This paper provides an economic explanation of the value premium, differences in price/dividend ratios of value and growth assets and variance-covariance structure of their realized returns within the long-run risks model of Bansal and Yaron (2004). Consistent with time-series properties of observed cash-flow data, value firms exhibit higher exposure to low-frequency fluctuations in aggregate c...

This study examines how overpricing of properties (in terms of above-market price), along with various housing attributes, influence their time-on-market (TOM). A two-stage methodology is deployed. In the first stage, the above-market price is measured by the difference between list price and expected sale price, with the latter being regressed through a hedonic pricing model. Then the effects ...

One of the key issues for implementing congestion pricing is the pricing granularity (i.e. pricing interval or time-scale). The Internet traffic is highly variant and hard to control without a mechanism that operates on very low time-scales, i.e. on the order of round-trip-times (RTTs). However, pricing naturally operates on very large time-scales because of human involvement. Moreover, structu...

We consider the pricing problem faced by a monopolist who sells a product to a population of consumers over a discrete number of periods. Customers are heterogeneous in both the willingness-to-pay for the product and the arrival time during the selling season. We assume that the seller knows only the support of the customers’ valuations and do not make any other distributional assumptions about...

Real-time pricing schemes make the customers to feel the energy price volatility and improve their load profiles. However, these schemes have no significant effect on demand-side uncertainty reduction. In this paper, considering smart grid infrastructures and smart building Energy Management System (EMS), a new real-time pricing scheme is presented to reduce the uncertainty of demand-side. In t...

Most customers in electricity markets do not face prices that change frequently to reflect changes in wholesale costs, known as real-time pricing (RTP). We show that not only does time-invariant pricing in competitive markets lead to prices and investment that are not first best, it even fails to achieve the constrained second-best optimum. Increasing the share of customers on RTP is likely to ...

We consider the problem of a firm selling multiple products that consume a single resource over a finite time period. The amount of the resource is exogenously fixed. We analyze the difference between a dynamic pricing policy and a list price capacity control policy. The dynamic pricing policy adjusts prices steadily resolving the underlying problem every time step, whereas the list pricing pol...

Financial derivatives are contracts concerning rights and obligations to engage in future transactions on some underlying financial instrument. A major concern in financial markets is to compute an expected value of such contracts as a basis for trading decisions. The Cox, Ross and Rubinstein (CRR) binomial tree model is a popular discrete approach to such computations, which requires time quad...

Futures contract is one of the most important derivatives that is used in financial markets in all over the world to buy or sell an asset or commodity in the future. Pricing of this tool depends on expected price of asset or commodity at the maturity date. According to this, theoretical futures pricing models try to find this expected price in order to use in the futures contract. So in this ar...

In this paper we propose a new approach to estimating systematic risk (the beta of an asset). The proposed method is based on a wavelet multiscaling approach that decomposes a given time series on a scale-by-scale basis. The empirical results from different economies show that the relationship between the return of a portfolio and its beta becomes stronger as the wavelet scale increases. Theref...