in today's competitive world, maintaining competitive power of industries is the requirement of remaining in the competition. in the case of small industries, it also needs to think about strategies of making the industries more competitive in order to survive and have successful activity in competition. in many countries, one of the methods that have gained successful experience in increa...

In the paper, we use three years of monthly data to compute loadings on the labor market tightness factor. We now evaluate robustness of our results to different beta estimation horizons. In Table IA.I, we estimate betas using 24, 48, or 60 months of data and otherwise do not modify our empirical methods. For all considered horizons, the differences in future performance of portfolios with low ...

Abstract In recent years a number of authors pointed out significant stability and convergence problems while using Cox-Ross-Rubinstein binomial method to price and hedge barrier options. Different modifications were suggested to improve the convergence and stability of the binomial method. However, as this article shows, lattice approach in general has limited stability factor when applied to ...

This paper presents a test of multi-period asset pricing models using quarterly Philippine data. Using a consumption-based asset-pricing model, the study finds the rate of time preference to be 5.20 percent (on an annual basis). The estimated risk aversion coefficient of 0.043 seems to be on the low side when compared with estimates for other countries. Hansen's J-test finds favorable evidence ...

This paper questions one of the fundamental assumptions made in options pricing: that the daily returns of a stock are independent and identically distributed (IID). We apply an estimation procedure to years of daily return data for all stocks in the French CAC-40 index. We find six stocks whose log returns are best modeled by a first-orderMarkov chain, not an IID sequence. We further propose t...

In this paper, we assume a firm tries to determine the optimal price, vehicle route and location of the depot in each zone to maximise its profit. Therefore, in this paper zone pricing is studied which contributes to the literature of location-routing problems (LRP). Zone pricing is one of the most important pricing policies that are prevalently used by many companies. The proposed problem is v...

The choice of model of normal returns in event studies has been widely discussed in the literature. While researchers frequently continue to use an array of alternatives, there is currently some tendency to favour cruder but simpler meanor marketadjusted returns models. This paper presents a general-to-specific model selection framework for testing the data admissibility of the principal models...

Based on a general specification of the asset specific pricing kernel, we develop a pricing model using an information process with stochastic volatility. We derive analytical asset and option pricing formulas. The asset prices in this rational expectations model exhibit crash-like, strong downward movements. The resulting option pricing formula is consistent with the strong negative skewness a...

Assuming that the underlying stock follows Fractional Brownian motion and that stochastic interest rate meets the Vasicek model of interest rates, this paper establishes pricing model of Warrant Bonds and deduces the pricing formula of Warrant Bonds by utilizing risk-neutral valuation theory. Finally, this paper analyzes influence of concerned parameters of pricing model on the value of Warrant...