This paper proposes a dynamic risk-based model that captures the high expected returns on value stocks relative to growth stocks, and the failure of the capital asset pricing model to explain these expected returns. To model the difference between value and growth stocks, we introduce a cross-section of long-lived firms distinguished by the timing of their cash flows. Firms with cash flows weig...

The focus of this work is on the problem of tracking parameters describing both the stochastic discount factor and the objective / real-world measure dynamically, with the aim of monitoring value at risk or other related diagnostics of interest. The methodology presented incorporates information from derivative prices as well as from the underlying instrument’s price over time in order to perfo...

E the tension between theory and practice regarding complexity and performance in contract design is especially relevant. The goal of this paper is to understand why simpler contracts may commonly be preferred in practice despite being theoretically suboptimal. We study a two-tier supply chain with a single supplier and a single buyer to characterize the impact of contract complexity and asymme...

We investigate the pricing discount for limited liquidity. Unlike previous studies that have examined the relation between historical returns and liquidity, ours looks directly at current stock prices. This approach requires less data and yields up-todate information about limited liquidity discounts. We analyze data from the Swiss exchange and the Nasdaq during 1995–2001, and find a statistica...

We study the exploitation of a one species forest plantation when timber price is uncertain. The work focuses on providing optimality conditions for the optimal harvesting policy in terms of the parameters of the price process and the discount factor. We use risk averse stochastic dynamic programming and use the Conditional Value-at-Risk (CVaR) as our main risk measure. We consider two importan...

This paper investigates the relationship between price discrimination and vertical product differentiation, using National Brands and Private Labels in the Carbonated Soft Drink market as a case study. We decompose prices difference into quantity discount and cost difference across packagings and recover marginal cost by a structural demand model of consumer preference and firm behavior. Our re...

This study aims to examine the views of Islamic law on price changes in a limited time Home shopping program RTV television media and implications for buying selling activities program. type research is field using phenomenological approach. The data collection used observation techniques social YouTube promo shows home products. results concluded that product sales contain an element uncertain...

Supplier selection is one the most important elements of supply chain management. This function involves evaluation of many factors such as, cost of parts/materials, size of order, quality, and delivery performance. Therefore, this problem is categorized as multi-criteria decision making problems. Different approaches have been applied in order to assess and select the suppliers when suppliers ...

Experimental results in research on time preference are often controversial. We propose a systematic investigation of choice task in multiple price list format (MPL) that is frequently implemented in experiments on time preference, through a computer simulation analysis. We conduct experiments with artificial subjects to demonstrate that elicited discount rates are highly dependent on the struc...

Introduction There has been recent discussion about price information and how it affects the cotton market (Ethridge and Hudson), as well as related topics of how the official price information provided by the Agricultural Marketing Service (AMS) affects the Commodity Credit Corporation's (CCC) loan schedule. These discussions have centered around (1) how information about differentials in pric...