The mispricing of marketing performance indicators (such as brand equity, churn, and customer satisfaction) is an important element of arguments in favor of the financial value of marketing investments. Evidence for mispricing can be assessed by examining whether or not portfolios composed of firms that load highly on marketing performance indicators deliver excess returns. Unfortunately, extan...

A number of recent marketing studies examine the stock market's response to the release of American Customer Satisfaction Index (ACSI) scores. The broad purpose of these studies is to investigate the stock market's valuation of customer satisfaction. However, a key focus is on whether customer satisfaction information predicts long-run returns. We provide evidence on the market's pricing of ACS...

We investigate the extent to which a parsimonious measure of maximum likely loss that captures tail risk returns—known as value-at-risk (VaR)—explains relationship between accruals and cross-sectional dispersion expected stock returns. construct portfolios based on Sloan’s (Account Rev 71(3):289–315, 1996) total (TA) individual asset-level VaR, reflects dynamic behavior asset distribution. docu...

The Centers for Medicare and Medicaid Services (CMS) implemented hierarchical condition category (HCC) models in 2004 to adjust payments to Medicare Advantage (MA) plans to reflect enrollees' expected health care costs. We use Verisk Health's diagnostic cost group (DxCG) Medicare models, refined "descendants" of the same HCC framework with 189 comprehensive clinical categories available to CMS ...

In the asset pricing literature, time-variation in market expected excess return tracked by financial ratios like dividend yield is typically attributed either to changing risk, related to the business cycle, or irrational mispricing. Extending the work on asset allocation and dividend yield by Kandel and Stambaugh (1996) to accommodate variation in risk as well as expected return, we develop B...