贸易政策不确定性的影响更显著,更高的利率水平有利于缓解美国贸易政策不确定性的影响。从全球价值链视角来看,美国贸易政策不确定性上升对处于研发密集型行业下游和邮政通讯、金融商业服务等行业下游的经济体影响显著。渠道分析表明,全球投资者对新兴经济体的国别风险情绪变化是美国贸易政策不确定性冲击的重要传导渠道。进一步研究表明,中美贸易摩擦期间,主要受美国贸易政策不确定性影响,加征关税会显著降低新兴经济体跨境股票型基金净资本流入。在金融开放进程中,新兴经济体应防范外部不确定性引发的资本流动剧烈波动风险,保持宏观经济与金融市场稳定。     

Impact of the Covid-19 induced panic on the Environmental,Social and Governance leaders equity volatility: A time-frequency analysis

We apply wavelet analyses to study how the Covid-19 fueled panic influenced the volatility of ESG (environmental, social and governance) leaders’ indices encompassing the World, the USA, Europe, China, and the Emerging Markets. We document intervals of the low, medium, and high coherence between the Coronavirus Panic Index and the price moves of the ESG Leaders indices. The low coherence intervals signify the diversification potential of ESG investments during a systemic pandemic such as Covid-19. We document differences in the pattern exhibited by various geographical indices highlighting their potential role for designing cross-geography hedge strategies, both now and in the future.     

Institutional investors’ ownership stability and their investee firms’ equity mispricing

This study examines the impact of institutional investors' equity ownership stability and their investment horizon to determine the impact on their investee firms' equity mispricing. Mispricing represents the difference between a firm’s market and fundamental values. We treat institutional investors as a heterogenous group, i.e., dedicated, transient, or quasi-indexer as defined by Bushee, 1998, Bushee, 2001 since their categorization determines their trading strategy. Higher institutional ownership, higher stability in institutional investors' equity ownership, and institutional investors classified as long-term are all associated with lower equity mispricing at investee firms.     

Impacts of quality certification on online reviews and pricing strategies in the hospitality industry

Certification of firm quality is an important strategic concern for industry practitioners, since it entails explicit and implicit investments in time, personnel training and finances. Since the impact of certification influences customers in various ways, the purpose of this study is to determine what impact quality certification has on both online reputation and price premiums. This study extends the scope of extant literature by including various types of accommodations beyond typical hotels. Two-stage least squares (2SLS) is applied revealing an increase in online ratings for accommodations after certification relative to before, supporting that quality certifications may improve online ratings. Using spatial two-stage least squares (S2SLS), this study demonstrates significantly higher valence in online ratings for certified relative to non-certified accommodations, as well as showing a price premium in certified over non-certified accommodations.     

Consumers’ preferences,attitudes and willingness to pay for bio-textile in wood fibers

The bio-textile products made from certified wood fibers are an important product innovation able to diversify the wood product portfolio of enterprises and to increase environmental sustainability. In this paper, we estimate Italian consumers' willingness to pay for three bio-textile products made from certified wood (socks, T-shirt and shirt). Data were collected face-to-face to a sample of 696 consumers through Contingent Valuation. The results from the Cameron and Huppert model show a significant premium price, ranging from 64% to 128% depending on the products, and that respondents with a higher environmental concern are more willing to pay for bio-textile products. Nevertheless, the price turned out to be a key determinant, evidencing how it can constitute a barrier to a more sustainable consumer behaviour. These results are important for the European wood-based industries’ businesses, currently based on stagnant market of traditional wood products, since they indicate there is room for a profitable diversification in bio-textile products. An increased market of bio-textile products can contribute to reduce the fossil fuel dependency of the European Union economy.     

Distributional impacts of car road pricing: Settlement structures determine divergence across countries

Social questions of distribution and equity are of major importance for the political acceptance of car road pricing. The argument that kilometre-based private vehicle charging disadvantages the poor is often the core reason for opposing its introduction. An article in this journal [Steininger, K.W., Friedl, B., Gebetsroither, B., 2007. Sustainability impacts of car road pricing: a computable general equilibrium analysis for Austria. Ecological Economics 63, pp. 59–69] proved the opposite for one European country, i.e. that the rich bear most of the burden. In the present paper we use the very same model structure and apply it in a simulation to the data of another country. While macroeconomic and environmental conclusions are similar, we find a different distributional impact of car road pricing in our case. This issue is also of relevance in the analysis of the distributional implications concerning (recently significant) gasoline price increases.     

Willingness to pay for airlines’ premium economy class: The perspective of passengers

This study investigates how much extra air travellers are willing to pay to upgrade to premium economy class by using a suitable econometric model. Since a large portion of travellers' willingness to pay for premium economy class is zero, the spike model is applied to overcome the issues that may occur when traditional statistical models are used. Three flight distances, short, medium, and long hauls were separately estimated to investigate the effects of flight distance on willingness to pay. Travellers’ willingness to pay to upgrade from economy class to premium economy class round-trip was US$138 ,¹ US$309, and US$545 for short-, medium-, and long-haul, respectively. The research results should be a helpful reference for the civil aviation industry in strategic pricing planning.     

治理环境、终极控制人两权分离与股权融资成本

本文以2004—2006年非金融行业上市公司为样本,检验终极控制人现金流权、两权分离、治理环境和终极人性质对股权融资成本的影响,终极控制人的两权分离程度与股权融资成本之间的关系是否受治理环境的影响,以及上述治理环境与股权融资成本的直接和间接关系是否与终极控制人性质有关。研究发现,（1）两权分离与股权融资成本显著正相关,而现金流权与股权融资成本显著负相关。（2）治理环境本身与股权融资成本负相关,且治理环境的显著改善能弱化两权分离对股权融资成本的负面影响。（3）相对于非国有上市公司,国有公司的股权融资成本较低,且上市公司的国有性质在一定程度上能强化治理环境对股权融资成本的正面作用。