LIQUIDITY AND ASSET PRICING UNDER THE THREE‐MOMENT CAPM PARADIGM

We examine whether the use of the three‐moment capital asset pricing model can account for liquidity risk. We also make a comparative analysis of a four‐factor model based on Fama–French and Pástor–Stambaugh factors versus a model based solely on stock characteristics. Our findings suggest that neither of the models captures the liquidity premium nor do stock characteristics serve as proxies for liquidity. We also find that sensitivities of stock return to fluctuations in market liquidity do not subsume the effect of characteristic liquidity. Furthermore, our empirical findings are robust to differences in market microstructure or trading protocols between NYSE/AMEX and NASDAQ.     

A Comparison of Cost of Equity Estimates of Local and Global CAPMs

Cost of equity estimates are compared for three pricing models: the traditional local CAPM, the single (market) factor global CAPM, and the two‐factor global CAPM, with both market and currency index factors. For 2989 US stocks, the average difference in the cost of equity estimates is about 48 basis points between the local CAPM and the single‐factor global CAPM, and is about 61 basis points between the two global models. For 70 developed‐market ADRs, the corresponding average differences are 76 and 47 basis points, respectively. For 48 emerging‐market ADRs, the corresponding average differences are 57 and 70 basis points.     

Bank mergers and components of risk: An evaluation

The present study empirically examines the contribution of the acquired banks in only the nonconglomerate types of mergers (i.e., banks with banks), where the bulk of the payment is in the form of equity to the acquiring bank and finds overwhelmingly statistically significant evidence that nonconglomerate types of mergers definitely reduce the total as well as the unsystematic risk while having no statistically significant effect on systematic risk. Therefore, it seems that diversification may be a possible motive for bank mergers.     

Cointegration of U.S. budget and current account deficits: Twins or strangers?

In this paper the authors employ the cointegration approach to explore empirically the existence of a possible long-run equilibrium relationship between the U.S. budget deficits and the current account deficits. This study uses annual nominal data in levels for the postwar period 1946–1988. Both the DW and the ADF tests confirm that the two deficits are not cointegrated. It implies that the two deficits have no possibility of reverting to a long-run equilibrium relation.     

Non-coercive influence: Scale development and validation based on resource and relational paradigms

To overcome competition in an increasingly network dependent market, retailers are required to influence upstream channel partners while sustaining relationships. However, the contemporary supply chain literature has not sufficiently leveraged the resource and relational paradigms to examine influence. Grounded on resource dependency theory and commitment-trust theory paradigms, this study describes conceptualization and operationalization of a 12-item scale for measuring non-coercive influence on upstream channel partners in retail supply chain management (R-SCM) context. The study is based on responses from 547 retail professionals in India obtained over four successive surveys. Psychometric properties were assessed using exploratory factor analysis (EFA) and confirmatory factor analysis (CFA). The proposed scale demonstrates construct validity. Invariance-testing carried out over 4-levels of increasingly demanding equivalence confirmed cross-validation. Nomological validity of the scale was tested by evaluating association with suppliers’ intention to cooperate. The results indicate existence of three dimensions of non-coercive influence: collaborative intent, market intelligence dissemination, and operational support. Retailers can use the scale to assess their personnel's non-coercive influence behavior over suppliers.     

Estimating Technical Efficiency and Production Risk under Contract Farming: A Bayesian Estimation and Stochastic Dominance Methodology

We investigate production risk, technical efficiency and risk attitudes amongst contract and independent farmers. We use a Bayesian parametric approach and stochastic dominance quantile regression methods to compare technical efficiency and risk attitude of smallholders in Nepal. Using farm‐level data, we find that contract farmers appear to show lower inefficiency and lower production risk. Additionally, contract and independent farmers can increase output by reducing the scale of operation. Regardless of the commodity produced and farming arrangement (contract or independent production), we find that labour, land and other inputs are risk‐augmenting, while the role of capital is mixed. We find a second order stochastic dominance (SSD) for lentils, and first order stochastic dominance (FSD) for tomatoes, ginger and HYV paddy seed commodities. Finally, contract farmers are more risk averse than independent farmers, regardless of the commodity produced.     

Heterogeneity in Food Demand among Rural Indian Households: The Role of Demographics

Food expenditures, influenced by social, demographic, and economic factors, constitute a significant proportion of the typical rural Indian's household income. Based on cross‐sectional household data, this study employs the Quadratic Almost Ideal Demand System to estimate food demand among rural Indian households. Special attention is given to the rural household's two‐stage budgeting in total food expenditure and then to a demand for a specific food item. Conditional and unconditional expenditure and price elasticities for seven food groups are estimated. Results indicate that own‐price elasticities for each group are negative ranging from fairly inelastic to elastic range. Expenditure elasticities indicate that food items are a normal necessity to luxury goods. Additionally, socio‐demographic factors play a significant role in food consumption patterns. Based on our unconditional expenditure elasticities, we also project food demand from rural Indian households for next two decades. Les dépenses alimentaires, qui sont influencées par des facteurs socioéconomiques et démographiques, absorbent une partie considérable du revenu des ménages ruraux typiques en Inde. Dans la présente étude, nous avons utilisé le modèle de demande quasi idéal quadratique pour estimer, à l'aide de données transversales sur les ménages, la demande alimentaire des ménages ruraux en Inde. Nous avons accordé une attention spéciale à la budgétisation en deux étapes des dépenses alimentaires totales et à la demande d'un produit alimentaire particulier du ménage rural. Nous avons estimé les dépenses conditionnelles et inconditionnelles et l’élasticité‐prix de sept groupes alimentaires. Les résultats de notre étude indiquent que l’élasticité‐prix de chaque groupe est négative et qu'elle varie de plutôt inélastique à divers degrés d’élasticité. L’élasticité des dépenses indique que les produits alimentaires varient de nécessités de base à produits de luxe. Les facteurs sociodémographiques jouent également un rôle important dans les habitudes de consommation alimentaire. D'après les élasticités des dépenses établies dans notre étude, nous avons estimé la demande alimentaire des ménages ruraux en Inde pour les deux prochaines décennies.     

Market orientation and customer-based corporate brand equity (CBCBE): a dyadic study of Indian B2B firms

The relationship between market orientation (MO) and one of its most important consequences – firm performance – has received considerable attention in marketing research. Performance has been largely judged through financial or objective measures. This paper connects assimilation of MO in firms with corporate brand performance since academics have not used judgmental or market-based measures in assessing performance. We have introduced customer-based corporate brand equity to obtain a rounded idea of firm performance. This is achieved through a dyadic study, instead of self-assessment, wherein the marketing chiefs of B2B firms and their respective organisational customers are surveyed to gauge the effects of incorporating MO. We have shown that corporate brand performance is enhanced significantly in the presence of organisational innovativeness. From a practitioner’s perspective, the study details the organisational actions to be taken to assimilate MO and how those can be exploited to enhance corporate brand performance.     

Interval-Valued Intuitionistic Fuzzy WASPAS Method: Application in Reservoir Flood Control Management Policy

Interval-valued intuitionistic fuzzy sets (IVIFSs) are very flexible tool to cope with the uncertainty arises in multi-criteria decision making (MCDM) problems. In recent times, MCDM problems with interval-valued intuitionistic fuzzy information have achieved more attention from researchers in different areas and consequently, several MCDM methods have been extended for IVIFSs. In this paper, a novel approach based on WASPAS method is developed under IVIFSs. The developed method is based on the operators of IVIFSs, some amendments in the classical WASPAS method and a new process for calculation of criteria and decision experts’ weights. In process for calculating weights, new procedures is propoesd to compute the decision experts’ weights and criteria weights based on interval-valued intuitionistic fuzzy information measures (entropy, divergence and similarity measures) to achieve more realistic weights. Innovative information measures are developed based on the exponential function for IVIFSs to determine the weights of the criteria and decision experts. Since the uncertainty is an unavoidable feature of MCDM problems, the developed method can be a constructive tool for decision-making in an uncertain environment. Further, an uncertain decision making problem of reservoir flood control management policy is implemented with interval-valued intuitionistic fuzzy information, which reveals the effectiveness and reliability of the proposed IVIF-WASPAS method. To validate the result, comparative analysis with existing methods and sensitivity analysis are presented under interval-valued intuitionistic fuzzy environment.     

Local attendees' perceptions of festival impacts: A factor-cluster analysis approach to the Zanzibar International Film Festival

Appraising residents' perceptions of the impacts of festivals is imperative to festival success. Such residents can rightly claim ownership of the place where the festival is staged and the cultural aspects the festival showcases. This study aimed at elucidating local attendees' perceived festival impacts at the annual Zanzibar International Film Festival. Data for this study were collected using a structured questionnaire that yielded 263 responses conveniently drawn from festival-goers, which were then subjected to factor-cluster analysis. The results reveal the presence of three clusters (advocates, ambivalents, and cautious-advocates) that differ significantly on their perceived impacts of the festival with respect to its environmental, socio-cultural, and economic contributions. These results have both managerial and policy implications on the inclusion of the locals in planning and managing festivals.